Natixis Funds Trust II

N-CSR 1 d465449dncsr.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

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: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)


888 Boylston Street, Suite 800, Boston, Massachusetts		02199-8197
(Address of principal executive offices)		(Zip code)

Susan McWhan Tobin, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2139

Date of fiscal year end: December 31

Date of reporting period: December 31, 2022

Item 1. Reports to Stockholders.

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

LOGO

Annual Report

December 31, 2022

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			32
Financial Statements			43
Notes to Financial Statements			74

LOGO

LOOMIS SAYLES INTERNATIONAL GROWTH FUND



Manager	Symbols

Aziz V. Hamzaogullari, CFA®	Class A	LIGGX

Loomis, Sayles & Company, L.P.	Class C	LIGCX

	Class N	LIGNX

	Class Y	LIGYX

Investment Goal

The Fund’s investment goal is long-term growth of capital.

Market Conditions

The international markets experienced negative returns and high volatility in 2022. Persistently high inflation prompted the US Federal Reserve (Fed) and other major world central banks to raise interest rates aggressively throughout the year, fueling worries about the potential for a recession and a corresponding decline in corporate earnings in 2023.

Russia’s invasion of Ukraine may have weighed on stocks, as well. The conflict exacerbated supply chain disruptions, led to a spike in energy prices in the first half of the year, and dampened growth across Europe. These factors contributed to underperformance for the European markets versus the broader international equity indexes, but the Asia-Pacific region — which was more insulated from the effects of the invasion — outperformed.

Events in China were an additional source of concern. The government’s continued regulatory focus and zero-Covid policy hindered growth in the country, leading to a significant downturn in the nation’s market over the first ten months of the year. Since China is heavily represented in the major emerging market indexes, its weakness depressed the headline return of the broader asset class.

Currency translation was an additional headwind for US investors. Most developed and emerging market currencies declined sharply in the first ten months of the year, exacerbating the losses for equities. Stocks and foreign currencies both rallied in November and December, however, significantly reducing the extent of the losses for the full year.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles International Growth Fund returned -17.50% at net asset value. The Fund underperformed its benchmark, the MSCI All Country World Index ex USA Index (Net), which returned -16.00%.

Explanation of Fund Performance

We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Given the rare confluence of quality, growth, and valuation, we may study dozens of companies but may only invest in a select few businesses each year. We believe identifying those few businesses with such characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30–45 names.

The Fund’s positions in Adyen, MercadoLibre, and Tencent detracted the most from performance. Stock selection in the information technology, industrials, and communication services sectors, as well as our allocations in the information technology, energy, consumer discretionary, and communication services sectors, detracted from relative performance.

Adyen is a global merchant acquisition and payment solutions provider based in Amsterdam. Adyen was founded in 2006 to serve as a next-generation, integrated provider of payment solutions to merchants, and today the company supports over 250 payment methods globally across online, mobile, and point-of-sale (POS) transactions for clients that include Facebook, McDonald’s, Microsoft, Netflix, and Uber. We believe Adyen’s strong and sustainable competitive advantages include its single, global platform and a high profile client base with which it has built lasting relationships. A Fund holding since inception, Adyen reported financial results during the year that reflected strong fundamentals, including continued market share gains and revenue growth that was well above our long-term assumptions for the company. However, the company’s most recent financial report for the first half of 2022 was below consensus expectations for revenues and profitability. We believe Adyen remains a high quality company with sustainable competitive advantages and secular growth opportunities that are not reflected in its current share price. Existing clients accounted for over 80% of Adyen’s strong double-digit sales growth in its most recent report — stemming from both organic growth at underlying clients and Adyen’s capture of increasing share — and client retention based on payment volumes remained above 99%. We believe the secular

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shift to electronic-based payments from traditional paper-based systems represents the most significant growth driver for Adyen. While Adyen has been growing substantially faster than the leading global acquirers over the past few years, the company still captures only a small percentage of overall industry volumes estimated at approximately 1%. We believe a combination of industry- and company-specific factors will enable Adyen to continue to grow at more than twice the rate of growth in the overall payments industry over our long-term investment horizon. We also expect Adyen to benefit from the high incremental margins of its business, contributing to margin expansion and cash flow growth in excess of 20% over our forecast period. We believe Adyen’s strong growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares are trading at a meaningful discount to our estimate of intrinsic value, offering an attractive reward-to-risk opportunity.

MercadoLibre is the largest online commerce platform in Latin America. The company offers its users an ecosystem of six integrated e-commerce services that include its marketplace, payment and fintech solutions, shipping and logistics, advertising, classified listings, and merchant web services. The company operates in 18 countries representing the vast majority of Latin American GDP, and its 140 million active users in 2021 represented over 30% of the region’s estimated 450 million internet users. We believe MercadoLibre benefits from strong and sustainable competitive advantages that include its network and ecosystem, brand, and understanding of local markets that collectively contribute to its leadership position in each market it serves. A Fund holding since inception, during the reporting period, the company delivered strong revenue growth that was generally above consensus expectations, driven by growth in gross merchandise volume and payments, and continued market share gains in both e-commerce and payments. Growth was notable because it follows strong pandemic-fueled growth in the prior year period and reflects the high value proposition to consumers. Despite strong fundamental performance, the company’s shares were volatile as a result of the weak market backdrop during the period. MercadoLibre remains in an elevated investment cycle to build out a more powerful ecosystem focused on greater product selection, easier payment options, wider credit availability, and lower cost and faster speed of delivery. While these investments have impacted near-term profitability, we believe they have contributed to market share gains in e-commerce and payments and a stronger competitive position, and operating income and margins were generally above expectations during the period. We believe management remains focused on balancing the investments needed to further improve user experience and extend the company’s leadership in e-commerce and payments, while maintaining a sustainable and profitable financial model. With continued growth in internet access, increasing availability of credit, and the company’s continuing investments to improve the ease and convenience of transacting online, we believe MercadoLibre remains well positioned for sustained growth over the next decade, driven by the secular growth of e-commerce across Latin America. Over our forecast period, we believe the penetration of e-commerce can more than double, which would bring the penetration rate into the mid-20% level. We believe the current market price embeds expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions. As a result, we believe the shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.

Tencent Holdings is one of the largest internet services companies in China and globally, offering a wide array of value-added services that span social networking and communication, gaming, media and entertainment, and e-commerce and local services. We believe Tencent’s strong and sustainable competitive advantages include its massive network and ecosystem, distribution, scale, and brand which collectively contribute to high barriers to entry for potential competitors. The company’s leading social and communication platforms, Weixin/WeChat and QQ, which attract approximately 1.3 billion and 550 million monthly active users, respectively, represent a significant portion of mobile internet users in China, as well as a significant amount of time spent in consumption of internet services. Through an open platform with services provided both by Tencent and by third-party providers, the company has created a one-stop “super app” that has become deeply embedded in the lives of its users – spanning communication, social media, gaming, media consumption, online and offline payments, and wealth management. As a result of its massive internet user base, Tencent has a distribution advantage in reaching consumers. The company has advantaged insights into how users are spending their time, which facilitates its ability to promote products and services to a targeted audience and lowers client acquisition costs relative to competitors. This distribution advantage would be difficult to replicate and is reflected in the company’s leading market positions in gaming, news, payments, music, and video. A Fund holding since inception, Tencent reported financial results during the year that were generally mixed-to-below consensus expectations and impacted by both cyclical and regulatory pressures. A combination of ongoing regulation, weakness in Chinese consumer spending, and the resurgence of Covid impacted a number of the company’s key businesses. While the company is operating in a challenging near-term environment, we believe Tencent’s leading digital enterprise and consumer platforms remain structurally well positioned for long-term growth and benefit from strong and sustainable competitive advantages that stem from Tencent’s network, distribution, brand and scale. We believe Tencent is one of the best-positioned companies in the China internet services industry. We believe the near-term uncertainty regarding the regulatory and economic environment does not change the long-term fundamentals; as a leading consumer platform provider, we believe the structural expansion of internet users in China will position Tencent to benefit from multiple secular growth drivers, including gaming, media, advertising, payments, and cloud-computing growth. We believe Tencent’s strong growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares are trading at a significant discount to our estimate of intrinsic value, offering a compelling reward-to-risk opportunity. We took advantage of near-term price weakness to add to our position during the period.

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LOOMIS SAYLES INTERNATIONAL GROWTH FUND

The Fund’s positions in Trip.com, Novo Nordisk, and Vipshop contributed the most to performance. Stock selection in the consumer discretionary, healthcare, energy, and consumer staples sectors, along with our allocations in the consumer staples, healthcare, and industrials sectors, contributed positively to relative performance.

China-based Trip.com (TCOM), formerly known as Ctrip, is the world’s largest global travel platform. Founded in 1999, the company offers a comprehensive, integrated platform on which travelers can make arrangements for lodging, transportation, packaged tours and other related services; they also provide corporate travel management services. The company provides its services in China through its Ctrip and Qunar platforms and serves non-Chinese customers primarily thorough Trip.com and Skyscanner. We believe Trip.com’s strong and sustainable competitive advantages include the power of its network and ecosystem, its scale, and leading brands. As an early mover in the fragmented China travel industry, the company has built the leading network of travelers and travel partners over the past twenty years. The company has over 400 million worldwide users that are attracted to its leading share of inventory in hotels, ticketing services, and vacation packages. As more travelers come to its sites, more travel providers wish to come and vice versa. The company’s scale serves to strengthen the power of its network and ecosystem. Trip.com is the clear leader in the China online travel agent (OTA) market with approximately 50% market share, which is greater than two times the next largest competitor, Meituan. Scale also enables the company to invest more in products, service, and brand than its smaller competitors. Collectively, we believe these competitive advantages would be very difficult for a competitor to replicate. A Fund holding since inception, Trip.com reported financial results over the past year that were above consensus expectations, despite being significantly impacted by Covid-19 and related restrictions that reduced Chinese travel, both domestically and abroad. Investors may have responded positively to the stronger-than-expected results, strong cost management during a period of cyclical weakness, and optimism regarding the Chinese government’s easing of Covid-related restrictions. While financial results have been pressured during this period, we believe that structural growth will resume in 2023 as China eases its controls and reopens its borders. As the leading global travel platform and largest in China, we believe Trip.com is well positioned to benefit from long-term growth in travel expenditures by consumers and business travelers in China. We believe that the impact of Covid-19 on travel is temporary, and that the structural drivers of growth remain intact. Apart from the near-term impact of Covid-19, the company has been reinvesting significantly in the business, depressing operating margins relative to history. As these investments moderate, we believe the company can generate structural operating margins in the low-20% range. We believe the company’s share price embeds expectations for key revenue and cash flow metrics that are substantially below our long-term assumptions. As a result, we believe the company’s shares are trading at a significant discount to our estimate of intrinsic value and offer a compelling reward-to-risk opportunity.

Headquartered in Denmark, Novo Nordisk is a global healthcare company with nearly 100 years of innovation and leadership in diabetes care. Over this time, Novo has amassed unparalleled experience in the biology of diabetes, along with expertise in protein science, and developed significant competitive advantages as a result. Its diabetes products have captured almost one-third of the global branded diabetes care market, which, along with its first-mover position in related obesity therapies, accounts for over 85% of the company’s annual revenues. In its rare disease (formerly biopharmaceutical) business segment, which represents almost 15% of annual revenues, Novo Nordisk has leading positions within hemophilia care, growth hormone therapy, and hormone replacement therapy. We believe Novo’s strong and sustainable advantages include its deep experience in diabetes care and therapeutic proteins, strong infrastructure that took decades to build, efficient manufacturing techniques, robust pipeline, and economies of scale. A Fund holding since inception, Novo reported solid operating results throughout the period that were generally ahead of consensus expectations and reflected a rebound in activity that was depressed in the prior-year period due to Covid-19. Due to strong results, the company raised its full-year 2022 revenue and operating profit guidance on multiple occasions, from an expectation of mid-to-high single-digit growth to low-teens growth. In particular, growth has been led by the company’s GLP-1 class of therapies — a quickly growing class of non-insulin anti-diabetic treatments that can postpone the need for insulin for two to four years. Novo’s class-leading Ozempic, a once-weekly therapy with comparable safety and superior efficacy to existing therapies, is capturing almost 40% of new-to-market patients and contributed to greater penetration of the GLP-1 market as well as share gains from its leading competitor. Sales of Rybelsus, an oral version of Ozempic and the company’s newest GLP-1 innovation launched in late 2019, grew 120% year over year in constant currency, contributing to the company’s greater than 50% total GLP-1 market share. In addition to targeting diabetes with its GLP-1s, in 2021, Novo received approval for semaglutide (the same molecule behind Ozempic and Rybelsus) in the obesity setting under the brand name Wegovy. While Novo is navigating operational challenges that have limited the initial production of Wegovy, the company is seeing robust early demand and expects supply constraints will begin to abate following a relaunch of the therapy in December 2022. Diabetes is a global epidemic with an estimated population of 530 million. The market has been growing annually in the low double digits over the last ten years, driven by aging of the global population and increasing obesity. We believe Novo’s deep experience in diabetes care, differentiated product suite, and leading innovation should enable the company to grow revenues in the mid-single digits over our long-term investment horizon, with faster growth in free cash flow. We believe the company’s shares continue to sell at a meaningful discount to our estimate of intrinsic value and offer an attractive reward-to-risk opportunity.

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Vipshop is a specialty internet retailer focused on off-season, off-price apparel and fashion items which it sells via flash sales. Founded in 2008 with the vision of introducing high quality, branded fashion merchandise to the China market at value prices, the company is by far the largest flash retailer in China, and the largest player in the off-season, off-price category. In 2021, the company generated over $18 billion in net revenues across its core categories, and today the company is the 5th largest overall retailer in China. We believe that Vipshop creates a strong value proposition for end customers and vendors alike, which in turn creates a strong network effect that has been difficult to replicate even by the largest e-commerce companies in China. A Fund holding since inception, Vipshop reported better-than-expected profitability throughout the period, despite significant ongoing topline pressure as the Chinese market continued to be impacted by weak consumer demand amidst prolonged Covid-19 outbreaks, lockdowns, and restrictions. Despite this, the company appears to be maintaining market share in its core apparel-related business which accounts for approximately two-thirds of its revenues, even while experiencing greater competitive pressure in its non-core, general merchandise categories. We believe that Vipshop remains a high-quality business benefiting from competitive advantages of brand, scale, and a positive network effect that should enable it to expand its market share as the leading discount branded apparel retailer in China. While the Covid-19 outbreak and the associated travel restrictions and their impact on consumer confidence pressured sales over the past year, especially in the company’s smaller physical retail footprint, we believe the company’s competitive position in its core off-price apparel and accessories business remains intact, and that Vipshop will continue to benefit from structural growth in China consumption and e-commerce where it has a strong and defensible position in the off-season, off-price niche in which it competes. We believe the current market price embeds expectations for free cash flow growth that are well below our long-term assumptions. With its shares trading at a significant discount to our estimate of intrinsic value, we believe Vipshop offers a compelling reward-to-risk opportunity.

All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur. During the period we initiated new positions in Block, Doximity, Shopify, and Tesla. We added to our existing holdings in Fanuc and Tencent. We trimmed our existing positions in Novartis, Roche, Sodexo, and Unilever. We sold our positions in Core Laboratories and Schlumberger.

Outlook

Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. The Fund ended the year with overweight positions in the consumer staples, consumer discretionary, healthcare, information technology, and communication services sectors and was underweight in the industrials sector. We had no exposure to stocks in the financials, materials, energy, utilities, or real estate sectors. From a geographic standpoint we were overweight in emerging markets and Europe and underweight in developed Asia and North America.

Top Ten Holdings as of December 31, 2022



	Security Name	% of Net Assets
1	WiseTech Global Ltd.		5.59	%
2	Novo Nordisk A/S, Class B		5.54
3	Tencent Holdings Ltd.		5.07
4	MercadoLibre, Inc.		4.41
5	Novartis AG (Registered)		4.29
6	Roche Holding AG		4.20
7	Ambev S.A. ADR		4.17
8	Trip.com Group Ltd. ADR		4.08
9	Kweichow Moutai Co. Ltd., Class A		3.94
10	Nestle S.A. (Registered)		3.90

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

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LOOMIS SAYLES INTERNATIONAL GROWTH FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 15, 2020 (inception) through December 31, 2022

LOGO

Average Annual Total Returns — December 31, 2022³



	1 Year			Life of Fund			Expense Ratios⁴
	1 Year			Life of Fund			Gross			Net

Class Y (Inception 12/15/20)
NAV		-17.50	%		-10.09	%		2.46	%		0.95	%

Class A (Inception 12/15/20)
NAV		-17.71			-10.33			2.71			1.20
With 5.75% Maximum Sales Charge		-22.41			-12.89

Class C (Inception 12/15/20)
NAV		-18.30			-10.99			3.46			1.95
With CDSC¹		-19.11			-10.99

Class N (Inception 12/15/20)
NAV		-17.47			-10.06			1.58			0.90

Comparative Performance
MSCI ACWI ex USA Index (Net)²		-16.00			-3.61

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

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

2	The MSCI ACWI ex USA Index (Net) captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,361 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

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NATIXIS OAKMARK FUND



Managers		Symbols

William C. Nygren, CFA^®		Class A NEFOX

Robert F. Bierig*		Class C NECOX

M. Colin Hudson, CFA^®**		Class N NOANX

Michael J. Mangan, CFA^®, CPA		Class Y NEOYX

Michael A. Nicolas, CFA^®

Harris Associates L.P.

*	Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

**	Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

Investment Goal

The Fund seeks long-term capital appreciation.

Market Conditions

The fourth quarter saw a recovery in US equity markets with all three major indexes finishing higher following declines in the first three quarters of the year. Energy continued to outperform in the fourth quarter, along with industrials, materials and financials, while consumer discretionary and communication services were the two sectors to have negative absolute returns. Also in the fourth quarter, the US Dollar Index declined by over 7.5% after five consecutive quarters of gains. WTI crude ended the year near $80, which was around its level at the beginning of 2022 and prior to Russia’s invasion of Ukraine and the subsequent increase in energy prices.

Investors’ primary focus throughout the year appeared to be on the Federal Reserve and its efforts to tighten financial conditions, primarily through increases to the federal funds rate and quantitative tightening. The size of rate hikes slowed in December to 50 basis points, following a streak of 75 basis point increases in June, July, September and November. Some recent economic indicators have offered reason for optimism for those expecting the Fed to pivot, such as lower commodity prices and lower than expected inflation numbers. However, unemployment remains resilient at below 4% and the latest Consumer Price Index for November came in at 7.1% year-over-year, significantly above the Federal Reserve’s 2% target.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Natixis Oakmark Fund returned -13.10% at net asset value. The Fund outperformed its benchmark, the S&P 500^® Index, which returned -18.11%.

Explanation of Fund Performance

As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute-return basis, the energy sector gained the most value, while holdings in the communications services sector lost the most value.

The largest contributors to Fund performance for the year were EOG Resources and APA Corporation. While energy price increases have helped companies across the sector this year, EOG Resources has also operated well on a fundamental basis, in our view. Second-quarter results showed that EOG is growing production without a disproportionate capital expense increase, which we see as evidence that management’s efficiency measures are working. Second-quarter production grew 11% from a year earlier and capital expenditures rose 14%; both metrics were better than market expectations. The company later reported a strong set of third-quarter results, in our view. Revenue of $7.59 billion surpassed consensus expectations of $6.26 billion, production grew 9% year-over-year, and capital expenditures were 6% below consensus expectations. Capital expenditures increased faster than production due to inflation, higher growth and additional exploration; however, full-year figures were within initial guidance. EOG also announced the discovery of a new opportunity in the Ohio Utica Basin by using learnings from decentralized teams across multiple basins to enter an overlooked opportunity. The company quietly amassed 395,000 acres for more than $500 million, acquired around 20 legacy wells for data, and drilled four initial wells to confirm their reservoir model. Management said the initial wells would qualify as double premium with longer laterals, and Utica wells could have the same oil recovery as the Delaware Basin, which we believe would be a great win. We continue to like the effectiveness of the company’s management team.

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NATIXIS OAKMARK FUND

well, it is likely to result in a fast-tracked final investment decision for a large development hub in the area. Later in the first quarter, APA announced it closed on two transactions totaling around $1 billion in net proceeds. More recently, third-quarter results from APA were good, in our assessment. Total revenue of $2.89 billion, adjusted earnings (EBITDAX)^* of $1.69 billion and adjusted earnings per share of $1.97 all exceeded market expectations. More importantly, revenue rose 40% year-over-year and EBITDAX advanced 46%, while adjusted earnings per share doubled from a year earlier. We were pleased that drilling operations in both the Permian Basin and Egypt are accelerating, which eased concerns about sluggish second-quarter performance. Management expects $2.7 billion of total FCF in 2022 (a 19% FCF yield) and expects further growth in 2023 even at flat commodity prices. We found it impressive that over the last two years APA has reduced its net debt from $8.9 billion to $4.9 billion. Furthermore, during the most recent two-year period the company repurchased almost 20% of its share base and it continues with its buyback efforts. Management repurchased 10 million shares (3% of shares outstanding) in the third quarter and plans to repurchase another $520 million worth of shares (another 3%) in the fourth quarter. The company also announced the quarterly dividend would double to an annualized rate of $1.00 per share. We remain pleased with APA’s fundamental performance.

The largest detractors to Fund performance for the year were Meta Platforms and Ally Financial. The share price of Meta Platforms declined throughout the year as the company faced several challenges. Investors proved disappointed by Meta Platforms’ fourth-quarter earnings report and its share price fell over 20% following its release. Management pointed to new regulation in Europe and Apple iOS changes as a $10 billion headwind for personalized advertisements. The company also reported its first decline in daily active users for Facebook, which we believe was attributable to the size of the existing base and the number of users pulled forward during the Covid-19 pandemic. Management emphasized its focus on generating revenue from its fastest growing content format, Reels, a competitor to TikTok. The company believes the transition from stories to Reels will be similar to the transition from feed to stories in 2018 and expressed encouragement from early results. Late in April, Meta delivered a disappointing earnings report for the first quarter and guidance for the second quarter. The company reduced its expense guidance for the year, suggesting that much of the spend is highly discretionary, and daily active users on its platforms accelerated sequentially by 50 million in the second quarter versus 10 million in the first quarter. Meta reported a 1% decline in second-quarter revenue, in line with its guidance and consensus expectations. Core margins (ex-Reality Labs) came in at 39%, or 29% including the $2.8 billion loss from Reality Labs, which has lost $5.8 billion year to date. Cyclical weakness in advertising budgets, which worsened sequentially; the lingering impacts from Apple’s ad tracking changes; and higher engagement in Reels all weighed on results. Reels represented 20% of time spent on Instagram alone last quarter, and management said they saw a 30% increase in engagement on both Instagram and Facebook sequentially.

We spoke with Meta Platforms’ CFO Susan Li following the company’s third-quarter earnings report. After our discussion, we believe the core platform remains healthy, as evidenced by engagement and time spent remaining strong. While IDFA (identifier for advertisers) pressured growth this year, results show the company is lapping the impact from that headwind. Reels monetization is showing rapid growth, and we believe organic revenue trends look set to improve both next year and beyond. Expense management is becoming more disciplined, but we believe there remains work to be done. The company is finding more cost-cutting opportunities, and we were told CEO Mark Zuckerberg is increasingly focused on core profitability given the mounting pressure both external and internal. Despite this, the company is committed to ramping up capital spend for the time being. Li believes the increase in Artificial Intelligence spending is paying off, but it is still early in the process. She said the pace of spending will be governed by the returns it generates, and the company should benefit through improved ad effectiveness, engagement, and content editing and creation capabilities, among others. As for the Reality Labs segment, management sees this spend intrinsically tied to the success of the core platforms as they prepare for the potential next computing platform. In our view, the company has a very profitable core business paired with a large amount of growth capital spend and a bet on a potentially large new business opportunity that has an uncertain timeframe and probability of success. While the lack of expense discipline has lowered our estimate of intrinsic value, we continue to believe the company is undervalued at its current price.

First-quarter results from Ally Financial were impressive, in our view, as reported return on tangible common equity was nearly 24% and earning asset yields rose 11 basis points sequentially while funding costs declined 4 basis points, resulting in a near 4% net interest margin. Management believes it will generate a roughly 20% return on tangible common equity on a full-year basis and reiterated their 16%-18% target for 2023 and onward. We recognize that the inevitable normalization of credit, which continues to remain tame and below normal levels, combined with weakening used car prices and potential deposit rate pressure could eventually make the operating environment more challenging. CFO Jenn LaClair remains very optimistic and believes Ally will have some natural hedges in place to partially offset used car price declines. Second-quarter revenue was slightly better than market expectations, while earnings per share fell short of projections by about 4%. In terms of absolute earnings, the company’s results were again above trend with a reported return on tangible common equity of 23%. Earning asset yields rose by 25 basis points and repriced higher than funding sources in the second quarter, which drove the net interest margin to an impressive 4.06%, an increase of 49 basis points year-over-year. Following the earnings release, we met with CEO Jeff Brown and Jenn LaClair and discussed the company’s competitive advantage in auto

^*	EBITDAX stands for Earnings Before Interest, Taxes, Depreciation, Amortization, and Exploration Expense. It is an indicator of financial performance that is used when reporting earnings, specifically for oil and mineral exploration.

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lending. Loan receivables from retail auto borrowers grew faster than the industry in the second quarter, which management attributed to an expanded dealer count (+20% over the past few years) and higher application flow as well as from what they consider to be extremely attractive risk-adjusted returns.

The company reported third-quarter results with revenue and adjusted earnings per share that both undershot market expectations. Revenue rose about 2% from last year to $2.02 billion, while adjusted earnings per share fell by nearly half. Just prior to the earnings release, LaClair stepped down from her role as CFO and will now be a senior operating adviser. Bradley Brown, who had been the corporate treasurer since 2013, will serve as interim CFO. Upon review of the third-quarter earnings report, we observed that earning asset yields continue to improve and accelerated by 50 basis points quarter-over-quarter to 5.59%. However, funding costs increased 77 basis points from last year with deposit costs roughly doubling from 0.76% to 1.58%, which caused the net interest margin to contract by 23 basis points to 3.81%. In addition, auto loan originations were down 8% sequentially from last quarter and unchanged from last year. We spoke with Ally’s management team and discussed the company’s auto loan activity. While management expects lower current year retail auto loan balances than in pre-pandemic years, the company foresees a recovery upon the normalization of vehicle inventories. Also, Jeff Brown stated that Ally continues to be disciplined in its underwriting standards, which should protect against significant downside effects if the economy slows dramatically. Despite these near-term challenges, we find this company is poised to offer shareholder rewards moving forward.

Outlook

We believe our edge is our process for identifying undervalued businesses with growing values and good management teams and then positioning portfolios with conviction and discipline based on that process. We value companies as if they will have to weather macro-related bumps in the road without trying to be precise as to when this happens. This helps us divorce the investment decision from an attempt to time a business cycle. We believe this approach, paired with our longer time horizon and broad definition of value, enables us to uncover attractive investment opportunities during times of volatility.

Top Ten Holdings as of December 31, 2022



	Security Name	% of Net Assets
1	Alphabet, Inc., Class A		3.44	%
2	KKR & Co., Inc.		3.13
3	Wells Fargo & Co.		2.88
4	Oracle Corp.		2.70
5	Citigroup, Inc.		2.45
6	EOG Resources, Inc.		2.41
7	Capital One Financial Corp.		2.37
8	Willis Towers Watson PLC		2.36
9	APA Corp.		2.35
10	CBRE Group, Inc., Class A		2.33

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NATIXIS OAKMARK FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2012 through December 31, 2022

LOGO

Average Annual Total Returns — December 31, 2022³



	1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁴
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-13.10	%		7.95	%		11.93	%		—	%		0.89	%		0.80	%

Class A
NAV		-13.30			7.68			11.65			—			1.14			1.05
With 5.75% Maximum Sales Charge		-18.28			6.41			10.99			—

Class C
NAV		-13.97			6.87			10.99			—			1.89			1.80
With CDSC¹		-14.69			6.87			10.99			—

Class N (Inception 5/1/17)
NAV		-13.06			8.07			—			9.84			1.55			0.75

Comparative Performance
S&P 500^® Index²		-18.11			9.42			12.56			10.67

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

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

S&P 500^® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

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NATIXIS OAKMARK INTERNATIONAL FUND



Managers		Symbols

David G. Herro, CFA^®		Class A NOIAX

Michael L. Manelli, CFA^®		Class C NOICX

Harris Associates L.P.		Class N NIONX

		Class Y NOIYX

Investment Goal

The Fund seeks long-term capital appreciation.

Market Conditions

Major global markets generally experienced relief in the fourth quarter after equity markets had declined meaningfully throughout the first three quarters of 2022. Conditions in markets turned more favorable as there were early signs that central bank increases in interest rates, improving supply chain conditions, and lower energy prices would lead to reductions in the level of inflation in many countries. International equities benefited from most international currencies strengthening relative to the dollar in the fourth quarter, though most major currencies still ended the year down 5%-15% versus the dollar.

The size of the US Federal Reserve’s hikes to its benchmark interest rate slowed in December to 50 basis points, following a streak of 75 basis point increases in June, July, September and November. Recently, the Bank of Canada increased its benchmark rate by 50 basis points in October and December, while the European Central Bank and Bank of England both hiked their respective rates by 75 basis points in November and 50 in December. The Bank of Japan continued its accommodative policy stance on interest rates through most of the year, but surprised markets by doubling its cap on 10-year yields from 0.25% to 0.50% late in December. The Japanese central bank said the reason was to enhance the sustainability of monetary easing, but many investors speculated it to be a sign of a potential exit from its decade-long stimulus policy. As a result, the yen appreciated against other currencies and Japanese government bonds fell. Late in the year, China backpedaled from its “Zero-Covid” policy and subsequently saw a sharp increase in the number of positive Covid-19 cases.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Natixis Oakmark International Fund returned -15.71% at net asset value. The Fund underperformed its benchmark, the MSCI World ex USA Index (Net), which returned -14.29%.

Explanation of Fund Performance

On an absolute-return basis, shares in the materials sector produced the largest positive collective return, while the information technology sector lost the most value.

Geographically, our average weightings for the year were 86% in Europe, 4% in China and 3% in South Korea. The remaining positions were in Canada, Australia, Japan, Mexico, India, Indonesia and South Africa.

The largest detractors from return were Credit Suisse Group and Continental. Credit Suisse Group faced several challenges in 2022 and its share price fell over the 12-month period. The company has suffered from a succession of negative internal and external events, which produced consistent quarterly net income losses during the year. Most recently, third-quarter results were impeded by a CHF 3.7 billion impairment of deferred tax assets (DTA). The DTA is attributed to the company’s securitized products segment, and the expected spinoff of this segment prompted the charge. Although the DTA impairment is a non-cash charge, it necessitated a larger than expected capital raise of CHF 4 billion to enable reaching its target ranges. However, Credit Suisse has instituted some restructuring initiatives to reinstate profitability. These efforts include de-risking operations, which drove management to conduct a strategic review on its investment bank to identify opportunities to transform it into a capital-light, advisory-led banking business with a reduced absolute cost base in the medium term. Another area of focus is digitizing the company’s processes that management anticipates will generate cost savings of CHF 650 million. While management acknowledged that these programs may elevate operating expenditures in the near term, these endeavors are aimed to save costs and boost efficiency moving forward. In addition, Credit Suisse saw the departure of some key executive team members in 2022, including CEO Thomas Gottstein, CFO David Mathers and General Counsel Romeo Cerutti. In our view, Credit Suisse’s new leadership team is a material upgrade and positions the company to better realize benefits from its restructuring plan that appears to be quite methodical and well contemplated. We believe these developments provide a path to a more successful 2023.

Continental revealed encouraging first-quarter earnings figures given the difficult backdrop. ContiTech and the tires business both met headwinds from raw material inflation and logistics issues. While these should normalize over time, adjustments in pricing and

| 10

NATIXIS OAKMARK INTERNATIONAL FUND

product mix aided the company’s results as it navigated the tough environment. In July, Continental warned that free cash flow for the quarter would come in below expectations due to a buildup of working capital related to supply chain issues, material cost inflation and higher receivables due to higher prices. The full release in August added more color for the tires segment, which had organic growth of 11.4%-16.7% of which came from price and product mix and a decline of 5.3%, which came from reduced replacement volumes across all regions. Management indicated that Chinese demand did not pick up as had been expected when lockdowns ended, and the company was unable to fully meet North American demand due to a lack of product availability. Though fiscal-year guidance was confirmed, margins in tires are expected to be under significantly more pressure in the second half due to weaker replacement demand as well as more severe raw material impacts. The company is responding with price increases, though they are not expected to fully offset the inflationary impact. The company’s automotive business reported an operating loss during the second quarter, though margins are expected to recover in the second half of the year due to improving light vehicle production and the benefits of price increases with OEMs. Encouragingly, the company has realized more than EUR 6 billion in order intake in the second quarter, which, when combined with the company’s ongoing restructuring program, supports its medium-term targets. Despite a difficult environment, we believe that Continental has undertaken significant action to improve results and that the company’s exposures across the automotive value chain along with its low valuation make it a compelling investment.

The top contributors to the yearly return were Glencore and Vipshop Holdings ADR. The share price of Glencore was volatile early in the year and rose mainly in the third and fourth quarters. In August, the company delivered a solid set of first-half earnings results, in our view, as marketing segment earnings increased over 100% year-over-year and profit of $3.7 billion handily surpassed the company’s long-term range of $2.2-$3.2 billion for the year. Furthermore, adjusted earnings in the coal segment reached $8.9 billion for the first half, which outpaced our full-year expectations of $15.4 billion. Management later participated in some corporate actions with the goal of enhancing the company’s value. The Australian Foreign Investment Review Board approved Metals Acquisition Corp’s purchase of CSA Copper Mine from Glencore. In addition, Glencore management announced plans to purchase all of Newmont’s stake in the MARA Project, an Argentina-based copper and gold mine, for $124.9 million along with other considerations. At its investor update event in December, Glencore issued its nine-month production report and lowered full-year output targets across most commodities as the company faced negative weather, labor and supply chain issues in certain geographies. Even so, management still expects fiscal second-half marketing segment earnings will exceed $1.6 billion, which would fall at the high end of the previously established long-term guidance range. The company also announced plans to close 12 coal mines by 2035 as it endeavors to achieve its climate priorities.

Vipshop Holdings delivered fiscal first-quarter results that met consensus estimates for both sales and profitability. A gross merchandise value decline of 8% aligned with the decline in active annual customers, which was attributable to weak consumer demand. However, gross profit margins improved 10 basis points year-over-year due to an improving business mix and management’s removal of lower quality brands. We appreciated management’s efforts to control costs. Despite the difficult backdrop in the second quarter, with much of the economy closed, Vipshop beat consensus estimates on revenue and earnings by 6% and 30%, respectively. The company made progress on cost controls, with gross profit margins improving 40 basis points to 20.5%. This figure was helped by multiple efficiency measures such as reduced coupons, cutting lower margin brands, and improving returns. Later, the company released third-quarter results that were generally better than consensus expectations. Revenue declined 14% and gross merchandise value declined almost 7%, held back by a weak macro environment and impacts from Covid-19. Despite the disappointing topline figures, we believe margins continued to show strength. Gross profit margins came in at 21.7%, 220 basis points higher than last year and 120 basis points higher than the second quarter. Management has been making an effort to improve mix and has also reduced discounts, which showed progress during the quarter as this is the highest gross profit margin reached in nearly two years. We appreciate that over the past twelve months before the release, Vipshop generated $1 billion in free cash flow on a $5.5 billion market cap. During the third-quarter management bought back $260 million in stock and had $560 million left in the current buyback program.

Outlook

While we recognize the challenge facing investors with the current state of financial markets, we believe that the lower and more widely dispersed valuations in the market today have allowed us to redeploy capital into increasingly attractive investments. We are optimistic that these decisions will sow the seeds of future outperformance. As always, we remain focused on building a high conviction portfolio of undervalued businesses that we believe will provide both a margin of safety and the potential for attractive risk-adjusted returns over the long term.

11 |

Top Ten Holdings as of December 31, 2022



	Security Name	% of Net Assets
1	BNP Paribas S.A.		3.40	%
2	Intesa Sanpaolo SpA		3.20
3	Lloyds Banking Group PLC		3.05
4	Mercedes-Benz Group AG (Registered)		2.97
5	Prosus NV		2.70
6	Allianz SE (Registered)		2.59
7	Continental AG		2.59
8	Bayerische Motoren Werke AG		2.58
9	Fresenius SE & Co. KGaA		2.49
10	Adidas AG		2.42

Hypothetical Growth of $100,000 Investment in Class Y Shares^1,4

December 31, 2012 through December 31, 2022

LOGO

See notes to chart on page 13.

| 12

NATIXIS OAKMARK INTERNATIONAL FUND

Average Annual Total Returns — December 31, 2022⁴



	1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁵
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 5/1/17)
NAV¹		-15.71	%		-1.90	%		3.81	%		—	%		1.10	%		0.90	%

Class A
NAV		-15.91			-2.14			3.66			—			1.35			1.15
With 5.75% Maximum Sales Charge		-20.72			-3.29			3.05			—

Class C
NAV		-16.50			-2.87			3.04			—			2.10			1.90
With CDSC²		-17.32			-2.87			3.04			—

Class N (Inception 5/1/17)
NAV		-15.65			-1.84			—			0.51			1.25			0.85

Comparative Performance
MSCI World ex USA Index (Net)³		-14.29			1.79			4.59			3.87

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

1	Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class.

2	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

3	MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations.

13 |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND



Managers	Symbols

William C. Nygren, CFA^®	Class A	NEFSX

Robert F. Bierig*	Class C	NECCX

M. Colin Hudson, CFA^®**	Class N	NESNX

Michael J. Mangan, CFA^®, CPA	Class Y	NESYX

Michael A. Nicolas, CFA^®

Harris Associates L.P.



Aziz V. Hamzaogullari, CFA^®

Loomis, Sayles & Company, L.P.

*	Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

**	Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

Investment Goal

The Fund seeks long-term growth of capital.

Market Conditions

The 2022 market and economic environment demonstrates what can occur after a disruption of risk and infatuation with short-term trends. While US stocks hit record highs in January 2022 and economic growth looked poised to build on a strong Q42021, the specter of higher-than-expected inflation and Russia’s invasion of Ukraine slammed the brakes on the US economy, while heightening geopolitical risk.

The war immediately stoked inflation fears, disrupting commodities exports of wheat, oil, gas, and metals. US inflation climbed through the first half of 2022, peaking at 9.1% in June before leveling off to an annual increase of 6.5%. The US Federal Reserve (Fed) Board embarked on an inflation-fighting campaign, instituting seven interest rate hikes during 2022. Rates rose to their highest level since 2007 as the Fed indicated more moderate increases were ahead in 2023.

Technology stocks, fed by the pandemic and low interest rates, stumbled in a generally negative market environment: Amazon by 51%, Tesla by 68%, and Meta by 66%. As earnings fell back to earth, tech companies fired more than 200,000 workers in late 2022.

These were not the only companies to suffer as broad US markets withstood a dismal 2022. The Nasdaq Composite fell 33.1% while the S&P 500^® declined by 18.1%, and the Russell 2000 was off by 21.6%.

Meanwhile, the Omicron variant of Covid-19 wreaked havoc across the country, with hospitalizations and deaths rising to new highs in the winter of 2022. Covid has negatively affected workforce participation and productivity, which experts estimate resulted in a billion days of lost work since 2020.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Natixis U.S. Equity Opportunities Fund returned -20.95% at net asset value. The Fund underperformed its primary benchmark, the S&P 500^® Index, which returned -18.11%, and also underperformed its secondary benchmark, the Russell 1000^® Index, which returned -19.13%.

Explanation of Fund Performance

Each of the portfolio’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks:

•

The Harris Associates Large Cap Value segment invests primarily in the common stocks of larger-capitalization companies that Harris Associates L.P. (“Harris Associates”) believes are trading at a substantial discount to the company’s “true business value.”

•

The Loomis Sayles All Cap Growth segment invests primarily in equity securities and may invest in companies of any size. The segment employs a growth style of equity management that emphasizes companies with sustainable competitive advantages versus others, long-term structural growth drivers that will lead to above-average future cash flow growth, attractive cash flow returns on invested capital, and management teams focused on creating long-term value for shareholders. The segment aims to invest in companies when they trade at a significant discount to the estimate of intrinsic value.

| 14

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Both segments contributed negatively to the Fund’s performance.

Harris Associates Large Cap Value Segment

The largest contributors to segment performance for the year were EOG Resources and APA Corporation. While energy price increases have helped companies across the sector this year, EOG Resources has also operated well on a fundamental basis, in our view. Second-quarter results showed that EOG is growing production without a disproportionate capital expense increase, which we see as evidence that management’s efficiency measures are working. Second-quarter production grew 11% from a year earlier and capital expenditures rose 14%; both metrics were better than market expectations. The company later reported a strong set of third-quarter results, in our view. Revenue of $7.59 billion surpassed consensus expectations of $6.26 billion, production grew 9% year-over-year, and capital expenditures were 6% below consensus expectations. Capital expenditures increased faster than production due to inflation, higher growth and additional exploration; however, full-year figures were within initial guidance. EOG also announced the discovery of a new opportunity in the Ohio Utica Basin by using learnings from decentralized teams across multiple basins to enter an overlooked opportunity. The company quietly amassed 395,000 acres for more than $500 million, acquired around 20 legacy wells for data, and drilled four initial wells to confirm their reservoir model. Management said the initial wells would qualify as double premium with longer laterals, and Utica wells could have the same oil recovery as the Delaware Basin, which we believe would be a great win. We continue to like the effectiveness of the company’s management team.

APA Corporation finished higher alongside rising energy prices early in the year, even though fourth-quarter results were generally below consensus estimates, which we attributed mainly to cost inflation weighing on free cash flow (FCF). Management guided to $6.5 billion of cumulative free cash flow over the next three years, each at strip prices with 5% annual growth. The company also announced a successful oil discovery at its new Krabdagu prospect. We believe if the well flows as well as the nearby Sapakara well, it is likely to result in a fast-tracked final investment decision for a large development hub in the area. Later in the first quarter, APA announced it closed on two transactions totaling around $1 billion in net proceeds. More recently, third-quarter results from APA were good, in our assessment. Total revenue of $2.89 billion, adjusted earnings (EBITDAX)¹ of $1.69 billion and adjusted earnings per share of $1.97 all exceeded market expectations. More importantly, revenue rose 40% year-over-year and EBITDAX advanced 46%, while adjusted earnings per share doubled from a year earlier. We were pleased that drilling operations in both the Permian Basin and Egypt are accelerating, which eased concerns about sluggish second-quarter performance. Management expects $2.7 billion of total FCF in 2022 (a 19% FCF yield) and expects further growth in 2023 even at flat commodity prices. We found it impressive that over the last two years APA has reduced its net debt from $8.9 billion to $4.9 billion. Furthermore, during the most recent two-year period the company repurchased almost 20% of its share base and it continues with its buyback efforts. Management repurchased 10 million shares (3% of shares outstanding) in the third quarter and plans to repurchase another $520 million worth of shares (another 3%) in the fourth quarter. The company also announced the quarterly dividend would double to an annualized rate of $1.00 per share. We remain pleased with APA’s fundamental performance.

The largest detractors to segment performance for the year were Meta Platforms and Ally Financial. The share price of Meta Platforms declined throughout the year as the company faced several challenges. Investors proved disappointed by Meta Platforms’ 2021 fourth-quarter earnings report and its share price fell over 20% following its release. Management pointed to new regulation in Europe and Apple iOS changes as a $10 billion headwind for personalized advertisements. The company also reported its first decline in daily active users for Facebook, which we believe was attributable to the size of the existing base and the amount of users pulled forward during the Covid-19 pandemic. Management emphasized its focus on generating revenue from its fastest growing content format, Reels, a competitor to TikTok. The company believes the transition from stories to reels will be similar to the transition from feed to stories in 2018 and expressed encouragement from early results. Late in April, Meta delivered a disappointing earnings report for the first quarter and guidance for the second quarter. The company reduced its expense guidance for the year, suggesting that much of the spend is highly discretionary, and daily active users on its platforms accelerated sequentially by 50 million in the second quarter versus 10 million in the first quarter. Meta reported a 1% decline in second-quarter revenue, in line with its guidance and consensus expectations. Core margins (ex-Reality Labs) came in at 39%, or 29% including the $2.8 billion loss from Reality Labs, which has lost $5.8 billion year to date. Cyclical weakness in advertising budgets, which worsened sequentially; the lingering impacts from Apple’s ad tracking changes; and higher engagement in Reels all weighed on results. Reels represented 20% of time spent on Instagram alone last quarter, and management said they saw a 30% increase in engagement on both Instagram and Facebook sequentially.

¹	EBITDAX stands for Earnings Before Interest, Taxes, Depreciation, Amortization, and Exploration Expense. It is an indicator of financial performance that is used when reporting earnings, specifically for oil and mineral exploration.

15 |

advertisers) pressured growth this year, results show the company is lapping the impact from that headwind. Reels monetization is showing rapid growth, and we believe organic revenue trends look set to improve both next year and beyond. Expense management is becoming more disciplined, but we believe there remains work to be done. The company is finding more cost-cutting opportunities, and we were told CEO Mark Zuckerberg is increasingly focused on core profitability given the mounting pressure both external and internal. Despite this, the company is committed to ramping capital spend for the time being. Li believes the increase in Artificial Intelligence spending is paying off, but it is still early in the process. She said the pace of spending will be governed by the returns it generates, and the company should benefit through improved ad effectiveness, engagement, and content editing and creation capabilities, among others. As for the Reality Labs segment, management sees this spend intrinsically tied to the success of the core platforms as they prepare for the potential next computing platform. In our view, the company has a very profitable core business paired with a large amount of growth capital spend and a bet on a potentially large new business opportunity that has an uncertain timeframe and probability of success. While the lack of expense discipline has lowered our estimate of intrinsic value, we continue to believe the company is undervalued at its current price.

Loomis Sayles All Cap Growth Segment

We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. For the period, the All Cap Growth segment posted a negative absolute return. Our holdings in the consumer staples, energy and industrials sectors contributed positively to results. Our holdings in the information technology, communication services, consumer discretionary, healthcare, and financials sectors detracted from the segment’s performance.

Alnylam Pharmaceuticals and Monster Beverage were the largest contributors to performance during the period. Alnylam Pharmaceuticals is a leader in gene therapies based on its pioneering small-interfering RNA (siRNA) approach to disease treatment. Founded in 2002, Alnylam was one of the first companies to develop and commercialize therapies based on RNA interference (RNAi), a breakthrough discovery in understanding how genes are naturally regulated within cells that was recognized with the 2006 Nobel Prize in Medicine. We believe Alnylam’s strong and sustainable competitive advantages include its deep, cumulative and compounding knowledge in the science of RNAi therapeutics, in particular its creation and advancement of unique siRNA-based therapies, and the multiple partnerships it has entered on the basis of its technology, which provide both external funding and established commercialization avenues. Today, the company’s technology is the basis for five approved therapies, six therapies currently in clinical trials, and a robust pipeline of potential treatments that we expect to enter clinical trials in the coming years, with a

| 16

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

focus on genetic diseases, cardiometabolic diseases, infectious diseases, and central nervous system and ocular diseases. A strategy holding since the second quarter of 2021, shares jumped almost 50% in August following news that Onpattro, the company’s approved therapy for hATTR amyloidosis, met its primary endpoint in the much larger indication of ATTR with cardiomyopathy, which is estimated to have a patient population approximately ten times as large. The results substantially increase the likelihood that the therapy will receive approval in the new indication, where it would be the first RNAi-based therapy. We believe the uniqueness of Alnylam’s pioneering scientific expertise and technology is evident from both its existing products, which provide meaningful value to previously underserved patient populations, and the numerous partnerships in which world-class global pharmaceutical companies and specialty competitors alike have sought to access its proprietary technology. With its approved therapies and substantial pipeline of significant late-stage clinical programs, we believe the company has now reached the point at which its existing therapies will continue to contribute positively, and its subsequent innovations will shift its financial profile from that of an early-stage biotech company to a profitable business with normalized margins that is able to internally fund its ongoing growth needs. Over our long-term investment horizon, we believe the company can generate substantial revenue growth, while turning profitable and generating substantial cumulative free cash flow. We believe Alnylam’s market price continues to substantially undervalue the potential contribution from the company’s clinical-stage assets – which we believe is unsupported by the company’s established track record for producing genetically validated therapeutics. Further, while embedded expectations reflect some success for its currently marketed products, we believe the market is focused on short-term profitability while ignoring the platform the company has built, which we believe will serve as the basis for ongoing innovation over our long-term investment horizon and beyond. As a result, we believe the company is selling at a substantial discount to our estimate of its intrinsic value and offers a compelling reward-to-risk opportunity.

Monster Beverage is a leading marketer and distributor of energy drinks in the US and internationally. We believe Monster’s strong and sustainable competitive advantages include its iconic brands, the benefits of scale, and its strong entrepreneurial culture. A holding in the strategy since 2013, Monster reported strong sales growth during the period, but faced pressure on profitability due to materials cost inflation, increased logistics costs, and can shortages that have led the company to import cans. After losing market share to Red Bull in the US over the past several quarters, as reflected in channels measured by Nielsen, the company more recently returned to share gains and market share leadership, despite increasing pricing by 6% in September. Throughout the period the company performed consistently well in channels not measured by Nielsen, such as e-commerce and sales through Home Depot. Outside of the US, Monster continued to take market share and demonstrated impressive sales growth. While cost inflation has impacted the consumer packaged goods industry broadly, Monster has been reducing promotions and trade spending and may take further price increases in the US and internationally. Despite the near-term pressure on margins, we believe the company will benefit from margin expansion over the long term as it achieves greater scale in international markets. The global energy drink industry is effectively a duopoly, creating strong competitive advantages for Monster and Red Bull, which command a combined share of approximately 80% of the US market, and an estimated 50% of the $50 billion global energy drink market. Patiently built using non-traditional, grassroots marketing, Monster’s iconic brand is a competitive advantage so difficult to replicate that even Pepsi and Coca-Cola were unable to make meaningful inroads in the profitable and growing energy drink market, despite over a decade of effort and investments. In 2014, Monster entered a partnership with Coca-Cola in which Coca-Cola purchased a 16.7% stake in the company, and Monster became its exclusive energy drink partner. The partnership gives Monster access to Coca-Cola’s unmatched global distribution system, accelerating its pace of international expansion, and extending its benefits of scale. We believe that energy drinks are here to stay and that continued increases in per-capita consumption in international markets will drive secular growth over our investment horizon. We estimate Monster can grow in the mid-teens in international markets and at a mid-to-high single-digit rate in the US market over our long-term investment horizon. As the company continues to scale its business in international markets, we expect it will be able to increase cash flow growth, expand margins, and improve its return on invested capital. We trimmed the position during the period following strong relative price performance but continue to believe the shares embed expectations for revenue and free cash flow that are below our long- term expectations. As a result, we believe the shares are trading at a discount to our estimate of intrinsic value and offer an attractive reward-to-risk opportunity.

Meta Platforms and Amazon were the largest detractors during the period. Meta Platforms operates online social networking platforms that allow people to connect, share, and interact with friends and communities. With over 3.7 billion monthly users, 200 million businesses, and 10 million advertisers worldwide using its family of apps — Facebook, Messenger, WhatsApp, and Instagram — the scale and reach of Meta’s network is unrivaled. A strategy holding since its IPO in 2012, Meta reported financial results during the period that were generally mixed with respect to consensus expectations. The company faced headwinds arising from privacy restrictions by Apple, the continuing impact of macro weakness on advertising spending, and a transition to a new product format — short-form video — where monetization is currently lower. Management previously addressed the changes by Apple, which it believes decreased the accuracy of Facebook’s ad targeting, increased the difficulty of measuring outcomes, and contributed to underreporting of successful conversions such as sales and app installs by approximately 15% in the third quarter of 2021. The company has already been investing in a number of solutions, including commerce tools to help businesses reach more customers and privacy-enhancing technologies, and believes it has closed a substantial portion of the measurement gap. Apple’s changes impact not just Meta, but the broader mobile advertising ecosystem. As a function of its competitive advantages, we believe Meta remains well

17 |

positioned relative to its peers, and there are no changes to our assessment of the company’s quality or secular growth opportunities. Another near-term headwind is the company’s capital investments in and transition to a new product format — the short-form video. During our ownership of Meta, Facebook has gone through several product transitions. Each such transition first requires capital expenditures followed by a gradual revenue ramp-up, creating pressures on topline, margins, and earnings. Over time, the required investment decreases and revenues increase. Of note, the Instagram “Reels” product, launched in August 2020, is now Meta’s fastest growing content format and largest contributor to engagement. We believe this is a necessary cycle for maintaining sustainable competitive advantages and long-term growth. Finally, the company continues to invest significantly in its early-stage Reality Labs segment, which includes augmented and virtual reality products that the company views as building its long-term vision for the metaverse. While the company has incurred year-to-date operating expenses of $10.9 billion in the Reality Labs segment, the investment represented only one-third of the operating profit generated by the company’s highly profitable core business. Mark Zuckerberg has always managed the company with a long-term focus and strong strategic vision. Over the past ten years, Meta has spent over $90 billion on research and development and $80 billion on capital expenditures — a level of investment which few firms can match and which creates high barriers to entry for competitors. And while the successful development of a metaverse is not an explicit part of our investment thesis for Meta, given the potential size of the opportunity, which we estimate could impact over $1 trillion of spending over the long term, and Meta’s positioning with billions of users and hundreds of millions of businesses, we believe Meta’s current balanced approach to its forward-looking investments makes sense. We expect that corporations will continue to allocate an increasing proportion of their advertising spending online, and Meta remains one of very few platforms where advertisers can reach consumers at such scale in such a targeted and effective fashion. We believe Meta’s brands, network, and targeting advantage position the company to take increasing share of the industry’s profit pool and grow its market share from 6% currently to approximately 10% of the total global advertising market over our investment time horizon. On the basis of its core business alone, we believe the company is substantially undervalued, even accounting for elevated levels of investment. We took advantage of near-term market weakness to add to our position on multiple occasions during the year.

Online retailer Amazon offers millions of products — sold by Amazon or by third parties — with the value proposition to consumers of selection, price, and convenience. Amazon’s enterprise IT business, Amazon Web Services (AWS), offers a suite of secure, on-demand cloud-computing services, with a value proposition to clients of speed, agility, and savings. In both of its core markets, we believe Amazon possesses strong and sustainable competitive advantages that would be difficult for competitors to replicate. A segment holding since inception, Amazon reported fundamentally solid operating results that were generally above management’s guidance during the period. However, Amazon is facing short-term cost inflation that has contributed to over $10 billion of incremental expense over the past few quarters. While a portion of the additional expense is outside of Amazon’s direct control, including higher shipping, fuel, and labor costs, approximately two-thirds stems from Amazon’s strategic decision to invest in labor to make up for Covid-related employee absences, as well as investments undertaken to ensure that its fulfillment and transportation network remained unconstrained during the pandemic. And while expense pressures are expected to persist for the foreseeable future, Amazon expects them to decline over the coming quarters. Over time, we expect that Amazon will take steps to mitigate external cost inflation, and that it will realize greater productivity and fixed cost leverage from its investments in labor, fulfillment, and distribution. Despite a deceleration of revenue growth in its online retail business from the pandemic-enhanced prior year, we continue to believe Amazon is well positioned for durable long-term growth. Further, the company has added over 50 million Prime members over the past two years and is seeing strong growth in other businesses including AWS and advertising. Earlier in the year, the company announced it was increasing the price of Prime membership for the first time since 2018, which we believe reflects its pricing power and ability to offset cost inflation. These near-term challenges do not impact our long-term view of Amazon’s quality, growth, or the attractiveness of its reward-to-risk proposition. We believe Amazon is one of the best-positioned companies in e-commerce and enterprise IT — in each case addressing large, underpenetrated markets experiencing secular growth that is still in its early stages. We believe the current share price shows a lack of appreciation for Amazon’s significant long-term growth opportunities and the sustainability of its business model. As a result, we believe the company is selling at a significant discount to our estimate of intrinsic value and offers a compelling reward-to-risk opportunity.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Top Ten Holdings as of December 31, 2022



	Security Name	% of Net Assets
1	Alphabet, Inc., Class A		4.75	%
2	Oracle Corp.		4.15
3	Amazon.com, Inc.		3.85
4	Netflix, Inc.		3.56
5	Wells Fargo & Co.		2.82
6	Salesforce, Inc.		2.81
7	Capital One Financial Corp.		2.62
8	KKR & Co., Inc.		2.59
9	Boeing Co. (The)		2.42
10	Workday, Inc., Class A		2.31

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

December 31, 2012 through December 31, 2022

LOGO

19 |

Average Annual Total Returns — December 31, 2022⁴



	1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁵
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-20.95	%		8.02	%		13.06	%		—	%		0.84	%		0.84	%

Class A
NAV		-21.15			7.75			12.79			—			1.09			1.09
With 5.75% Maximum Sales Charge		-25.68			6.49			12.12			—

Class C
NAV		-21.77			6.94			12.11			—			1.84			1.84
With CDSC¹		-22.33			6.94			12.11			—

Class N (Inception 5/1/17)
NAV		-20.88			8.12			—			10.10			1.33			0.78

Comparative Performance
S&P 500^® Index²		-18.11			9.42			12.56			10.67
Russell 1000^® Index³		-19.13			9.13			12.37			10.39

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

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

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VAUGHAN NELSON MID CAP FUND



Managers		Symbols

Dennis G. Alff, CFA^®		Class A VNVAX

Chad D. Fargason, PhD		Class C VNVCX

Chris D. Wallis, CFA^®, CPA		Class N VNVNX

Vaughan Nelson Investment Management, L.P.		Class Y VNVYX

Investment Goal

The Fund seeks long-term capital appreciation.

Market Conditions

During the fiscal year ended December 31, 2022, equity market performance was initially defined by Russia’s invasion of Ukraine and NATO’s sharp response. These events further supported inflationary pressures and weighed on future economic growth.

The US Federal Reserve (Fed) raised the fed funds rate, kicking off the first Fed hiking cycle since 2018. The high inflation environment proved stickier than expected. With inflation elevated, the cost of capital rising, liquidity conditions deteriorating, and earnings estimates set for negative revisions, heightened equity market volatility led to further downside.

As we moved through the summer months, risk assets continued to be pressured by accelerating inflationary pressures, decelerating economic growth, and tightening financial conditions. Inflationary pressures in the US moved from goods to services and housing, in the form of owners’ equivalent rent – the amount a property owner would have to pay in rent to equal their cost of ownership. The yield curve flattened with the M2 money supply decelerating. M2 measures liquid assets such as savings, checking and money market accounts. The rapid slowdown in economic growth and tightening financial conditions are creating a recessionary environment in the US, Europe, and most export-led economies.

Exceptional US dollar strength drove markets as the Fed dramatically tightened financial conditions by increasing interest rates and aggressively shrinking its balance sheet. The strong US dollar accelerated the exportation of US inflation to the rest of the world, forcing nearly all global central banks to follow the Fed in raising interest rates. Tighter financial conditions forced global equity and fixed income markets to reduce investment positions and leverage, driving nearly all asset classes lower.

The fourth quarter recovery in equity markets was driven by peaking inflationary conditions and the rapid increase in non-US interest rates relative to US interest rates, which triggered a broad-based decline in the US dollar. The 2022 bear market in equities reflects the impact of higher interest rates increasing the cost of capital, and thereby decreasing equity valuations.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Vaughan Nelson Mid Cap Fund returned -10.58% at net asset value. The Fund outperformed its benchmark, the Russell Midcap^® Value Index, which returned -12.03%.

Explanation of Fund Performance

The Fund outperformed on a relative basis during the period.

The largest contributor was industrials, driven by security selection. WillScot Mobile Mini Holdings Corp. Class A was the top name in the sector. WillScot beat and raised earnings throughout the year and benefited from its initiatives in value-added products. Selection within consumer services assisted, with performance led by Nexstar Media Group, Inc. Nexstar benefited due to its strong free cash flow generation in a market where investors sought value and cash flow.

The Fund was void of real estate companies throughout 2022. This benefited the portfolio, as real estate was an underperforming sector. Information Technology was an outperforming sector, with Motorola Solutions, Inc. the top name. Motorola continued its beat and raise cycle with defensible end markets and a margin expansion story.

Selection within consumer discretionary, specifically Aramark, bolstered the Fund. Aramark’s sales initiatives are beginning to bear fruit, and the market has become optimistic that margin expansion can follow. Financials contributed to the Fund’s outperformance, with Reinsurance Group of America, Incorporated (RGA) the top name. RGA outperformed as Covid headwinds are beginning to abate for the company. An overweight to utilities, an outperforming sector, added to relative performance.

The largest detracting sector was healthcare, with Aveanna Healthcare Holdings Inc the most impaired name. Aveanna continued to experience both sales and margin pressure due to labor constraints. Selection within materials hurt performance, with Crown Holdings, Inc. the worst relative performer. Crown suffered as sales struggled to surpass the surge resulting from Covid. Margins were

21 |

under pressure due to higher-cost inventory, foreign exchange and rising interest rates. Energy’s selection detracted with Southwestern Energy Company the weakest name. Southwestern underperformed as natural gas prices fell back down as fears of being undersupplied abated. A warmer start to winter was a contributor. An underweight to consumer staples, an outperforming sector, weighed on the Fund’s performance.

Outlook

With the current level of interest rates and expiring monetary and fiscal stimulus, we anticipate that by third quarter 2023, the trajectory of inflation will be on pace to meet the Fed’s inflation target. However, we anticipate the tighter financial conditions and expiring monetary and fiscal stimulus will lead to an earnings recession and likely an economic recession. Should weakening economic and financial conditions force policy makers to restimulate the economy, we could see inflationary pressures begin to reaccelerate.

Top Ten Holdings as of December 31, 2022



	Security Name	% of Net Assets
1	WillScot Mobile Mini Holdings Corp.		3.93	%
2	Vistra Corp.		3.35
3	Motorola Solutions, Inc.		3.21
4	Nexstar Media Group, Inc., Class A		3.08
5	FactSet Research Systems, Inc.		2.87
6	AmerisourceBergen Corp.		2.81
7	Republic Services, Inc.		2.68
8	Allstate Corp. (The)		2.62
9	AMETEK, Inc.		2.61
10	Nasdaq, Inc.		2.57

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2012 through December 31, 2022

LOGO

See notes to chart on page 23.

| 22

VAUGHAN NELSON MID CAP FUND

Average Annual Total Returns — December 31, 2022³



	1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁴
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-10.58	%		5.76	%		9.22	%		—	%		0.96	%		0.90	%

Class A
NAV		-10.80			5.48			8.95			—			1.21			1.15
With 5.75% Maximum Sales Charge		-15.91			4.24			8.30			—

Class C
NAV		-11.46			4.70			8.29			—			1.96			1.90
With CDSC¹		-12.32			4.70			8.29			—

Class N (Inception 5/1/13)
NAV		-10.54			5.83			—			8.20			0.87			0.85

Comparative Performance
Russell Midcap^® Value Index²		-12.03			5.72			10.11			8.95

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

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

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

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

23 |

VAUGHAN NELSON SMALL CAP VALUE FUND



Managers		Symbols

Chris D. Wallis, CFA^®, CPA		Class A NEFJX

Stephen A. Davis, CFA^®		Class C NEJCX

James Eisenman, CFA^®*, CPA		Class N VSCNX

Vaughan Nelson Investment Management, L.P.		Class Y NEJYX

*	Effective May 1, 2022, James Eisenman serves as a co-portfolio manager on the Fund.

Investment Goal

The Fund seeks capital appreciation.

Market Conditions

As we moved through the summer months, risk assets continued to be pressured by accelerating inflationary pressures, decelerating economic growth, and tightening financial conditions. Inflationary pressures in the US moved from goods to services and housing, in the form of owners’ equivalent rent. The yield curve flattened with the M2 money supply decelerating. M2 measures liquid assets such as savings, checking and money market accounts. The rapid slowdown in economic growth and tightening financial conditions are creating a recessionary environment in the US, Europe, and most export-led economies.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Vaughan Nelson Small Cap Value Fund returned -9.98% at net asset value. The Fund outperformed its benchmark, the Russell 2000^® Value Index, which returned -14.48%.

Explanation of Fund Performance

The Fund outperformed on a relative basis during the period. The largest contributor was industrials, driven by security selection. Federal Signal Corporation was the top name in the sector due to strong book-to-bill ratios across the business for municipal commercial equipment combined with margin expansion due to improvements in the supply chain. Selection within communication services assisted, with the largest performance led by Tegna, Inc. which was acquired for a premium by Standard General. The Fund was underweight in real estate. This benefitted the portfolio, as real estate was an underperforming sector.

Information technology was an outperforming sector with EXL Service Holdings, Inc. the top name due to strong sequential revenue acceleration, long-term visibility due to the contract nature of its business, and margin improvement due to the higher revenue mix from its data analytics business. Selection within materials, specifically FMC Corporation, bolstered the Fund because of pricing actions regaining margin pressure from late 2021 combined with a higher percentage of revenues coming from new formulations that carry higher margins than legacy products. An underweight to health care, an underperforming sector, helped the Fund. Consumer staples contributed to the Fund’s outperformance with Performance Food Group Company the top name due to continued market share gains across the food distribution business, margin expansion due to increased company scale, and inventory gains because of materially higher inflation throughout the year.

An underweight to energy, an outperforming sector, was the largest relative detractor. Financials impaired the relative return, specifically Trean Insurance Group, Inc. which had concerns about underwriting performance on core insurance offerings and exiting certain markets due to poor profitability. Selection within consumer discretionary diminished relative performance, with Bally’s

| 24

VAUGHAN NELSON SMALL CAP VALUE FUND

Corporation the worst performer due to high balance sheet leverage, the beginning of a new cap-ex cycle to build a new casino in Chicago and a longer time horizon on planned cost reductions to improve profitability. An underweight to utilities, an outperforming sector, weighed on the Fund’s performance.

Outlook

With the current level of interest rates and expiring monetary and fiscal stimulus, we anticipate that by the third quarter 2023, the trajectory of inflation will be on pace to meet the Fed’s inflation target. However, we anticipate the tighter financial conditions and expiring monetary and fiscal stimulus will lead to an earnings recession and likely an economic recession. Should weakening economic and financial conditions force policy makers to restimulate the economy, we could see inflationary pressures begin to reaccelerate.

Top Ten Holdings as of December 31, 2022



	Security Name	% of Net Assets
1	Insight Enterprises, Inc.		3.61	%
2	Element Solutions, Inc.		3.36
3	GATX Corp.		2.58
4	Rambus, Inc.		2.53
5	WNS Holdings Ltd. ADR		2.44
6	Fabrinet		2.37
7	ASGN, Inc.		2.06
8	Performance Food Group Co.		1.93
9	Franklin Electric Co., Inc.		1.90
10	Landstar System, Inc.		1.87

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2012 through December 31, 2022

LOGO

25 |

Average Annual Total Returns — December 31, 2022³



	1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁴
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-9.98	%		6.49	%		10.33	%		—	%		1.16	%		1.00	%

Class A
NAV		-10.19			6.22			10.05			—			1.41			1.25
With 5.75% Maximum Sales Charge		-15.36			4.97			9.40			—

Class C
NAV		-11.01			5.41			9.38			—			2.17			2.00
With CDSC¹		-11.78			5.41			9.38			—

Class N (Inception 5/1/17)
NAV		-9.95			6.58			—			7.08			1.17			0.95

Comparative Performance
Russell 2000^® Value Index²		-14.48			4.13			8.48			4.88

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

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

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

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

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ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA^® and Chartered Financial Analyst^® are registered trademarks owned by the CFA Institute.

27 |

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2022 through December 31, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown 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.

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


LOOMIS SAYLES INTERNATIONAL GROWTH FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,043.10		$6.18
Hypothetical (5% return before expenses)		$1,000.00		$1,019.16		$6.11
Class C
Actual		$1,000.00		$1,040.20		$10.03
Hypothetical (5% return before expenses)		$1,000.00		$1,015.38		$9.91
Class N
Actual		$1,000.00		$1,045.90		$4.64
Hypothetical (5% return before expenses)		$1,000.00		$1,020.67		$4.58
Class Y
Actual		$1,000.00		$1,045.50		$4.90
Hypothetical (5% return before expenses)		$1,000.00		$1,020.42		$4.84

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

| 28


NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,077.30		$5.50
Hypothetical (5% return before expenses)		$1,000.00		$1,019.91		$5.35
Class C
Actual		$1,000.00		$1,073.00		$9.41
Hypothetical (5% return before expenses)		$1,000.00		$1,016.13		$9.15
Class N
Actual		$1,000.00		$1,078.70		$3.93
Hypothetical (5% return before expenses)		$1,000.00		$1,021.43		$3.82
Class Y
Actual		$1,000.00		$1,078.50		$4.19
Hypothetical (5% return before expenses)		$1,000.00		$1,021.17		$4.08

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).


NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,041.70		$5.92
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85
Class C
Actual		$1,000.00		$1,038.40		$9.76
Hypothetical (5% return before expenses)		$1,000.00		$1,015.63		$9.65
Class N
Actual		$1,000.00		$1,042.60		$4.38
Hypothetical (5% return before expenses)		$1,000.00		$1,020.92		$4.33
Class Y
Actual		$1,000.00		$1,042.90		$4.63
Hypothetical (5% return before expenses)		$1,000.00		$1,020.67		$4.58

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

29 |


NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,048.20		$5.68
Hypothetical (5% return before expenses)		$1,000.00		$1,019.66		$5.60
Class C
Actual		$1,000.00		$1,043.60		$9.53
Hypothetical (5% return before expenses)		$1,000.00		$1,015.88		$9.40
Class N
Actual		$1,000.00		$1,049.90		$4.08
Hypothetical (5% return before expenses)		$1,000.00		$1,021.22		$4.02
Class Y
Actual		$1,000.00		$1,049.40		$4.39
Hypothetical (5% return before expenses)		$1,000.00		$1,020.92		$4.33

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85%, 0.79% and 0.85% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).


VAUGHAN NELSON MID CAP FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,042.90		$5.92
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85
Class C
Actual		$1,000.00		$1,039.20		$9.77
Hypothetical (5% return before expenses)		$1,000.00		$1,015.63		$9.65
Class N
Actual		$1,000.00		$1,044.80		$4.38
Hypothetical (5% return before expenses)		$1,000.00		$1,020.92		$4.33
Class Y
Actual		$1,000.00		$1,044.60		$4.64
Hypothetical (5% return before expenses)		$1,000.00		$1,020.67		$4.58

| 30


VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,032.30		$6.40
Hypothetical (5% return before expenses)		$1,000.00		$1,018.90		$6.36
Class C
Actual		$1,000.00		$1,028.40		$10.23
Hypothetical (5% return before expenses)		$1,000.00		$1,015.12		$10.16
Class N
Actual		$1,000.00		$1,033.70		$4.87
Hypothetical (5% return before expenses)		$1,000.00		$1,020.42		$4.84
Class Y
Actual		$1,000.00		$1,033.40		$5.13
Hypothetical (5% return before expenses)		$1,000.00		$1,020.16		$5.09

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

31 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles International Growth Fund


Shares		Description	Value (†)

	Common Stocks — 98.8% of Net Assets
		Australia — 5.6%
	39,944	WiseTech Global Ltd.	$	1,373,771

		Belgium — 2.4%
	9,789	Anheuser-Busch InBev S.A.		589,601

		Brazil — 8.6%
	376,933	Ambev S.A., ADR		1,025,258
	1,280	MercadoLibre, Inc.(a)		1,083,187

				2,108,445

		Canada — 1.8%
	13,047	Shopify, Inc., Class A(a)		452,861

		China — 27.6%
	4,121	Alibaba Group Holding Ltd., Sponsored ADR(a)(b)		363,019
	5,038	Baidu, Inc., Sponsored ADR(a)(b)		576,246
	70,700	Budweiser Brewing Co. APAC Ltd., 144A		221,008
	553,500	Dali Foods Group Co. Ltd., 144A		251,813
	3,900	Kweichow Moutai Co. Ltd., Class A		969,088
	4,363	NXP Semiconductors NV		689,485
	29,400	Tencent Holdings Ltd.(b)		1,246,571
	29,164	Trip.com Group Ltd., ADR(a)(b)		1,003,242
	48,974	Vipshop Holdings Ltd., ADR(a)(b)		668,005
	14,779	Yum China Holdings, Inc.		807,672

				6,796,149

		Denmark — 5.5%
	10,021	Novo Nordisk A/S, Class B		1,361,008

		France — 5.2%
	3,017	EssilorLuxottica S.A.		545,875
	7,683	Sodexo S.A.		735,097

				1,280,972

		Germany — 2.8%
	6,753	SAP SE		697,184

		Japan — 4.6%
	5,900	FANUC Corp.		882,914
	6,200	Unicharm Corp.		237,375

				1,120,289

		Macau — 1.2%
	43,000	Galaxy Entertainment Group Ltd.		282,710

		Netherlands — 3.5%
	616	Adyen NV, 144A(a)		855,161

		Switzerland — 5.6%
	7,883	CRISPR Therapeutics AG(a)		320,444
	11,652	Novartis AG, (Registered)		1,054,476

				1,374,920

		United Kingdom — 10.0%
	7,852	Diageo PLC		343,697
	21,689	Experian PLC		734,570
	11,545	Reckitt Benckiser Group PLC		800,257
	11,782	Unilever PLC		591,182

				2,469,706

		United States — 14.4%
	7,585	Block, Inc.(a)		476,641
	14,599	Doximity, Inc., Class A(a)		489,943
	8,292	Nestle S.A., (Registered)		957,804
	3,287	Roche Holding AG		1,032,898
	4,645	Tesla, Inc.(a)		572,171

				3,529,457

		Total Common Stocks (Identified Cost $29,668,972)		24,292,234

Principal Amount		Description	Value (†)

	Short-Term Investments — 0.3%
$	56,161	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $56,172 on 1/03/2023 collateralized by $65,500 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $57,307 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $56,161)	$	56,161


		Total Investments — 99.1% (Identified Cost $29,725,133)		24,348,395
		Other assets less liabilities — 0.9%		232,431

		Net Assets — 100.0%	$	24,580,826


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Security invests in variable interest entities based in China.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $1,327,982 or 5.4% of net assets.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2022


Pharmaceuticals	14.0	%
Beverages	12.8
Hotels, Restaurants & Leisure	11.6
Internet & Direct Marketing Retail	8.6
Software	8.4
Interactive Media & Services	7.4
IT Services	7.3
Food Products	4.9
Household Products	4.2
Machinery	3.6
Professional Services	3.0
Semiconductors & Semiconductor Equipment	2.8
Personal Products	2.4
Automobiles	2.3
Health Care Equipment & Supplies	2.2
Health Care Technology	2.0
Biotechnology	1.3
Short-Term Investments	0.3

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2022



United States Dollar	35.0	%
Euro	16.3
Swiss Franc	12.4
Hong Kong Dollar	8.2
British Pound	7.6
Australian Dollar	5.6
Danish Krone	5.5
Japanese Yen	4.6
Yuan Renminbi	3.9

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks — 96.7% of Net Assets
		Auto Components — 2.8%
	158,667	BorgWarner, Inc.	$	6,386,347
	61,000	Magna International, Inc.		3,426,980

				9,813,327

		Automobiles — 1.9%
	197,960	General Motors Co.		6,659,374

		Banks — 6.9%
	164,136	Bank of America Corp.		5,436,185
	188,618	Citigroup, Inc.		8,531,192
	243,104	Wells Fargo & Co.		10,037,764

				24,005,141

		Building Products — 3.0%
	77,000	Fortune Brands Innovations, Inc.		4,397,470
	111,700	Masco Corp.		5,213,039
	128,800	MasterBrand, Inc.(a)		972,440

				10,582,949

		Capital Markets — 13.5%
	127,482	Bank of New York Mellon Corp. (The)		5,802,981
	64,939	Charles Schwab Corp. (The)		5,406,821
	23,298	Goldman Sachs Group, Inc. (The)		8,000,067
	72,666	Intercontinental Exchange, Inc.		7,454,805
	235,110	KKR & Co., Inc.		10,913,806
	4,921	Moody’s Corp.		1,371,089
	102,566	State Street Corp.		7,956,045

				46,905,614

		Consumer Finance — 6.0%
	326,054	Ally Financial, Inc.		7,972,020
	32,373	American Express Co.		4,783,111
	88,806	Capital One Financial Corp.		8,255,406

				21,010,537

		Electronic Equipment, Instruments & Components — 1.2%
	36,265	TE Connectivity Ltd.		4,163,222

		Entertainment — 5.6%
	23,526	Netflix, Inc.(a)		6,937,347
	39,097	Take-Two Interactive Software, Inc.(a)		4,071,171
	46,400	Walt Disney Co. (The)(a)		4,031,232
	455,200	Warner Bros. Discovery, Inc.(a)		4,315,296

				19,355,046

		Health Care Providers & Services — 2.1%
	30,319	HCA Healthcare, Inc.		7,275,347

		Hotels, Restaurants & Leisure — 2.8%
	3,383	Booking Holdings, Inc.(a)		6,817,692
	23,128	Hilton Worldwide Holdings, Inc.		2,922,454

				9,740,146

		Household Durables — 1.8%
	138,000	PulteGroup, Inc.		6,283,140

		Insurance — 4.9%
	77,935	American International Group, Inc.		4,928,609
	27,637	Reinsurance Group of America, Inc.		3,926,941
	33,663	Willis Towers Watson PLC		8,233,297

				17,088,847

		Interactive Media & Services — 7.3%
	135,820	Alphabet, Inc., Class A(a)		11,983,399
	54,366	Meta Platforms, Inc., Class A(a)		6,542,404
	287,100	Pinterest, Inc., Class A(a)		6,970,788

				25,496,591

		Internet & Direct Marketing Retail — 4.2%
	80,300	Amazon.com, Inc.(a)	$	6,745,200
	113,565	eBay, Inc.		4,709,541
	25,600	Etsy, Inc.(a)		3,066,368

				14,521,109

		IT Services — 4.0%
	75,069	Fiserv, Inc.(a)		7,587,224
	7,966	Gartner, Inc.(a)		2,677,691
	37,600	Global Payments, Inc.		3,734,432

				13,999,347

		Machinery — 3.5%
	5,371	Cummins, Inc.		1,301,340
	43,966	PACCAR, Inc.		4,351,315
	22,900	Parker-Hannifin Corp.		6,663,900

				12,316,555

		Media — 4.4%
	22,144	Charter Communications, Inc., Class A(a)		7,509,030
	219,742	Comcast Corp., Class A		7,684,378

				15,193,408

		Oil, Gas & Consumable Fuels — 6.2%
	175,272	APA Corp.		8,181,697
	42,277	ConocoPhillips		4,988,686
	64,877	EOG Resources, Inc.		8,402,869

				21,573,252

		Professional Services — 1.6%
	28,600	Equifax, Inc.		5,558,696

		Real Estate Management & Development — 2.3%
	105,518	CBRE Group, Inc., Class A(a)		8,120,665

		Road & Rail — 0.9%
	123,600	Uber Technologies, Inc.(a)		3,056,628

		Software — 8.0%
	13,400	Adobe, Inc.(a)		4,509,502
	114,900	Oracle Corp.		9,391,926
	54,200	Salesforce, Inc.(a)		7,186,378
	40,980	Workday, Inc., Class A(a)		6,857,183

				27,944,989

		Tobacco — 1.8%
	136,914	Altria Group, Inc.		6,258,339

		Total Common Stocks (Identified Cost $343,773,300)		336,922,269


Principal Amount
	Short-Term Investments — 2.7%
$	9,517,756	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $9,519,660 on 1/03/2023 collateralized by $11,096,000 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $9,708,135 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,517,756)		9,517,756


		Total Investments — 99.4% (Identified Cost $353,291,056)		346,440,025
		Other assets less liabilities — 0.6%		2,027,532

		Net Assets — 100.0%	$	348,467,557


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

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark Fund – (continued)

Industry Summary at December 31, 2022


Capital Markets	13.5	%
Software	8.0
Interactive Media & Services	7.3
Banks	6.9
Oil, Gas & Consumable Fuels	6.2
Consumer Finance	6.0
Entertainment	5.6
Insurance	4.9
Media	4.4
Internet & Direct Marketing Retail	4.2
IT Services	4.0
Machinery	3.5
Building Products	3.0
Auto Components	2.8
Hotels, Restaurants & Leisure	2.8
Real Estate Management & Development	2.3
Health Care Providers & Services	2.1
Other Investments, less than 2% each	9.2
Short-Term Investments	2.7

Total Investments	99.4
Other assets less liabilities	0.6

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark International Fund


Shares		Description	Value (†)
	Common Stocks — 95.4% of Net Assets
		Australia — 0.7%
	254,020	Orica Ltd.	$	2,597,205

		Belgium — 2.0%
	119,900	Anheuser-Busch InBev S.A.		7,221,690

		Canada — 2.1%
	204,600	Open Text Corp.		6,062,446
	23,899	Restaurant Brands International, Inc.		1,545,548

				7,607,994

		China — 5.8%
	712,300	Alibaba Group Holding Ltd.(a)		7,816,003
	140,775	Prosus NV		9,719,583
	256,096	Vipshop Holdings Ltd., ADR(a)		3,493,149

				21,028,735

		Denmark — 1.2%
	28,100	DSV AS		4,443,654

		France — 15.2%
	300,305	Accor S.A.(a)		7,491,875
	215,191	BNP Paribas S.A.		12,252,789
	28,200	Capgemini SE		4,714,363
	73,100	Danone S.A.		3,852,783
	50,063	Edenred		2,724,697
	11,155	Kering S.A.		5,677,086
	85,098	Publicis Groupe S.A.		5,436,255
	300,598	Valeo S.A.		5,371,030
	186,051	Worldline S.A., 144A(a)		7,286,213

				54,807,091

		Germany — 27.4%
	64,300	Adidas AG		8,714,341
	43,710	Allianz SE, (Registered)		9,334,603
	156,030	Bayer AG, (Registered)		8,030,872
	104,700	Bayerische Motoren Werke AG		9,269,610
	156,359	Continental AG		9,321,263
	233,407	Daimler Truck Holding AG(a)		7,175,330
	124,100	Fresenius Medical Care AG & Co. KGaA		4,053,418
	320,500	Fresenius SE & Co. KGaA		8,952,168
	80,400	Henkel AG & Co. KGaA		5,166,878
	163,414	Mercedes-Benz Group AG, (Registered)		10,686,437
	69,100	SAP SE		7,133,931
	52,200	Siemens AG, (Registered)		7,195,833
	581,663	thyssenkrupp AG(a)		3,532,170

				98,566,854

		Hong Kong — 2.1%
	563,200	Prudential PLC		7,679,394

		India — 0.4%
	141,675	Axis Bank Ltd.		1,594,358

		Ireland — 2.0%
	94,238	Ryanair Holdings PLC, Sponsored ADR(a)		7,045,233

		Italy — 3.2%
	5,205,700	Intesa Sanpaolo SpA		11,532,753

		Japan — 1.8%
	19,500	Fujitsu Ltd.		2,599,692
	172,000	Komatsu Ltd.		3,717,627

				6,317,319

		Korea — 1.9%
	47,550	NAVER Corp.		6,762,606

		Mexico — 0.3%
	225,687	Grupo Televisa SAB, Sponsored ADR		1,029,133

		Netherlands — 3.4%
	34,400	Akzo Nobel NV	$	2,308,327
	102,444	EXOR NV(a)		7,500,363
	167,438	Koninklijke Philips NV		2,519,475

				12,328,165

		Spain — 1.4%
	94,630	Amadeus IT Group S.A.(a)		4,909,188

		Sweden — 3.1%
	74,400	Sandvik AB		1,344,526
	342,403	SKF AB, B Shares		5,229,701
	259,400	Volvo AB, B Shares		4,685,697

				11,259,924

		Switzerland — 7.1%
	12,400	Cie Financiere Richemont S.A., Class A (Registered)		1,607,783
	571,021	Credit Suisse Group AG, (Registered)		1,704,754
	914,080	Glencore PLC		6,095,674
	129,721	Holcim AG, (Registered)		6,714,783
	42,900	Novartis AG, (Registered)		3,882,339
	12,800	Schindler Holding AG		2,407,453
	10,499	Swatch Group AG (The)		2,984,032

				25,396,818

		United Kingdom — 13.7%
	68,800	Ashtead Group PLC		3,908,167
	521,092	CNH Industrial NV		8,359,353
	91,400	Compass Group PLC		2,110,611
	414,477	Informa PLC		3,091,900
	250,232	Liberty Global PLC, Class A(a)		4,736,892
	20,113,500	Lloyds Banking Group PLC		10,976,195
	25,000	Reckitt Benckiser Group PLC		1,732,908
	1,136,500	Rolls-Royce Holdings PLC(a)		1,269,441
	1,277,482	Schroders PLC		6,712,519
	96,200	Smiths Group PLC		1,846,277
	474,500	WPP PLC		4,688,052

				49,432,315

		United States — 0.6%
	6,290	Roche Holding AG		1,976,553

		Total Common Stocks (Identified Cost $376,233,477)		343,536,982


	Preferred Stocks — 1.5%
		Korea — 1.5%
	130,400	Samsung Electronics Co. Ltd., 2.145%, (KRW) (Identified Cost $7,333,977)		5,225,566


Principal Amount
	Short-Term Investments — 1.8%
$	6,501,999	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $6,503,299 on 1/03/2023 collateralized by $3,293,200 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $6,632,143 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,501,999)		6,501,999

		Total Investments — 98.7% (Identified Cost $390,069,453)		355,264,547
		Other assets less liabilities — 1.3%		4,649,260

		Net Assets — 100.0%	$	359,913,807

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark International Fund – (continued)


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

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $7,286,213 or 2.0% of net assets.
	ADR			An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

	KRW			South Korean Won

Industry Summary at December 31, 2022


Banks	10.0	%
Machinery	9.2
IT Services	6.1
Internet & Direct Marketing Retail	5.8
Automobiles	5.6
Textiles, Apparel & Luxury Goods	5.2
Insurance	4.7
Auto Components	4.1
Media	4.0
Pharmaceuticals	3.9
Software	3.7
Health Care Providers & Services	3.6
Hotels, Restaurants & Leisure	3.1
Metals & Mining	2.7
Industrial Conglomerates	2.5
Capital Markets	2.4
Diversified Financial Services	2.1
Beverages	2.0
Airlines	2.0
Other Investments, less than 2% each	14.2
Short-Term Investments	1.8

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2022


Euro	57.6	%
British Pound	13.9
United States Dollar	6.7
Swiss Franc	6.0
South Korean Won	3.4
Swedish Krona	3.1
Hong Kong Dollar	2.2
Other, less than 2% each	5.8

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of December 31, 2022

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 99.4% of Net Assets
		Aerospace & Defense — 2.4%
	93,105	Boeing Co. (The)(a)	$	17,735,571

		Air Freight & Logistics — 0.7%
	47,986	Expeditors International of Washington, Inc.		4,986,705

		Auto Components — 0.1%
	18,900	Mobileye Global, Inc., Class A(a)		662,634

		Automobiles — 2.8%
	405,400	General Motors Co.		13,637,656
	57,257	Tesla, Inc.(a)		7,052,917

				20,690,573

		Banks — 4.8%
	329,305	Citigroup, Inc.		14,894,465
	500,900	Wells Fargo & Co.		20,682,161

				35,576,626

		Beverages — 2.7%
	11,851	Boston Beer Co., Inc. (The), Class A(a)		3,905,141
	155,211	Monster Beverage Corp.(a)		15,758,573

				19,663,714

		Biotechnology — 3.7%
	54,809	Alnylam Pharmaceuticals, Inc.(a)		13,025,359
	20,626	BioMarin Pharmaceutical, Inc.(a)		2,134,585
	62,008	CRISPR Therapeutics AG(a)		2,520,625
	12,680	Regeneron Pharmaceuticals, Inc.(a)		9,148,493

				26,829,062

		Building Products — 1.2%
	182,500	Masco Corp.		8,517,275

		Capital Markets — 11.9%
	112,845	Charles Schwab Corp. (The)		9,395,475
	15,151	FactSet Research Systems, Inc.		6,078,733
	40,700	Goldman Sachs Group, Inc. (The)		13,975,566
	126,400	Intercontinental Exchange, Inc.		12,967,376
	410,200	KKR & Co., Inc.		19,041,484
	12,535	MSCI, Inc.		5,830,906
	94,571	SEI Investments Co.		5,513,489
	191,000	State Street Corp.		14,815,870

				87,618,899

		Consumer Finance — 3.4%
	224,200	Ally Financial, Inc.		5,481,690
	207,185	Capital One Financial Corp.		19,259,918

				24,741,608

		Entertainment — 4.6%
	88,619	Netflix, Inc.(a)		26,131,971
	88,963	Walt Disney Co. (The)(a)		7,729,105

				33,861,076

		Health Care Equipment & Supplies — 0.5%
	14,262	Intuitive Surgical, Inc.(a)		3,784,422

		Health Care Providers & Services — 1.7%
	52,900	HCA Healthcare, Inc.		12,693,884

		Health Care Technology — 1.7%
	201,593	Doximity, Inc., Class A(a)		6,765,461
	35,085	Veeva Systems, Inc., Class A(a)		5,662,017

				12,427,478

		Hotels, Restaurants & Leisure — 4.0%
	5,920	Booking Holdings, Inc.(a)		11,930,458
	81,052	Starbucks Corp.		8,040,358
	102,126	Yum China Holdings, Inc.		5,581,186
	32,228	Yum! Brands, Inc.		4,127,762

				29,679,764

		Insurance — 2.1%
	61,800	Willis Towers Watson PLC	$	15,115,044

		Interactive Media & Services — 9.0%
	395,382	Alphabet, Inc., Class A(a)		34,884,554
	51,099	Alphabet, Inc., Class C(a)		4,534,014
	111,956	Meta Platforms, Inc., Class A(a)		13,472,785
	543,200	Pinterest, Inc., Class A(a)		13,188,896

				66,080,249

		Internet & Direct Marketing Retail — 4.4%
	49,745	Alibaba Group Holding Ltd., Sponsored ADR(a)		4,382,037
	336,339	Amazon.com, Inc.(a)		28,252,476

				32,634,513

		IT Services — 5.6%
	63,576	Block, Inc.(a)		3,995,116
	131,000	Fiserv, Inc.(a)		13,240,170
	64,835	PayPal Holdings, Inc.(a)		4,617,548
	99,880	Shopify, Inc., Class A(a)		3,466,835
	74,271	Visa, Inc., Class A		15,430,543

				40,750,212

		Life Sciences Tools & Services — 0.8%
	28,868	Illumina, Inc.(a)		5,837,110

		Machinery — 2.0%
	7,883	Deere & Co.		3,379,915
	40,000	Parker-Hannifin Corp.		11,640,000

				15,019,915

		Media — 3.6%
	19,310	Charter Communications, Inc., Class A(a)		6,548,021
	382,880	Comcast Corp., Class A		13,389,314
	84,200	Liberty Broadband Corp., Class C(a)		6,421,934

				26,359,269

		Oil, Gas & Consumable Fuels — 4.4%
	331,241	APA Corp.		15,462,330
	128,338	EOG Resources, Inc.		16,622,338

				32,084,668

		Pharmaceuticals — 2.5%
	86,487	Novartis AG, Sponsored ADR		7,846,101
	39,029	Novo Nordisk A/S, Sponsored ADR		5,282,185
	140,503	Roche Holding AG, Sponsored ADR		5,500,692

				18,628,978

		Real Estate Management & Development — 1.9%
	177,700	CBRE Group, Inc., Class A(a)		13,675,792

		Semiconductors & Semiconductor Equipment — 2.8%
	95,994	NVIDIA Corp.		14,028,563
	57,906	QUALCOMM, Inc.		6,366,186

				20,394,749

		Software — 12.1%
	59,455	Autodesk, Inc.(a)		11,110,356
	39,616	Microsoft Corp.		9,500,709
	372,438	Oracle Corp.		30,443,082
	155,267	Salesforce, Inc.(a)		20,586,852
	101,155	Workday, Inc., Class A(a)		16,926,266

				88,567,265

		Textiles, Apparel & Luxury Goods — 0.5%
	380,757	Under Armour, Inc., Class A(a)		3,868,491

		Tobacco — 1.5%
	239,000	Altria Group, Inc.		10,924,690

		Total Common Stocks (Identified Cost $626,481,553)		729,410,236

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of December 31, 2022

Natixis U.S. Equity Opportunities Fund – (continued)


Principal Amount		Description	Value (†)

	Short-Term Investments — 0.4%
$	2,869,506	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $2,870,080 on 1/03/2023 collateralized by $3,345,400 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $2,926,964 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,869,506)	$	2,869,506


		Total Investments — 99.8% (Identified Cost $629,351,059)		732,279,742
		Other assets less liabilities — 0.2%		1,546,749

		Net Assets — 100.0%	$	733,826,491


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

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

Industry Summary at December 31, 2022


Software	12.1	%
Capital Markets	11.9
Interactive Media & Services	9.0
IT Services	5.6
Banks	4.8
Entertainment	4.6
Internet & Direct Marketing Retail	4.4
Oil, Gas & Consumable Fuels	4.4
Hotels, Restaurants & Leisure	4.0
Biotechnology	3.7
Media	3.6
Consumer Finance	3.4
Automobiles	2.8
Semiconductors & Semiconductor Equipment	2.8
Beverages	2.7
Pharmaceuticals	2.5
Aerospace & Defense	2.4
Insurance	2.1
Machinery	2.0
Other Investments, less than 2% each	10.6
Short-Term Investments	0.4

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Mid Cap Fund


Shares		Description	Value (†)
	Common Stocks — 98.0% of Net Assets
		Aerospace & Defense — 1.3%
	21,210	Axon Enterprise, Inc.(a)	$	3,519,375

		Banks — 4.4%
	88,420	Bank of N.T. Butterfield & Son Ltd. (The)		2,635,800
	41,680	First Republic Bank		5,080,375
	127,681	Huntington Bancshares, Inc.		1,800,302
	91,290	PacWest Bancorp		2,095,106

				11,611,583

		Building Products — 2.2%
	26,450	Allegion PLC		2,784,127
	152,375	AZEK Co., Inc. (The)(a)		3,096,260

				5,880,387

		Capital Markets — 9.7%
	29,500	Ares Management Corp., Class A		2,018,980
	174,912	Brightsphere Investment Group, Inc.		3,599,689
	31,940	Cboe Global Markets, Inc.		4,007,512
	18,735	FactSet Research Systems, Inc.		7,516,669
	109,740	Nasdaq, Inc.		6,732,549
	15,097	Raymond James Financial, Inc.		1,613,115

				25,488,514

		Chemicals — 4.2%
	140,300	Axalta Coating Systems Ltd.(a)		3,573,441
	43,095	FMC Corp.		5,378,256
	24,895	LyondellBasell Industries NV, Class A		2,067,032

				11,018,729

		Commercial Services & Supplies — 2.7%
	54,535	Republic Services, Inc.		7,034,470

		Communications Equipment — 3.2%
	32,615	Motorola Solutions, Inc.		8,405,212

		Construction & Engineering — 3.9%
	228,050	WillScot Mobile Mini Holdings Corp.(a)		10,301,018

		Construction Materials — 0.6%
	9,065	Vulcan Materials Co.		1,587,372

		Containers & Packaging — 1.8%
	8,815	Avery Dennison Corp.		1,595,515
	37,890	Crown Holdings, Inc.		3,114,937

				4,710,452

		Diversified Consumer Services — 0.7%
	18,310	Grand Canyon Education, Inc.(a)		1,934,635

		Diversified Financial Services — 1.0%
	42,492	Apollo Global Management, Inc.		2,710,565

		Electric Utilities — 2.8%
	66,220	Alliant Energy Corp.		3,656,006
	57,010	Evergy, Inc.		3,587,639

				7,243,645

		Electrical Equipment — 5.4%
	48,905	AMETEK, Inc.		6,833,007
	8,075	Hubbell, Inc.		1,895,041
	138,990	nVent Electric PLC		5,346,945

				14,074,993

		Electronic Equipment, Instruments & Components — 2.3%
	18,555	CDW Corp.		3,313,552
	15,155	Keysight Technologies, Inc.(a)		2,592,566

				5,906,118

		Food & Staples Retailing — 1.9%
	83,535	Performance Food Group Co.(a)		4,877,609

		Health Care Equipment & Supplies — 2.6%
	10,555	Cooper Cos., Inc. (The)	$	3,490,222
	45,045	Hologic, Inc.(a)		3,369,816

				6,860,038

		Health Care Providers & Services — 2.8%
	44,475	AmerisourceBergen Corp.		7,369,952

		Hotels, Restaurants & Leisure — 2.0%
	128,860	Aramark		5,327,072

		Household Products — 1.0%
	32,720	Church & Dwight Co., Inc.		2,637,559

		Independent Power & Renewable Electricity Producers — 3.4%
	378,120	Vistra Corp.		8,772,384

		Insurance — 6.4%
	50,675	Allstate Corp. (The)		6,871,530
	30,455	Arthur J. Gallagher & Co.		5,741,986
	28,470	Reinsurance Group of America, Inc.		4,045,302

				16,658,818

		IT Services — 4.7%
	86,050	MAXIMUS, Inc.		6,310,046
	114,980	SS&C Technologies Holdings, Inc.		5,985,859

				12,295,905

		Life Sciences Tools & Services — 3.8%
	16,395	Agilent Technologies, Inc.		2,453,512
	99,645	Avantor, Inc.(a)		2,101,513
	25,807	IQVIA Holdings, Inc.(a)		5,287,596

				9,842,621

		Machinery — 3.7%
	50,140	Crane Holdings Co.		5,036,563
	57,755	Otis Worldwide Corp.		4,522,794

				9,559,357

		Media — 3.1%
	46,140	Nexstar Media Group, Inc., Class A		8,075,884

		Metals & Mining — 1.7%
	375,960	Constellium SE(a)		4,447,607

		Multi-Utilities — 2.9%
	42,460	Ameren Corp.		3,775,543
	60,835	CMS Energy Corp.		3,852,681

				7,628,224

		Oil, Gas & Consumable Fuels — 4.9%
	32,085	Diamondback Energy, Inc.		4,388,586
	17,705	Pioneer Natural Resources Co.		4,043,645
	756,665	Southwestern Energy Co.(a)		4,426,490

				12,858,721

		Pharmaceuticals — 0.4%
	94,830	Elanco Animal Health, Inc.(a)		1,158,823

		Professional Services — 3.0%
	19,230	CACI International, Inc., Class A(a)		5,780,346
	10,625	Equifax, Inc.		2,065,075

				7,845,421

		REITs – Diversified — 1.5%
	495,830	Rithm Capital Corp.		4,050,931

		Semiconductors & Semiconductor Equipment — 1.0%
	8,145	Analog Devices, Inc.		1,336,025
	19,580	Entegris, Inc.		1,284,252

				2,620,277

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Mid Cap Fund – (continued)


Shares		Description	Value (†)

		Software — 0.5%
	120,432	N-Able, Inc.(a)	$	1,238,041

		Textiles, Apparel & Luxury Goods — 0.5%
	32,010	Skechers U.S.A., Inc., Class A(a)		1,342,819

		Total Common Stocks (Identified Cost $219,883,657)		256,895,131


Principal Amount
	Short-Term Investments — 2.4%
$	6,285,880	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $6,287,137 on 1/03/2023 collateralized by $3,183,700 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $6,411,622 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,285,880)		6,285,880


		Total Investments — 100.4% (Identified Cost $226,169,537)		263,181,011
		Other assets less liabilities — (0.4)%		(960,323	)

		Net Assets — 100.0%	$	262,220,688


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

	REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2022


Capital Markets	9.7	%
Insurance	6.4
Electrical Equipment	5.4
Oil, Gas & Consumable Fuels	4.9
IT Services	4.7
Banks	4.4
Chemicals	4.2
Construction & Engineering	3.9
Life Sciences Tools & Services	3.8
Machinery	3.7
Independent Power & Renewable Electricity Producers	3.4
Communications Equipment	3.2
Media	3.1
Professional Services	3.0
Multi-Utilities	2.9
Health Care Providers & Services	2.8
Electric Utilities	2.8
Commercial Services & Supplies	2.7
Health Care Equipment & Supplies	2.6
Electronic Equipment, Instruments & Components	2.3
Building Products	2.2
Hotels, Restaurants & Leisure	2.0
Other Investments, less than 2% each	13.9
Short-Term Investments	2.4

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks — 92.3% of Net Assets
		Banks — 5.5%
	96,235	Cadence Bank	$	2,373,155
	137,475	Old National Bancorp		2,471,801
	25,795	SouthState Corp.		1,969,706
	47,270	United Bankshares, Inc.		1,913,962
	54,585	United Community Banks, Inc.		1,844,973

				10,573,597

		Building Products — 0.9%
	20,720	Advanced Drainage Systems, Inc.		1,698,418

		Capital Markets — 5.0%
	59,180	Artisan Partners Asset Management, Inc., Class A		1,757,646
	27,460	Cboe Global Markets, Inc.		3,445,406
	50,705	Moelis & Co., Class A		1,945,551
	113,860	Virtu Financial, Inc., Class A		2,323,883

				9,472,486

		Chemicals — 6.9%
	108,710	Chemours Co. (The)		3,328,700
	351,430	Element Solutions, Inc.		6,392,512
	27,450	FMC Corp.		3,425,760

				13,146,972

		Commercial Services & Supplies — 1.1%
	36,470	Ritchie Bros. Auctioneers, Inc.		2,109,060

		Electronic Equipment, Instruments & Components — 8.7%
	33,210	Advanced Energy Industries, Inc.		2,848,754
	67,315	Coherent Corp.(a)		2,362,757
	35,175	Fabrinet(a)		4,510,138
	68,625	Insight Enterprises, Inc.(a)		6,881,029

				16,602,678

		Energy Equipment & Services — 1.0%
	114,255	Patterson-UTI Energy, Inc.		1,924,054

		Food & Staples Retailing — 1.9%
	62,965	Performance Food Group Co.(a)		3,676,526

		Gas Utilities — 3.2%
	44,335	Southwest Gas Holdings, Inc.		2,743,450
	47,370	Spire, Inc.		3,261,898

				6,005,348

		Health Care Providers & Services — 0.9%
	36,645	Tenet Healthcare Corp.(a)		1,787,910

		Hotels, Restaurants & Leisure — 4.3%
	111,935	Bally’s Corp.(a)		2,169,300
	177,275	Everi Holdings, Inc.(a)		2,543,896
	156,779	International Game Technology PLC		3,555,748

				8,268,944

		Household Durables — 2.4%
	36,000	Installed Building Products, Inc.		3,081,600
	15,405	Meritage Homes Corp.(a)		1,420,341

				4,501,941

		Insurance — 3.0%
	55,820	First American Financial Corp.		2,921,619
	31,350	Selective Insurance Group, Inc.		2,777,923

				5,699,542

		IT Services — 3.8%
	15,715	ExlService Holdings, Inc.(a)		2,662,593
	58,175	WNS Holdings Ltd., ADR(a)		4,653,418

				7,316,011

		Life Sciences Tools & Services — 2.3%
	134,495	Avantor, Inc.(a)	$	2,836,500
	105,950	Maravai LifeSciences Holdings, Inc., Class A(a)		1,516,144

				4,352,644

		Machinery — 6.6%
	22,220	Alamo Group, Inc.		3,146,352
	51,775	Federal Signal Corp.		2,405,984
	45,280	Franklin Electric Co., Inc.		3,611,080
	23,630	Watts Water Technologies, Inc., Class A		3,455,415

				12,618,831

		Marine — 1.6%
	46,475	Kirby Corp.(a)		2,990,666

		Media — 0.4%
	66,740	Gray Television, Inc.		746,821

		Oil, Gas & Consumable Fuels — 3.1%
	37,535	Antero Resources Corp.(a)		1,163,210
	48,070	Comstock Resources, Inc.		659,040
	25,070	Ovintiv, Inc.		1,271,300
	28,630	PDC Energy, Inc.		1,817,432
	184,045	Southwestern Energy Co.(a)		1,076,663

				5,987,645

		Personal Products — 0.5%
	110,570	Coty, Inc., Class A(a)		946,479

		Professional Services — 3.2%
	48,150	ASGN, Inc.(a)		3,923,262
	38,830	Kforce, Inc.		2,129,049

				6,052,311

		REITs – Mortgage — 1.6%
	123,440	MFA Financial, Inc.		1,215,884
	65,050	PennyMac Mortgage Investment Trust		805,970
	59,850	Two Harbors Investment Corp.		943,834

				2,965,688

		REITs – Storage — 1.5%
	77,675	National Storage Affiliates Trust		2,805,621

		REITs – Warehouse/Industrials — 1.7%
	100,840	STAG Industrial, Inc.		3,258,140

		Road & Rail — 3.3%
	21,830	Landstar System, Inc.		3,556,107
	13,280	Saia, Inc.(a)		2,784,550

				6,340,657

		Semiconductors & Semiconductor Equipment — 6.1%
	73,700	Ichor Holdings Ltd.(a)		1,976,634
	31,955	MKS Instruments, Inc.		2,707,547
	134,565	Rambus, Inc.(a)		4,820,118
	63,510	Ultra Clean Holdings, Inc.(a)		2,105,357

				11,609,656

		Specialty Retail — 0.9%
	6,165	RH(a)		1,647,226

		Textiles, Apparel & Luxury Goods — 1.4%
	46,830	Capri Holdings Ltd.(a)		2,684,296

		Trading Companies & Distributors — 9.5%
	52,080	Beacon Roofing Supply, Inc.(a)		2,749,303
	130,295	Core & Main, Inc., Class A(a)		2,515,997
	46,220	GATX Corp.		4,915,035
	36,155	Rush Enterprises, Inc., Class A		1,890,183
	102,185	Univar Solutions, Inc.(a)		3,249,483
	11,215	Watsco, Inc.		2,797,021

				18,117,022

		Total Common Stocks (Identified Cost $170,680,218)		175,907,190

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Small Cap Value Fund – (continued)


Principal Amount		Description	Value (†)

	Short-Term Investments — 5.9%
$	11,203,500	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $11,205,740 on 1/03/2023 collateralized by $5,674,400 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $11,427,618 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,203,500)	$	11,203,500


		Total Investments — 98.2% (Identified Cost $181,883,718)		187,110,690
		Other assets less liabilities — 1.8%		3,423,843

		Net Assets — 100.0%	$	190,534,533


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

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

	REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2022


Trading Companies & Distributors	9.5	%
Electronic Equipment, Instruments & Components	8.7
Chemicals	6.9
Machinery	6.6
Semiconductors & Semiconductor Equipment	6.1
Banks	5.5
Capital Markets	5.0
Hotels, Restaurants & Leisure	4.3
IT Services	3.8
Road & Rail	3.3
Professional Services	3.2
Gas Utilities	3.2
Oil, Gas & Consumable Fuels	3.1
Insurance	3.0
Household Durables	2.4
Life Sciences Tools & Services	2.3
Other Investments, less than 2% each	15.4
Short-Term Investments	5.9

Total Investments	98.2
Other assets less liabilities	1.8

Net Assets	100.0	%

See accompanying notes to financial statements.

| 42

Statements of Assets and Liabilities

December 31, 2022


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	29,725,133		$	353,291,056		$	390,069,453		$	629,351,059
Net unrealized appreciation (depreciation)		(5,376,738	)		(6,851,031	)		(34,804,906	)		102,928,683

Investments at value		24,348,395			346,440,025			355,264,547			732,279,742
Cash		—			18			11			—
Foreign currency at value (identified cost $42,380, $0, $103,550 and $0, respectively)		43,103			—			103,596			—
Receivable for Fund shares sold		—			3,214,559			1,059,829			3,904,350
Receivable for securities sold		198,763			—			524,466			3,339,180
Dividends and interest receivable		58,714			423,072			11,620			447,824
Tax reclaims receivable		49,957			—			4,589,998			455,920
Prepaid expenses (Note 8)		558			597			593			633

TOTAL ASSETS		24,699,490			350,078,271			361,554,660			740,427,649

LIABILITIES
Payable for securities purchased		49,986			—			508,653			651,776
Payable for Fund shares redeemed		—			707,405			590,044			3,575,528
Foreign taxes payable (Note 2)		—			—			65,132			—
Management fees payable (Note 6)		2,120			149,707			176,831			454,057
Deferred Trustees’ fees (Note 6)		5,779			662,702			126,450			508,361
Administrative fees payable (Note 6)		990			14,932			14,681			29,985
Payable to distributor (Note 6d)		2			2,668			6,200			2,443
Audit and tax services fees payable		44,820			43,526			44,962			44,627
Other accounts payable and accrued expenses		14,967			29,774			107,900			1,334,381

TOTAL LIABILITIES		118,664			1,610,714			1,640,853			6,601,158

NET ASSETS	$	24,580,826		$	348,467,557		$	359,913,807		$	733,826,491

NET ASSETS CONSIST OF:
Paid-in capital	$	30,614,860		$	366,340,856		$	531,637,430		$	637,349,787
Accumulated earnings (loss)		(6,034,034	)		(17,873,299	)		(171,723,623	)		96,476,704

NET ASSETS	$	24,580,826		$	348,467,557		$	359,913,807		$	733,826,491

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	125,085		$	192,750,028		$	120,315,724		$	512,391,643

Shares of beneficial interest		15,953			8,945,206			9,610,821			17,660,428

Net asset value and redemption price per share	$	7.84		$	21.55		$	12.52		$	29.01

Offering price per share (100/94.25 of net asset value) (Note 1)	$	8.32		$	22.86		$	13.28		$	30.78

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	788		$	51,987,425		$	39,201,565		$	29,355,662

Shares of beneficial interest		101			3,105,417			3,185,678			2,421,225

Net asset value and offering price per share	$	7.77	*	$	16.74		$	12.31		$	12.12

Class N shares:
Net assets	$	21,330,920		$	517,155		$	221,614		$	167,383

Shares of beneficial interest		2,717,489			22,140			17,784			4,438

Net asset value, offering and redemption price per share	$	7.85		$	23.36		$	12.46		$	37.72

Class Y shares:
Net assets	$	3,124,033		$	103,212,949		$	200,174,904		$	191,911,803

Shares of beneficial interest		397,996			4,432,248			16,072,947			5,103,467

Net asset value, offering and redemption price per share	$	7.85		$	23.29		$	12.45		$	37.60

*	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

43 |

Statements of Assets and Liabilities (continued)

December 31, 2022


	Vaughan Nelson Mid Cap Fund		Vaughan Nelson Small Cap Value Fund
ASSETS
Investments at cost	$	226,169,537	$	181,883,718
Net unrealized appreciation		37,011,474		5,226,972

Investments at value		263,181,011		187,110,690
Cash		10,995		—
Receivable for Fund shares sold		99,520		3,902,107
Dividends and interest receivable		282,314		219,556
Prepaid expenses (Note 8)		582		568

TOTAL ASSETS		263,574,422		191,232,921

LIABILITIES
Payable for securities purchased		703,559		—
Payable for Fund shares redeemed		218,144		300,292
Management fees payable (Note 6)		143,942		105,650
Deferred Trustees’ fees (Note 6)		197,539		222,185
Administrative fees payable (Note 6)		10,668		7,493
Payable to distributor (Note 6d)		2,113		1,107
Audit and tax services fees payable		44,483		43,556
Other accounts payable and accrued expenses		33,286		18,105

TOTAL LIABILITIES		1,353,734		698,388

NET ASSETS	$	262,220,688	$	190,534,533

NET ASSETS CONSIST OF:
Paid-in capital	$	250,562,518	$	188,067,956
Accumulated earnings		11,658,170		2,466,577

NET ASSETS	$	262,220,688	$	190,534,533

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	33,507,179	$	66,338,608

Shares of beneficial interest		1,706,007		4,372,373

Net asset value and redemption price per share	$	19.64	$	15.17

Offering price per share (100/94.25 of net asset value) (Note 1)	$	20.84	$	16.10

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	7,404,688	$	2,118,173

Shares of beneficial interest		417,245		399,337

Net asset value and offering price per share	$	17.75	$	5.30

Class N shares:
Net assets	$	72,804,251	$	1,492,979

Shares of beneficial interest		3,649,950		92,360

Net asset value, offering and redemption price per share	$	19.95	$	16.16

Class Y shares:
Net assets	$	148,504,570	$	120,584,773

Shares of beneficial interest		7,430,185		7,467,964

Net asset value, offering and redemption price per share	$	19.99	$	16.15

See accompanying notes to financial statements.

| 44

Statements of Operations

For the Year Ended December 31, 2022


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	361,963		$	7,377,720		$	12,087,259		$	10,752,217
Interest		2,350			92,619			37,971			89,389
Less net foreign taxes withheld		(31,132	)		(400	)		(1,283,297	)		(121,515	)

		333,181			7,469,939			10,841,933			10,720,091

Expenses
Management fees (Note 6)		166,121			2,959,141			3,278,920			6,413,195
Service and distribution fees (Note 6)		379			1,080,718			813,869			1,906,756
Administrative fees (Note 6)		10,010			198,579			187,904			397,716
Trustees’ fees and expenses (Note 6)		12,522			25,691			24,801			38,626
Trustees’ fees deferred compensation (Note 6)		2,762			(95,019	)		(12,938	)		(69,538	)
Transfer agent fees and expenses (Notes 6 and 7)		4,349			394,095			719,310			554,506
Audit and tax services fees		44,825			43,569			66,982			46,437
Custodian fees and expenses		15,905			19,708			130,582			39,195
Legal fees (Note 8)		761			15,476			14,014			30,092
Registration fees		64,670			110,190			88,142			87,708
Shareholder reporting expenses		11,698			49,008			104,608			92,215
Miscellaneous expenses		39,711			38,841			101,519			55,148

Total expenses		373,713			4,839,997			5,517,713			9,592,056
Less waiver and/or expense reimbursement (Note 6)		(172,690	)		(238,414	)		(948,938	)		(906	)

Net expenses		201,023			4,601,583			4,568,775			9,591,150

Net investment income		132,158			2,868,356			6,273,158			1,128,941

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(86,495	)		42,131,981			(26,067,532	)		79,629,441
Forward foreign currency contracts (Note 2d)		—			—			473,946			—
Foreign currency transactions (Note 2c)		(4,211	)		—			(21,402	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(4,318,729	)		(116,959,779	)		(63,246,155	)		(306,104,548	)
Forward foreign currency contracts (Note 2d)		—			—			94,327			—
Foreign currency translations (Note 2c)		398			—			(243,343	)		(5,545	)

Net realized and unrealized loss on investments, forward foreign currency contracts and foreign currency transactions		(4,409,037	)		(74,827,798	)		(89,010,159	)		(226,480,652	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(4,276,879	)	$	(71,959,442	)	$	(82,737,001	)	$	(225,351,711	)

See accompanying notes to financial statements.

45 |

Statements of Operations (continued)

For the Year Ended December 31, 2022


	Vaughan Nelson Mid Cap Fund			Vaughan Nelson Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	5,095,697		$	1,735,376
Interest		60,836			71,194
Less net foreign taxes withheld		—			(5,211	)

		5,156,533			1,801,359

Expenses
Management fees (Note 6)		2,292,180			1,298,748
Service and distribution fees (Note 6)		176,160			191,256
Administrative fees (Note 6)		137,881			69,157
Trustees’ fees and expenses (Note 6)		21,253			16,648
Trustees’ fees deferred compensation (Note 6)		(24,416	)		(30,346	)
Transfer agent fees and expenses (Notes 6 and 7)		205,559			151,516
Audit and tax services fees		44,492			43,575
Custodian fees and expenses		14,946			11,469
Legal fees (Note 8)		10,553			4,784
Registration fees		78,393			89,262
Shareholder reporting expenses		36,100			28,121
Miscellaneous expenses		38,661			31,982

Total expenses		3,031,762			1,906,172
Less waiver and/or expense reimbursement (Note 6)		(142,438	)		(187,632	)

Net expenses		2,889,324			1,718,540

Net investment income		2,267,209			82,819

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments		(21,324,989	)		4,298,905
Net change in unrealized appreciation (depreciation) on:
Investments		(18,052,025	)		(19,344,302	)

Net realized and unrealized loss on investments		(39,377,014	)		(15,045,397	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(37,109,805	)	$	(14,962,578	)

See accompanying notes to financial statements.

| 46

Statements of Changes in Net Assets


	International Growth Fund						Natixis Oakmark Fund
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2022			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	132,158		$	68,456		$	2,868,356		$	633,264
Net realized gain (loss) on investments and foreign currency transactions		(90,706	)		(203,613	)		42,131,981			28,561,069
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(4,318,331	)		(1,246,367	)		(116,959,779	)		53,375,247

Net increase (decrease) in net assets resulting from operations		(4,276,879	)		(1,381,524	)		(71,959,442	)		82,569,580

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(565	)		(1,712	)		(28,746,130	)		(14,668,177	)
Class C		—			(540	)		(9,213,071	)		(3,860,638	)
Class N		(155,851	)		(404,221	)		(73,284	)		(42,243	)
Class Y		(21,469	)		(3,739	)		(15,943,567	)		(6,180,207	)

Total distributions		(177,885	)		(410,212	)		(53,976,052	)		(24,751,265	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		5,709,899			9,897,595			102,236,626			69,746,167

Net increase (decrease) in net assets		1,255,135			8,105,859			(23,698,868	)		127,564,482
NET ASSETS
Beginning of the year		23,325,691			15,219,832			372,166,425			244,601,943

End of the year	$	24,580,826		$	23,325,691		$	348,467,557		$	372,166,425

See accompanying notes to financial statements.

47 |

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund						Natixis U.S. Equity Opportunities Fund
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2022			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income (loss)	$	6,273,158		$	9,327,403		$	1,128,941		$	(2,363,534	)
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions		(25,614,988	)		37,081,829			79,629,441			116,863,738
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations		(63,395,171	)		(4,477,434	)		(306,110,093	)		97,061,972

Net increase (decrease) in net assets resulting from operations		(82,737,001	)		41,931,798			(225,351,711	)		211,562,176

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(2,112,696	)		(2,330,358	)		(85,070,822	)		(76,697,366	)
Class C		(316,972	)		(418,451	)		(10,955,220	)		(11,757,176	)
Class N		(4,576	)		(12,581	)		(20,693	)		(15,616	)
Class Y		(4,025,613	)		(5,540,267	)		(26,488,550	)		(23,677,132	)

Total distributions		(6,459,857	)		(8,301,657	)		(122,535,285	)		(112,147,290	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(86,758,283	)		(1,920,547	)		5,882,691			20,061,764

Net increase (decrease) in net assets		(175,955,141	)		31,709,594			(342,004,305	)		119,476,650
NET ASSETS
Beginning of the year		535,868,948			504,159,354			1,075,830,796			956,354,146

End of the year	$	359,913,807		$	535,868,948		$	733,826,491		$	1,075,830,796

See accompanying notes to financial statements.

| 48

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Mid Cap Fund						Vaughan Nelson Small Cap Value Fund
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2022			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	2,267,209		$	1,331,082		$	82,819		$	174,435
Net realized gain (loss) on investments		(21,324,989	)		56,422,377			4,298,905			33,988,295
Net change in unrealized appreciation (depreciation) on investments		(18,052,025	)		4,168,218			(19,344,302	)		828,120

Net increase (decrease) in net assets resulting from operations		(37,109,805	)		61,921,677			(14,962,578	)		34,990,850

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(1,087,431	)		(5,329,869	)		(3,939,067	)		(14,352,433	)
Class C		(262,976	)		(1,799,416	)		(240,247	)		(339,165	)
Class N		(2,652,401	)		(12,164,843	)		(77,738	)		(233,321	)
Class Y		(5,985,855	)		(33,148,269	)		(5,400,412	)		(11,433,578	)

Total distributions		(9,988,663	)		(52,442,397	)		(9,657,464	)		(26,358,497	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(58,219,497	)		68,004,051			65,258,561			29,370,496

Net increase (decrease) in net assets		(105,317,965	)		77,483,331			40,638,519			38,002,849
NET ASSETS
Beginning of the year		367,538,653			290,055,322			149,896,014			111,893,165

End of the year	$	262,220,688		$	367,538,653		$	190,534,533		$	149,896,014

See accompanying notes to financial statements.

49 |

Financial Highlights

For a share outstanding throughout each period.


	International Growth Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.57		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			(0.01	)		0.01
Net realized and unrealized gain (loss)		(1.71	)		(0.41	)		0.13

Total from Investment Operations		(1.69	)		(0.42	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)		(0.01	)		(0.01	)
Net realized capital gains		—			(0.13	)		—

Total Distributions		(0.04	)		(0.14	)		(0.01	)

Net asset value, end of the period	$	7.84		$	9.57		$	10.13

Total return(b)(c)		(17.71	)%		(4.07	)%		1.37	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	125		$	113		$	1
Net expenses(e)		1.20	%		1.20	%		1.20	%(f)
Gross expenses		2.05	%		2.71	%		13.05	%(f)
Net investment income (loss)		0.26	%		(0.07	)%		1.28	%(f)
Portfolio turnover rate		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.51		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			(0.09	)		0.00	(b)
Net realized and unrealized gain (loss)		(1.76	)		(0.40	)		0.13

Total from Investment Operations		(1.74	)		(0.49	)		0.13

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.00	)(b)
Net realized capital gains		—			(0.13	)		—

Total Distributions		—			(0.13	)		(0.00	)

Net asset value, end of the period	$	7.77		$	9.51		$	10.13

Total return(c)(d)		(18.30	)%		(4.79	)%		1.33	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	38		$	1
Net expenses(f)		1.95	%		1.95	%		1.95	%(g)
Gross expenses		2.79	%		3.46	%		13.78	%(g)
Net investment income (loss)		0.21	%		(0.90	)%		0.55	%(g)
Portfolio turnover rate		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

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

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.58		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.03			0.01
Net realized and unrealized gain (loss)		(1.72	)		(0.42	)		0.13

Total from Investment Operations		(1.67	)		(0.39	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		(0.03	)		(0.01	)
Net realized capital gains		—			(0.13	)		—

Total Distributions		(0.06	)		(0.16	)		(0.01	)

Net asset value, end of the period	$	7.85		$	9.58		$	10.13

Total return(b)		(17.47	)%		(3.77	)%		1.38	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	21,331		$	22,953		$	15,206
Net expenses(d)		0.90	%		0.90	%		0.90	%(e)
Gross expenses		1.67	%		1.58	%		6.48	%(e)
Net investment income		0.62	%		0.29	%		1.43	%(e)
Portfolio turnover rate		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

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

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

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

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

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.58		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.02			0.01
Net realized and unrealized gain (loss)		(1.72	)		(0.41	)		0.13

Total from Investment Operations		(1.68	)		(0.39	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.03	)		(0.01	)
Net realized capital gains		—			(0.13	)		—

Total Distributions		(0.05	)		(0.16	)		(0.01	)

Net asset value, end of the period	$	7.85		$	9.58		$	10.13

Total return(b)		(17.50	)%		(3.81	)%		1.38	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,124		$	222		$	12
Net expenses(d)		0.95	%		0.95	%		0.95	%(e)
Gross expenses		1.80	%		2.46	%		12.58	%(e)
Net investment income		0.47	%		0.19	%		1.63	%(e)
Portfolio turnover rate		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

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

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

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

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

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	29.04		$	23.20		$	22.45		$	19.44		$	24.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.07			0.11	(b)		0.18	(c)		0.10
Net realized and unrealized gain (loss)		(4.00	)		7.81			2.78			4.93			(3.28	)

Total from Investment Operations		(3.83	)		7.88			2.89			5.11			(3.18	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.05	)		(0.12	)		(0.21	)		(0.08	)
Net realized capital gains		(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(3.66	)		(2.04	)		(2.14	)		(2.10	)		(2.10	)

Net asset value, end of the period	$	21.55		$	29.04		$	23.20		$	22.45		$	19.44

Total return(d)		(13.30	)%(e)		33.97	%(e)		13.01	%(b)		26.77	%(c)		(13.01	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	192,750		$	222,435		$	170,702		$	181,417		$	164,748
Net expenses		1.05	%(f)		1.12	%(f)(g)		1.20	%(h)		1.17	%		1.13	%
Gross expenses		1.10	%		1.14	%		1.20	%(h)		1.17	%		1.13	%
Net investment income		0.65	%		0.25	%		0.53	%(b)		0.85	%(c)		0.41	%
Portfolio turnover rate		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%.

(d)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 1.30% to 1.05%.

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

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	23.50		$	19.17		$	18.92		$	16.66		$	21.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		(0.12	)		(0.04	)(b)		0.02	(c)		(0.07	)
Net realized and unrealized gain (loss)		(3.23	)		6.44			2.31			4.20			(2.83	)

Total from Investment Operations		(3.25	)		6.32			2.27			4.22			(2.90	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.00	)(d)		—			(0.07	)		—
Net realized capital gains		(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(3.51	)		(1.99	)		(2.02	)		(1.96	)		(2.02	)

Net asset value, end of the period	$	16.74		$	23.50		$	19.17		$	18.92		$	16.66

Total return(e)		(13.97	)%(f)		32.99	%(f)		12.15	%(b)		25.82	%(c)		(13.63	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	51,987		$	50,042		$	35,940		$	54,384		$	53,606
Net expenses		1.80	%(g)		1.87	%(g)(h)		1.95	%		1.92	%		1.88	%
Gross expenses		1.85	%		1.89	%		1.95	%		1.92	%		1.88	%
Net investment income (loss)		(0.10	)%		(0.49	)%		(0.23	)%(b)		0.12	%(c)		(0.33	)%
Portfolio turnover rate		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 11.85% and the ratio of net investment loss to average net assets would have been (0.46)%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 25.50% and the ratio of net investment loss to average net assets would have been (0.12)%.

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

(e)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(h)	Effective July 1, 2021, the expense limit decreased from 2.05% to 1.80%.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	31.13		$	24.72		$	23.78		$	20.49		$	25.91

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.23			0.18	(b)		0.22	(c)		0.22
Net realized and unrealized gain (loss)		(4.29	)		8.31			2.98			5.25			(3.45	)

Total from Investment Operations		(4.03	)		8.54			3.16			5.47			(3.23	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.28	)		(0.14	)		(0.20	)		(0.29	)		(0.17	)
Net realized capital gains		(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(3.74	)		(2.13	)		(2.22	)		(2.18	)		(2.19	)

Net asset value, end of the period	$	23.36		$	31.13		$	24.72		$	23.78		$	20.49

Total return(d)		(13.06	)%		34.54	%		13.41	%(b)		27.16	%(c)		(12.60	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	517		$	682		$	364		$	801		$	10
Net expenses(e)		0.75	%		0.80	%(f)		0.86	%		0.83	%		0.75	%
Gross expenses		0.93	%		1.55	%		1.05	%		1.25	%		3.79	%
Net investment income		0.93	%		0.79	%		0.85	%(b)		0.93	%(c)		0.88	%
Portfolio turnover rate		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.14, total return would have been 13.13% and the ratio of net investment income to average net assets would have been 0.67%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%.

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

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

(f)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.75%.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	31.04		$	24.68		$	23.75		$	20.46		$	25.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.17			0.17	(b)		0.27	(c)		0.17
Net realized and unrealized gain (loss)		(4.28	)		8.31			2.95			5.17			(3.44	)

Total from Investment Operations		(4.03	)		8.48			3.12			5.44			(3.27	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.13	)		(0.17	)		(0.26	)		(0.15	)
Net realized capital gains		(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(3.72	)		(2.12	)		(2.19	)		(2.15	)		(2.17	)

Net asset value, end of the period	$	23.29		$	31.04		$	24.68		$	23.75		$	20.46

Total return		(13.10	)%(d)		34.35	%(d)		13.28	%(b)		27.06	%(c)(d)		(12.76	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	103,213		$	99,008		$	37,595		$	46,836		$	53,829
Net expenses		0.80	%(e)		0.86	%(e)(f)		0.95	%		0.91	%(e)		0.88	%
Gross expenses		0.85	%		0.89	%		0.95	%		0.92	%		0.88	%
Net investment income		0.89	%		0.56	%		0.79	%(b)		1.16	%(c)		0.68	%
Portfolio turnover rate		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.12, total return would have been 13.00% and the ratio of net investment income to average net assets would have been 0.55%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%.

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

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

(f)	Effective July 1, 2021, the expense limit decreased from 1.05% to 0.80%.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	15.15		$	14.15		$	13.63		$	11.29		$	15.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.19			0.27	(b)		(0.00	)(c)		0.37	(d)		0.25
Net realized and unrealized gain (loss)		(2.60	)		0.96			0.55	(e)		2.38			(4.02	)

Total from Investment Operations		(2.41	)		1.23			0.55			2.75			(3.77	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.23	)		(0.03	)		(0.41	)		(0.29	)
Net realized capital gains		—			—			—			—			(0.23	)

Total Distributions		(0.22	)		(0.23	)		(0.03	)		(0.41	)		(0.52	)

Net asset value, end of the period	$	12.52		$	15.15		$	14.15		$	13.63		$	11.29

Total return(f)		(15.91	)%(g)		8.73	%(b)(g)		4.06	%(g)		24.35	%(d)		(24.15	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	120,316		$	152,900		$	131,630		$	172,906		$	257,551
Net expenses		1.15	%(h)		1.17	%(h)(i)		1.29	%(h)(j)		1.29	%		1.31	%
Gross expenses		1.38	%		1.34	%		1.36	%		1.29	%		1.31	%
Net investment income (loss)		1.48	%		1.73	%(b)		(0.03	)%		2.91	%(d)		1.72	%
Portfolio turnover rate		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.13, total return would have been 7.74% and the ratio of net investment income to average net assets would have been 0.84%.

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

(d)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%.

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

(f)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

(i)	Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%.

See accompanying notes to financial statements.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	14.86		$	13.85		$	13.41		$	11.11		$	15.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.10			0.13	(b)		(0.08	)		0.26	(c)		0.13
Net realized and unrealized gain (loss)		(2.55	)		0.97			0.52	(d)		2.34			(3.92	)

Total from Investment Operations		(2.45	)		1.10			0.44			2.60			(3.79	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.09	)		—			(0.30	)		(0.17	)
Net realized capital gains		—			—			—			—			(0.23	)

Total Distributions		(0.10	)		(0.09	)		—			(0.30	)		(0.40	)

Net asset value, end of the period	$	12.31		$	14.86		$	13.85		$	13.41		$	11.11

Total return(e)		(16.50	)%(f)		7.92	%(b)(f)		3.28	%(f)		23.44	%(c)		(24.74	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	39,202		$	69,335		$	96,772		$	179,533		$	212,618
Net expenses		1.90	%(g)		1.93	%(g)(h)		2.05	%(g)(i)		2.04	%		2.07	%
Gross expenses		2.13	%		2.09	%		2.11	%		2.04	%		2.07	%
Net investment income (loss)		0.78	%		0.85	%(b)		(0.76	)%		2.09	%(c)		0.94	%
Portfolio turnover rate		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.02, total return would have been 6.98% and the ratio of net investment income to average net assets would have been 0.13%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%.

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

(e)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(h)	Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%.

(i)	Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%.

See accompanying notes to financial statements.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	15.08		$	14.09		$	13.56		$	11.25		$	15.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.32			0.38	(b)		0.04			0.33	(c)		0.28
Net realized and unrealized gain (loss)		(2.68	)		0.89			0.56	(d)		2.45			(4.02	)

Total from Investment Operations		(2.36	)		1.27			0.60			2.78			(3.74	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.28	)		(0.07	)		(0.47	)		(0.36	)
Net realized capital gains		—			—			—			—			(0.23	)

Total Distributions		(0.26	)		(0.28	)		(0.07	)		(0.47	)		(0.59	)

Net asset value, end of the period	$	12.46		$	15.08		$	14.09		$	13.56		$	11.25

Total return(e)		(15.65	)%		9.01	%(b)		4.44	%		24.75	%(c)		(23.94	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	222		$	704		$	290		$	811		$	758
Net expenses(f)		0.85	%		0.87	%(g)		0.92	%(h)		0.94	%		0.99	%
Gross expenses		1.01	%		1.25	%		1.17	%		1.08	%		1.02	%
Net investment income		2.56	%		2.49	%(b)		0.37	%		2.56	%(c)		2.04	%
Portfolio turnover rate		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.11, total return would have been 8.09% and the ratio of net investment income to average net assets would have been 0.70%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%.

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

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%.

See accompanying notes to financial statements.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	15.07		$	14.08		$	13.56		$	11.25		$	15.56

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.30	(b)		0.04			0.37	(c)		0.26
Net realized and unrealized gain (loss)		(2.58	)		0.96			0.55	(d)		2.40			(3.99	)

Total from Investment Operations		(2.36	)		1.26			0.59			2.77			(3.73	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.27	)		(0.07	)		(0.46	)		(0.35	)
Net realized capital gains		—			—			—			—			(0.23	)

Total Distributions		(0.26	)		(0.27	)		(0.07	)		(0.46	)		(0.58	)

Net asset value, end of the period	$	12.45		$	15.07		$	14.08		$	13.56		$	11.25

Total return		(15.71	)%(e)		8.97	%(b)(e)		4.32	%(e)		24.64	%(c)		(23.93	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	200,175		$	312,930		$	275,468		$	244,586		$	215,123
Net expenses		0.90	%(f)		0.92	%(f)(g)		1.03	%(f)(h)		1.04	%		1.07	%
Gross expenses		1.13	%		1.09	%		1.11	%		1.04	%		1.07	%
Net investment income		1.66	%		1.96	%(b)		0.41	%		2.91	%(c)		1.85	%
Portfolio turnover rate		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.17, total return would have been 8.04% and the ratio of net investment income to average net assets would have been 1.07%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%.

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

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%.

See accompanying notes to financial statements.

61 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	43.12		$	39.04		$	36.53		$	31.00		$	36.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			(0.11	)		(0.05	)		0.15	(b)		0.08
Net realized and unrealized gain (loss)		(8.89	)		8.99			7.66			9.34			(2.51	)

Total from Investment Operations		(8.86	)		8.88			7.61			9.49			(2.43	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		—			—			(0.17	)		(0.05	)
Net realized capital gains		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(5.25	)		(4.80	)		(5.10	)		(3.96	)		(3.47	)

Net asset value, end of the period	$	29.01		$	43.12		$	39.04		$	36.53		$	31.00

Total return(c)		(21.15	)%		23.14	%		22.09	%		31.03	%(b)		(6.48	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	512,392		$	733,423		$	649,754		$	616,922		$	523,665
Net expenses		1.12	%		1.14	%		1.17	%		1.17	%		1.16	%
Gross expenses		1.12	%		1.14	%		1.17	%		1.17	%		1.16	%
Net investment income (loss)		0.09	%		(0.25	)%		(0.14	)%		0.42	%(b)		0.20	%
Portfolio turnover rate		46	%		18	%		26	%		12	%		23	%

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

(b)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

See accompanying notes to financial statements.

| 62

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	21.82		$	21.89		$	22.65		$	20.42		$	25.73

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.12	)		(0.24	)		(0.19	)		(0.07	)(b)		(0.14	)
Net realized and unrealized gain (loss)		(4.36	)		4.97			4.53			6.10			(1.75	)

Total from Investment Operations		(4.48	)		4.73			4.34			6.03			(1.89	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.01	)		—
Net realized capital gains		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(5.22	)		(4.80	)		(5.10	)		(3.80	)		(3.42	)

Net asset value, end of the period	$	12.12		$	21.82		$	21.89		$	22.65		$	20.42

Total return(c)		(21.77	)%		22.27	%		21.15	%		30.06	%(b)		(7.18	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	29,356		$	57,492		$	63,126		$	77,924		$	78,783
Net expenses		1.87	%		1.89	%		1.92	%		1.92	%		1.91	%
Gross expenses		1.87	%		1.89	%		1.92	%		1.92	%		1.91	%
Net investment loss		(0.66	)%		(0.99	)%		(0.87	)%		(0.31	)%(b)		(0.54	)%
Portfolio turnover rate		46	%		18	%		26	%		12	%		23	%

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

(b)	Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

See accompanying notes to financial statements.

63 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	54.14		$	47.84		$	43.61		$	36.37		$	42.63

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.03			0.13			0.19	(b)		0.25
Net realized and unrealized gain (loss)		(11.23	)		11.07			9.20			11.14			(2.91	)

Total from Investment Operations		(11.05	)		11.10			9.33			11.33			(2.66	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		—			—			(0.30	)		(0.18	)
Net realized capital gains		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(5.37	)		(4.80	)		(5.10	)		(4.09	)		(3.60	)

Net asset value, end of the period	$	37.72		$	54.14		$	47.84		$	43.61		$	36.37

Total return(c)		(20.88	)%		23.53	%		22.48	%		31.44	%(b)		(6.11	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	167		$	177		$	172		$	654		$	1
Net expenses(d)		0.81	%		0.83	%		0.84	%		0.83	%		0.76	%
Gross expenses		1.34	%		1.38	%		1.13	%		1.42	%		13.35	%
Net investment income		0.41	%		0.06	%		0.31	%		0.44	%(b)		0.56	%
Portfolio turnover rate		46	%		18	%		26	%		12	%		23	%

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

(b)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%.

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

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

See accompanying notes to financial statements.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	53.99		$	47.74		$	43.56		$	36.33		$	42.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.00	(b)		0.05			0.29	(c)		0.20
Net realized and unrealized gain (loss)		(11.20	)		11.05			9.23			10.99			(2.92	)

Total from Investment Operations		(11.05	)		11.05			9.28			11.28			(2.72	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		—			—			(0.26	)		(0.14	)
Net realized capital gains		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(5.34	)		(4.80	)		(5.10	)		(4.05	)		(3.56	)

Net asset value, end of the period	$	37.60		$	53.99		$	47.74		$	43.56		$	36.33

Total return		(20.95	)%		23.48	%		22.36	%		31.36	%(c)(d)		(6.24	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	191,912		$	284,738		$	243,302		$	283,864		$	296,255
Net expenses		0.87	%		0.89	%		0.92	%		0.91	%(e)		0.91	%
Gross expenses		0.87	%		0.89	%		0.92	%		0.92	%		0.91	%
Net investment income		0.35	%		0.00	%(f)		0.13	%		0.69	%(c)		0.45	%
Portfolio turnover rate		46	%		18	%		26	%		12	%		23	%

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

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

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%.

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

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

(f)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	22.70		$	21.79		$	22.42		$	17.37		$	22.65

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.05			0.07			0.03			0.09
Net realized and unrealized gain (loss)		(2.53	)		4.52			1.96			5.21			(3.71	)

Total from Investment Operations		(2.42	)		4.57			2.03			5.24			(3.62	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.04	)		(0.04	)		(0.02	)		(0.15	)
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		(0.64	)		(3.66	)		(2.66	)		(0.19	)		(1.66	)

Net asset value, end of the period	$	19.64		$	22.70		$	21.79		$	22.42		$	17.37

Total return(b)		(10.80	)%(c)		21.32	%(c)		10.46	%(c)		30.21	%(c)		(16.10	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	33,507		$	37,849		$	30,567		$	33,434		$	43,769
Net expenses		1.15	%(d)		1.17	%(d)(e)		1.20	%(d)		1.25	%(d)(f)(g)		1.24	%
Gross expenses		1.21	%		1.23	%		1.29	%		1.28	%(f)		1.24	%
Net investment income		0.55	%		0.22	%		0.35	%		0.16	%		0.42	%
Portfolio turnover rate		53	%		71	%		52	%		52	%		44	%

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

(e)	Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%.

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%.

(g)	Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%.

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	20.58		$	20.15		$	21.06		$	16.43		$	21.50

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.04	)		(0.13	)		(0.08	)		(0.10	)		(0.08	)
Net realized and unrealized gain (loss)		(2.28	)		4.18			1.79			4.90			(3.48	)

Total from Investment Operations		(2.32	)		4.05			1.71			4.80			(3.56	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		—			(0.00	)(b)		—
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Net asset value, end of the period	$	17.75		$	20.58		$	20.15		$	21.06		$	16.43

Total return(c)		(11.46	)%(d)		20.44	%(d)		9.60	%(d)		29.25	%(d)		(16.71	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	7,405		$	11,436		$	14,023		$	21,932		$	23,967
Net expenses		1.90	%(e)		1.93	%(e)(f)		1.95	%(e)		1.99	%(e)(g)(h)		1.98	%
Gross expenses		1.96	%		1.98	%		2.04	%		2.02	%(g)		1.98	%
Net investment loss		(0.22	)%		(0.56	)%		(0.42	)%		(0.50	)%		(0.36	)%
Portfolio turnover rate		53	%		71	%		52	%		52	%		44	%

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

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

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(f)	Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%.

(h)	Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	23.05		$	22.07		$	22.66		$	17.54		$	22.87

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.14			0.13			0.11			0.17
Net realized and unrealized gain (loss)		(2.57	)		4.58			2.00			5.27			(3.75	)

Total from Investment Operations		(2.40	)		4.72			2.13			5.38			(3.58	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.12	)		(0.10	)		(0.09	)		(0.24	)
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		(0.70	)		(3.74	)		(2.72	)		(0.26	)		(1.75	)

Net asset value, end of the period	$	19.95		$	23.05		$	22.07		$	22.66		$	17.54

Total return		(10.54	)%(b)		21.70	%(b)		10.83	%(b)		30.67	%(b)		(15.78	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	72,804		$	91,416		$	17,965		$	18,262		$	70,902
Net expenses		0.85	%(c)		0.86	%(c)(d)		0.90	%(c)		0.92	%(c)(e)(f)		0.88	%
Gross expenses		0.87	%		0.89	%		0.94	%		0.93	%(e)		0.88	%
Net investment income		0.84	%		0.55	%		0.65	%		0.51	%		0.76	%
Portfolio turnover rate		53	%		71	%		52	%		52	%		44	%

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

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

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

(d)	Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%.

(f)	Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	23.09		$	22.10		$	22.69		$	17.57		$	22.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.11			0.12			0.10			0.15
Net realized and unrealized gain (loss)		(2.57	)		4.60			2.00			5.26			(3.75	)

Total from Investment Operations		(2.41	)		4.71			2.12			5.36			(3.60	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.10	)		(0.09	)		(0.07	)		(0.21	)
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		(0.69	)		(3.72	)		(2.71	)		(0.24	)		(1.72	)

Net asset value, end of the period	$	19.99		$	23.09		$	22.10		$	22.69		$	17.57

Total return		(10.58	)%(b)		21.65	%(b)		10.76	%(b)		30.52	%(b)		(15.85	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	148,505		$	226,838		$	227,501		$	298,705		$	453,085
Net expenses		0.90	%(c)		0.93	%(c)(d)		0.95	%(c)		1.00	%(c)(e)(f)		0.99	%
Gross expenses		0.96	%		0.98	%		1.04	%		1.02	%(e)		0.99	%
Net investment income		0.78	%		0.45	%		0.60	%		0.48	%		0.66	%
Portfolio turnover rate		53	%		71	%		52	%		52	%		44	%

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

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

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

(d)	Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%.

(f)	Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%.

See accompanying notes to financial statements.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	17.87		$	16.69		$	15.45		$	12.48		$	18.71

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.00	(b)(c)		0.00	(c)		0.02			0.01
Net realized and unrealized gain (loss)		(1.78	)		4.98			1.33			3.06			(2.76	)

Total from Investment Operations		(1.80	)		4.98			1.33			3.08			(2.75	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		(0.00	)(c)		(0.03	)		(0.00	)(c)
Net realized capital gains		(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		(0.90	)		(3.80	)		(0.09	)		(0.11	)		(3.48	)

Net asset value, end of the period	$	15.17		$	17.87		$	16.69		$	15.45		$	12.48

Total return(d)		(10.19	)%(e)		30.24	%(b)(e)		8.91	%(e)		24.66	%(e)		(14.84	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	66,339		$	81,493		$	61,571		$	67,525		$	66,376
Net expenses		1.25	%(f)		1.27	%(f)(g)		1.32	%(f)(h)		1.40	%(f)(i)		1.38	%
Gross expenses		1.37	%		1.43	%		1.53	%		1.47	%		1.38	%
Net investment income (loss)		(0.12	)%		0.01	%(b)		0.02	%		0.12	%		0.03	%
Portfolio turnover rate		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.05), total return would have been 29.95% and the ratio of net investment loss to average net assets would have been (0.25)%.

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

(d)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 1.30% to 1.25%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	6.94		$	8.34		$	7.84		$	6.41		$	11.67

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.04	)		(0.06	)(b)		(0.05	)		(0.05	)		(0.09	)
Net realized and unrealized gain (loss)		(0.70	)		2.45			0.64			1.57			(1.69	)

Total from Investment Operations		(0.74	)		2.39			0.59			1.52			(1.78	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.00	)(c)		(0.01	)		(0.00	)(c)
Net realized capital gains		(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		(0.90	)		(3.79	)		(0.09	)		(0.09	)		(3.48	)

Net asset value, end of the period	$	5.30		$	6.94		$	8.34		$	7.84		$	6.41

Total return(d)		(11.01	)%(e)		29.45	%(b)(e)		8.08	%(e)		23.69	%(e)		(15.51	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,118		$	966		$	983		$	1,450		$	3,480
Net expenses		2.00	%(f)		2.03	%(f)(g)		2.07	%(f)(h)		2.16	%(f)(i)		2.12	%
Gross expenses		2.12	%		2.19	%		2.28	%		2.23	%		2.12	%
Net investment loss		(0.74	)%		(0.67	)%(b)		(0.71	)%		(0.68	)%		(0.83	)%
Portfolio turnover rate		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.10), total return would have been 29.09% and the ratio of net investment loss to average net assets would have been (0.99)%.

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

(d)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 2.05% to 2.00%.

(h)	Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%.

(i)	Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%.

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	18.96		$	17.52		$	16.20		$	13.08		$	19.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.01	(b)		0.04			0.08			0.08
Net realized and unrealized gain (loss)		(1.91	)		5.29			1.42			3.20			(2.86	)

Total from Investment Operations		(1.87	)		5.30			1.46			3.28			(2.78	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.07	)		(0.05	)		(0.08	)		(0.03	)
Net realized capital gains		(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		(0.93	)		(3.86	)		(0.14	)		(0.16	)		(3.51	)

Net asset value, end of the period	$	16.16		$	18.96		$	17.52		$	16.20		$	13.08

Total return(c)		(9.95	)%		30.64	%(b)		9.27	%		25.08	%		(14.48	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,493		$	1,383		$	23		$	21		$	1
Net expenses(d)		0.95	%		0.97	%(e)		1.02	%(f)		1.03	%(g)		0.96	%
Gross expenses		1.10	%		1.19	%		6.54	%		11.80	%		15.17	%
Net investment income		0.22	%		0.03	%(b)		0.31	%		0.52	%		0.43	%
Portfolio turnover rate		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 30.37% and the ratio of net investment income to average net assets would have been 0.03%.

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

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

(e)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%.

(f)	Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%.

(g)	Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%.

See accompanying notes to financial statements.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	18.95		$	17.51		$	16.19		$	13.08		$	19.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.06	(b)		0.04			0.05			0.04
Net realized and unrealized gain (loss)		(1.91	)		5.23			1.41			3.21			(2.84	)

Total from Investment Operations		(1.87	)		5.29			1.45			3.26			(2.80	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.06	)		(0.04	)		(0.07	)		(0.01	)
Net realized capital gains		(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		(0.93	)		(3.85	)		(0.13	)		(0.15	)		(3.49	)

Net asset value, end of the period	$	16.15		$	18.95		$	17.51		$	16.19		$	13.08

Total return		(9.98	)%(c)		30.61	%(b)(c)		9.23	%(c)		24.88	%(c)		(14.61	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	120,585		$	66,054		$	49,315		$	44,482		$	58,538
Net expenses		1.00	%(d)		1.02	%(d)(e)		1.07	%(d)(f)		1.15	%(d)(g)		1.12	%
Gross expenses		1.12	%		1.18	%		1.28	%		1.23	%		1.12	%
Net investment income		0.22	%		0.28	%(b)		0.26	%		0.35	%		0.22	%
Portfolio turnover rate		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.00, total return would have been 30.26% and the ratio of net investment income to average net assets would have been 0.01%.

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

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

(e)	Effective July 1, 2021, the expense limit decreased from 1.05% to 1.00%.

(f)	Effective July 1, 2020, the expense limit decreased from 1.09% to 1.05%.

(g)	Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%.

See accompanying notes to financial statements.

73 |

Notes to Financial Statements

December 31, 2022

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

Loomis Sayles Funds II:

Loomis Sayles International Growth Fund (the “International Growth Fund”)

Natixis Funds Trust I:

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)

Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)

Natixis Funds Trust II:

Natixis Oakmark Fund

Vaughan Nelson Mid Cap Fund (the “Mid Cap Fund”)

Each Fund is a diversified investment company, except for International Growth Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

a. Valuation. Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.

| 74

Notes to Financial Statements (continued)

December 31, 2022

bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service.

The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

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

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

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

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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

75 |

Notes to Financial Statements (continued)

December 31, 2022

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

e. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries (EU reclaims) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as a reduction of foreign taxes withheld in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service (IRS), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.

f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as capital gains taxes, deferred Trustees’ fees, distributions in excess of income and/or capital gain, distribution re-designations, foreign currency gains and losses, corporate actions, passive foreign investment company adjustments, return of capital distributions received and capital gain distribution received. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to capital gains taxes, wash sales, return of capital distributions received, corporate actions, deferred Trustees’ fees, deferral of EU reclaims, capital gain distribution received and passive foreign investment company adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the

| 76

Notes to Financial Statements (continued)

December 31, 2022

Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2022 and 2021 was as follows:


	2022 Distributions						2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
International Growth Fund	$	177,885	$	—	$	177,885	$	410,212	$	—	$	410,212
Natixis Oakmark Fund		2,835,653		51,140,399		53,976,052		1,954,068		22,797,197		24,751,265
Natixis Oakmark International Fund		6,459,857		—		6,459,857		8,301,657		—		8,301,657
U.S. Equity Opportunities Fund		1,935,796		120,599,489		122,535,285		7,131,636		105,015,654		112,147,290
Mid Cap Fund		2,282,950		7,705,713		9,988,663		11,228,135		41,214,262		52,442,397
Small Cap Value Fund		2,901,818		6,755,646		9,657,464		20,173,469		6,185,028		26,358,497

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2022, the components of distributable earnings on a tax basis were as follows:


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			U.S. Equity Opportunities Fund
Undistributed ordinary income	$	—		$	2,372		$	14,369		$	—
Undistributed long-term capital gains		—			—			—			1,466,467

Total undistributed earnings		—			2,372			14,369			1,466,467

Capital loss carryforward:
Short-term:
No expiration date		(318,617	)		—			(7,975,554	)		—
Long-term:
No expiration date		—			—			(112,759,862	)		—

Total capital loss carryforward		(318,617	)		—			(120,735,416	)		—

Late-year ordinary and post-October capital loss deferrals*		—			(5,213,543	)		—			—

Unrealized appreciation (depreciation)		(5,709,638	)		(11,999,426	)		(50,876,126	)		95,518,598

Total accumulated earnings (losses)	$	(6,028,255	)	$	(17,210,597	)	$	(171,597,173	)	$	96,985,065

77 |

Notes to Financial Statements (continued)

December 31, 2022


	Mid Cap Fund			Small Cap Value Fund
Undistributed long-term capital gains	$	—		$	—

Capital loss carryforward:
Short-term:
No expiration date		(16,690,689	)		—
Long-term:
No expiration date		(5,472,473	)		—

Total capital loss carryforward		(22,163,162	)		—

Late-year ordinary and post-October capital loss deferrals*		—			(581,338	)

Unrealized appreciation		34,018,871			3,270,100

Total accumulated earnings	$	11,855,709		$	2,688,762

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Natixis Oakmark Fund and Small Cap Value Fund are deferring capital losses.

As of December 31, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			U.S. Equity Opportunities Fund			Mid Cap Fund			Small Cap Value Fund
Federal tax cost	$	30,058,612		$	358,439,451		$	405,678,484		$	636,754,009		$	229,162,140		$	183,840,590

Gross tax appreciation	$	1,098,009		$	26,981,840		$	32,573,017		$	154,043,740		$	41,968,636		$	15,671,607
Gross tax depreciation		(6,808,226	)		(38,981,266	)		(82,986,954	)		(58,518,007	)		(7,949,765	)		(12,401,507	)

Net tax appreciation (depreciation)	$	(5,710,217	)	$	(11,999,426	)	$	(50,413,937	)	$	95,525,733		$	34,018,871		$	3,270,100

The difference between these amounts and those reported in the components of distributable earnings, if any, are primarily attributable to foreign currency mark-to-market and foreign capital gains taxes.

g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h. Securities Lending. Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended December 31, 2022, none of the Funds had loaned securities under this agreement.

| 78

Notes to Financial Statements (continued)

December 31, 2022

i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

j. New Accounting Pronouncement. In June 2022, the Financial Accounting Standards Board issued Accounting Standards Update 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). ASU 2022-03 clarifies the guidance in ASC 820 related to the measurement of fair value of an equity security subject to contractual sale restrictions, eliminating the ability to apply a discount to the fair value of such securities, and introducing related disclosure requirements. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. Management is currently evaluating the impact of applying this update.

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

•

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

•

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

•

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

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

The Funds’ pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

79 |

Notes to Financial Statements (continued)

December 31, 2022

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2022, at value:

International Growth Fund


Asset Valuation Inputs
Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	1,373,771	$	—	$	1,373,771
Belgium		—		589,601		—		589,601
China		4,107,669		2,688,480		—		6,796,149
Denmark		—		1,361,008		—		1,361,008
France		—		1,280,972		—		1,280,972
Germany		—		697,184		—		697,184
Japan		—		1,120,289		—		1,120,289
Macau		—		282,710		—		282,710
Netherlands		—		855,161		—		855,161
Switzerland		320,444		1,054,476		—		1,374,920
United Kingdom		—		2,469,706		—		2,469,706
United States		1,538,755		1,990,702		—		3,529,457
All Other Common Stocks(a)		2,561,306		—		—		2,561,306

Total Common Stocks	$	8,528,174	$	15,764,060	$	—	$	24,292,234

Short-Term Investments		—		56,161		—		56,161

Total	$	8,528,174	$	15,820,221	$	—	$	24,348,395

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

Natixis Oakmark Fund


Asset Valuation Inputs
Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	336,922,269	$	—	$	—	$	336,922,269
Short-Term Investments		—		9,517,756		—		9,517,756

Total	$	336,922,269	$	9,517,756	$	—	$	346,440,025

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

| 80

Notes to Financial Statements (continued)

December 31, 2022

Natixis Oakmark International Fund


Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	2,597,205	$	—	$	2,597,205
Belgium		—		7,221,690		—		7,221,690
China		3,493,149		17,535,586		—		21,028,735
Denmark		—		4,443,654		—		4,443,654
France		—		54,807,091		—		54,807,091
Germany		—		98,566,854		—		98,566,854
Hong Kong		—		7,679,394		—		7,679,394
India		—		1,594,358		—		1,594,358
Italy		—		11,532,753		—		11,532,753
Japan		—		6,317,319		—		6,317,319
Korea		—		6,762,606		—		6,762,606
Netherlands		—		12,328,165		—		12,328,165
Spain		—		4,909,188		—		4,909,188
Sweden		—		11,259,924		—		11,259,924
Switzerland		—		25,396,818		—		25,396,818
United Kingdom		4,736,892		44,695,423		—		49,432,315
United States		—		1,976,553		—		1,976,553
All Other Common Stocks(a)		15,682,360		—		—		15,682,360

Total Common Stocks		23,912,401		319,624,581		—		343,536,982

Preferred Stocks(a)		—		5,225,566		—		5,225,566
Short-Term Investments		—		6,501,999		—		6,501,999

Total	$	23,912,401	$	331,352,146	$	—	$	355,264,547

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

U.S. Equity Opportunities Fund


Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	729,410,236	$	—	$	—	$	729,410,236
Short-Term Investments		—		2,869,506		—		2,869,506

Total	$	729,410,236	$	2,869,506	$	—	$	732,279,742

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

Mid Cap Fund


Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	256,895,131	$	—	$	—	$	256,895,131
Short-Term Investments		—		6,285,880		—		6,285,880

Total	$	256,895,131	$	6,285,880	$	—	$	263,181,011

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

Small Cap Value Fund


Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	175,907,190	$	—	$	—	$	175,907,190
Short-Term Investments		—		11,203,500		—		11,203,500

Total	$	175,907,190	$	11,203,500	$	—	$	187,110,690

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

81 |

Notes to Financial Statements (continued)

December 31, 2022

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

Natixis Oakmark International Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2022, Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Forward foreign currency contracts
Foreign exchange contracts	$	473,946

Net Change in Unrealized Appreciation (Depreciation) on:	Forward foreign currency contracts
Foreign exchange contracts	$	94,327

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2022:


Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		0.90	%
Highest Notional Amount Outstanding		2.03	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of December 31, 2022		0.00	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

5. Purchases and Sales of Securities. For the year ended December 31, 2022, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
International Growth Fund	$	8,278,874	$	2,327,113
Natixis Oakmark Fund		346,264,953		284,004,614
Natixis Oakmark International Fund		133,972,224		221,944,655
U.S. Equity Opportunities Fund		395,441,524		475,722,271
Mid Cap Fund		154,302,046		217,952,372
Small Cap Value Fund		134,482,918		91,315,366

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to International Growth Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreement, International Growth Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

| 82

Notes to Financial Statements (continued)

December 31, 2022

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $150 million			Next $50 million			Next $300 million			Next $500 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund		0.70	%		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Natixis Oakmark International Fund		0.85	%		0.75	%		0.75	%		0.75	%		0.70	%		0.70	%
U.S. Equity Opportunities Fund		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Mid Cap Fund		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.70	%
Small Cap Value Fund		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%

Prior to July 1, 2022, U.S. Equity Opportunities Fund paid a management fee at the annual rate of 0.75% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.


Natixis Oakmark Fund		Harris Associates L.P. (“Harris”)
Natixis Oakmark International Fund		Harris
U.S. Equity Opportunities Fund		Harris Loomis Sayles
Mid Cap Fund		Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Small Cap Value Fund		Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


			Percentage of Average Daily Net Assets
Fund	Subadviser		First $150 million			Next $50 million			Next $800 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund		Harris		0.52	%		0.52	%		0.50	%		0.50	%		0.50	%
Natixis Oakmark International Fund		Harris		0.60	%		0.50	%		0.50	%		0.45	%		0.45	%
U.S. Equity Opportunities Fund
Large Cap Value Segment		Harris		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%
All Cap Growth Segment		Loomis Sayles		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Mid Cap Fund		Vaughan Nelson		0.47	%		0.47	%		0.47	%		0.47	%		0.44	%
Small Cap Value Fund		Vaughan Nelson		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Loomis Sayles and Natixis Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, except for U.S. Equity Opportunities Fund, which is in effect until April 30, 2024, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

83 |

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
International Growth Fund		1.20	%		1.95	%		0.90	%		0.95	%
Natixis Oakmark Fund		1.05	%		1.80	%		0.75	%		0.80	%
Natixis Oakmark International Fund		1.15	%		1.90	%		0.85	%		0.90	%
U.S. Equity Opportunities Fund		1.15	%		1.90	%		0.85	%		0.90	%
Mid Cap Fund		1.15	%		1.90	%		0.85	%		0.90	%
Small Cap Value Fund		1.25	%		2.00	%		0.95	%		1.00	%

Prior to July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for U.S. Equity Opportunities Fund were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
U.S. Equity Opportunities Fund		1.20	%		1.95	%		0.90	%		0.95	%

Loomis Sayles and Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the year ended December 31, 2022, the management fees and waiver of management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
International Growth Fund	$	166,121	$	166,121	$	—		0.75	%		—	%
Natixis Oakmark Fund		2,959,141		237,489		2,721,652		0.67	%		0.62	%
Natixis Oakmark International Fund		3,278,920		947,991		2,330,929		0.79	%		0.56	%
U.S. Equity Opportunities Fund		6,413,195		—		6,413,195		0.73	%		0.73	%
Mid Cap Fund		2,292,180		141,410		2,150,770		0.75	%		0.70	%
Small Cap Value Fund		1,298,748		186,690		1,112,058		0.85	%		0.73	%

¹	Management fee waivers are subject to possible recovery until December 31, 2023.

In addition, Loomis Sayles reimbursed non-class specific expenses of International Growth Fund in the amount of $5,588. Expense reimbursements are subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the year ended December 31, 2022 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

| 84

Notes to Financial Statements (continued)

December 31, 2022

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the year ended December 31, 2022, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
International Growth Fund	$	288	$	23	$	68
Natixis Oakmark Fund		515,407		141,328		423,983
Natixis Oakmark International Fund		321,347		123,131		369,391
U.S. Equity Opportunities Fund		1,490,974		103,946		311,836
Mid Cap Fund		86,271		22,472		67,417
Small Cap Value Fund		179,777		2,870		8,609

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2022, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
International Growth Fund	$	10,010
Natixis Oakmark Fund		198,579
Natixis Oakmark International Fund		187,904
U.S. Equity Opportunities Fund		397,716
Mid Cap Fund		137,881
Small Cap Value Fund		69,157

d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended December 31, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
International Growth Fund	$	139
Natixis Oakmark Fund		256,839
Natixis Oakmark International Fund		684,893
U.S. Equity Opportunities Fund		266,729
Mid Cap Fund		185,201
Small Cap Value Fund		93,662

85 |

Notes to Financial Statements (continued)

December 31, 2022

As of December 31, 2022, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
International Growth Fund	$	2
Natixis Oakmark Fund		2,668
Natixis Oakmark International Fund		6,200
U.S. Equity Opportunities Fund		2,443
Mid Cap Fund		2,113
Small Cap Value Fund		1,107

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2022 was as follows:


Fund	Commissions
Natixis Oakmark Fund	$	59,461
Natixis Oakmark International Fund		17,871
U.S. Equity Opportunities Fund		18,802
Mid Cap Fund		529
Small Cap Value Fund		2,641

f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2023, each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically.

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

| 86

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
Natixis Oakmark Fund	$	(95,019	)
Natixis Oakmark International Fund		(12,938	)
U.S. Equity Opportunities Fund		(69,538	)
Mid Cap Fund		(24,416	)
Small Cap Value Fund		(30,346	)

Certain officers and employees of Natixis Advisors, Loomis Sayles and affiliates are also officers and/or Trustees of the Trusts.

g. Affiliated Ownership. As of December 31, 2022, Natixis and affiliates held shares of International Growth Fund representing 98.06% of the Fund’s net assets.

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

h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the year ended December 31, 2022, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


	Reimbursement of Transfer Agency Expenses
Fund	Class N
International Growth Fund	$	981
Natixis Oakmark Fund		925
Natixis Oakmark International Fund		947
U.S. Equity Opportunities Fund		906
Mid Cap Fund		1,028
Small Cap Value Fund		942

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the year ended December 31, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
International Growth Fund	$	150	$	12	$	981	$	3,206
Natixis Oakmark Fund		183,953		50,467		925		158,750
Natixis Oakmark International Fund		222,034		85,477		947		410,852
U.S. Equity Opportunities Fund		374,199		25,951		906		153,450
Mid Cap Fund		31,036		8,089		1,028		165,406
Small Cap Value Fund		72,051		1,127		942		77,396

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

87 |

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, Natixis Oakmark Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $4,025,000 at a weighted average interest rate of 4.93%. Interest expense incurred on the line of credit was $2,205.

For the year ended December 31, 2022, Mid Cap Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $5,500,000 at a weighted average interest rate of 4.93%. Interest expense incurred on the line of credit was $753.

9. Risk. The Funds’ investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

The International Growth Fund may invest to a significant extent in variable interest entity (“VIE”) structures. VIE structures can vary, but generally consist of a U.S.-listed company with contractual arrangements, through one or more wholly-owned special purpose vehicles, with a Chinese company that ultimately provides the U.S.-listed company with contractual rights to obtain economic benefits from the Chinese company. The VIE structure enables foreign investors, such as the Fund, to obtain investment exposure similar to that of an equity owner in a Chinese company in situations in which the Chinese government has restricted or prohibited the ownership of such company by foreign investors. The Fund’s exposure to VIE structures may pose additional risks because the VIE structure is not formally recognized under Chinese law. The Chinese government may cease to tolerate VIE structures at any time or impose new restrictions. In addition, Chinese companies using the VIE structure, and listed on stock exchanges in the U.S., could also face delisting or other ramifications for failure to meet the expectations and/or requirements of the U.S. Securities and Exchange Commission, the Public Company Accounting Oversight Board, or other U.S. regulators. Any of these risks could reduce the liquidity and value of these investments or render them valueless.

International Growth Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These and any related events could significantly impact a Fund’s performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.

10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2022, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


	Number of 5% Account Holders		Percentage of Ownership
Fund
Natixis Oakmark International Fund		1		25.13	%
U.S. Equity Opportunities Fund		1		5.09	%
Mid Cap Fund		1		29.14	%
Small Cap Value Fund		2		12.69	%

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

| 88

Notes to Financial Statements (continued)

December 31, 2022

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


	Year Ended December 31, 2022						Year Ended December 31, 2021
International Growth Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		4,118		$	33,249			11,486		$	119,493
Issued in connection with the reinvestment of distributions		71			565			178			1,712

Net change		4,189		$	33,814			11,664		$	121,205

Class C
Issued from the sale of shares		—		$	—			5,141		$	52,756
Issued in connection with the reinvestment of distributions		—			—			56			540
Redeemed		(3,928	)		(33,853	)		(1,268	)		(12,908	)

Net change		(3,928	)	$	(33,853	)		3,929		$	40,388

Class N
Issued from the sale of shares		319,693		$	2,500,000			940,733		$	10,000,000
Issued in connection with the reinvestment of distributions		2,314			18,351			517			5,372
Redeemed		—			—			(46,992	)		(500,000	)

Net change		322,007		$	2,518,351			894,258		$	9,505,372

Class Y
Issued from the sale of shares		374,914		$	3,190,418			24,598		$	256,782
Issued in connection with the reinvestment of distributions		2,707			21,469			388			3,739
Redeemed		(2,822	)		(20,300	)		(2,953	)		(29,891	)

Net change		374,799		$	3,191,587			22,033		$	230,630

Increase from capital share transactions		697,067		$	5,709,899			931,884		$	9,897,595


	Year Ended December 31, 2022						Year Ended December 31, 2021
Natixis Oakmark Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,251,455		$	32,636,811			691,558		$	20,206,685
Issued in connection with the reinvestment of distributions		1,168,653			25,751,399			463,894			13,477,187
Redeemed		(1,134,294	)		(28,656,218	)		(855,457	)		(24,491,426	)

Net change		1,285,814		$	29,731,992			299,995		$	9,192,446

Class C
Issued from the sale of shares		1,217,488		$	26,738,602			546,929		$	13,338,620
Issued in connection with the reinvestment of distributions		492,676			8,476,261			147,029			3,458,822
Redeemed		(734,433	)		(14,940,011	)		(439,521	)		(10,138,945	)

Net change		975,731		$	20,274,852			254,437		$	6,658,497

Class N
Issued from the sale of shares		58		$	1,547			20,230		$	668,794
Issued in connection with the reinvestment of distributions		3,064			73,284			1,354			42,243
Redeemed		(2,888	)		(81,794	)		(14,413	)		(395,951	)

Net change		234		$	(6,963	)		7,171		$	315,086

Class Y
Issued from the sale of shares		6,361,056		$	191,465,914			2,239,599		$	69,629,845
Issued in connection with the reinvestment of distributions		638,488			15,388,143			194,941			6,059,178
Redeemed		(5,757,253	)		(154,617,312	)		(767,848	)		(22,108,885	)

Net change		1,242,291		$	52,236,745			1,666,692		$	53,580,138

Increase from capital share transactions		3,504,070		$	102,236,626			2,228,295		$	69,746,167

89 |

Notes to Financial Statements (continued)

December 31, 2022

11. Capital Shares (continued).


	Year Ended December 31, 2022						Year Ended December 31, 2021
Natixis Oakmark International Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		2,081,450		$	27,188,627			2,335,450		$	36,472,444
Issued in connection with the reinvestment of distributions		108,247			1,369,329			105,442			1,593,676
Redeemed		(2,674,538	)		(34,233,303	)		(1,647,832	)		(25,699,049	)

Net change		(484,841	)	$	(5,675,347	)		793,060		$	12,367,071

Class C
Issued from the sale of shares		146,028		$	1,872,215			335,969		$	5,138,230
Issued in connection with the reinvestment of distributions		23,961			297,840			25,276			376,368
Redeemed		(1,650,271	)		(21,038,433	)		(2,680,195	)		(40,587,344	)

Net change		(1,480,282	)	$	(18,868,378	)		(2,318,950	)	$	(35,072,746	)

Class N
Issued from the sale of shares		145,580		$	2,017,090			27,769		$	415,638
Issued in connection with the reinvestment of distributions		363			4,576			837			12,581
Redeemed		(174,806	)		(2,201,343	)		(2,541	)		(37,341	)

Net change		(28,863	)	$	(179,677	)		26,065		$	390,878

Class Y
Issued from the sale of shares		7,667,504		$	104,077,801			5,468,533		$	86,311,348
Issued in connection with the reinvestment of distributions		303,265			3,815,073			353,698			5,316,490
Redeemed		(12,663,967	)		(169,927,755	)		(4,621,536	)		(71,233,588	)

Net change		(4,693,198	)	$	(62,034,881	)		1,200,695		$	20,394,250

Decrease from capital share transactions		(6,687,184	)	$	(86,758,283	)		(299,130	)	$	(1,920,547	)


	Year Ended December 31, 2022						Year Ended December 31, 2021
U.S. Equity Opportunities Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		682,513		$	23,765,153			706,028		$	30,893,730
Issued in connection with the reinvestment of distributions		2,458,392			77,467,012			1,609,947			68,881,940
Redeemed		(2,488,264	)		(85,464,740	)		(1,953,593	)		(84,776,070	)

Net change		652,641		$	15,767,425			362,382		$	14,999,600

Class C
Issued from the sale of shares		188,655		$	3,147,013			226,043		$	5,356,200
Issued in connection with the reinvestment of distributions		731,774			10,169,356			475,273			10,545,794
Redeemed		(1,134,470	)		(19,010,339	)		(949,764	)		(22,561,088	)

Net change		(214,041	)	$	(5,693,970	)		(248,448	)	$	(6,659,094	)

Class N
Issued from the sale of shares		721		$	30,208			—		$	—
Issued in connection with the reinvestment of distributions		516			20,693			293			15,616
Redeemed		(72	)		(2,729	)		(620	)		(35,725	)

Net change		1,165		$	48,172			(327	)	$	(20,109	)

Class Y
Issued from the sale of shares		1,826,215		$	81,090,815			1,490,330		$	81,108,161
Issued in connection with the reinvestment of distributions		558,904			22,817,734			370,262			19,743,173
Redeemed		(2,555,340	)		(108,147,485	)		(1,682,880	)		(89,109,967	)

Net change		(170,221	)	$	(4,238,936	)		177,712		$	11,741,367

Increase from capital share transactions		269,544		$	5,882,691			291,319		$	20,061,764

| 90

Notes to Financial Statements (continued)

December 31, 2022

11. Capital Shares (continued).


	Year Ended December 31, 2022						Year Ended December 31, 2021
Mid Cap Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		254,188		$	5,207,282			261,646		$	6,416,364
Issued in connection with the reinvestment of distributions		47,991			1,002,920			216,292			4,872,528
Redeemed		(263,346	)		(5,258,953	)		(213,572	)		(5,159,634	)

Net change		38,833		$	951,249			264,366		$	6,129,258

Class C
Issued from the sale of shares		41,957		$	749,400			16,158		$	374,819
Issued in connection with the reinvestment of distributions		13,437			257,591			85,496			1,752,803
Redeemed		(193,780	)		(3,552,548	)		(241,770	)		(5,500,556	)

Net change		(138,386	)	$	(2,545,557	)		(140,116	)	$	(3,372,934	)

Class N
Issued from the sale of shares		157,734		$	3,317,147			2,826,157		$	72,192,384
Issued in connection with the reinvestment of distributions		125,027			2,643,594			531,924			12,118,098
Redeemed		(599,530	)		(12,583,501	)		(205,461	)		(5,123,004	)

Net change		(316,769	)	$	(6,622,760	)		3,152,620		$	79,187,478

Class Y
Issued from the sale of shares		994,932		$	20,936,431			1,675,522		$	41,044,197
Issued in connection with the reinvestment of distributions		271,832			5,776,106			1,387,574			31,819,928
Redeemed		(3,661,665	)		(76,714,966	)		(3,531,602	)		(86,803,876	)

Net change		(2,394,901	)	$	(50,002,429	)		(468,506	)	$	(13,939,751	)

Increase (decrease) from capital share transactions		(2,811,223	)	$	(58,219,497	)		2,808,364		$	68,004,051


	Year Ended December 31, 2022						Year Ended December 31, 2021
Small Cap Value Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		294,742		$	4,937,363			642,790		$	12,042,869
Issued in connection with the reinvestment of distributions		238,814			3,785,851			782,913			13,763,408
Redeemed		(720,255	)		(11,602,583	)		(555,154	)		(10,594,338	)

Net change		(186,699	)	$	(2,879,369	)		870,549		$	15,211,939

Class C
Issued from the sale of shares		269,996		$	1,616,908			6,936		$	66,135
Issued in connection with the reinvestment of distributions		43,643			240,247			49,731			339,165
Redeemed		(53,628	)		(323,660	)		(35,173	)		(333,625	)

Net change		260,011		$	1,533,495			21,494		$	71,675

Class N
Issued from the sale of shares		16,766		$	293,058			59,076		$	1,134,239
Issued in connection with the reinvestment of distributions		4,642			77,738			12,510			233,321
Redeemed		(1,959	)		(31,168	)		(1	)		(27	)

Net change		19,449		$	339,628			71,585		$	1,367,533

Class Y
Issued from the sale of shares		5,751,752		$	96,719,232			793,405		$	16,230,504
Issued in connection with the reinvestment of distributions		313,912			5,212,202			591,535			11,020,292
Redeemed		(2,083,989	)		(35,666,627	)		(714,903	)		(14,531,447	)

Net change		3,981,675		$	66,264,807			670,037		$	12,719,349

Increase from capital share transactions		4,074,436		$	65,258,561			1,633,665		$	29,370,496

91 |

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds II, Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Loomis Sayles International Growth Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Small Cap Value Fund, Natixis Oakmark Fund and Vaughan Nelson Mid Cap Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles International Growth Fund (one of the funds constituting Loomis Sayles Funds II), Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund and Vaughan Nelson Small Cap Value Fund (three of the funds constituting Natixis Funds Trust I), and Natixis Oakmark Fund and Vaughan Nelson Mid Cap Fund (two of the funds constituting Natixis Funds Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2023

We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.

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2022 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2022, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:


Fund	Qualifying Percentage
International Growth Fund		3.25	%
Natixis Oakmark Fund		100.00	%
U.S. Equity Opportunities Fund		100.00	%
Mid Cap Fund		100.00	%
Small Cap Value Fund		59.03	%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2022.


Fund	Amount
Natixis Oakmark Fund	$	51,140,399
U.S. Equity Opportunities Fund		120,599,489
Mid Cap Fund		7,705,713
Small Cap Value Fund		6,755,646

Qualified Dividend Income. For the fiscal year ended December 31, 2022, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2022, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:


Fund	Qualifying Percentage
International Growth Fund		100.00	%
Natixis Oakmark Fund		100.00	%
Natixis Oakmark International Fund		100.00	%
U.S. Equity Opportunities Fund		100.00	%
Mid Cap Fund		100.00	%
Small Cap Value Fund		58.93	%

Foreign Tax Credit. For the year ended December 31, 2022, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:


Fund	Foreign Tax Credit Pass-Through		Foreign Source Income
International Growth Fund	$	27,083	$	392,802
Natixis Oakmark International Fund		1,109,096		12,087,259

93 |

Trustee and Officer Information

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I, Natixis Funds Trust II, and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information includes additional information about the Trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.


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

INDEPENDENT TRUSTEES

Edmond J. English (1953)	Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member	Executive Chairman of Bob’s Discount Furniture (retail)	54 Director, Burlington Stores, Inc. (retail) and Director, Rue Gilt Groupe, Inc. (e-commerce retail)	Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member and Governance Committee Member	Retired	54 Formerly, Director of Triumph Group (aerospace industry)	Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Chairperson of the Contract Review Committee	Retired	54 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member and Governance Committee Member	President, University of Massachusetts	54 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

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Trustee and Officer Information


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

INDEPENDENT TRUSTEES-continued

Maureen B. Mitchell (1951)	Trustee since 2017 Contract Review Committee Member and Governance Committee Member	Retired	54 Director, Sterling Bancorp (bank)	Significant experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

James P. Palermo (1955)	Trustee since 2016 Audit Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity)	54 Director, FutureFuel.io (chemicals and biofuels)	Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee	Professor of Finance at Babson College	54 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Audit Committee Member	Retired	54 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Kirk A. Sykes (1958)	Trustee since 2019 Audit Committee Member and Governance Committee Member	Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance)	54 Advisor Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust)	Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks)

95 |

Trustee and Officer Information


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

INDEPENDENT TRUSTEES-continued

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Audit Committee	Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine	54 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INDEPENDENT TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P.	54 None	Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁴ (1965)	Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II since 2008; President of Loomis Sayles Funds II since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015	President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC	54 None	Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC

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

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

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

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

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Trustee and Officer Information


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

OFFICERS OF THE TRUSTS

Matthew Block (1981)	Treasurer, Principal Financial and Accounting Officer	Since 2022	Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company

Susan McWhan Tobin (1963)	Secretary and Chief Legal Officer	Since 2022	Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019– May 2022) and Senior Vice President and Head of Compliance, US for Natixis Investment Managers (July 2011–March 2019)

Natalie R. Wagner (1979)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since 2021	Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group

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

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

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LOGO

Annual Report

December 31, 2022

AlphaSimplex Global Alternatives Fund

AlphaSimplex Managed Futures Strategy Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			10
Financial Statements			24
Notes to Financial Statements			35

LOGO

ALPHASIMPLEX GLOBAL ALTERNATIVES FUND



Managers		Symbols

Alexander D. Healy, PhD		Class A GAFAX

Kathryn M. Kaminiski, PhD, CAIA®		Class C GAFCX

Timothy J. Kang		Class N GAFNX

Peter A. Lee, CFA®		Class Y GAFYX

Philippe P. Ludi, PhD, CFA®

Robert S. Rickard

AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

Market Conditions

Inflation was the major economic story of 2022. Initially, investors and policy makers generally believed inflation would be transitory. When it became clear that inflation would be more persistent, central banks around the world began raising interest rates, then tightening more aggressively. This was led by the US Federal Reserve, with the UK and Europe farther behind.

As a result, there were strong trends in fixed income, equities, commodities, and the US dollar. These themes were exacerbated by geopolitical events, especially the Russian invasion of Ukraine. The inflationary theme caused interest rates to move higher for most of the year, with flattening or even inverting yield curves at times. Equity markets declined; the S&P 500^®, for example, experienced its worst first half since 1970 and ended the year down 18%. In general, the US dollar strengthened over the year relative to many markets including, notably, the euro; those two currencies achieved parity in the third quarter. Commodities had strong trends in the first half of the year with increasing prices in energies, some agricultural commodities, and base metals.

These general themes were occasionally interrupted over the year, including one risk rally in July and another in October and November, as market participants may have felt that we had reached the end of the inflation/tightening cycle. The fourth quarter generally saw disruptions to the trends of earlier in the year, as equity markets were mostly flat and yields came down slightly; the US dollar also sold off substantially in the fourth quarter.

Another aspect of this year was dispersion between and among markets. The Bank of Japan finally adjusted its 10-year yield in the fourth quarter, leading to a huge rally in the yen, which had been struggling earlier in the year. In China, a zero-Covid policy had led to pressure on commodity markets and outperformance in Chinese-related equity markets; as China relaxed that policy, these markets underperformed. There was also dispersion across the year in individual equity markets, like industrials, when compared to equity markets as a whole.

Performance Results

During the 12 months ended December 31, 2022, Class Y shares of the AlphaSimplex Global Alternatives Fund returned -0.53%. Although the Fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. The Fund outperformed this benchmark, which returned -9.74% for the same period. It is important to note that there are material differences between the Fund and this benchmark.

Explanation of Fund Performance

The Fund seeks to earn returns from sources like those that drive a typical diversified portfolio of hedge funds. Accordingly, the Fund employs two primary sets of strategies. The hedge fund replication component seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as identified by a proprietary quantitative process. The Fund’s alternative risk premia (ARP) component attempts to provide uncorrelated returns reflective of the diversifying and opportunistic trading strategies employed by hedge funds.

When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but incurs losses when the price falls. When the Fund takes on a “short” exposure, the short exposure generally experiences losses as the price of the underlying security rises but profits as the price falls. The Fund typically makes extensive use of futures and forward contracts on global stock indices, fixed income securities, currencies, and commodities, as well as long and short (through equity basket total return swaps and/or short sales) positions in single-name equities. As market events unfold, these exposures result in a profit or loss for the Fund.

1 |

During 2022, the Fund’s gains were driven by the alternative risk premia strategies, especially the trend/momentum models. The Fund’s hedge fund replication models detracted from performance due to losses from equities.

Alternative Risk Premia. The ARP component of the portfolio returned approximately 1.22% for the year. The Trend/Momentum category contributed most strongly to performance, driven primarily by commodities, with additional gains from fixed income and currencies. Carry/Curve models also contributed positively, as the yield-curve reversion model saw positive performance throughout the year. Commodity carry provided additional gains from nickel and heating oil. Event, Value, and Structural/Flow models detracted from performance. The Event category saw losses primarily from models that shorted companies involved in ESG controversies and a model that shorts equities involved in crowded momentum trades. These losses were partially offset by gains from a model that replicates activist positioning. The Value category saw a small loss in its equity profitability model. The Structural/Flow category was more mixed, with gains from low-volatility equity models and from currency models outweighed by losses from a trade that was in place earlier in the year, which attempted to benefit from yield curve differences.

Hedge Fund Replication. The Fund’s hedge fund replication models returned approximately -2.95% in total. Losses came from equities, which generally declined over the year. The largest losses were in US equities, particularly the Russell 2000 and S&P 500^®. In contrast, these models had gains from fixed income, commodities, and currencies. In fixed income, gains came from short exposure to the US 10-year and 2-year Notes, with additional gains from short positions in the German Bund and UK Gilt. Commodity gains were driven by long exposure to energies and base metals, especially early in the year. As the US dollar strengthened over the year, the Fund had gains from short positions in foreign currencies (long USD), particularly the Japanese yen and euro.

In order to control inflation, the Federal Reserve implemented a series of rate hikes, raising the target rate from 0.00% – 0.25% to a range of 4.25% – 4.50%. As a result, the contribution from the Fund’s cash portfolio was 1.20%. The Fund’s portfolio is adjusted on a daily and monthly basis to incorporate new information about hedge funds’ exposures and changing market dynamics or to update risk premia positioning, and on a daily basis to control risk. The risk control mechanism is designed to target an average annual volatility of 9% or less — greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2022 was 7.1%, which is in line with our expectations and consistent with its long-term average. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

2022 was a difficult year for most traditional markets. Many of the same themes will be in force in 2023. The main question will be whether we are past the peak of inflation and if so, whether inflation will level off enough that central banks can ease the pace of tightening. A fear of recession may affect markets, but it is also possible that investors will see buying opportunities in equities that have diminished in value this year. These concerns will have knock-on effects for the yield curve and currencies, as will the pace of central bank policy. And, of course, geopolitical uncertainty and the Covid-19 pandemic have not gone away, and may continue to affect many markets.

| 2

ALPHASIMPLEX GLOBAL ALTERNATIVES FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2012 through December 31, 2022

LOGO

Average Annual Total Returns – December 31, 2022³



										Life of Class N			Expense Ratios⁴
	1 Year			5 Year			10 Year			Life of Class N			Gross			Net

Class Y
NAV		-0.53	%		0.47	%		2.49	%		—	%		1.38	%		1.27	%

Class A
NAV		-0.80			0.20			2.22			—			1.63			1.52
With 5.75% Maximum Sales Charge		-6.52			-0.97			1.62			—

Class C
NAV		-1.51			-0.55			1.61			—			2.38			2.27
With CDSC¹		-2.41			-0.55			1.61			—

Class N (Inception 5/1/13)
NAV		-0.56			0.49			—			1.84			1.99			1.22

Comparative Performance
Barclay Fund of Funds Index²		-9.74			1.10			2.21			1.86

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

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by BarclayHedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others. The performance of the Index reflects the managed fees and other expenses of both the funds of funds in the Index and the hedge funds in which these fund of funds invest.

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

3 |

ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND



Managers		Symbols

Alexander D. Healy, PhD		Class A AMFAX

Kathryn M. Kaminski, PhD, CAIA®		Class C ASFCX

Philippe P. Ludi, PhD, CFA®		Class N AMFNX

John C. Perry, PhD		Class Y ASFYX

Robert S. Rickard

AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

Market Conditions

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the AlphaSimplex Managed Futures Strategy Fund returned 35.65%. Although the Fund does not seek to track any particular index, the Credit Suisse Managed Futures Liquid Index may be used as a benchmark for performance analysis. The Fund outperformed this benchmark, which returned 22.13% over the same period. Another index that may be used for performance analysis is the SG Trend Index as it reflects a peer group of diversified, primarily trend-following investment managers. The Fund outperformed this benchmark, which returned 27.35% over the same period. It is important to note that there are material differences between the Fund and these benchmarks.

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to identify trends in global stock, fixed income, currency, and commodity markets. When the Fund takes on a “long” exposure to a market, that exposure generally profits as the price of the underlying security rises but suffers losses when its price falls; when it takes on a “short” exposure, that exposure generally suffers losses as the price of the underlying security rises but profits as its price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.

The Fund’s performance benefited from several strong macroeconomic trends in global markets, especially in fixed income.

In fixed income, bond prices declined over the year due to central bank interventions, which included multiple rate hikes. The Fund’s short positions provided gains, particularly in international developed markets. The largest gains came from the French 10-year Notes (OAT) and British Gilt, as well as from German bonds. Short positions in the US, especially debt contracts with shorter maturities (2- and 5-year notes), also provided strong gains. Short positions in short-term interest rate markets also contributed positively. Long

| 4

ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND

positions in commodities also provided positive performance in 2022, with the largest gains coming from being long in energy markets during the first half of the year. The US dollar generally strengthened over the year; the Fund had gains from its short positions in foreign currencies (long USD), particularly during the third quarter. The largest gains came from the Japanese yen, euro, and British pound. Equities detracted across the board as these markets were prone to reversals throughout the year, with losses concentrated in long positions in both international developed markets and US markets, especially the S&P 500^®.

During 2022, all three model types contributed positively to performance, with the Adaptive and Basic Multi-Trend approaches outperforming the Short-Horizon models.

In order to control inflation, the Federal Reserve implemented a series of rate hikes, raising the target rate from 0.00% – 0.25% to a range of 4.25% – 4.50%. As a result, the contribution from the Fund’s cash portfolio was 1.70%. The Fund’s portfolio is adjusted on a daily basis to reflect market trends as well as to control risk. The risk control mechanism is designed to target an annualized portfolio volatility of 17% or less. The Fund’s realized volatility in 2022 was 16.0%, which is consistent with our risk management objectives. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

December 31, 2012 through December 31, 2022

LOGO

5 |

Average Annual Total Returns – December 31, 2022⁴



	1 Year			5 Year			10 Year			Life of Class N			Expense Ratios⁵
	1 Year			5 Year			10 Year			Life of Class N			Gross			Net

Class Y
NAV		35.65	%		8.66	%		7.57	%		—	%		1.51	%		1.47	%

Class A
NAV		35.37			8.41			7.31			—			1.76			1.72
With 5.75% Maximum Sales Charge		27.54			7.14			6.67			—

Class C
NAV		34.27			7.60			6.66			—			2.51			2.47
With CDSC¹		33.28			7.60			6.66			—

Class N (Inception 5/01/17)
NAV		35.93			8.81			—			8.98			1.38			1.38

COMPARATIVE PERFORMANCE
Credit Suisse Managed Futures Liquid Index²		22.13			4.05			4.82			4.17
SG Trend Index³		27.35			8.18			5.74			7.99

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

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including equities, fixed-income, commodities and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index.

3	SG Trend Index is equal-weighted, reconstituted and rebalanced annually. The index calculates the net daily rate of return for a pool of Commodity Trading Advisors (CTAs) selected from the larger managers that are open to new investment. AlphaSimplex Group, LLC is part of this index.

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

| 6

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

PROXY VOTING INFORMATION

A description of the Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA^® and Chartered Financial Analyst^® are registered trademarks owned by the CFA Institute.

7 |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2022 through December 31, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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


ALPHASIMPLEX GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,021.40		$7.59
Hypothetical (5% return before expenses)		$1,000.00		$1,017.69		$7.58
Class C
Actual		$1,000.00		$1,018.30		$11.40
Hypothetical (5% return before expenses)		$1,000.00		$1,013.91		$11.37
Class N
Actual		$1,000.00		$1,023.30		$6.07
Hypothetical (5% return before expenses)		$1,000.00		$1,019.21		$6.06
Class Y
Actual		$1,000.00		$1,023.60		$6.27
Hypothetical (5% return before expenses)		$1,000.00		$1,019.01		$6.26

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.49%, 2.24%, 1.19% and 1.23% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

| 8


ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$989.10		$8.47
Hypothetical (5% return before expenses)		$1,000.00		$1,016.69		$8.59
Class C
Actual		$1,000.00		$985.10		$12.16
Hypothetical (5% return before expenses)		$1,000.00		$1,012.96		$12.33
Class N
Actual		$1,000.00		$991.30		$6.52
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.61
Class Y
Actual		$1,000.00		$989.40		$7.17
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$7.27

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.69%, 2.43%, 1.30% and 1.43% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

9 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund


Shares		Description	Value (†)
	Common Stocks — 17.1% of Net Assets
		Aerospace & Defense — 0.3%
	516	General Dynamics Corp.	$	128,025
	3,125	Howmet Aerospace, Inc.		123,156
	440	Lockheed Martin Corp.		214,056
	2,103	Mercury Systems, Inc.(a)		94,088

				559,325

		Air Freight & Logistics — 0.2%
	2,195	Expeditors International of Washington, Inc.		228,104
	1,387	United Parcel Service, Inc., Class B		241,116

				469,220

		Auto Components — 0.1%
	4,250	Gentex Corp.		115,897

		Automobiles — 0.2%
	582	Ferrari NV		124,676
	1,917	Tesla, Inc.(a)		236,136

				360,812

		Banks — 0.9%
	2,598	Citigroup, Inc.		117,507
	962	City Holding Co.		89,553
	1,849	Community Trust Bancorp, Inc.		84,925
	4,282	First Financial Corp.		197,315
	1,501	Great Southern Bancorp, Inc.		89,294
	65,949	Lakeland Bancorp, Inc.		1,161,362
	297	Signature Bank		34,220
	1,565	Westamerica BanCorp.		92,351

				1,866,527

		Beverages — 0.2%
	426	Brown-Forman Corp., Class B		27,980
	484	Coca-Cola Co. (The)		30,787
	453	Constellation Brands, Inc., Class A		104,983
	943	PepsiCo, Inc.		170,362
	10,828	Primo Water Corp.		168,267

				502,379

		Biotechnology — 0.5%
	1,489	AbbVie, Inc.		240,637
	4,608	Alkermes PLC(a)		120,407
	875	Amgen, Inc.		229,810
	105	Biogen, Inc.(a)		29,077
	3,257	Gilead Sciences, Inc.		279,613
	10,510	Ironwood Pharmaceuticals, Inc.(a)		130,219

				1,029,763

		Building Products — 0.4%
	959	Allegion PLC		100,944
	236	Builders FirstSource, Inc.(a)		15,312
	394	Carlisle Cos., Inc.		92,846
	2,181	Johnson Controls International PLC		139,584
	1,380	Masonite International Corp.(a)		111,242
	4,861	Resideo Technologies, Inc.(a)		79,963
	640	Trane Technologies PLC		107,578
	2,932	Trex Co., Inc.(a)		124,112

				771,581

		Capital Markets — 0.9%
	7,005	Bain Capital Specialty Finance, Inc.		83,359
	5,909	Brightsphere Investment Group, Inc.		121,607
	1,114	Cboe Global Markets, Inc.		139,774
	1,869	Charles Schwab Corp. (The)		155,613
	510	CME Group, Inc.		85,762
	4,005	Federated Hermes, Inc., Class B		145,422
		Capital Markets — continued
	340	Goldman Sachs Group, Inc. (The)	$	116,749
	1,025	Intercontinental Exchange, Inc.		105,155
	5,071	Invesco Ltd.		91,227
	5,294	Janus Henderson Group PLC		124,515
	4,087	Lazard Ltd., Class A		141,696
	651	LPL Financial Holdings, Inc.		140,727
	579	MarketAxess Holdings, Inc.		161,477
	476	Morningstar, Inc.		103,097
	1,142	T. Rowe Price Group, Inc.		124,546
	4,366	Victory Capital Holdings, Inc., Class A		117,140

				1,957,866

		Chemicals — 0.2%
	48	Albemarle Corp.		10,409
	48	CF Industries Holdings, Inc.		4,090
	1,040	Corteva, Inc.		61,131
	1,323	International Flavors & Fragrances, Inc.		138,703
	325	NewMarket Corp.		101,111
	1,899	Olin Corp.		100,533

				415,977

		Commercial Services & Supplies — 0.8%
	398	Cintas Corp.		179,745
	4,682	Ennis, Inc.		103,753
	29,803	IAA, Inc.(a)		1,192,120
	218	Republic Services, Inc.		28,120
	890	Waste Management, Inc.		139,623

				1,643,361

		Communications Equipment — 0.1%
	4,515	Cisco Systems, Inc.		215,095

		Construction & Engineering — 0.3%
	3,246	AECOM		275,683
	9,256	MDU Resources Group, Inc.		280,827

				556,510

		Construction Materials — 0.1%
	625	Vulcan Materials Co.		109,444

		Consumer Finance — 0.1%
	2,503	Nelnet, Inc., Class A		227,147

		Containers & Packaging — 0.2%
	3,216	Sealed Air Corp.		160,414
	1,861	Silgan Holdings, Inc.		96,474
	1,685	Sonoco Products Co.		102,297

				359,185

		Distributors — 0.1%
	588	Genuine Parts Co.		102,024
	2,732	LKQ Corp.		145,916

				247,940

		Diversified Consumer Services — 0.1%
	1,522	Grand Canyon Education, Inc.(a)		160,814

		Diversified Financial Services — 0.1%
	7,735	Banco Latinoamericano de Comercio Exterior S.A.		125,307

		Diversified Telecommunication Services — 0.0%
	421	Verizon Communications, Inc.		16,587

		Electric Utilities — 0.4%
	944	Alliant Energy Corp.		52,118
	401	American Electric Power Co., Inc.		38,075
	748	Avangrid, Inc.		32,149
	1,387	Duke Energy Corp.		142,847
	412	Edison International		26,211
	253	Entergy Corp.		28,463

See accompanying notes to consolidated financial statements.

| 10

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		Electric Utilities — continued
	422	Evergy, Inc.	$	26,556
	441	Eversource Energy		36,973
	811	Exelon Corp.		35,060
	6,099	FirstEnergy Corp.		255,792
	717	Hawaiian Electric Industries, Inc.		30,006
	388	IDACORP, Inc.		41,846
	374	MGE Energy, Inc.		26,330
	753	OGE Energy Corp.		29,781
	374	Pinnacle West Capital Corp.		28,439
	604	Portland General Electric Co.		29,596
	1,371	PPL Corp.		40,061
	668	Xcel Energy, Inc.		46,834

				947,137

		Electrical Equipment — 0.2%
	1,443	AMETEK, Inc.		201,616
	915	Eaton Corp. PLC		143,609
	1,303	Emerson Electric Co.		125,166

				470,391

		Electronic Equipment, Instruments & Components — 0.3%
	1,554	Amphenol Corp., Class A		118,321
	5,285	Flex Ltd.(a)		113,416
	1,947	Insight Enterprises, Inc.(a)		195,226
	2,084	OSI Systems, Inc.(a)		165,720
	918	TE Connectivity Ltd.		105,386

				698,069

		Energy Equipment & Services — 0.0%
	352	Halliburton Co.		13,851
	1,280	Schlumberger Ltd.		68,429

				82,280

		Entertainment — 0.1%
	929	Electronic Arts, Inc.		113,505
	2,208	World Wrestling Entertainment, Inc., Class A		151,292

				264,797

		Food & Staples Retailing — 0.3%
	184	Costco Wholesale Corp.		83,996
	1,917	Sysco Corp.		146,555
	3,108	U.S. Foods Holding Corp.(a)		105,734
	2,667	Walmart, Inc.		378,154

				714,439

		Food Products — 0.6%
	602	Campbell Soup Co.		34,164
	970	Conagra Brands, Inc.		37,539
	1,004	Flowers Foods, Inc.		28,855
	950	Freshpet, Inc.(a)		50,132
	587	General Mills, Inc.		49,220
	1,266	Hershey Co. (The)		293,168
	1,156	Hormel Foods Corp.		52,656
	934	Ingredion, Inc.		91,467
	353	J.M. Smucker Co. (The)		55,936
	1,392	John B Sanfilippo & Son, Inc.		113,197
	718	Kellogg Co.		51,150
	719	Kraft Heinz Co. (The)		29,270
	433	Lancaster Colony Corp.		85,431
	690	McCormick & Co., Inc.		57,194
	453	Mondelez International, Inc., Class A		30,192
	2,493	TreeHouse Foods, Inc.(a)		123,104
	1,242	Tyson Foods, Inc., Class A		77,315

				1,259,990

		Gas Utilities — 0.1%
	2,056	Southwest Gas Holdings, Inc.	$	127,225
	5,215	Suburban Propane Partners LP		79,164

				206,389

		Health Care Equipment & Supplies — 0.2%
	1,751	Baxter International, Inc.		89,248
	778	Becton Dickinson & Co.		197,845
	68	Medtronic PLC		5,285
	214	Shockwave Medical, Inc.(a)		44,001

				336,379

		Health Care Providers & Services — 0.9%
	1,320	AMN Healthcare Services, Inc.(a)		135,722
	329	Chemed Corp.		167,931
	1,435	CVS Health Corp.		133,728
	2,886	Encompass Health Corp.		172,612
	307	Humana, Inc.		157,242
	688	Laboratory Corp. of America Holdings		162,010
	399	McKesson Corp.		149,673
	857	ModivCare, Inc.(a)		76,899
	6,023	Premier, Inc., Class A		210,684
	749	Quest Diagnostics, Inc.		117,174
	905	UnitedHealth Group, Inc.		479,813

				1,963,488

		Health Care Technology — 0.1%
	4,074	HealthStream, Inc.(a)		101,198

		Hotels, Restaurants & Leisure — 0.2%
	935	Hilton Worldwide Holdings, Inc.		118,147
	82	McDonald’s Corp.		21,609
	2,896	MGM Resorts International		97,103
	6,741	Wendy’s Co. (The)		152,549
	978	Yum! Brands, Inc.		125,262

				514,670

		Household Durables — 0.1%
	1,166	Garmin Ltd.		107,610
	7,685	Newell Brands, Inc.		100,520
	4,023	Sonos, Inc.(a)		67,989

				276,119

		Household Products — 0.4%
	396	Church & Dwight Co., Inc.		31,922
	6,146	Colgate-Palmolive Co.		484,243
	1,284	Kimberly-Clark Corp.		174,303
	294	Procter & Gamble Co. (The)		44,559
	3,497	Reynolds Consumer Products, Inc.		104,840

				839,867

		Independent Power & Renewable Electricity Producers — 0.2%
	4,940	AES Corp. (The)		142,075
	1,382	NextEra Energy Partners LP		96,864
	4,566	Vistra Corp.		105,931

				344,870

		Industrial Conglomerates — 0.2%
	1,704	3M Co.		204,344
	1,703	General Electric Co.		142,694
	432	Honeywell International, Inc.		92,578

				439,616

		Insurance — 0.5%
	1,296	Aflac, Inc.		93,234
	592	Erie Indemnity Co., Class A		147,242
	466	Loews Corp.		27,182
	2,416	Marsh & McLennan Cos., Inc.		399,800
	901	Progressive Corp. (The)		116,869
	327	Safety Insurance Group, Inc.		27,553

See accompanying notes to consolidated financial statements.

11 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		Insurance — continued
	141	Travelers Cos., Inc. (The)	$	26,436
	74	White Mountains Insurance Group Ltd.		104,660
	723	Willis Towers Watson PLC		176,831

				1,119,807

		IT Services — 0.5%
	2,466	Amdocs Ltd.		224,159
	335	Automatic Data Processing, Inc.		80,018
	62	Cloudflare, Inc., Class A(a)		2,803
	1,502	CSG Systems International, Inc.		85,914
	1,364	Fiserv, Inc.(a)		137,860
	1,678	GoDaddy, Inc., Class A(a)		125,548
	713	International Business Machines Corp.		100,455
	482	Jack Henry & Associates, Inc.		84,620
	39	Mastercard, Inc., Class A		13,561
	1,317	Paychex, Inc.		152,193
	7	Visa, Inc., Class A		1,454
	10,250	Western Union Co. (The)		141,143

				1,149,728

		Leisure Products — 0.0%
	1,448	Hasbro, Inc.		88,342

		Life Sciences Tools & Services — 0.3%
	462	Danaher Corp.		122,624
	690	Medpace Holdings, Inc.(a)		146,563
	1,867	QIAGEN NV(a)		93,107
	361	Thermo Fisher Scientific, Inc.		198,799

				561,093

		Machinery — 0.4%
	3,414	Allison Transmission Holdings, Inc.		142,022
	579	Caterpillar, Inc.		138,705
	348	Deere & Co.		149,209
	1,478	Illinois Tool Works, Inc.		325,603
	942	Lincoln Electric Holdings, Inc.		136,110

				891,649

		Marine — 0.1%
	2,017	Kirby Corp.(a)		129,794
	2,727	Star Bulk Carriers Corp.		52,440
	4,760	ZIM Integrated Shipping Services Ltd.		81,825

				264,059

		Media — 0.1%
	3,068	New York Times Co. (The), Class A		99,587
	16,784	Sirius XM Holdings, Inc.		98,019

				197,606

		Metals & Mining — 0.2%
	22	Alcoa Corp.		1,001
	2,579	Freeport-McMoRan, Inc.		98,002
	857	Royal Gold, Inc.		96,601
	2,393	Southern Copper Corp.		144,513
	1,064	United States Steel Corp.		26,653

				366,770

		Multi-Utilities — 0.3%
	475	Ameren Corp.		42,237
	751	Avista Corp.		33,299
	5,203	Brookfield Infrastructure Partners LP		161,241
	812	CenterPoint Energy, Inc.		24,352
	553	CMS Energy Corp.		35,022
	425	Consolidated Edison, Inc.		40,507
	1,042	DTE Energy Co.		122,466
	1,374	NiSource, Inc.		37,675
	545	NorthWestern Corp.		32,340
	690	Public Service Enterprise Group, Inc.		42,276
		Multi-Utilities — continued
	388	WEC Energy Group, Inc.	$	36,379

				607,794

		Multiline Retail — 0.1%
	193	Dillard’s, Inc., Class A		62,378
	181	Dollar General Corp.		44,571
	63	Macy’s, Inc.		1,301
	997	Target Corp.		148,593

				256,843

		Oil, Gas & Consumable Fuels — 0.6%
	1,774	California Resources Corp.		77,187
	940	Cheniere Energy Partners LP		53,458
	829	Chesapeake Energy Corp.		78,233
	1,620	ConocoPhillips		191,160
	195	Coterra Energy, Inc.		4,791
	1,703	CVR Energy, Inc.		53,372
	109	Devon Energy Corp.		6,705
	20	Diamondback Energy, Inc.		2,736
	8,062	Enterprise Products Partners LP		194,455
	408	EOG Resources, Inc.		52,844
	522	Exxon Mobil Corp.		57,577
	11	Hess Corp.		1,560
	2,325	Marathon Oil Corp.		62,938
	33	Marathon Petroleum Corp.		3,841
	1,809	Peabody Energy Corp.(a)		47,794
	301	Pioneer Natural Resources Co.		68,745
	4,383	Sunoco LP		188,907
	789	Targa Resources Corp.		57,991
	611	Valero Energy Corp.		77,511

				1,281,805

		Personal Products — 0.0%
	1,805	USANA Health Sciences, Inc.(a)		96,026

		Pharmaceuticals — 0.3%
	1,157	Bristol-Myers Squibb Co.		83,246
	3,897	Elanco Animal Health, Inc.(a)		47,621
	7,367	Innoviva, Inc.(a)		97,613
	799	Johnson & Johnson		141,143
	989	Merck & Co., Inc.		109,730
	941	Zoetis, Inc.		137,904

				617,257

		Professional Services — 0.3%
	1,883	CoStar Group, Inc.(a)		145,518
	1,463	Exponent, Inc.		144,969
	1,192	FTI Consulting, Inc.(a)		189,290
	1,714	TriNet Group, Inc.(a)		116,209
	529	Verisk Analytics, Inc.		93,326

				689,312

		Real Estate Management & Development — 0.1%
	1,787	Howard Hughes Corp. (The)(a)		136,563
	5,618	Kennedy-Wilson Holdings, Inc.		88,371

				224,934

		REITs – Apartments — 0.0%
	177	Mid-America Apartment Communities, Inc.		27,787

		REITs – Diversified — 0.1%
	2,125	Gaming & Leisure Properties, Inc.		110,691
	6,385	Gladstone Commercial Corp.		118,123
	402	W.P. Carey, Inc.		31,416

				260,230

		REITs – Mortgage — 0.1%
	17,256	Dynex Capital, Inc.		219,496
	5,866	KKR Real Estate Finance Trust, Inc.		81,890

				301,386

See accompanying notes to consolidated financial statements.

| 12

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		REITs – Office Property — 0.0%
	1,989	Easterly Government Properties, Inc.	$	28,383
	1,902	Equity Commonwealth		47,493

				75,876

		REITs – Shopping Centers — 0.0%
	390	Alexander’s, Inc.		85,823

		REITs – Single Tenant — 0.1%
	3,388	Four Corners Property Trust, Inc.		87,851
	893	Getty Realty Corp.		30,228
	474	Realty Income Corp.		30,066

				148,145

		REITs – Storage — 0.0%
	330	Public Storage		92,463

		Road & Rail — 0.2%
	6,483	Heartland Express, Inc.		99,449
	448	Old Dominion Freight Line, Inc.		127,133
	1,164	Union Pacific Corp.		241,030

				467,612

		Semiconductors & Semiconductor Equipment — 0.2%
	258	Broadcom, Inc.		144,256
	240	Enphase Energy, Inc.(a)		63,590
	2,988	Intel Corp.		78,973
	765	ON Semiconductor Corp.(a)		47,713
	546	Texas Instruments, Inc.		90,210

				424,742

		Software — 0.7%
	611	CyberArk Software Ltd.(a)		79,216
	634	Datadog, Inc., Class A(a)		46,599
	1,301	Dolby Laboratories, Inc., Class A		91,773
	5,666	Gen Digital, Inc.		121,422
	1,415	Microsoft Corp.		339,345
	49	New Relic, Inc.(a)		2,766
	267	Palo Alto Networks, Inc.(a)		37,257
	1,019	PTC, Inc.(a)		122,321
	558	Roper Technologies, Inc.		241,106
	628	Salesforce, Inc.(a)		83,267
	3,433	SentinelOne, Inc., Class A(a)		50,087
	191	ServiceNow, Inc.(a)		74,160
	338	Tyler Technologies, Inc.(a)		108,975
	1,136	Workiva, Inc.(a)		95,390

				1,493,684

		Specialty Retail — 0.5%
	1,049	Home Depot, Inc. (The)		331,337
	1,012	Lowe’s Cos., Inc.		201,631
	470	Murphy USA, Inc.		131,384
	138	O’Reilly Automotive, Inc.(a)		116,476
	319	RH(a)		85,234
	782	Tractor Supply Co.		175,926

				1,041,988

		Technology Hardware, Storage & Peripherals — 0.2%
	1,822	Apple, Inc.		236,732
	26	HP, Inc.		699
	1,651	Seagate Technology Holdings PLC		86,859
	5,116	Xerox Holdings Corp.		74,694

				398,984

		Textiles, Apparel & Luxury Goods — 0.0%
	240	Lululemon Athletica, Inc.(a)		76,891

		Thrifts & Mortgage Finance — 0.3%
	11,922	Capitol Federal Financial, Inc.		103,125
	9,494	Columbia Financial, Inc.(a)		205,260
	3,786	Essent Group Ltd.		147,200
	10,115	MGIC Investment Corp.		131,495
		Thrifts & Mortgage Finance — continued
	6,056	NMI Holdings, Inc., Class A(a)	$	126,571

				713,651

		Tobacco — 0.1%
	1,952	Altria Group, Inc.		89,226
	959	Philip Morris International, Inc.		97,060

				186,286

		Trading Companies & Distributors — 0.4%
	5,783	Fastenal Co.		273,652
	1,969	GMS, Inc.(a)		98,056
	2,280	MSC Industrial Direct Co., Inc., Class A		186,276
	243	United Rentals, Inc.(a)		86,367
	276	W.W. Grainger, Inc.		153,525

				797,876

		Water Utilities — 0.1%
	1,081	American States Water Co.		100,046
	2,030	Essential Utilities, Inc.		96,892

				196,938

		Wireless Telecommunication Services — 0.2%
	2,373	T-Mobile US, Inc.(a)		332,220

		Total Common Stocks (Identified Cost $37,007,125)		36,706,043


	Closed-End Investment Companies — 0.1%
	15,691	Golub Capital BDC, Inc. (Identified Cost $245,363)		206,493


Principal Amount
	Short-Term Investments — 74.9%
		Certificates of Deposit — 30.9%
$	10,000,000	Sumitomo Mitsui Trust (NY), 4.270%, 1/04/2023		10,000,003
	8,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), SOFR + 0.320%, 4.620%, 2/23/2023(b)		7,999,666
	5,000,000	Sumitomo Mitsui Banking Corp.(NY), SOFR + 0.400%, 4.700%, 3/16/2023(b)		5,000,274
	5,000,000	Bank of America N.A., 5.050%, 4/12/2023		5,007,247
	10,000,000	Mizuho Bank Ltd. (NY), 5.000%, 4/28/2023		10,005,291
	5,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 5.280%, 5/17/2023		5,006,112
	8,000,000	Bank of Nova Scotia, SOFR + 0.700%, 5.000%, 8/17/2023(b)		8,011,229
	5,000,000	Canadian Imperial Bank of Commerce (NY), 5.200%, 9/21/2023		4,997,774
	10,000,000	Toronto-Dominion Bank (NY), 5.320%, 9/27/2023		10,001,205

				66,028,801

		Treasuries — 42.8%
	2,000,000	U.S. Treasury Bills, 3.670%, 1/03/2023(c)		2,000,000
	5,000,000	U.S. Treasury Bills, 3.723%, 1/05/2023(c)		4,998,990
	15,000,000	U.S. Treasury Bills, 3.835%-3.910%, 1/10/2023(c)(d)		14,989,448
	2,000,000	U.S. Treasury Bills, 3.723%, 1/12/2023(c)(e)		1,998,264
	5,000,000	U.S. Treasury Bills, 4.015%, 1/17/2023(c)		4,992,847
	5,000,000	U.S. Treasury Bills, 4.033%, 1/24/2023(c)		4,988,798
	9,000,000	U.S. Treasury Bills, 3.643%, 1/31/2023(c)		8,972,420
	7,000,000	U.S. Treasury Bills, 3.905%, 2/07/2023(c)		6,973,391
	5,000,000	U.S. Treasury Bills, 4.041%, 2/09/2023(c)		4,980,053
	6,000,000	U.S. Treasury Bills, 3.920%, 2/14/2023(c)		5,971,795
	6,000,000	U.S. Treasury Bills, 4.000%, 2/23/2023(c)		5,963,891
	10,000,000	U.S. Treasury Bills, 3.735%-4.210%, 3/16/2023(c)(d)		9,917,070
	7,500,000	U.S. Treasury Bills, 4.130%, 3/23/2023(c)		7,430,194

See accompanying notes to consolidated financial statements.

13 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — continued
$	7,500,000	U.S. Treasury Bills, 4.220%, 4/04/2023(c)	$	7,419,064

				91,596,225

		Repurchase Agreements — 1.2%
	2,490,675	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $2,491,173 on 1/03/2023 collateralized by $1,705,800 U.S. Treasury Note, 2.750% due 7/31/2027 valued at $1,617,378; $1,055,200 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $923,218 including accrued interest (Note 2 of Notes to Consolidated Financial Statements)(f)		2,490,675

		Total Short-Term Investments (Identified Cost $160,075,448)		160,115,701


		Total Investments — 92.1% (Identified Cost $197,327,936)		197,028,237
		Other assets less liabilities — 7.9%		16,868,080

		Net Assets — 100.0%	$	213,896,317


	(†)	See Note 2 of Notes to Consolidated Financial Statements.
	(a)	Non-income producing security.
	(b)	Variable rate security. Rate as of December 31, 2022 is disclosed.
	(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(d)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(f)	A portion of the security is held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements.

	REITs	Real Estate Investment Trusts
	SOFR	Secured Overnight Financing Rate

	CHF	Swiss Franc
	NOK	Norwegian Krone
	NZD	New Zealand Dollar
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	ZAR	South African Rand


At December 31, 2022, the Fund had the following open forward foreign currency contracts:
Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		3/15/2023	CHF		S	5,375,000	$	5,814,585	$	5,857,424	$	(42,839	)
UBS AG		3/15/2023	NOK		S	14,000,000		1,419,612		1,433,343		(13,731	)
UBS AG		3/15/2023	NZD		B	2,000,000		1,266,076		1,270,809		4,733
UBS AG		3/15/2023	NZD		B	1,800,000		1,149,188		1,143,728		(5,460	)
UBS AG		3/15/2023	NZD		S	15,400,000		9,873,069		9,785,232		87,837
UBS AG		3/15/2023	PLN		B	1,500,000		333,360		340,341		6,981
UBS AG		3/15/2023	SEK		B	8,000,000		767,356		769,723		2,367
UBS AG		3/15/2023	SEK		B	16,000,000		1,563,761		1,539,446		(24,315	)
UBS AG		3/15/2023	SEK		S	8,000,000		768,307		769,723		(1,416	)
UBS AG		3/15/2023	SGD		B	2,500,000		1,852,072		1,868,598		16,526
UBS AG		3/15/2023	ZAR		S	10,500,000		588,887		614,288		(25,401	)

Total											$	5,282

At December 31, 2022, open long futures contracts were as follows:


Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
3-month SOFR Index		9/19/2023		60	$	14,287,500	$	14,256,000	$	(31,500	)
10 Year Australia Government Bond		3/15/2023		144		11,486,530		11,341,689		(144,841	)
AEX-Index^®		1/20/2023		2		313,010		295,294		(17,716	)
ASX SPI 200^™		3/16/2023		9		1,094,415		1,071,113		(23,302	)
Brazilian Real		1/31/2023		54		1,040,083		1,006,830		(33,253	)
British Pound		3/13/2023		68		5,142,443		5,135,700		(6,743	)
CAC 40^®		1/20/2023		4		285,596		277,054		(8,542	)
Canadian Dollar		3/14/2023		76		5,585,534		5,617,920		32,386
E-mini NASDAQ 100		3/17/2023		19		4,441,001		4,188,455		(252,546	)
E-mini Russell 2000		3/17/2023		340		31,081,260		30,105,300		(975,960	)
E-mini S&P MidCap 400^®		3/17/2023		37		9,286,178		9,037,620		(248,558	)

See accompanying notes to consolidated financial statements.

| 14

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Euro-BTP		3/08/2023		63	$	7,731,969	$	7,345,382	$	(386,587	)
FTSE 100 Index		3/17/2023		15		1,354,967		1,353,903		(1,064	)
FTSE China A50 Index		1/30/2023		407		5,251,083		5,325,188		74,105
FTSE MIB		3/17/2023		2		260,007		253,782		(6,225	)
FTSE/JSE Top 40 Index		3/16/2023		11		449,646		438,414		(11,232	)
Hang Seng China Enterprises Index		1/30/2023		45		1,941,144		1,948,639		7,495
Hang Seng Index^®		1/30/2023		7		888,354		892,998		4,644
IBEX 35		1/20/2023		3		263,788		263,147		(641	)
Indian Rupee		1/27/2023		109		2,626,900		2,631,260		4,360
Japanese Yen		3/13/2023		10		921,314		963,375		42,061
Mexican Peso		3/13/2023		231		5,766,421		5,846,610		80,189
MSCI EAFE Index		3/17/2023		48		4,786,680		4,678,560		(108,120	)
MSCI Emerging Markets Index		3/17/2023		274		13,499,685		13,143,780		(355,905	)
STOXX Europe 600		3/17/2023		397		9,292,460		9,011,456		(281,004	)
TOPIX		3/09/2023		33		4,872,828		4,756,134		(116,694	)

Total									$	(2,765,193	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/15/2023		8	$	475,415	$	474,402	$	(1,013	)
Brent Crude Oil		1/31/2023		48		4,172,299		4,123,680		(48,619	)
Copper		3/29/2023		45		4,278,004		4,286,813		8,809
Corn		3/14/2023		53		1,740,851		1,798,025		57,174
Gasoline		1/31/2023		3		263,164		312,266		49,102
Low Sulfur Gasoil		2/10/2023		10		827,150		906,000		78,850
New York Harbor ULSD		1/31/2023		11		1,457,390		1,522,290		64,900
Soybean Meal		3/14/2023		41		1,739,409		1,931,100		191,691
Soybean Oil		3/14/2023		70		2,832,833		2,690,940		(141,893	)
Sugar		2/28/2023		36		818,617		808,013		(10,604	)
Zinc LME		3/15/2023		14		1,045,030		1,041,775		(3,255	)

Total									$	245,142

At December 31, 2022, open short futures contracts were as follows:


Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		3/31/2023		20	$	4,098,777	$	4,101,563	$	(2,786	)
3 Year Australia Government Bond		3/15/2023		12		883,911		872,550		11,361
3-month SONIA Index		6/20/2023		8		2,308,549		2,313,930		(5,381	)
5 Year U.S. Treasury Note		3/31/2023		25		2,709,714		2,698,242		11,472
10 Year Canada Government Bond		3/22/2023		50		4,530,997		4,525,480		5,517
10 Year U.S. Treasury Note		3/22/2023		145		16,517,723		16,283,047		234,676
E-mini S&P 500^®		3/17/2023		45		8,968,906		8,687,250		281,656
Euribor		3/13/2023		49		12,720,203		12,718,305		1,898
Euro		3/13/2023		87		11,610,085		11,694,975		(84,890	)
Euro Schatz		3/08/2023		33		3,773,445		3,723,944		49,501
Euro-OAT		3/08/2023		45		6,345,006		6,132,070		212,936
German Euro BOBL		3/08/2023		21		2,675,273		2,601,995		73,278
German Euro Bund		3/08/2023		169		25,321,951		24,047,830		1,274,121
Short-Term Euro-BTP		3/08/2023		20		2,267,566		2,250,299		17,267
U.S. Dollar Index		3/13/2023		27		2,827,163		2,788,263		38,900
Ultra 10 Year U.S. Treasury Note		3/22/2023		34		4,027,623		4,021,563		6,060
Ultra Long U.S. Treasury Bond		3/22/2023		4		537,193		537,250		(57	)

Total									$	2,125,529


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/15/2023		40	$	2,344,857	$	2,372,010	$	(27,153	)
Cocoa		3/16/2023		67		1,673,970		1,742,000		(68,030	)

See accompanying notes to consolidated financial statements.

15 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Coffee		3/21/2023		4	$	257,644	$	250,950	$	6,694
Cotton		3/09/2023		36		1,499,090		1,500,660		(1,570	)
Gold		2/24/2023		3		543,700		547,860		(4,160	)
Live Cattle		2/28/2023		16		997,128		1,010,560		(13,432	)
Natural Gas		1/27/2023		4		215,120		179,000		36,120
Soybean		3/14/2023		29		2,123,516		2,209,800		(86,284	)
Wheat		3/14/2023		19		758,144		752,400		5,744
WTI Crude Oil		1/20/2023		29		2,248,469		2,327,540		(79,071	)
Zinc LME		3/15/2023		3		230,910		223,237		7,673

Total									$	(223,469	)

¹	Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements.

At December 31, 2022, the Fund had the following open swap agreements:

Bilateral Equity Basket Total Return Swaps ^(a)


Reference Entity	Counterparty	Expiration Date		Notional Amount			Unrealized Appreciation (Depreciation)		Value of Reference Entities			Notional Amount Net Asset Percentage
Equity Securities Short	Morgan Stanley Capital Services LLC		5/19/2023	$	(26,005,024	)	$	—	$	(26,005,024	)		(12.2	%)

(a)	The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.42%-0.73% as calculated on the notional amount. See Note 2 of Notes to Consolidated Financial Statements.

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of December 31, 2022:


Common Stocks — Short	Shares			Value			% of Basket Value
Aerospace & Defense
Axon Enterprise, Inc.		(431	)	$	(71,516	)		(0.3	%)
Boeing Co. (The)		(814	)		(155,059	)		(0.6	%)
Maxar Technologies, Inc.		(1,532	)		(79,266	)		(0.3	%)
Triumph Group, Inc.		(22,689	)		(238,688	)		(0.9	%)

					(544,529	)

Air Freight & Logistics
FedEx Corp.		(1,009	)		(174,759	)		(0.7	%)

Airlines
Delta Air Lines, Inc.		(3,609	)		(118,592	)		(0.5	%)
Southwest Airlines Co.		(3,158	)		(106,330	)		(0.4	%)
United Airlines Holdings, Inc.		(4,482	)		(168,971	)		(0.6	%)

					(393,893	)

Auto Components
American Axle & Manufacturing Holdings, Inc.		(8,763	)		(68,526	)		(0.3	%)
Aptiv PLC		(1,984	)		(184,770	)		(0.7	%)
Dana, Inc.		(1,929	)		(29,186	)		(0.1	%)
Lear Corp.		(305	)		(37,826	)		(0.1	%)

					(320,308	)

Automobiles
Ford Motor Co.		(14,574	)		(169,495	)		(0.7	%)
General Motors Co.		(4,806	)		(161,674	)		(0.6	%)

					(331,169	)

Banks
Bank of America Corp.		(3,150	)		(104,328	)		(0.4	%)
Cadence Bank		(5,901	)		(145,519	)		(0.6	%)
Eastern Bankshares, Inc.		(7,630	)		(131,617	)		(0.5	%)
JPMorgan Chase & Co.		(1,226	)		(164,407	)		(0.6	%)
Stellar Bancorp, Inc.		(3,980	)	$	(117,251	)		(0.5	%)
Texas Capital Bancshares, Inc.		(2,621	)		(158,072	)		(0.6	%)
Trustmark Corp.		(4,889	)		(170,675	)		(0.7	%)

					(991,869	)

Beverages
Boston Beer Co., Inc. (The), Class A		(415	)		(136,751	)		(0.5	%)
Celsius Holdings, Inc.		(1,481	)		(154,083	)		(0.6	%)

					(290,834	)

Biotechnology
Agios Pharmaceuticals, Inc.		(1,960	)		(55,037	)		(0.2	%)
Denali Therapeutics, Inc.		(1,887	)		(52,477	)		(0.2	%)
Moderna, Inc.		(304	)		(54,605	)		(0.2	%)
Natera, Inc.		(4,131	)		(165,942	)		(0.6	%)
Rocket Pharmaceuticals, Inc.		(2,812	)		(55,031	)		(0.2	%)

					(383,092	)

Building Products
JELD-WEN Holding, Inc.		(19,778	)		(190,858	)		(0.7	%)

Capital Markets
Blackstone, Inc.		(2,007	)		(148,899	)		(0.6	%)
Brookfield Corp.		(3,476	)		(109,355	)		(0.4	%)

					(258,254	)

Chemicals
Chemours Co. (The)		(7,270	)		(222,607	)		(0.9	%)
Livent Corp.		(4,335	)		(86,137	)		(0.3	%)
LyondellBasell Industries NV, Class A		(408	)		(33,876	)		(0.1	%)
Mosaic Co. (The)		(961	)		(42,159	)		(0.2	%)

See accompanying notes to consolidated financial statements.

| 16

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Common Stocks — Short	Shares			Value			% of Basket Value
Chemicals — continued
Perimeter Solutions SA		(15,094	)	$	(137,959	)		(0.5	%)
Scotts Miracle-Gro Co. (The)		(1,348	)		(65,499	)		(0.3	%)
Tronox Holdings PLC, Class A		(4,663	)		(63,930	)		(0.2	%)

					(652,167	)

Commercial Services & Supplies
Cimpress PLC		(2,700	)		(74,547	)		(0.3	%)
Montrose Environmental Group, Inc.		(3,344	)		(148,440	)		(0.6	%)
Ritchie Bros Auctioneers, Inc.		(16,993	)		(982,705	)		(3.9	%)

					(1,205,692	)

Communications Equipment
Extreme Networks, Inc.		(3,255	)		(59,599	)		(0.2	%)

Construction & Engineering
Quanta Services, Inc.		(111	)		(15,817	)		(0.1	%)

Consumer Finance
SLM Corp.		(10,023	)		(166,382	)		(0.6	%)

Containers & Packaging
Amcor PLC		(11,723	)		(139,621	)		(0.5	%)
Avery Dennison Corp.		(608	)		(110,048	)		(0.4	%)

					(249,669	)

Diversified Consumer Services
Bright Horizons Family Solutions, Inc.		(832	)		(52,499	)		(0.2	%)
Service Corp. International		(1,195	)		(82,622	)		(0.3	%)

					(135,121	)

Diversified Financial Services
Cannae Holdings, Inc.		(6,711	)		(138,582	)		(0.5	%)

Diversified Telecommunication Services
Anterix, Inc.		(4,487	)		(144,347	)		(0.6	%)
AT&T, Inc.		(1,719	)		(31,647	)		(0.1	%)

					(175,994	)

Electric Utilities
NextEra Energy, Inc.		(2,370	)		(198,132	)		(0.8	%)
PG&E Corp.		(3,194	)		(51,935	)		(0.2	%)
Southern Co. (The)		(784	)		(55,985	)		(0.2	%)

					(306,052	)

Electrical Equipment
Generac Holdings, Inc.		(1,113	)		(112,035	)		(0.4	%)

Electronic Equipment, Instruments & Components
IPG Photonics Corp.		(2,016	)		(190,855	)		(0.7	%)

Energy Equipment & Services
Baker Hughes Co.		(1,690	)		(49,906	)		(0.2	%)
Noble Corp PLC		(3,746	)		(141,261	)		(0.5	%)
Patterson-UTI Energy, Inc.		(10,106	)		(170,185	)		(0.7	%)
Valaris Ltd.		(2,408	)		(162,829	)		(0.6	%)

					(524,181	)

Entertainment
Live Nation Entertainment, Inc.		(2,536	)		(176,861	)		(0.7	%)
Netflix, Inc.		(292	)		(86,105	)		(0.3	%)
ROBLOX Corp., Class A		(1,256	)		(35,746	)		(0.1	%)
Roku, Inc.		(1,262	)		(51,363	)		(0.2	%)
Spotify Technology S.A.		(1,320	)		(104,214	)		(0.4	%)
Take-Two Interactive Software, Inc.		(448	)		(46,650	)		(0.2	%)
Walt Disney Co. (The)		(1,695	)		(147,262	)		(0.6	%)

					(648,201	)

Equity Real Estate Investment Trusts
Acadia Realty Trust		(9,749	)	$	(139,898	)		(0.5	%)
American Tower Corp.		(561	)		(118,853	)		(0.5	%)
Americold Realty Trust, Inc.		(5,009	)		(141,805	)		(0.5	%)
Elme Communities		(7,159	)		(127,430	)		(0.5	%)
Kite Realty Group Trust		(7,557	)		(159,075	)		(0.6	%)
Pebblebrook Hotel Trust		(10,751	)		(143,956	)		(0.6	%)
Prologis, Inc.		(1,149	)		(129,527	)		(0.5	%)
Safehold, Inc.		(1,948	)		(55,752	)		(0.2	%)
Service Properties Trust		(22,712	)		(165,570	)		(0.6	%)
Summit Hotel Properties, Inc.		(19,854	)		(143,346	)		(0.6	%)
Sunstone Hotel Investors, Inc.		(12,963	)		(125,223	)		(0.5	%)
Vornado Realty Trust		(5,466	)		(113,747	)		(0.4	%)
Xenia Hotels & Resorts, Inc.		(10,471	)		(138,008	)		(0.5	%)

					(1,702,190	)

Food & Staples Retailing
Kroger Co. (The)		(3,886	)		(173,238	)		(0.7	%)

Food Products
Archer-Daniels-Midland Co.		(1,768	)		(164,159	)		(0.6	%)
Bunge Ltd.		(1,853	)		(184,874	)		(0.7	%)
Pilgrim’s Pride Corp.		(7,922	)		(187,989	)		(0.7	%)

					(537,022	)

Gas Utilities
Atmos Energy Corp.		(324	)		(36,311	)		(0.1	%)
UGI Corp.		(1,886	)		(69,914	)		(0.3	%)

					(106,225	)

Health Care Equipment & Supplies
Abbott Laboratories		(736	)		(80,806	)		(0.3	%)
Heska Corp.		(971	)		(60,357	)		(0.2	%)
IDEXX Laboratories, Inc.		(487	)		(198,677	)		(0.8	%)
Insulet Corp.		(151	)		(44,453	)		(0.2	%)
Mesa Laboratories, Inc.		(310	)		(51,525	)		(0.2	%)
Nevro Corp.		(1,605	)		(63,558	)		(0.2	%)
Novocure Ltd.		(1,005	)		(73,717	)		(0.3	%)
STAAR Surgical Co.		(993	)		(48,200	)		(0.2	%)
Tandem Diabetes Care, Inc.		(1,334	)		(59,963	)		(0.2	%)

					(681,256	)

Health Care Providers & Services
Accolade, Inc.		(6,058	)		(47,192	)		(0.2	%)
Apollo Medical Holdings, Inc.		(1,885	)		(55,777	)		(0.2	%)
DaVita, Inc.		(724	)		(54,061	)		(0.2	%)
Fulgent Genetics, Inc.		(1,584	)		(47,172	)		(0.2	%)

					(204,202	)

Health Care Technology
Health Catalyst, Inc.		(6,257	)		(66,512	)		(0.3	%)
Schrodinger, Inc.		(3,271	)		(61,135	)		(0.2	%)
Teladoc Health, Inc.		(2,492	)		(58,936	)		(0.2	%)

					(186,583	)

Hotels, Restaurants & Leisure
Airbnb, Inc., Class A		(1,881	)		(160,825	)		(0.6	%)
Chipotle Mexican Grill, Inc.		(37	)		(51,337	)		(0.2	%)
Golden Entertainment, Inc.		(4,217	)		(157,716	)		(0.6	%)
Las Vegas Sands Corp.		(3,122	)		(150,075	)		(0.6	%)
RCI Hospitality Holdings, Inc.		(1,228	)		(114,437	)		(0.4	%)
Royal Caribbean Cruises Ltd.		(6,020	)		(297,569	)		(1.1	%)
Starbucks Corp.		(671	)		(66,563	)		(0.3	%)

					(998,522	)

See accompanying notes to consolidated financial statements.

17 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Common Stocks — Short	Shares			Value			% of Basket Value
Household Durables
Helen of Troy Ltd.		(547	)	$	(60,668	)		(0.2	%)

Household Products
Spectrum Brands Holdings, Inc.		(2,997	)		(182,577	)		(0.7	%)

Independent Power & Renewable Electricity Producers
Sunnova Energy International, Inc.		(6,432	)		(115,840	)		(0.4	%)

Insurance
Enstar Group Ltd.		(750	)		(173,280	)		(0.7	%)
Goosehead Insurance, Inc., Class A		(1,858	)		(63,804	)		(0.2	%)
Mercury General Corp.		(4,067	)		(139,091	)		(0.5	%)
RenaissanceRe Holdings Ltd.		(950	)		(175,019	)		(0.7	%)

					(551,194	)

Interactive Media & Entertainment
Alphabet, Inc., Class A		(699	)		(61,673	)		(0.2	%)
IAC, Inc.		(2,237	)		(99,323	)		(0.4	%)
Match Group, Inc.		(2,368	)		(98,248	)		(0.4	%)
Meta Platforms, Inc., Class A		(834	)		(100,364	)		(0.4	%)
Pinterest, Inc., Class A		(8,397	)		(203,879	)		(0.8	%)
Snap, Inc., Class A		(17,391	)		(155,649	)		(0.6	%)

					(719,136	)

Internet & Direct Marketing Retail
Coupang, Inc.		(9,710	)		(142,834	)		(0.5	%)
Doordash, Inc., Class A		(1,038	)		(50,675	)		(0.2	%)
Etsy, Inc.		(567	)		(67,916	)		(0.3	%)
Fiverr International Ltd.		(1,744	)		(50,820	)		(0.2	%)
Global-e Online, Ltd.		(6,451	)		(133,149	)		(0.5	%)
Qurate Retail, Inc., Series A		(38,648	)		(62,996	)		(0.2	%)

					(508,390	)

IT Services
AvidXchange Holdings, Inc.		(16,279	)		(161,813	)		(0.6	%)
BigCommerce Holdings, Inc., Series 1		(6,267	)		(54,774	)		(0.2	%)
Block, Inc.		(1,545	)		(97,088	)		(0.4	%)
DXC Technology Co.		(2,181	)		(57,796	)		(0.2	%)
Fidelity National Information Services, Inc.		(2,338	)		(158,633	)		(0.6	%)
StoneCo. Ltd., Class A		(9,681	)		(91,389	)		(0.4	%)
Twilio, Inc., Class A		(4,967	)		(243,184	)		(0.9	%)
Wix.com Ltd.		(850	)		(65,306	)		(0.3	%)

					(929,983	)

Life Sciences Tools & Services
10X Genomics, Inc., Class A		(2,130	)		(77,617	)		(0.3	%)
Adaptive Biotechnologies Corp.		(8,542	)		(65,261	)		(0.3	%)
BioLife Solutions, Inc.		(3,746	)		(68,177	)		(0.3	%)
Illumina, Inc.		(88	)		(17,794	)		(0.1	%)
Maravai LifeSciences Holdings, Inc., Class A		(4,065	)		(58,170	)		(0.2	%)
Pacific Biosciences of California, Inc.		(7,625	)		(62,372	)		(0.2	%)

					(349,391	)

Machinery
EnPro Industries, Inc.		(1,336	)		(145,210	)		(0.6	%)

Media
Cable One, Inc.		(72	)		(51,254	)		(0.2	%)
Charter Communications, Inc., Class A		(183	)	$	(62,055	)		(0.2	%)
Comcast Corp., Class A		(6,223	)		(217,618	)		(0.8	%)
DISH Network Corp., Class A		(2,850	)		(40,014	)		(0.2	%)
iHeartMedia, Inc., Class A		(8,626	)		(52,878	)		(0.2	%)
Magnite, Inc.		(7,207	)		(76,322	)		(0.3	%)
Trade Desk, Inc. (The), Class A		(787	)		(35,281	)		(0.1	%)

					(535,422	)

Metals & Mining
Agnico Eagle Mines Ltd.		(1,090	)		(56,669	)		(0.2	%)
Barrick Gold Corp.		(11,442	)		(196,574	)		(0.8	%)
Carpenter Technology Corp.		(7,320	)		(270,401	)		(1.0	%)
Cleveland-Cliffs, Inc.		(3,573	)		(57,561	)		(0.2	%)
Coeur Mining, Inc.		(17,668	)		(59,364	)		(0.2	%)
Constellium SE		(4,478	)		(52,975	)		(0.2	%)
Kinross Gold Corp.		(14,896	)		(60,925	)		(0.2	%)
Newmont Corp.		(1,369	)		(64,617	)		(0.2	%)
Nucor Corp.		(21	)		(2,768	)		(0.0	%)
Pan American Silver Corp.		(3,119	)		(50,964	)		(0.2	%)

					(872,818	)

Mortgage Real Estate Investment Trusts (REITs)
AGNC Investment Corp.		(15,684	)		(162,329	)		(0.6	%)
Annaly Capital Management, Inc.		(7,660	)		(161,473	)		(0.6	%)
PennyMac Mortgage Investment Trust		(9,871	)		(122,302	)		(0.5	%)

					(446,104	)

Multi-Utilities
Dominion Energy, Inc.		(1,648	)		(101,055	)		(0.4	%)
Sempra Energy		(635	)		(98,133	)		(0.4	%)

					(199,188	)

Oil, Gas & Consumable Fuels
APA Corp.		(1,692	)		(78,982	)		(0.3	%)
Cheniere Energy, Inc.		(428	)		(64,183	)		(0.2	%)
Clean Energy Fuels Corp.		(26,401	)		(137,285	)		(0.5	%)
DHT Holdings, Inc.		(15,127	)		(134,328	)		(0.5	%)
Energy Transfer LP		(14,533	)		(172,507	)		(0.7	%)
Enviva, Inc.		(3,741	)		(198,161	)		(0.8	%)
EQT Corp.		(1,122	)		(37,957	)		(0.1	%)
Green Plains, Inc.		(4,232	)		(129,076	)		(0.5	%)
HF Sinclair Corp.		(1,079	)		(55,989	)		(0.2	%)
Kosmos Energy Ltd.		(43,098	)		(274,103	)		(1.1	%)
Occidental Petroleum Corp.		(1,600	)		(100,784	)		(0.4	%)
PBF Energy, Inc., Class A		(5,522	)		(225,187	)		(0.9	%)
Phillips 66		(1,913	)		(199,105	)		(0.8	%)
Range Resources Corp.		(1,692	)		(42,334	)		(0.2	%)
Southwestern Energy Co.		(7,488	)		(43,805	)		(0.2	%)
Tellurian, Inc.		(69,772	)		(117,217	)		(0.5	%)

					(2,011,003	)

Personal Products
Olaplex Holdings, Inc.		(8,285	)		(43,165	)		(0.2	%)

Pharmaceuticals
Viatris, Inc.		(15,499	)		(172,504	)		(0.7	%)

Real Estate Management & Development
CBRE Group, Inc., Class A		(936	)		(72,035	)		(0.3	%)
DigitalBridge Group, Inc.		(9,295	)		(101,687	)		(0.4	%)
Jones Lang LaSalle, Inc.		(353	)		(56,258	)		(0.2	%)
Zillow Group, Inc., Class A		(1,778	)		(55,491	)		(0.2	%)

					(285,471	)

See accompanying notes to consolidated financial statements.

| 18

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Global Alternatives Fund – (continued)


Common Stocks — Short	Shares			Value			% of Basket Value
Road & Rail
Avis Budget Group, Inc.		(1,594	)	$	(261,304	)		(1.0	%)
Lyft, Inc., Class A		(16,868	)		(185,885	)		(0.7	%)
Uber Technologies, Inc.		(7,102	)		(175,633	)		(0.7	%)

					(622,822	)

Semiconductors & Semiconductor Equipment
Ichor Holdings Ltd.		(1,208	)		(32,399	)		(0.1	%)

Software
8x8, Inc.		(15,143	)		(65,418	)		(0.3	%)
Bill.com Holdings, Inc.		(1,203	)		(131,079	)		(0.5	%)
Ceridian HCM Holding, Inc.		(3,170	)		(203,355	)		(0.8	%)
Digital Turbine, Inc.		(1,885	)		(28,727	)		(0.1	%)
DocuSign, Inc.		(1,098	)		(60,851	)		(0.2	%)
Duck Creek Technologies, Inc.		(4,591	)		(55,322	)		(0.2	%)
Dynatrace, Inc.		(1,239	)		(47,454	)		(0.2	%)
Five9, Inc.		(819	)		(55,577	)		(0.2	%)
LivePerson, Inc.		(4,421	)		(44,829	)		(0.2	%)
Momentive Global, Inc.		(8,736	)		(61,152	)		(0.2	%)
Palantir Technologies, Inc., Class A		(6,502	)		(41,743	)		(0.2	%)
Paycom Software, Inc.		(492	)		(152,672	)		(0.6	%)
Qualtrics International, Inc., Class A		(5,383	)		(55,876	)		(0.2	%)
Rapid7, Inc.		(2,368	)		(80,465	)		(0.3	%)
RingCentral, Inc., Class A		(1,768	)		(62,587	)		(0.2	%)
Yext, Inc.		(8,291	)		(54,140	)		(0.2	%)
Zoom Video Communications, Inc., Class A		(995	)		(67,401	)		(0.3	%)

					(1,268,648	)

Specialty Retail
Best Buy Co., Inc.		(475	)		(38,100	)		(0.1	%)
Burlington Stores, Inc.		(235	)		(47,648	)		(0.2	%)
Caleres, Inc.		(2,195	)		(48,905	)		(0.2	%)
Designer Brands, Inc., Class A		(14,421	)		(141,037	)		(0.5	%)
Gap, Inc. (The)		(10,446	)		(117,831	)		(0.5	%)
Sleep Number Corp.		(2,048	)		(53,207	)		(0.2	%)
Williams-Sonoma, Inc.		(1,310	)		(150,545	)		(0.6	%)

					(597,273	)

Textiles, Apparel & Luxury Goods
Capri Holdings Ltd.		(1,057	)		(60,587	)		(0.2	%)
Crocs, Inc.		(483	)		(52,372	)		(0.2	%)
Hanesbrands, Inc.		(8,502	)		(54,073	)		(0.2	%)
NIKE, Inc., Class B		(2,116	)		(247,593	)		(1.0	%)
PVH Corp.		(658	)		(46,448	)		(0.2	%)
Ralph Lauren Corp.		(1,791	)		(189,255	)		(0.7	%)
VF Corp.		(1,914	)		(52,846	)		(0.2	%)

					(703,174	)

Thrifts & Mortgage Finance
Provident Financial Services		(54,866	)		(1,171,938	)		(4.6	%)
TFS Financial Corp.		(9,445	)		(136,102	)		(0.5	%)
WSFS Financial Corp.		(3,271	)		(148,307	)		(0.6	%)

					(1,456,347	)

Trading Companies & Distributors
Veritiv Corp.		(1,209	)		(147,147	)		(0.6	%)

Total Common Stocks – Short				$	(26,005,024	)

Investment Summary at December 31, 2022


Treasuries	42.8	%
Certificates of Deposit	30.9
Common Stocks	17.1
Other Investments, less than 2% each	1.3

Total Investments	92.1
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)	7.9

Net Assets	100.0	%

Net Exposures by Asset Class as a Percentage of Net Assets at December 31, 2022¹


Equity	41.7	%
Fixed Income	(24.8	)
Short-Term Interest Rate	(0.4	)
Commodity	3.2
Currency	(2.3	)

The Fund gains its investment exposures primarily through the use of futures contracts, forward contracts and swap contracts and may have net exposure that is materially less than or greater than its net asset value. Portfolio exposures presented above are intended to illustrate the Fund’s exposure to certain asset classes. The portfolio exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or forward currency contract provides to the underlying reference asset or currency, respectively. Exposure to equity securities also includes long and short equity positions held in conjunction with the Fund’s investment in bilateral equity basket total return swaps, and is represented by the U.S. dollar value of the securities in the basket.

See accompanying notes to consolidated financial statements.

19 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 91.4% of Net Assets
		Certificates of Deposit — 61.5%
$	50,000,000	Sumitomo Mitsui Trust (NY), 4.270%, 1/04/2023	$	50,000,014
	51,000,000	Bank of America N.A., 3.250%, 1/13/2023		50,978,104
	20,000,000	Sumitomo Mitsui Trust (NY), 3.890%, 1/17/2023		19,995,515
	22,500,000	Mizuho Bank Ltd. (NY), SOFR + 0.300%, 4.600%, 1/20/2023(a)		22,502,020
	19,000,000	Mizuho Bank Ltd. (NY), 4.350%, 2/01/2023		18,999,838
	42,000,000	Skandinaviska Enskilda Banken (NY), 4.080%, 2/06/2023		41,985,905
	50,000,000	Cooperatieve Rabobank U.A., 3.350%, 2/13/2023		49,932,589
	31,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), SOFR + 0.320%, 4.620%, 2/23/2023(a)		30,998,706
	75,000,000	Sumitomo Mitsui Banking Corp. (NY), SOFR + 0.500%, 4.800%, 2/23/2023(a)		75,000,574
	40,000,000	Canadian Imperial Bank of Commerce (NY), 3.530%, 2/24/2023		39,942,800
	50,000,000	Sumitomo Mitsui Trust (NY), 4.790%, 2/24/2023		50,023,198
	61,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 4.630%, 3/13/2023		60,985,547
	40,000,000	Sumitomo Mitsui Banking Corp.(NY), SOFR + 0.400%, 4.700%, 3/16/2023(a)		40,002,190
	40,000,000	Westpac Banking Corp. (NY), 4.600%, 4/11/2023		39,999,938
	50,000,000	Bank of America N.A., 5.050%, 4/12/2023		50,072,475
	50,000,000	Commonwealth Bank of Australia (NY), SOFR + 0.360%, 4.660%, 4/20/2023(a)		50,000,130
	40,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 4.520%, 4/21/2023		39,965,050
	45,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 4.520%, 4/21/2023		44,960,764
	45,000,000	Svenska Handelsbanken (NY), SOFR + 0.350%, 4.650%, 4/26/2023(a)		44,996,297
	100,000,000	Mizuho Bank Ltd. (NY), 5.000%, 4/28/2023		100,052,905
	50,000,000	Royal Bank of Canada (NY), 3.890%, 5/08/2023		49,826,382
	53,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 5.280%, 5/17/2023		53,064,792
	50,000,000	Royal Bank of Canada (NY), 3.000%, 6/05/2023		49,569,172
	50,000,000	Commonwealth Bank of Australia (NY), SOFR + 0.690%, 4.990%, 6/05/2023(a)		50,066,226
	15,000,000	Toronto-Dominion Bank (NY), 3.010%, 6/07/2023		14,866,605
	30,000,000	Nordea Bank ABP (NY), 2.970%, 6/08/2023		29,744,838
	46,000,000	Svenska Handelsbanken (NY), 3.460%, 6/13/2023		45,682,603
	55,000,000	Bank of Montreal (IL), 3.600%, 6/23/2023		54,624,310
	35,000,000	Canadian Imperial Bank of Commerce (NY), 3.590%, 6/26/2023		34,745,622
	46,000,000	Bank of Nova Scotia, SOFR + 0.680%, 4.980%, 8/16/2023(a)		46,059,418
	50,000,000	Bank of Nova Scotia, SOFR + 0.700%, 5.000%, 8/17/2023(a)		50,070,184
	31,000,000	Toronto-Dominion Bank (NY), 4.020%, 8/22/2023		30,751,324
	40,000,000	Canadian Imperial Bank of Commerce (NY), 5.200%, 9/21/2023		39,982,188
	50,000,000	Toronto-Dominion Bank (NY), 5.320%, 9/27/2023		50,006,027
	43,000,000	Bank of Montreal (IL), 5.000%, 10/06/2023		42,879,889
	50,000,000	Nordea Bank ABP (NY), SOFR + 0.770%, 5.070%, 10/23/2023(a)		50,094,005
	24,500,000	Royal Bank of Canada (NY), SOFR + 0.780%, 5.080%, 10/23/2023(a)		24,541,715
	52,000,000	Svenska Handelsbanken (NY), SOFR + 0.790%, 5.090%, 10/25/2023(a)		52,058,988
	60,000,000	Cooperatieve Rabobank U.A., SOFR + 0.710%, 5.010%, 11/24/2023(a)		60,109,928

				1,750,138,775

		Treasuries — 27.7%
	35,000,000	U.S. Treasury Bills, 3.195%-3.790%, 1/03/2023(b)(c)		35,000,000
	40,000,000	U.S. Treasury Bills, 3.723%-3.805%, 1/05/2023(b)(c)		39,991,922
	95,000,000	U.S. Treasury Bills, 3.835%-3.910%, 1/10/2023(b)(c)		94,933,174
	115,000,000	U.S. Treasury Bills, 3.173%-3.850%, 1/12/2023(b)(c)(d)(e)		114,900,141
	60,000,000	U.S. Treasury Bills, 4.015%, 1/17/2023(b)		59,914,162
	60,000,000	U.S. Treasury Bills, 4.033%, 1/24/2023(b)		59,865,574
	15,000,000	U.S. Treasury Bills, 3.913%, 2/07/2023(b)		14,942,982
	30,000,000	U.S. Treasury Bills, 4.033%-4.041%, 2/09/2023(b)(c)(d)(e)		29,880,315
	25,500,000	U.S. Treasury Bills, 3.920%, 2/14/2023(b)		25,380,127
	80,000,000	U.S. Treasury Bills, 4.040%, 2/21/2023(b)		79,547,403
	25,500,000	U.S. Treasury Bills, 4.000%, 2/23/2023(b)		25,346,536
	74,000,000	U.S. Treasury Bills, 4.207%, 3/09/2023(b)(d)(e)		73,433,055
	25,000,000	U.S. Treasury Bills, 3.735%-4.210%, 3/16/2023(b)(c)		24,792,675
	25,000,000	U.S. Treasury Bills, 4.130%, 3/23/2023(b)		24,767,314
	60,000,000	U.S. Treasury Bills, 3.750%, 3/30/2023(b)		59,385,369
	25,000,000	U.S. Treasury Bills, 4.220%, 4/04/2023(b)		24,730,213

				786,810,962

		Repurchase Agreements — 2.2%
	62,044,392	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $62,056,801 on 1/03/2023 collateralized by $26,279,000 U.S. Treasury Note, 2.750% due 7/31/2027 valued at $24,916,802; $19,052,000 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $38,368,636 including accrued interest (Note 2 of Notes to Consolidated Financial Statements)(d)		62,044,392

		Total Short-Term Investments (Identified Cost $2,600,797,919)		2,598,994,129


		Total Investments — 91.4% (Identified Cost $2,600,797,919)		2,598,994,129
		Other assets less liabilities — 8.6%		243,050,586

		Net Assets — 100.0%	$	2,842,044,715


	(†)	See Note 2 of Notes to Consolidated Financial Statements.
	(a)	Variable rate security. Rate as of December 31, 2022 is disclosed.
	(b)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(c)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(d)	A portion of the security is held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements.
	(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

	SOFR	Secured Overnight Financing Rate

	CHF	Swiss Franc
	CNH	Chinese Yuan Renminbi Offshore

See accompanying notes to consolidated financial statements.

| 20

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Managed Futures Strategy Fund – (continued)


	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PLN			Polish Zloty
	SEK			Swedish Krona
	SGD			Singapore Dollar
	TRY			Turkish Lira
	ZAR			South African Rand

At December 31, 2022, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		3/15/2023	CHF		B	135,625,000	$	147,726,024	$	147,797,783	$	71,759
UBS AG		3/15/2023	CHF		B	93,000,000		101,461,385		101,347,052		(114,333	)
UBS AG		3/15/2023	CHF		S	117,750,000		127,640,894		128,318,444		(677,550	)
UBS AG		3/15/2023	CNH		B	513,000,000		74,139,701		74,529,102		389,401
UBS AG		3/15/2023	CNH		S	1,326,000,000		190,985,925		192,642,474		(1,656,549	)
UBS AG		3/15/2023	MXN		B	4,793,500,000		237,853,801		242,867,790		5,013,989
UBS AG		3/15/2023	NOK		B	66,000,000		6,742,445		6,757,188		14,743
UBS AG		3/15/2023	NOK		B	126,000,000		12,930,798		12,900,085		(30,713	)
UBS AG		3/15/2023	NOK		S	692,000,000		70,059,057		70,848,088		(789,031	)
UBS AG		3/15/2023	NZD		B	361,200,000		231,982,409		229,508,169		(2,474,240	)
UBS AG		3/15/2023	NZD		S	56,700,000		36,044,453		36,027,445		17,008
UBS AG		3/15/2023	NZD		S	143,300,000		90,079,406		91,053,490		(974,084	)
UBS AG		3/15/2023	PLN		B	535,000,000		119,636,462		121,388,155		1,751,693
UBS AG		3/15/2023	PLN		B	135,500,000		30,795,566		30,744,103		(51,463	)
UBS AG		3/15/2023	SEK		B	42,000,000		4,026,456		4,041,044		14,588
UBS AG		3/15/2023	SEK		B	146,000,000		14,294,918		14,047,440		(247,478	)
UBS AG		3/15/2023	SEK		S	966,000,000		94,136,109		92,944,021		1,192,088
UBS AG		3/15/2023	SGD		B	624,875,000		462,940,158		467,056,160		4,116,002
UBS AG		3/15/2023	TRY		B	153,900,000		7,913,735		7,793,691		(120,044	)
UBS AG		3/15/2023	ZAR		B	429,500,000		25,029,326		25,127,306		97,980
UBS AG		3/15/2023	ZAR		B	130,000,000		7,631,525		7,605,471		(26,054	)
UBS AG		3/15/2023	ZAR		S	1,712,000,000		96,016,664		100,158,204		(4,141,540	)

Total											$	1,376,172

At December 31, 2022, open long futures contracts were as follows:


Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
90 day Australian Bank Accepted Bills		3/09/2023		302	$	203,872,376	$	203,802,620	$	(69,756	)
AEX-Index^®		1/20/2023		198		30,774,995		29,234,126		(1,540,869	)
ASX SPI 200^™		3/16/2023		893		108,991,358		106,278,255		(2,713,103	)
Brazilian Real		1/31/2023		831		15,971,192		15,493,995		(477,197	)
CAC 40^®		1/20/2023		629		44,909,959		43,566,700		(1,343,259	)
DAX		3/17/2023		102		39,394,254		38,182,291		(1,211,963	)
E-mini Dow		3/17/2023		238		40,299,798		39,609,150		(690,648	)
E-mini S&P MidCap 400^®		3/17/2023		30		7,543,027		7,327,800		(215,227	)
Euro		3/13/2023		469		62,756,325		63,045,325		289,000
EURO STOXX 50^®		3/17/2023		1,629		68,802,756		66,001,400		(2,801,356	)
FTSE 100 Index		3/17/2023		989		89,291,265		89,267,352		(23,913	)
FTSE MIB		3/17/2023		466		60,582,031		59,131,245		(1,450,786	)
FTSE Taiwan Index		1/30/2023		145		7,320,333		7,202,150		(118,183	)
FTSE/JSE Top 40 Index		3/16/2023		457		18,685,630		18,214,105		(471,525	)
Hang Seng China Enterprises Index		1/30/2023		74		3,239,826		3,181,336		(58,490	)
Hang Seng Index^®		1/30/2023		9		1,155,167		1,148,140		(7,027	)
IBEX 35		1/20/2023		529		46,514,651		46,401,681		(112,970	)
MSCI EAFE Index		3/17/2023		127		12,863,032		12,378,690		(484,342	)
OMXS30^®		1/20/2023		2,077		42,225,155		40,644,897		(1,580,258	)
S&P/TSX 60 Index		3/16/2023		111		19,842,931		19,181,522		(661,409	)
STOXX Europe 600		3/17/2023		813		19,030,248		18,454,191		(576,057	)
TOPIX		3/09/2023		165		24,369,445		23,780,669		(588,776	)

Total									$	(16,908,114	)

See accompanying notes to consolidated financial statements.

21 |

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Managed Futures Strategy Fund – (continued)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/15/2023		170	$	10,147,050	$	10,081,043	$	(66,007	)
Copper LME		3/15/2023		68		14,195,464		14,238,350		42,886
EUA Emissions		12/18/2023		153		14,970,896		13,752,503		(1,218,393	)
Gasoline		1/31/2023		146		14,548,871		15,196,936		648,065
Gold		2/24/2023		137		24,895,586		25,018,940		123,354
Iron Ore		2/28/2023		960		10,452,265		11,147,520		695,255
Live Cattle		2/28/2023		1,651		102,828,228		104,277,160		1,448,932
Low Sulfur Gasoil		2/10/2023		157		13,896,229		14,224,200		327,971
New York Harbor ULSD		1/31/2023		136		18,224,586		18,821,040		596,454
Nickel LME		3/15/2023		115		19,749,747		20,731,050		981,303
Platinum		4/26/2023		514		25,992,822		27,830,530		1,837,708
Silver		3/29/2023		958		112,937,156		115,151,600		2,214,444
Soybean		3/14/2023		934		68,474,792		71,170,800		2,696,008
Soybean Meal		3/14/2023		2,309		100,326,731		108,753,900		8,427,169
Soybean Oil		3/14/2023		493		21,035,669		18,951,906		(2,083,763	)
Sugar		2/28/2023		4,482		100,992,986		100,597,594		(395,392	)
Zinc LME		3/15/2023		82		6,650,660		6,101,825		(548,835	)

Total									$	15,727,159

At December 31, 2022, open short futures contracts were as follows:


Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Japanese Yen		3/13/2023		1,231	$	113,074,857	$	118,591,463	$	(5,516,606	)
E-mini S&P 500^®		3/17/2023		158		30,835,139		30,501,900		333,239
3-month SOFR Index		9/19/2023		9,659		2,299,695,179		2,294,978,400		4,716,779
E-mini NASDAQ 100		3/17/2023		341		78,258,173		75,171,745		3,086,428
E-mini Russell 2000		3/17/2023		444		39,753,982		39,313,980		440,002
MSCI Emerging Markets Index		3/17/2023		866		42,711,986		41,542,020		1,169,966
British Pound		3/13/2023		327		24,663,706		24,696,675		(32,969	)
Euro-BTP		3/08/2023		655		79,034,237		76,368,650		2,665,587
Euro-Buxl^® 30 Year Bond		3/08/2023		522		80,509,779		75,568,682		4,941,097
German Euro Bund		3/08/2023		1,992		293,162,555		283,451,343		9,711,212
German Euro BOBL		3/08/2023		5,015		633,002,895		621,381,212		11,621,683
Euro Schatz		3/08/2023		18,675		2,127,998,570		2,107,413,719		20,584,851
Short-Term Euro-BTP		3/08/2023		2,063		232,869,840		232,118,334		751,506
Euro-OAT		3/08/2023		2,481		351,252,650		338,081,455		13,171,195
Nikkei 225^™		3/09/2023		314		62,714,416		62,398,049		316,367
10 Year Australia Government Bond		3/15/2023		1,736		137,362,654		136,730,365		632,289
3 Year Australia Government Bond		3/15/2023		2,823		205,480,209		205,267,465		212,744
Australian Dollar		3/13/2023		1,739		117,578,470		118,747,615		(1,169,145	)
Canadian Dollar		3/14/2023		3,980		294,181,302		294,201,600		(20,298	)
FTSE China A50 Index		1/30/2023		1,827		23,683,689		23,904,468		(220,779	)
Indian Rupee		1/27/2023		1,843		44,438,618		44,490,020		(51,402	)
MSCI Singapore		1/30/2023		106		2,310,031		2,299,410		10,621
Euribor		3/13/2023		14,259		3,703,375,051		3,701,026,695		2,348,356
3-month CDOR Index		3/13/2023		1,985		349,026,486		348,071,363		955,123
3-month SONIA Index		6/20/2023		2,039		584,648,619		589,763,034		(5,114,415	)
10 Year Canada Government Bond		3/22/2023		257		23,222,371		23,260,968		(38,597	)
30 Year U.S. Treasury Bond		3/22/2023		861		108,384,483		107,920,969		463,514
Ultra Long U.S. Treasury Bond		3/22/2023		689		92,742,832		92,541,313		201,519
10 Year U.S. Treasury Note		3/22/2023		2,335		262,834,858		262,213,203		621,655
Ultra 10 Year U.S. Treasury Note		3/22/2023		1,176		139,283,059		139,098,750		184,309
5 Year U.S. Treasury Note		3/31/2023		3,753		405,804,208		405,060,119		744,089
UK Long Gilt		3/29/2023		1,060		131,539,338		128,020,562		3,518,776
2 Year U.S. Treasury Note		3/31/2023		6,869		1,407,606,146		1,408,681,647		(1,075,501	)

Total									$	70,163,195

See accompanying notes to consolidated financial statements.

| 22

Consolidated Portfolio of Investments – as of December 31, 2022

AlphaSimplex Managed Futures Strategy Fund – (continued)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/15/2023		446	$	26,069,358	$	26,447,912	$	(378,554	)
Brent Crude Oil		1/31/2023		104		8,108,031		8,934,640		(826,609	)
Coffee		3/21/2023		1,032		62,970,278		64,745,100		(1,774,822	)
Copper LME		3/15/2023		57		10,678,665		11,935,088		(1,256,423	)
Corn		3/14/2023		249		8,005,346		8,447,325		(441,979	)
Cotton		3/09/2023		517		20,781,065		21,551,145		(770,080	)
KC Wheat		3/14/2023		130		5,501,602		5,772,000		(270,398	)
Lean Hog		2/14/2023		97		3,195,857		3,402,760		(206,903	)
Natural Gas		1/27/2023		790		38,818,763		35,352,500		3,466,263
Palladium		3/29/2023		41		7,137,259		7,371,800		(234,541	)
Wheat		3/14/2023		989		36,912,199		39,164,400		(2,252,201	)
WTI Crude Oil		1/20/2023		441		31,680,721		35,394,660		(3,713,939	)
Zinc LME		3/15/2023		127		9,269,503		9,450,388		(180,885	)

Total									$	(8,841,071	)

¹	Commodity futures are held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements.

Investment Summary at December 31, 2022


Certificates of Deposit	61.5	%
Treasuries	27.7
Repurchase Agreements	2.2

Total Investments	91.4
Other assets less liabilities (including forward foreign currency and futures contracts)	8.6

Net Assets	100.0	%

Net Exposures by Asset Class as a Percentage of Net Assets at December 31, 2022¹


Equity	13.9	%
Fixed Income	(233.8	)
Short-Term Interest Rate	(236.8	)
Commodity	14.7
Currency	9.1

The Fund gains its investment exposures primarily through the use of futures contracts and forward contracts and may have net exposure that is materially less than or greater than its net asset value. Portfolio exposures presented above are intended to illustrate the Fund’s exposure to certain asset classes. The portfolio exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or forward currency contract provides to the underlying reference asset or currency, respectively.

See accompanying notes to consolidated financial statements.

23 |

Consolidated Statements of Assets and Liabilities

December 31, 2022


	AlphaSimplex Global Alternatives Fund			AlphaSimplex Managed Futures Strategy Fund
ASSETS
Investments at cost	$	197,327,936		$	2,600,797,919
Net unrealized depreciation		(299,699	)		(1,803,790	)

Investments at value		197,028,237			2,598,994,129
Due from brokers (including variation margin on futures contracts) (Note 2)		17,528,120			184,119,059
Receivable for Fund shares sold		1,191,706			27,410,009
Dividends and interest receivable		381,113			14,314,363
Unrealized appreciation on forward foreign currency contracts (Note 2)		118,444			12,679,251
Unrealized appreciation on futures contracts (Note 2)		2,970,640			107,197,719
Prepaid expenses		577			716

TOTAL ASSETS		219,218,837			2,944,715,246

LIABILITIES
Payable for securities purchased		108,247			—
Payable for Fund shares redeemed		799,515			36,594,278
Unrealized depreciation on forward foreign currency contracts (Note 2)		113,162			11,303,079
Unrealized depreciation on futures contracts (Note 2)		3,588,631			47,056,550
Distributions payable		—			3,277,547
Management fees payable (Note 6)		191,158			3,498,664
Deferred Trustees’ fees (Note 6)		318,844			328,274
Administrative fees payable (Note 6)		17,160			137,347
Payable to distributor (Note 6d)		1,617			27,279
Other accounts payable and accrued expenses		184,186			447,513

TOTAL LIABILITIES		5,322,520			102,670,531

NET ASSETS	$	213,896,317		$	2,842,044,715

NET ASSETS CONSIST OF:
Paid-in capital	$	255,694,720		$	3,084,505,832
Accumulated loss		(41,798,403	)		(242,461,117	)

NET ASSETS	$	213,896,317		$	2,842,044,715

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	13,626,580		$	142,235,592

Shares of beneficial interest		1,394,092			14,038,338

Net asset value and redemption price per share	$	9.77		$	10.13

Offering price per share (100/94.25 of net asset value) (Note 1)	$	10.37		$	10.75

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,869,128		$	32,718,300

Shares of beneficial interest		317,260			3,501,459

Net asset value and offering price per share	$	9.04		$	9.34

Class N shares:
Net assets	$	30,952,183		$	328,418,166

Shares of beneficial interest		3,108,655			31,862,012

Net asset value, offering and redemption price per share	$	9.96		$	10.31

Class Y shares:
Net assets	$	166,448,426		$	2,338,672,657

Shares of beneficial interest		16,691,229			227,560,597

Net asset value, offering and redemption price per share	$	9.97		$	10.28

See accompanying notes to consolidated financial statements.

| 24

Consolidated Statements of Operations

For the Year Ended December 31, 2022


	AlphaSimplex Global Alternatives Fund			AlphaSimplex Managed Futures Strategy Fund
INVESTMENT INCOME
Interest	$	2,871,941		$	49,244,491
Dividends		871,656			—
Less net foreign taxes withheld		(8,652	)		—

		3,734,945			49,244,491

Expenses
Management fees (Note 6)		2,870,511			32,354,877
Service and distribution fees (Note 6)		65,716			550,287
Administrative fees (Note 6)		172,815			1,271,071
Trustees’ and directors’ fees and expenses (Note 6)		37,504			112,107
Trustees’ fees deferred compensation (Note 6)		(43,644	)		(24,713	)
Transfer agent fees and expenses (Notes 6 and 7)		175,825			2,453,012
Audit and tax services fees		91,723			79,621
Custodian fees and expenses		72,540			228,581
Legal fees (Note 8)		7,633			74,424
Registration fees		84,374			265,967
Shareholder reporting expenses		38,544			168,589
Miscellaneous expenses		81,667			128,129

Total expenses		3,655,208			37,661,952
Fee/expense recovery (Note 6)		—			207,707
Less waiver and/or expense reimbursement (Note 6)		(366,102	)		—

Net expenses		3,289,106			37,869,659

Net investment income		445,839			11,374,832

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(677,676	)		286,862
Futures contracts		(303,846	)		508,547,639
Swap agreements		7,336,845			—
Forward foreign currency contracts (Note 2e)		1,212,451			(7,563,789	)
Foreign currency transactions (Note 2d)		143,192			525,012
Net change in unrealized appreciation (depreciation) on:
Investments		(7,490,275	)		(1,739,322	)
Futures contracts		(4,415,115	)		45,993,916
Forward foreign currency contracts (Note 2e)		(333,111	)		13,143,296
Foreign currency translations (Note 2d)		49,835			(2,290,233	)

Net realized and unrealized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions		(4,477,700	)		556,903,381

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(4,031,861	)	$	568,278,213

See accompanying notes to consolidated financial statements.

25 |

Consolidated Statements of Changes in Net Assets


	AlphaSimplex Global Alternatives Fund						AlphaSimplex Managed Futures Strategy Fund
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2022			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income (loss)	$	445,839		$	(2,887,499	)	$	11,374,832		$	(20,894,687	)
Net realized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions		7,710,966			40,164,752			501,795,724			130,012,296
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		(12,188,666	)		(29,951,174	)		55,107,657			(62,048,291	)

Net increase (decrease) in net assets resulting from operations		(4,031,861	)		7,326,079			568,278,213			47,069,318

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(1,227,820	)		—			(38,293,755	)		(2,840,442	)
Class C		(252,549	)		—			(8,817,772	)		(887,877	)
Class N		(2,989,125	)		—			(96,149,416	)		(11,323,277	)
Class Y		(15,520,777	)		—			(627,343,763	)		(73,166,897	)

Total distributions		(19,990,271	)		—			(770,604,706	)		(88,218,493	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(104,562,819	)		(188,134,426	)		1,541,582,032			57,851,676

Net increase (decrease) in net assets		(128,584,951	)		(180,808,347	)		1,339,255,539			16,702,501
NET ASSETS
Beginning of the year		342,481,268			523,289,615			1,502,789,176			1,486,086,675

End of the year	$	213,896,317		$	342,481,268		$	2,842,044,715		$	1,502,789,176

See accompanying notes to consolidated financial statements.

| 26

Consolidated Financial Highlights

For a share outstanding throughout each period.


	AlphaSimplex Global Alternatives Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.78		$	10.67		$	11.18		$	10.24		$	11.04

Income (loss) from Investment Operations:
Net investment income (loss)(a)		0.00	(b)		(0.10	)		(0.03	)		0.11			0.06
Net realized and unrealized gain (loss)		(0.08	)		0.21			(0.24	)		0.93			(0.75	)

Total from Investment Operations		(0.08	)		0.11			(0.27	)		1.04			(0.69	)

Less Distributions From:
Net investment income		(0.93	)		—			(0.24	)		(0.10	)		(0.11	)

Net asset value, end of the period	$	9.77		$	10.78		$	10.67		$	11.18		$	10.24

Total return(c)(d)		(0.80	)%		1.03	%		(2.38	)%		10.26	%		(6.35	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	13,627		$	16,882		$	15,584		$	25,341		$	33,649
Net expenses(e)		1.49	%		1.51	%(f)(g)		1.52	%(h)		1.54	%		1.54	%
Gross expenses		1.63	%		1.62	%(f)(g)		1.58	%		1.57	%		1.55	%
Net investment income (loss)		0.00	%		(0.91	)%		(0.33	)%		0.97	%		0.58	%
Portfolio turnover rate		124	%		115	%		232	%(i)		125	%		59	%

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

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

(c)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.49% and the ratio of gross expenses would have been 1.60%.

(g)	Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.52% and 1.63%, respectively.

(h)	Effective July 1, 2020, the expense limit decreased from 1.54% to 1.49%.

(i)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

See accompanying notes to consolidated financial statements.

27 |

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Global Alternatives Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.06		$	10.02		$	10.48		$	9.59		$	10.33

Income (loss) from Investment Operations:
Net investment income (loss)(a)		(0.07	)		(0.16	)		(0.11	)		0.02			(0.02	)
Net realized and unrealized gain (loss)		(0.09	)		0.20			(0.22	)		0.88			(0.70	)

Total from Investment Operations		(0.16	)		0.04			(0.33	)		0.90			(0.72	)

Less Distributions From:
Net investment income		(0.86	)		—			(0.13	)		(0.01	)		(0.02	)

Net asset value, end of the period	$	9.04		$	10.06		$	10.02		$	10.48		$	9.59

Total return(b)(c)		(1.51	)%		0.30	%		(3.17	)%		9.48	%		(7.09	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	2,869		$	3,109		$	5,059		$	11,171		$	15,537
Net expenses(d)		2.24	%		2.26	%(e)(f)		2.27	%(g)		2.29	%		2.29	%
Gross expenses		2.38	%		2.37	%(e)(f)		2.33	%		2.32	%		2.30	%
Net investment income (loss)		(0.72	)%		(1.61	)%		(1.08	)%		0.23	%		(0.17	)%
Portfolio turnover rate		124	%		115	%		232	%(h)		125	%		59	%

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.24% and the ratio of gross expenses would have been 2.35%.

(f)	Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 2.27% and 2.38%, respectively.

(g)	Effective July 1, 2020, the expense limit decreased from 2.29% to 2.24%.

(h)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

See accompanying notes to consolidated financial statements.

| 28

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Global Alternatives Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.97		$	10.82		$	11.35		$	10.40		$	11.22

Income (loss) from Investment Operations:
Net investment income (loss)(a)		0.09			(0.08	)		0.00	(b)		0.15			0.10
Net realized and unrealized gain (loss)		(0.14	)		0.23			(0.24	)		0.94			(0.77	)

Total from Investment Operations		(0.05	)		0.15			(0.24	)		1.09			(0.67	)

Less Distributions From:
Net investment income		(0.96	)		—			(0.29	)		(0.14	)		(0.15	)

Net asset value, end of the period	$	9.96		$	10.97		$	10.82		$	11.35		$	10.40

Total return(c)		(0.56	)%		1.39	%		(2.06	)%		10.48	%		(6.08	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	30,952		$	142		$	131		$	526		$	14,377
Net expenses(d)		1.19	%		1.21	%(e)(f)		1.22	%(g)		1.24	%		1.24	%
Gross expenses		1.31	%		1.98	%(e)(f)		1.68	%		1.26	%		1.25	%
Net investment income (loss)		0.86	%		(0.70	)%		0.02	%		1.38	%		0.94	%
Portfolio turnover rate		124	%		115	%		232	%(h)		125	%		59	%

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

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

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

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

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.19% and the ratio of gross expenses would have been 1.96%.

(f)	Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.22% and 1.99%, respectively.

(g)	Effective July 1, 2020, the expense limit decreased from 1.24% to 1.19%.

(h)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

See accompanying notes to consolidated financial statements.

29 |

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Global Alternatives Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.98		$	10.84		$	11.36		$	10.40		$	11.22

Income (loss) from Investment Operations:
Net investment income (loss)(a)		0.01			(0.07	)		(0.01	)		0.14			0.09
Net realized and unrealized gain (loss)		(0.07	)		0.21			(0.23	)		0.95			(0.77	)

Total from Investment Operations		(0.06	)		0.14			(0.24	)		1.09			(0.68	)

Less Distributions From:
Net investment income		(0.95	)		—			(0.28	)		(0.13	)		(0.14	)

Net asset value, end of the period	$	9.97		$	10.98		$	10.84		$	11.36		$	10.40

Total return(b)		(0.53	)%		1.29	%		(2.12	)%		10.49	%		(6.04	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	166,448		$	322,349		$	502,517		$	784,884		$	1,132,058
Net expenses(c)		1.24	%		1.26	%(d)(e)		1.27	%(f)		1.29	%		1.29	%
Gross expenses		1.38	%		1.37	%(d)(e)		1.33	%		1.32	%		1.30	%
Net investment income (loss)		0.12	%		(0.60	)%		(0.11	)%		1.23	%		0.85	%
Portfolio turnover rate		124	%		115	%		232	%(g)		125	%		59	%

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

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

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

(d)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.35%.

(e)	Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.27% and 1.38%, respectively.

(f)	Effective July 1, 2020, the expense limit decreased from 1.29% to 1.24%.

(g)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

See accompanying notes to consolidated financial statements.

| 30

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Managed Futures Strategy Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	9.94		$	10.17		$	9.26		$	8.97		$	10.38

Income (loss) from Investment Operations:
Net investment income (loss)(a)		0.05			(0.18	)		(0.10	)		0.04			0.02
Net realized and unrealized gain (loss)		3.45			0.52			1.33			0.69			(1.31	)

Total from Investment Operations		3.50			0.34			1.23			0.73			(1.29	)

Less Distributions From:
Net investment income		(1.01	)		(0.57	)		(0.32	)		(0.44	)		—
Net realized capital gains		(2.30	)		—			—			—			(0.12	)

Total Distributions		(3.31	)		(0.57	)		(0.32	)		(0.44	)		(0.12	)

Net asset value, end of the period	$	10.13		$	9.94		$	10.17		$	9.26		$	8.97

Total return(b)		35.37	%		3.30	%(c)		13.27	%(c)		8.09	%(c)		(12.55	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	142,236		$	51,356		$	170,442		$	222,059		$	133,996
Net expenses		1.70	%(d)		1.72	%(e)(f)		1.70	%(e)		1.70	%(e)		1.70	%
Gross expenses		1.70	%(d)		1.76	%(f)		1.80	%		1.79	%		1.70	%
Net investment income (loss)		0.37	%		(1.63	)%		(0.99	)%		0.47	%		0.21	%
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.74%.

(g)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to consolidated financial statements.

31 |

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Managed Futures Strategy Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	9.38		$	9.63		$	8.78		$	8.51		$	9.93

Income (loss) from Investment Operations:
Net investment loss(a)		(0.07	)		(0.24	)		(0.16	)		(0.02	)		(0.05	)
Net realized and unrealized gain (loss)		3.27			0.49			1.26			0.64			(1.25	)

Total from Investment Operations		3.20			0.25			1.10			0.62			(1.30	)

Less Distributions From:
Net investment income		(0.94	)		(0.50	)		(0.25	)		(0.35	)		—
Net realized capital gains		(2.30	)		—			—			—			(0.12	)

Total Distributions		(3.24	)		(0.50	)		(0.25	)		(0.35	)		(0.12	)

Net asset value, end of the period	$	9.34		$	9.38		$	9.63		$	8.78		$	8.51

Total return(b)		34.27	%		2.54	%(c)		12.48	%(c)		7.30	%(c)		(13.22	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	32,718		$	17,400		$	19,793		$	21,621		$	29,421
Net expenses		2.45	%(d)		2.47	%(e)(f)		2.45	%(e)		2.45	%(e)		2.45	%
Gross expenses		2.45	%(d)		2.51	%(f)		2.54	%		2.53	%		2.45	%
Net investment loss		(0.56	)%		(2.38	)%		(1.78	)%		(0.24	)%		(0.52	)%
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(f)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.48%.

(g)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to consolidated financial statements.

| 32

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Managed Futures Strategy Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.06		$	10.30		$	9.38		$	9.07		$	10.46

Income (loss) from Investment Operations:
Net investment income (loss)(a)		0.07			(0.14	)		(0.07	)		0.08			0.08
Net realized and unrealized gain (loss)		3.53			0.52			1.35			0.70			(1.35	)

Total from Investment Operations		3.60			0.38			1.28			0.78			(1.27	)

Less Distributions From:
Net investment income		(1.05	)		(0.62	)		(0.36	)		(0.47	)		—
Net realized capital gains		(2.30	)		—			—			—			(0.12	)

Total Distributions		(3.35	)		(0.62	)		(0.36	)		(0.47	)		(0.12	)

Net asset value, end of the period	$	10.31		$	10.06		$	10.30		$	9.38		$	9.07

Total return		35.93	%		3.63	%		13.77	%		8.45	%		(12.26	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	328,418		$	188,562		$	133,731		$	117,258		$	67,957
Net expenses		1.33	%		1.38	%(b)		1.35	%		1.36	%		1.36	%
Gross expenses		1.33	%		1.38	%(b)		1.35	%		1.36	%		1.36	%
Net investment income (loss)		0.53	%		(1.29	)%		(0.73	)%		0.79	%		0.83	%
Portfolio turnover rate(c)		—	%		—	%		—	%		—	%		—	%

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

(b)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.36% and the ratio of gross expenses would have been 1.36%.

(c)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to consolidated financial statements.

33 |

Consolidated Financial Highlights (continued)

For a share outstanding throughout each period.


	AlphaSimplex Managed Futures Strategy Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.04		$	10.28		$	9.36		$	9.06		$	10.46

Income (loss) from Investment Operations:
Net investment income (loss)(a)		0.06			(0.15	)		(0.08	)		0.07			0.05
Net realized and unrealized gain (loss)		3.52			0.52			1.35			0.69			(1.33	)

Total from Investment Operations		3.58			0.37			1.27			0.76			(1.28	)

Less Distributions From:
Net investment income		(1.04	)		(0.61	)		(0.35	)		(0.46	)		—
Net realized capital gains		(2.30	)		—			—			—			(0.12	)

Total Distributions		(3.34	)		(0.61	)		(0.35	)		(0.46	)		(0.12	)

Net asset value, end of the period	$	10.28		$	10.04		$	10.28		$	9.36		$	9.06

Total return		35.65	%		3.53	%(b)		13.56	%(b)		8.35	%(b)		(12.35	)%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	2,338,673		$	1,245,471		$	1,162,122		$	1,212,973		$	1,836,962
Net expenses		1.45	%(c)		1.47	%(d)(e)		1.45	%(d)		1.45	%(d)		1.45	%
Gross expenses		1.45	%(c)		1.51	%(e)		1.54	%		1.53	%		1.45	%
Net investment income (loss)		0.44	%		(1.38	)%		(0.80	)%		0.77	%		0.49	%
Portfolio turnover rate(f)		—	%		—	%		—	%		—	%		—	%

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

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

(c)	Includes fee/expense recovery of 0.01%.

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

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.48%.

(f)	Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to consolidated financial statements.

| 34

Notes to Consolidated Financial Statements

December 31, 2022

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

AlphaSimplex Global Alternatives Fund (the “Global Alternatives Fund”)

AlphaSimplex Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C, Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

The Funds invest in commodity-related instruments through AlphaSimplex Global Alternatives Cayman Fund Ltd. and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. Each Fund may invest up to 25% of its total assets in its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of December 31, 2022, the value of each Fund’s investment in its respective Subsidiary was as follows:


Fund	Investment in Subsidiary		Percentage of Net Assets
Global Alternatives Fund	$	3,014,594		1.41	%
Managed Futures Strategy Fund		102,653,614		3.61	%

On December 7, 2022, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization pursuant to which the Funds will transfer their assets and liabilities to newly formed “shell” series of Virtus AlphaSimplex Global Alternatives Fund and Virtus AlphaSimplex Managed Futures Strategy Fund (each, a “Virtus AlphaSimplex Fund”, together, the “Virtus AlphaSimplex Funds”), in exchange for shares of the Virtus AlphaSimplex Funds, to be followed immediately by the distribution of Virtus AlphaSimplex Fund shares to shareholders of each of the Funds in complete liquidation of the Funds (the “Fund Reorganizations”). The Fund Reorganizations are being proposed in connection with the acquisition of AlphaSimplex Group, LLC by Virtus Investment Partners, Inc. The Fund Reorganizations are expected to close in the second quarter of 2023.

35 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

a. Consolidation. The accompanying financial statements present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

b. Valuation. Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service.

The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as 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, if applicable. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

| 36

Notes to Consolidated Financial Statements (continued)

December 31, 2022

e. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Consolidated Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

f. Futures Contracts. A Fund and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

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

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

g. Swap Agreements. Global Alternatives Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.

The notional amounts of equity basket total return swap agreements are not recorded in the financial statements. Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Operations. Fees are accrued in accordance with the terms of the agreement and are included in due to/from brokers on the Consolidated Statement of Assets and Liabilities. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss on the Consolidated Statement of Operations.

37 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities. Swap agreements outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

h. Due from Brokers. Transactions and positions in certain futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. The due from brokers’ balances in the Consolidated Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with brokers for open futures contracts and cash pledged as collateral for forward foreign currency contracts and swap agreements (including accrued interest receivable on equity basket total return swap agreements and net dividends payable on short reference entity common stocks). In certain circumstances the Funds’ or Subsidiaries’ use of cash, and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

i. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

| 38

Notes to Consolidated Financial Statements (continued)

December 31, 2022

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2022 and 2021 was as follows:


	2022 Distributions						2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Global Alternatives Fund	$	19,990,271	$	—	$	19,990,271	$	—	$	—	$	—
Managed Futures Strategy Fund		414,624,646		355,980,060		770,604,706		88,218,493		—		88,218,493

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Consolidated Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2022, the components of distributable earnings on a tax basis were as follows:


	Global Alternatives Fund			Managed Futures Strategy Fund
Undistributed ordinary income	$	517,233		$	—

Capital loss carryforward:
Short-term:
No expiration date		(35,641,780	)		—
Long-term:
No expiration date		(5,373,584	)		—

Total capital loss carryforward		(41,015,364	)		—

Late-year ordinary and post-October capital loss deferrals*		—			(201,714,931	)

Unrealized depreciation		(981,428	)		(40,417,912	)

Total accumulated losses	$	(41,479,559	)	$	(242,132,843	)

Capital loss carryforward utilized in the current year	$	—		$	105,681,877

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Managed Futures Strategy Fund is deferring foreign currency and capital losses.

As of December 31, 2022, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	Global Alternatives Fund			Managed Futures Strategy Fund
Federal tax cost	$	197,876,534		$	2,637,883,802

Gross tax appreciation	$	2,131,369		$	62,381,891
Gross tax depreciation		(3,163,178	)		(100,436,665	)

Net tax depreciation	$	(1,031,809	)	$	(38,054,774	)

The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market and Cayman blocker adjustments.

k. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a

39 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Consolidated Statements of Assets and Liabilities for financial reporting purposes.

l. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

m. New Accounting Pronouncement. In June 2022, the Financial Accounting Standards Board issued Accounting Standards Update 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). ASU 2022-03 clarifies the guidance in ASC 820 related to the measurement of fair value of an equity security subject to contractual sale restrictions, eliminating the ability to apply a discount to the fair value of such securities, and introducing related disclosure requirements. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. Management is currently evaluating the impact of applying this update.

•

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

•

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2022, at value:

Global Alternatives Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	36,706,043	$	—	$	—	$	36,706,043
Closed-End Investment Companies		206,493		—		—		206,493
Short-Term Investments(a)		—		160,115,701		—		160,115,701
Forward Foreign Currency Contracts (unrealized appreciation)		—		118,444		—		118,444
Futures Contracts (unrealized appreciation)		2,884,396		86,244		—		2,970,640

Total	$	39,796,932	$	160,320,389	$	—	$	200,117,321

| 40

Notes to Consolidated Financial Statements (continued)

December 31, 2022

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Equity Basket Total Return Swap	$	—	(b)	$	—		$	—	$	—
Forward Foreign Currency Contracts (unrealized depreciation)		—			(113,162	)		—		(113,162	)
Futures Contracts (unrealized depreciation)		(3,403,215	)		(185,416	)		—		(3,588,631	)

Total	$	(3,403,215	)	$	(298,578	)	$	—	$	(3,701,793	)

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

(b)	Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments.

Managed Futures Strategy Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	2,598,994,129	$	—	$	2,598,994,129
Forward Foreign Currency Contracts (unrealized appreciation)		—		12,679,251		—		12,679,251
Futures Contracts (unrealized appreciation)		106,870,731		326,988		—		107,197,719

Total	$	106,870,731	$	2,612,000,368	$	—	$	2,718,871,099

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(11,303,079	)	$	—	$	(11,303,079	)
Futures Contracts (unrealized depreciation)		(32,931,476	)		(14,125,074	)		—		(47,056,550	)

Total	$	(32,931,476	)	$	(25,428,153	)	$	—	$	(58,359,629	)

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

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts and swap agreements.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the year ended December 31, 2022, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, short-term interest rates, and commodities (through investments in the Subsidiary), and short contracts on equity basket total return swaps in accordance with these objectives.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the year ended December 31, 2022, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, short-term interest rates, foreign currencies, and commodities (through investments in the Subsidiary) to capture the exposures suggested by the quantitative investment models.

41 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2022, as reflected within the Consolidated Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	118,444	$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	1,898,087
Foreign exchange contracts		—		197,896
Commodity contracts		—		506,757
Equity contracts		—		367,900

Total exchange-traded asset derivatives	$	—	$	2,970,640

Total asset derivatives	$	118,444	$	2,970,640


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap agreements at value¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(113,162	)	$	—		$	—
Equity contracts		—			—			(26,005,024	)

Total over-the counter liability derivatives	$	(113,162	)	$	—		$	(26,005,024	)

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(571,152	)	$	—
Foreign exchange contracts		—			(124,886	)		—
Commodity contracts		—			(485,084	)		—
Equity contracts		—			(2,407,509	)		—

Total exchange-traded liability derivatives	$	—		$	(3,588,631	)	$	—

Total liability derivatives	$	(113,162	)	$	(3,588,631	)	$	(26,005,024	)

¹	Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments.

Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2022, as reflected within the Consolidated Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Forward foreign currency transactions		Swap agreements
Interest rate contracts	$	5,126,205		$	—	$	—
Foreign exchange contracts		4,621,463			1,212,451		—
Commodity contracts		8,923,746			—		—
Equity contracts		(18,975,260	)		—		7,336,845

Total	$	(303,846	)	$	1,212,451	$	7,336,845

| 42

Notes to Consolidated Financial Statements (continued)

December 31, 2022


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	1,820,553		$	—
Foreign exchange contracts		(1,111,631	)		(333,111	)
Commodity contracts		(1,071,786	)		—
Equity contracts		(4,052,251	)		—

Total	$	(4,415,115	)	$	(333,111	)

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2022, as reflected within the Consolidated Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	12,679,251		$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—		$	78,046,284
Foreign exchange contracts		—			289,000
Commodity contracts		—			23,505,812
Equity contracts		—			5,356,623

Total exchange-traded asset derivatives	$	—		$	107,197,719

Total asset derivatives	$	12,679,251		$	107,197,719


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(11,303,079	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(6,298,269	)
Foreign exchange contracts		—			(7,267,617	)
Commodity contracts		—			(16,619,724	)
Equity contracts		—			(16,870,940	)

Total exchange-traded liability derivatives	$	—		$	(47,056,550	)

Total liability derivatives	$	(11,303,079	)	$	(47,056,550	)

43 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2022, as reflected within the Consolidated Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	449,368,289		$	—
Foreign exchange contracts		109,424,424			(7,563,789	)
Commodity contracts		95,674,695			—
Equity contracts		(145,919,769	)		—

Total	$	508,547,639		$	(7,563,789	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	77,189,212		$	—
Foreign exchange contracts		3,448,846			13,143,296
Commodity contracts		(4,142,540	)		—
Equity contracts		(30,501,602	)		—

Total	$	45,993,916		$	13,143,296

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2022:


Global Alternatives Fund	Forwards			Futures			Total Return Swaps
Average Notional Amount Outstanding		27.70	%		191.43	%		13.75	%
Highest Notional Amount Outstanding		67.47	%		317.79	%		17.17	%
Lowest Notional Amount Outstanding		9.14	%		114.73	%		10.09	%
Notional Amount Outstanding as of December 31, 2022		11.87	%		132.87	%		12.16	%

Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		81.33	%		442.60	%
Highest Notional Amount Outstanding		143.32	%		644.54	%
Lowest Notional Amount Outstanding		36.12	%		253.42	%
Notional Amount Outstanding as of December 31, 2022		77.60	%		576.29	%

Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Consolidated Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Consolidated Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Consolidated Statements of Assets and Liabilities.

| 44

Notes to Consolidated Financial Statements (continued)

December 31, 2022

As of December 31, 2022, gross amounts of over-the-counter derivative assets and liabilities not offset in the Consolidated Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Alternatives Fund


Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	118,444		$	(113,162	)	$	5,282	$	—	$	5,282

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(113,162	)	$	113,162		$	—	$	—	$	—

Managed Futures Strategy Fund


Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	12,679,251		$	(11,303,079	)	$	1,376,172	$	—	$	1,376,172

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(11,303,079	)	$	11,303,079		$	—	$	—	$	—

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of December 31, 2022, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:


	Independent Amount of Collateral		Increase (Decrease) For Change in Value			Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Global Alternatives Fund	$	1,008,433	$	(2,962)		$	1,005,471	$	728,938	$	(276,533	)
Managed Futures Strategy Fund		66,159,768		(1,208,559	)		64,951,209		61,265,048		(3,686,161	)

Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Consolidated Statements of Assets and Liabilities.

45 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Consolidated Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2022:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	118,444	$	5,282
Collateral pledged to UBS AG		728,938		728,938
Collateral pledged to Morgan Stanley		4,788,396		4,788,396

Total over-the-counter counterparty credit risk		5,635,778		5,522,616

Exchange-traded counterparty credit risk
Futures contracts		2,970,640		2,970,640
Margin with brokers		13,092,879		13,092,879

Total exchange-traded counterparty credit risk		16,063,519		16,063,519

Total counterparty credit risk	$	21,699,297	$	21,586,135

Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	12,679,251	$	1,376,172
Collateral pledged to UBS AG		61,265,048		61,265,048

Total over-the-counter counterparty credit risk		73,944,299		62,641,220

Exchange-traded counterparty credit risk
Futures contracts		107,197,719		107,197,719
Margin with brokers		370,182,358		370,182,358

Total exchange-traded counterparty credit risk		477,380,077		477,380,077

Total counterparty credit risk	$	551,324,376	$	540,021,297

5. Purchases and Sales of Securities. For the year ended December 31, 2022, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Global Alternatives Fund	$	57,525,827	$	86,834,897

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Investment Managers, LLC, serves as investment adviser to the Funds. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets.

Global Alternatives Fund pays a management fee at an annual rate of 1.10% on the first $2 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.05% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

Managed Futures Strategy Fund pays a management fee at an annual rate of 1.25% on the first $2.5 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.20% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

AlphaSimplex also serves as investment adviser to AlphaSimplex Global Alternatives Cayman Fund Ltd. and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.10% and 1.25%, respectively, of its average daily net assets.

| 46

Notes to Consolidated Financial Statements (continued)

December 31, 2022

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short (Global Alternatives Fund only), taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Consolidated Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Consolidated Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
Global Alternatives Fund		1.49	%		2.24	%		1.19	%		1.24	%
Managed Futures Strategy Fund		1.70	%		2.45	%		1.40	%		1.45	%

AlphaSimplex shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the year ended December 31, 2022, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
Global Alternatives Fund	$	2,870,511	$	365,121	$	2,505,390		1.10	%		0.96	%
Managed Futures Strategy Fund		32,354,877		—		32,354,877		1.24	%		1.24	%

¹	Management fee waivers are subject to possible recovery until December 31, 2023.

For the year ended December 31, 2022, expense reimbursements related to the prior fiscal year were recovered as follows:


Fund	Recovered Expenses
Managed Futures Strategy Fund	$	207,707

b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

47 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Global Alternatives Fund	$	37,700	$	7,004	$	21,012
Managed Futures Strategy Fund		287,265		65,756		197,266

c. Administrative Fees. Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2022, the administrative fees paid to Natixis Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):


Fund	Administrative Fees
Global Alternatives Fund	$	117,577
Managed Futures Strategy Fund		1,183,885

For the year ended December 31, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Consolidated Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Global Alternatives Fund	$	147,240
Managed Futures Strategy Fund		2,034,596

As of December 31, 2022, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Consolidated Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
Global Alternatives Fund	$	1,617
Managed Futures Strategy Fund		27,279

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2022 were as follows:


Fund	Commissions
Global Alternatives Fund	$	689
Managed Futures Strategy Fund		66,492

f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of

| 48

Notes to Consolidated Financial Statements (continued)

December 31, 2022

the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2023, each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically.

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

For the year ended December 31, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Consolidated Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
Global Alternatives Fund	$	(43,644	)
Managed Futures Strategy Fund		(24,713	)

Certain officers and employees of Natixis Advisors and its affiliates are also officers and/or Trustees of the Trust.

g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Global Alternatives Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the year ended December 31, 2022, Natixis Advisors reimbursed the Fund $981 for transfer agency expenses related to Class N shares.

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the year ended December 31, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Global Alternatives Fund	$	11,401	$	2,129	$	981	$	161,314
Managed Futures Strategy Fund		124,448		28,579		2,064		2,297,921

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Consolidated Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Consolidated Statements of Assets and Liabilities.

49 |

Notes to Consolidated Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, neither Fund had borrowings under this agreement.

9. Risk. Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

The Funds’ investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.


Fund	Number of 5% Non- Affiliated Account Holders		Total Percentage of Ownership
Global Alternatives Fund		2		26.17	%(a)
Managed Futures Strategy Fund		1		7.68	%(a)

(a)

Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund (AlphaSimplex). Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. AlphaSimplex has no involvement in the decisions to invest in the models provided.

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


	Year Ended December 31, 2022						Year Ended December 31, 2021
Global Alternatives Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		299,792		$	3,157,956			459,499		$	4,938,680
Issued in connection with the reinvestment of distributions		78,315			767,488			—			—
Redeemed		(549,474	)		(5,760,954	)		(355,085	)		(3,811,424	)

Net change		(171,367	)	$	(1,835,510	)		104,414		$	1,127,256

Class C
Issued from the sale of shares		36,609		$	361,422			28,713		$	288,346
Issued in connection with the reinvestment of distributions		27,528			249,679			—			—
Redeemed		(55,997	)		(546,987	)		(224,383	)		(2,259,493	)

Net change		8,140		$	64,114			(195,670	)	$	(1,971,147	)

Class N
Issued from the sale of shares		3,826,936		$	41,747,812			8,628		$	94,221
Issued in connection with the reinvestment of distributions		7,753			77,370			—			—
Redeemed		(738,964	)		(7,937,452	)		(7,764	)		(84,245	)

Net change		3,095,725		$	33,887,730			864		$	9,976

| 50

Notes to Consolidated Financial Statements (continued)

December 31, 2022

11. Capital Shares (continued).


	Year Ended December 31, 2022						Year Ended December 31, 2021
Global Alternatives Fund	Shares			Amount			Shares			Amount
Class Y
Issued from the sale of shares		6,218,831		$	67,336,333			9,216,999		$	100,270,504
Issued in connection with the reinvestment of distributions		877,582			8,775,816			—			—
Redeemed		(19,754,615	)		(212,791,302	)		(26,242,761	)		(287,571,015	)

Net change		(12,658,202	)	$	(136,679,153	)		(17,025,762	)	$	(187,300,511	)

Decrease from capital share transactions		(9,725,704	)	$	(104,562,819	)		(17,116,154	)	$	(188,134,426	)


	Year Ended December 31, 2022					Year Ended December 31, 2021
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	17,562,821		$	238,292,971		1,542,465		$	16,496,076
Issued in connection with the reinvestment of distributions	3,442,987			34,797,593		244,668			2,454,017
Redeemed	(12,132,668	)		(158,147,101	)	(13,377,468	)		(139,593,521	)

Net change	8,873,140		$	114,943,463		(11,590,335	)	$	(120,643,428	)

Class C
Issued from the sale of shares	1,563,304		$	19,901,932		322,670		$	3,275,655
Issued in connection with the reinvestment of distributions	835,718			7,790,382		89,455			847,142
Redeemed	(752,762	)		(8,952,412	)	(612,785	)		(6,248,949	)

Net change	1,646,260		$	18,739,902		(200,660	)	$	(2,126,152	)

Class N
Issued from the sale of shares	19,713,089		$	256,631,954		7,813,512		$	84,071,121
Issued in connection with the reinvestment of distributions	3,294,220			33,868,147		423,441			4,302,164
Redeemed	(9,883,246	)		(130,122,561	)	(2,485,684	)		(26,772,732	)

Net change	13,124,063		$	160,377,540		5,751,269		$	61,600,553

Class Y
Issued from the sale of shares	177,711,633		$	2,345,794,798		44,142,151		$	479,627,227
Issued in connection with the reinvestment of distributions	47,878,427			490,744,544		4,820,549			48,880,364
Redeemed	(122,032,275	)		(1,589,018,215	)	(38,028,977	)		(409,486,888	)

Net change	103,557,785		$	1,247,521,127		10,933,723		$	119,020,703

Increase from capital share transactions	127,201,248		$	1,541,582,032		4,893,997		$	57,851,676

51 |

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Natixis Funds Trust II and Shareholders of AlphaSimplex Global Alternatives Fund and AlphaSimplex Managed Futures Strategy Fund

Opinions on the Consolidated Financial Statements

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated portfolios of investments, of AlphaSimplex Global Alternatives Fund and AlphaSimplex Managed Futures Strategy Fund and their subsidiaries (two of the funds constituting Natixis Funds Trust II, hereafter collectively referred to as the “Funds”) as of December 31, 2022, the related consolidated statements of operations for the year ended December 31, 2022, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the consolidated financial highlights for each of the five years in the period ended December 31, 2022 (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022 and each of the financial highlights for each of the five years in the period ended December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2023

| 52

2022 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
Global Alternatives Fund		3.35	%


Fund	Qualifying Percentage
Global Alternatives Fund		3.81	%


Fund	Amount
Managed Futures Strategy Fund	$	355,980,060

53 |

Trustee and Officer Information

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the Trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.


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

INDEPENDENT TRUSTEES

Edmond J. English (1953)	Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member	Executive Chairman of Bob’s Discount Furniture (retail)	54 Director, Burlington Stores, Inc. (retail); Director, Rue Gilt Groupe, Inc. (e-commerce retail)	Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member and Governance Committee Member	Retired	54 Formerly, Director, Triumph Group (aerospace industry)	Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Chairperson of the Contract Review Committee	Retired	54 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

| 54

Trustee and Officer Information


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

INDEPENDENT TRUSTEES – continued

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member and Governance Committee Member	President, University of Massachusetts	54 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell (1951)	Trustee since 2017 Contract Review Committee Member and Governance Committee Member	Retired	54 Director, Sterling Bancorp (bank)	Significant experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

James P. Palermo (1955)	Trustee since 2016 Audit Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity)	54 Director, FutureFuel.io (chemicals and biofuels)	Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee	Professor of Finance at Babson College	54 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

55 |

Trustee and Officer Information


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

INDEPENDENT TRUSTEES – continued

Peter J. Smail (1952)	Trustee since 2009 Audit Committee Member	Retired	54 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Kirk A. Sykes (1958)	Trustee since 2019 Audit Committee Member and Governance Committee Member	Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance)	54 Advisor, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust)	Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Audit Committee	Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine	54 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P.	54 None	Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

| 56

Trustee and Officer Information


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

INTERESTED TRUSTEES – continued

David L. Giunta⁴ (1965)	Trustee since 2011 President and Chief Executive Officer	President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC	54 None	Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC

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

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

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

⁴	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.

57 |

Trustee and Officer Information


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

OFFICERS OF THE TRUST

Matthew Block (1981)	Treasurer, Principal Financial and Accounting Officer	Since 2022	Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company

Susan McWhan Tobin (1963)	Secretary and Chief Legal Officer	Since 2022	Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, US for Natixis Investment Managers (July 2011 – March 2019)

Natalie R. Wagner (1979)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since 2021	Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group

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

| 58

LOGO

Annual Report

December 31, 2022

Loomis Sayles High Income Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			21
Financial Statements			66
Notes to Financial Statements			88

LOGO

LOOMIS SAYLES HIGH INCOME FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A NEFHX

Brian P. Kennedy		Class C NEHCX

Elaine M. Stokes		Class N LSHNX

Todd P. Vandam, CFA^®		Class Y NEHYX

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

Market Conditions

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as “transitory” as initially expected. The outlook grew even more challenging after Russia’s invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 6% through the last three quarters of the year, well above the US Federal Reserve’s (Fed’s) 2% target.

These developments prompted the Fed and other major central banks to tighten monetary policy aggressively. The Fed, in addition to ending its stimulative quantitative easing policy, raised interest rates at seven consecutive meetings from March onward. The benchmark fed funds rate, which stood in a range of 0% to 0.25% at the start of 2022, finished the year at 4.25% to 4.50%. This represented the most aggressive increase in short-term rates since the early 1980s.

The backdrop of high inflation and rising rates weighed heavily on US Treasuries. The yield on the two-year note surged from 0.39% to 4.41% over the course of 2022, while the 10-year yield climbed from 1.44% to 3.88%. The Treasury market suffered its second consecutive year of negative returns in 2022 — the first time this has happened since 1958-59. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt), an unusual event that typically precedes a recession.

Investment grade corporate bonds posted a double-digit loss and lagged US Treasuries. In addition to suffering from the uptrend in prevailing yields, corporates experienced a large increase in yield spreads relative to government debt. Rising spreads were the result of investors’ declining appetite for risk and concerns about the impact slowing economic growth could have on corporations’ earnings and balance sheets.

High yield bonds, while finishing 2022 in the red, outperformed US Treasuries and other segments of the investment grade market. The category was helped by its higher income, lower interest rate sensitivity, and a relatively large representation of the energy sector. Senior loans, which experienced elevated demand due to their floating rate feature, were the best-performing segment of the fixed income market for the year with a return just below the break-even mark.

Securitized assets — including agency mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted negative total returns but outperformed the broader US bond market due to the category’s shorter duration (lower interest rate sensitivity). ABS, particularly credit card and auto ABS, were the strongest performers among securitized assets due to their higher quality, better liquidity, and shorter duration.

Emerging market bonds underperformed the US due to the combination of growth fears, investors’ increased aversion to risk, the conflict in Ukraine, and negative headlines out of China. US-based investors were also hurt by a meaningful decline in emerging market currencies in relation to the US dollar.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles High Income Fund returned -13.47% at net asset value. The Fund underperformed its benchmark, the Bloomberg U.S. Corporate High-Yield Bond Index, which returned -11.19%.

Explanation of Fund Performance

This past year has been extremely challenging for fixed income markets. Security selection within high yield credit was the primary source of underperformance for the Fund. High yield has lagged as aggressive central bank policy and an increasingly slower growth outlook have put pressure on risk assets. In addition, a handful of our higher conviction positions, particularly in the communications

1 |

and consumer non-cyclical sectors, have underperformed the broader market. The team’s investment thesis for these higher conviction positions started to play out in the second half of the year, but was not enough to offset the drawdown experienced earlier in the period. An allocation to emerging market credit was also a detractor of relative returns, with holdings in Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China had exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector had been limited, resulting in further bond price erosion. More recently, however, we have started to see coordinated efforts here as Chinese authorities release rounds of policies to support the property sector. Finally, convertible securities weighed on returns given the tumultuous equity market backdrop. Here, selected communications holdings were performance laggards.

An allocation to defensive, reserve-like positions and US Treasuries was beneficial as risk-off sentiment prevailed.

Outlook

Initial inflation data in the beginning of the fourth quarter of 2022 came in above expectations; however, subsequent readings were moderately positive, suggesting we may have passed peak inflation. The positive news appeared to usher in optimism that perhaps the Fed’s aggressive rate hiking cycle is finally working to bring inflation down. As we moved closer to the potential peak in Fed policy, risk assets stabilized and spreads on investment grade and high yield corporates finished the quarter at tighter levels.

In our view, the credit cycle¹ is firmly in the late cycle stage and the risk of downturn has become more balanced. We expect growth to continue to trend lower as manufacturing and housing metrics have deteriorated; however, in our view the US consumer appears on solid footing, maintaining strong levels of excess savings and continuing to spend at a healthy rate. Labor markets remain tight. We’ve observed higher wages, cost of living adjustments, an elevated number of job openings and employers who are reluctant to shed workers in industries where they may have trouble getting them back, which could help to support consumer confidence. We believe a healthy consumer combined with positive corporate fundamentals and a strong banking system should help provide a floor to economic activity and support credit fundamentals to some degree.

While inflation has likely peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, we believe inflation will likely remain sticky and above the Fed’s target throughout 2023, primarily as result of wage pressure. We now believe much of the movement from the Fed has occurred or is currently being priced into the market, which in turn may also put a cap on the Treasury curve. We’re currently expecting an additional 50 bps of tightening in the first quarter of 2023, which would bring the policy rate up to 5.00% after the March meeting. In our view, the market continues to want to compress this cycle and lean towards a Fed pivot, but we believe inflation is structural at this point. We find it difficult for the Fed to begin cutting rates when inflation remains above their target. As a result, we’re anticipating a Fed pause after the March meeting which would likely extend into the latter stage of 2023. Throughout the year, the Fed will likely be driven by the extent to which there is firm evidence of inflation moderating, and at this point, we have not eliminated the possibility that the next Fed move could be a rate hike. We expect the US 10-year bond yield to move only modestly higher from here and we continue to be positioned defensively on rate risk, but to a lesser extent than earlier in 2022.

We believe that value has returned to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. While corporate bond spreads in both investment grade and high yield are currently tighter than their long-term averages, we believe overall yields remain favorable post the 2008 Great Financial Crisis (GFC). Dollar prices on bonds are also currently at post-GFC lows. We believe the combination of discount-to-par and attractive yield could be increasing the potential value opportunity in bonds. We remain mindful of the risks to the global economy, such as tighter financial conditions, slowing Chinese growth, the Eastern Europe conflict, disruptions to the global supply chain and the lingering effects of the Covid pandemic. All of the turmoil around the world leaves us with a wide range of potential outcomes for growth, inflation, and central bank policy response. With the likelihood of downturn in 2023 rising, we have been holding larger than average liquid reserves and seeking to maintain an up-in-quality bias. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. At the same time, short-term yields have risen meaningfully and we are comfortable with how we are being compensated as we wait for opportunities to potentially develop.

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

| 2

LOOMIS SAYLES HIGH INCOME FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2012 through December 31, 2022

LOGO

3 |

Average Annual Total Returns — December 31, 2022³



													Expense Ratios⁴

	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-13.47	%		1.01	%		3.03	%		—	%		0.95	%		0.76	%

Class A
NAV		-13.66			0.75			2.76			—			1.20			1.01
With 4.25% Maximum Sales Charge		-17.32			-0.11			2.31			—

Class C
NAV		-14.50			-0.07			2.15			—			1.95			1.76
With CDSC¹		-15.31			-0.07			2.15			—

Class N (Inception 11/30/16)
NAV		-13.40			1.06			—			2.40			0.87			0.71

Comparative Performance
Bloomberg U.S. Corporate High-Yield Bond Index²		-11.19			2.31			4.03			3.41

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

1	Class C shares performance assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Bloomberg U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. Bloomberg U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices.

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

| 4

LOOMIS SAYLES INVESTMENT GRADE BOND FUND



Managers	Symbols

Matthew J. Eagan, CFA^®	Class A	LIGRX

Brian P. Kennedy	Class C	LGBCX

Elaine M. Stokes	Class N	LGBNX

Loomis, Sayles & Company, L.P.	Class Y	LSIIX

	Admin Class	LIGAX

Investment Goal

The Fund seeks high total investment return through a combination of current income and capital appreciation.

Market Conditions

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles Investment Grade Bond Fund returned -11.31% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Government/Credit Bond Index, which returned -13.58%. The Fund also outperformed its secondary benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -13.01%.

5 |

Explanation Of Fund Performance

Despite an extremely challenging year for fixed income markets, the Fund posted positive relative returns versus its benchmark. Yield curve positioning was the primary source of outperformance. The Fund has been targeting an overall duration shorter than that of the benchmark, which has been a positive contributor given the sharp upward movement in interest rates. We utilized Treasury futures to assist with meeting this objective. We have added back duration over the course of the year, but on a relative basis remain short versus the benchmark. Securitized credit was also beneficial given the sector’s shorter duration profile. Here, holdings in ABS (asset-backed securities) aided returns. Investment grade corporate credit was positive — once again, our shorter duration positioning within the sector was helpful. Finally, performance was aided by defensive, reserve-like positions as risk-off sentiment prevailed.

Exposure to high yield credit was the primary source of underperformance for the Fund. High yield has lagged as aggressive central bank policy and an increasingly slower growth outlook have put pressure on risk assets. In addition, a handful of our higher conviction positions, particularly in the communications sector, have underperformed the broader market. The team’s investment thesis for these higher conviction positions started to play out in the second half of the year but was not enough to offset the drawdown experienced earlier in the period. An allocation to emerging market credit was also a detractor of relative returns, with holdings in Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China had exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector had been limited, resulting in further bond price erosion. More recently, however, we have started to see coordinated efforts here as Chinese authorities release rounds of policies to support the property sector.

Outlook

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

| 6

LOOMIS SAYLES INVESTMENT GRADE BOND FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

December 31, 2012 through December 31, 2022

LOGO

7 |

Average Annual Total Returns — December 31, 2022⁴



													Expense Ratios⁵

	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-11.31	%		1.54	%		2.14	%		—	%		0.54	%		0.49	%

Class A
NAV		-11.62			1.27			1.88			—			0.79			0.74
With 4.25% Maximum Sales Charge		-15.39			0.39			1.44			—

Class C
NAV		-12.26			0.52			1.27			—			1.54			1.49
With CDSC¹		-13.12			0.52			1.27			—

Class N (Inception 2/1/13)
NAV		-11.26			1.59			—			2.17			0.47			0.44

Admin Class
NAV		-11.80			1.03			1.64			—			1.04			0.99

Comparative Performance
Bloomberg U.S. Government/Credit Bond Index²		-13.58			0.21			1.16			1.26
Bloomberg U.S. Aggregate Bond Index³		-13.01			0.02			1.06			1.14

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

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

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

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

| 8

LOOMIS SAYLES STRATEGIC ALPHA FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A LABAX

Brian P. Kennedy		Class C LABCX

Elaine M. Stokes		Class N LASNX

Todd P. Vandam, CFA^®		Class Y LASYX

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

Market Conditions

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as “transitory” as initially expected. The outlook grew even more challenging after Russia’s invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 7% in both the October and November reports, well above the US Federal Reserve’s (Fed’s) 2% target.

Investment grade corporate bonds posted a double-digit loss and lagged Treasuries. In addition to suffering from the upward trend in prevailing yields, corporates experienced a large increase in yield spreads relative to government debt. Rising spreads were the result of investors’ declining appetite for risk and concerns about the impact that slowing economic growth could have on corporations’ earnings and balance sheets.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles Strategic Alpha Fund returned -7.97%. The Fund underperformed its benchmark, ICE BofA U.S. 3-Month Treasury Bill Index, which returned 1.46%. The Fund also underperformed its secondary benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points, which returned 4.44%. The Fund follows an absolute return strategy and is not managed to an index.

9 |

Explanation of Fund Performance

High yield corporates were the main detractor for the year as credit spreads (the incremental yield provided by lower quality bonds) expanded during the year. Within the portfolio, consumer, communications and banking names were the largest detractors. Almost every area of fixed income suffered its greatest loss in decades with the Fed raising rates over the year. At the Fed’s December meeting, the Fed disclosed that it anticipated rate hikes to take the fed funds rate above 5% (from the current 4.375%), which was higher than market expectations. New issuance in the US high yield bond market fell significantly in 2022 and performance moved in a similar direction with the high yield index, returning -11.19% for the year.

The allocation to investment grade corporate bonds diminished performance for the period as well. In what was considered the most difficult year on record for fixed income markets and specifically US bond investors, bond yields began the period at their lowest levels in 150 years. Despite a challenging 2022 which saw sharply rising bond yields, corporate bonds look more compelling going forward from a total return perspective. Compared to government bonds, corporate bonds arguably carry more long-term value. Within the portfolio, holdings of banking, communications, consumer, and finance company issues weighed most heavily on performance.

Exposure to securitized assets including ABS, non-agency MBS, and CMBS detracted from performance for the period. In particular, housing, whole business, and student loan exposure weighed on returns. While the Biden administration’s debt forgiveness plan for student loans rests in the hands of the Supreme Court, the office sector is facing headwinds due to work-from-home pressures, job migration out of certain cities, and tenants reducing workspace to save costs. The Russian invasion of Ukraine in early February 2022 left dozens of aircraft in ABS transactions stranded in Russia with leases being terminated and planes repossessed. Aircraft lessors have since filed insurance claims under their policies for the confiscated planes, but resolution of these claims will likely take years.

The Fund’s positioning with respect to duration (and corresponding interest rate sensitivity) and non-US dollar currency exposure was additive to performance during the period. Rising inflation concerns and increasingly hawkish Fed policy through rate hikes led to higher yields for US Treasuries across the curve. The yield on the benchmark 10-year note finished the year up 235 basis points at 3.87%. In this environment, our short position in 10-year US Treasury interest rate futures aided performance. While the job market remains steady, the yield curve (which depicts the relationship among bond yields across the maturity spectrum) has historically been a reliable indicator of imminent economic turmoil. The curve inverted further in December, suggesting elevated risks of recession.

Outlook

Inflation data in the beginning of the fourth quarter of 2022 came in above expectations. However, subsequent readings eased modestly, suggesting we may have passed peak inflation. The positive news appeared to usher in optimism that perhaps the Fed’s aggressive rate hiking cycle is finally working to bring inflation down. As the potential peak in Fed policy tightening came into view, risk assets stabilized and spreads on investment grade and high yield corporates finished the quarter at tighter levels.

In our view, the credit cycle¹ is firmly in the late stages and the risk of downturn has become more balanced. We expect growth to continue to trend lower as manufacturing and housing metrics have deteriorated. However, in our view the US consumer appears on solid footing, maintaining strong levels of excess savings and continuing to spend at a healthy rate. Labor markets remain tight. We’ve observed higher wages, cost of living adjustments, an elevated number of job openings, and employers who are reluctant to shed workers in industries where they may have trouble getting them back, all of which could help support consumer confidence. We believe a healthy consumer combined with positive corporate fundamentals and a strong banking system should help provide a floor to economic activity and support credit fundamentals to some degree.

While inflation has likely peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, we believe inflation will likely remain sticky and above the Fed’s target throughout 2023, primarily as a result of wage pressures. We now believe much of the movement from the Fed has occurred or is currently being priced into the market, which in turn may also put a cap on the Treasury curve. We’re currently expecting an additional 50 basis points of tightening in the first quarter of 2023, which would bring the policy rate up to 5.00% after the March meeting. In our view, the market continues to want to compress this cycle and lean towards a Fed pivot to more dovish policy, but we believe inflation is structural at this point. We believe it will be difficult for the Fed to begin cutting rates when inflation remains above its target. As a result, we’re anticipating a Fed pause after the March meeting which would likely extend into the latter stage of 2023. Throughout the year, the Fed will likely be driven by the extent to which there is firm evidence of inflation moderating, and at this point we have not eliminated the possibility that the next Fed move could be an additional rate hike. We expect the US 10-year bond yield to move only modestly higher from here, and while we continue to be positioned defensively on rate risk it is to a lesser extent than through most of 2022.

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

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LOOMIS SAYLES STRATEGIC ALPHA FUND

post-GFC lows. We believe the combination of discount-to-par and attractive yield could be increasing the potential value opportunity in bonds. We remain mindful of the risks to the global economy, such as tighter financial conditions, slowing Chinese growth, the Eastern Europe conflict, disruptions to the global supply chain and the lingering effects of the Covid pandemic. All of the turmoil around the world leaves us with a wide range of potential outcomes for growth, inflation, and central bank policy response. With the likelihood of a downturn in 2023 having increased, we have been holding larger than average liquid reserves and seeking to maintain an up-in-quality bias. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. At the same time, short-term yields have risen meaningfully, and we are comfortable with how we are being compensated as we wait for opportunities to potentially develop.

During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds, foreign currency, or foreign currency-based derivative securities (“Foreign Currency Exposures”) may realize currency losses in connection with the maturity or sale of certain Foreign Currency Exposures. These losses impact a fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a fund has available to distribute, even though non-US-dollar-denominated bonds continue to generate coupon income. Fund officers have analyzed the Fund’s current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the current fiscal year. This analysis is performed regularly to determine how realized currency losses have and will impact periodic ordinary income distributions for the Fund. Based on the most recent quarterly analysis (as of December 31, 2022), realized currency losses will continue to have an impact on the distributions in the 2023 fiscal year. This analysis is based on certain assumptions including, but not limited to, the amount of foreign currency exposures held by the Fund, the level of foreign currency exchange rates, security prices, interest rates, the Fund advisers’ ability to manage realized currency losses, and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2012 through December 31, 2022

LOGO

11 |

Average Annual Total Returns — December 31, 2022³



												Expense Ratios⁴

	1 Year			5 Years			10 Years			Life of Class N		Gross			Net

Class Y
NAV		-7.97	%		1.43	%		1.95	%		—		0.72	%		0.72	%

Class A
NAV		-8.29			1.17			1.69			—		0.97			0.97
With 4.25% Maximum Sales Charge		-12.20			0.30			1.25			—

Class C
NAV		-8.90			0.42			1.08			—		1.73			1.73
With CDSC¹		-9.79			0.42			1.08			—

Class N (Inception 5/1/17)
NAV		-8.00			1.49			—			1.67		0.67			0.67

Comparative Performance
ICE BofA U.S. 3-Month Treasury Bill Index²		1.46			1.26			0.76			1.23
ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points²		4.44			4.24			3.75			3.64

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

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Effective May 1, 2022, the ICE BofA U.S. 3-Month Treasury Bill Index replaced the 3-Month LIBOR as the Fund’s primary benchmark and the ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points was added as the Fund’s secondary benchmark. The ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index that is comprised of a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month. The Fund believes, given the discontinuation of LIBOR, it is appropriate and necessary to transition to new benchmarks for the Fund.

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

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LOOMIS SAYLES STRATEGIC INCOME FUND



Managers	Symbols

Matthew J. Eagan, CFA^®	Class A	NEFZX

Brian P. Kennedy	Class C	NECZX

Elaine M. Stokes	Class N	NEZNX

Loomis, Sayles & Company, L.P.	Class Y	NEZYX

	Admin Class	NEZAX

Investment Goal

The Fund seeks high current income with a secondary objective of capital growth.

Market Conditions

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles Strategic Income Fund returned -12.60% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -13.01%. The Fund also outperformed its secondary benchmark, the Bloomberg U.S. Universal Bond Index, which returned -12.99%.

Explanation of Fund Performance

13 |

benchmark, which has been a positive contributor given the sharp upward movement in interest rates. We utilized Treasury futures to assist with meeting this objective. We have added back duration over the course of the year, but on a relative basis remain short versus the benchmark. An allocation to equities was also positive for relative returns. For equities, the team has employed a basket approach seeking a diversified allocation that provides attractive dividend yields and capital appreciation potential versus fixed income. This exposure was reduced during the year as fixed income yields increased. Securitized credit was also beneficial given the sector’s shorter duration profile. Here, holdings in collateralized loan obligations (CLOs) were helpful for returns. Finally, performance was aided by defensive, reserve-like positions as risk-off sentiment prevailed.

Outlook

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

| 14

LOOMIS SAYLES STRATEGIC INCOME FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

December 31, 2012 through December 31, 2022

LOGO

15 |

Average Annual Total Returns — December 31, 2022⁴



													Expense Ratios⁵

	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-12.60	%		-0.06	%		2.40	%		—	%		0.72	%		0.69	%

Class A
NAV		-12.80			-0.31			2.15			—			0.97			0.94
With 4.25% Maximum Sales Charge		-16.51			-1.18			1.70			—

Class C
NAV		-13.48			-1.05			1.53			—			1.72			1.69
With CDSC¹		-14.30			-1.05			1.53			—

Class N (Inception 2/1/13)
NAV		-12.55			0.02			—			2.25			0.65			0.64

Admin Class
NAV		-13.07			-0.55			1.90			—			1.22			1.19

Comparative Performance
Bloomberg U.S. Aggregate Bond Index²		-13.01			0.02			1.06			1.14
Bloomberg U.S. Universal Bond Index³		-12.99			0.18			1.33			1.40

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

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

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

Bloomberg U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

| 16

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA^® and Chartered Financial Analyst^® are registered trademarks owned by the CFA Institute.

17 |

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The 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 each 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.


LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,035.60		$5.13
Hypothetical (5% return before expenses)		$1,000.00		$1,020.16		$5.09
Class C
Actual		$1,000.00		$1,031.40		$8.96
Hypothetical (5% return before expenses)		$1,000.00		$1,016.38		$8.89
Class N
Actual		$1,000.00		$1,037.20		$3.59
Hypothetical (5% return before expenses)		$1,000.00		$1,021.68		$3.57
Class Y
Actual		$1,000.00		$1,037.10		$3.85
Hypothetical (5% return before expenses)		$1,000.00		$1,021.43		$3.82

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$984.00		$3.70
Hypothetical (5% return before expenses)		$1,000.00		$1,021.48		$3.77
Class C
Actual		$1,000.00		$981.00		$7.44
Hypothetical (5% return before expenses)		$1,000.00		$1,017.69		$7.58
Class N
Actual		$1,000.00		$986.60		$2.20
Hypothetical (5% return before expenses)		$1,000.00		$1,022.99		$2.24
Class Y
Actual		$1,000.00		$986.30		$2.45
Hypothetical (5% return before expenses)		$1,000.00		$1,022.74		$2.50
Admin Class
Actual		$1,000.00		$982.70		$4.95
Hypothetical (5% return before expenses)		$1,000.00		$1,020.22		$5.04

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.44%, 0.49% and 0.99% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,013.10		$5.07
Hypothetical (5% return before expenses)		$1,000.00		$1,020.16		$5.09
Class C
Actual		$1,000.00		$1,010.40		$8.87
Hypothetical (5% return before expenses)		$1,000.00		$1,016.38		$8.89
Class N
Actual		$1,000.00		$1,014.90		$3.50
Hypothetical (5% return before expenses)		$1,000.00		$1,021.73		$3.52
Class Y
Actual		$1,000.00		$1,015.70		$3.81
Hypothetical (5% return before expenses)		$1,000.00		$1,021.43		$3.82

Expenses are equal to the Fund’s annualized expense ratio: 1.00%, 1.75%, 0.69% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

19 |


LOOMIS SAYLES STRATEGIC INCOME FUND	BEGINNING ACCOUNT VALUE 7/1/2022		ENDING ACCOUNT VALUE 12/31/2022		EXPENSES PAID DURING PERIOD* 7/1/2022 – 12/31/2022
Class A
Actual		$1,000.00		$1,009.50		$4.76
Hypothetical (5% return before expenses)		$1,000.00		$1,020.47		$4.79
Class C
Actual		$1,000.00		$1,005.30		$8.54
Hypothetical (5% return before expenses)		$1,000.00		$1,016.69		$8.59
Class N
Actual		$1,000.00		$1,010.30		$3.24
Hypothetical (5% return before expenses)		$1,000.00		$1,021.98		$3.26
Class Y
Actual		$1,000.00		$1,010.00		$3.50
Hypothetical (5% return before expenses)		$1,000.00		$1,021.73		$3.52
Admin Class
Actual		$1,000.00		$1,007.40		$6.02
Hypothetical (5% return before expenses)		$1,000.00		$1,019.21		$6.06

Expenses are equal to the Fund’s annualized expense ratio: 0.94%, 1.69%, 0.64%, 0.69% and 1.19% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

| 20

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 91.7% of Net Assets
	Non-Convertible Bonds — 86.7%
		ABS Home Equity — 0.1%
$	105,110	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 4.999%, 9/19/2045(a)	$	65,710

		Aerospace & Defense — 2.3%
	100,000	Bombardier, Inc., 6.000%, 2/15/2028, 144A		92,472
	850,000	Bombardier, Inc., 7.125%, 6/15/2026, 144A		824,682
	60,000	Moog, Inc., 4.250%, 12/15/2027, 144A		55,500
	615,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		496,553
	190,000	Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A		187,750
	215,000	TransDigm, Inc., 4.875%, 5/01/2029		187,534
	40,000	TransDigm, Inc., 5.500%, 11/15/2027		37,562
	270,000	TransDigm, Inc., 6.250%, 3/15/2026, 144A		266,271
	495,000	TransDigm, Inc., 8.000%, 12/15/2025, 144A		502,321

				2,650,645

		Airlines — 1.2%
	180,000	Allegiant Travel Co., 7.250%, 8/15/2027, 144A		171,209
	1,355,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		1,238,410

				1,409,619

		Automotive — 2.5%
	30,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		27,820
	75,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		73,384
	710,000	Ford Motor Co., 3.250%, 2/12/2032		532,459
	820,000	Ford Motor Credit Co. LLC, 2.300%, 2/10/2025		748,562
	200,000	Ford Motor Credit Co. LLC, 3.375%, 11/13/2025		180,803
	635,000	Ford Motor Credit Co. LLC, 4.063%, 11/01/2024		609,646
	55,000	General Motors Co., 6.125%, 10/01/2025		55,974
	105,000	General Motors Co., 6.250%, 10/02/2043		97,075
	275,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027		251,551
	55,000	Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029		45,878
	300,000	Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028		228,135
	65,000	Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A		44,557
	85,000	Wheel Pros, Inc., 6.500%, 5/15/2029, 144A		31,877

				2,927,721

		Banking — 2.9%
	200,000	Banco Santander S.A, 5.147%, 8/18/2025		197,786
	355,000	Bank of America Corp., (fixed rate to 3/05/2023, variable rate thereafter), 3.550%, 3/05/2024		353,664
	250,000	Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		255,967
	250,000	Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		213,523
	475,000	Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		445,953
	410,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		291,172
	200,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		146,643
	600,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		501,491
	400,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		384,400
	800,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		649,958

				3,440,557

		Brokerage — 0.2%
	130,000	Coinbase Global, Inc., 3.375%, 10/01/2028, 144A		68,718
	60,000	Coinbase Global, Inc., 3.625%, 10/01/2031, 144A		28,897
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A		163,146

				260,761

		Building Materials — 2.3%
	90,000	Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A		72,965
	265,000	Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A		234,811
	1,060,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		894,677
	285,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		265,873
	205,000	Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A		144,369
	50,000	CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A		37,133
	290,000	Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A		217,124
	120,000	JELD-WEN, Inc., 4.625%, 12/15/2025, 144A		100,476
	235,000	LBM Acquisition LLC, 6.250%, 1/15/2029, 144A		149,543
	130,000	MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030, 144A		103,500
	250,000	Park River Holdings, Inc., 5.625%, 2/01/2029, 144A		166,476
	125,000	Patrick Industries, Inc., 4.750%, 5/01/2029, 144A		103,750
	105,000	Standard Industries, Inc., 4.375%, 7/15/2030, 144A		85,567
	45,000	Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A		41,896
	165,000	Victors Merger Corp., 6.375%, 5/15/2029, 144A		90,750

				2,708,910

		Cable Satellite — 8.4%
	410,000	Altice Financing S.A., 5.000%, 1/15/2028, 144A		330,050
	80,000	Block Communications, Inc., 4.875%, 3/01/2028, 144A		69,800
	355,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		285,022
	410,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		302,598
	1,355,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A		1,168,572
	690,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028, 144A		626,513
	700,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		652,449
	60,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A		58,086
	30,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.908%, 7/23/2025		29,403
	2,920,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		1,613,691
	555,000	CSC Holdings LLC, 4.625%, 12/01/2030		306,712
	405,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		226,274
	250,000	CSC Holdings LLC, 5.750%, 1/15/2030		140,998
	730,000	DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		653,102
	925,000	DISH DBS Corp., 5.125%, 6/01/2029		596,727
	35,000	DISH DBS Corp., 5.750%, 12/01/2028, 144A		27,934
	150,000	DISH DBS Corp., 7.375%, 7/01/2028		106,125
	980,000	DISH DBS Corp., 7.750%, 7/01/2026		790,262
	329,385	Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(b)		105,766
	109,130	Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(b)		10,397
	300,000	Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A		125,705
	400,000	Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A		360,056

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Cable Satellite — continued
$	125,000	Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A	$	57,503
	310,000	UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A		257,856
	110,000	ViaSat, Inc., 6.500%, 7/15/2028, 144A		82,525
	445,000	Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A		398,622
	565,000	Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A		525,687

				9,908,435

		Chemicals — 0.5%
	150,000	ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A		120,700
	55,000	Chemours Co. (The), 5.375%, 5/15/2027		50,789
	150,000	Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A		127,451
	330,000	Hercules LLC, 6.500%, 6/30/2029		313,619

				612,559

		Consumer Cyclical Services — 3.7%
	640,000	ADT Security Corp. (The), 4.125%, 8/01/2029, 144A		544,292
	95,000	ANGI Group LLC, 3.875%, 8/15/2028, 144A		70,498
	35,000	Arches Buyer, Inc., 6.125%, 12/01/2028, 144A		28,087
	45,000	Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A		34,509
	125,000	Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A		115,000
	55,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030, 144A		40,123
	330,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A		249,609
	1,560,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		1,359,158
	760,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		729,600
	115,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		115,080
	1,045,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		1,048,597

				4,334,553

		Consumer Products — 0.7%
	145,000	Coty, Inc., 5.000%, 4/15/2026, 144A		137,500
	20,000	Coty, Inc., 6.500%, 4/15/2026, 144A		19,200
	305,000	Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A		276,025
	250,000	Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A		212,013
	85,000	Prestige Brands, Inc., 3.750%, 4/01/2031, 144A		70,097
	135,000	Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A		105,978

				820,813

		Diversified Manufacturing — 0.4%
	135,000	Chart Industries, Inc., 7.500%, 1/01/2030, 144A		135,714
	120,000	Madison IAQ LLC, 5.875%, 6/30/2029, 144A		82,248
	120,000	Resideo Funding, Inc., 4.000%, 9/01/2029, 144A		97,026
	200,000	TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A		177,508

				492,496

		Electric — 1.5%
	1,060,000	Calpine Corp., 5.125%, 3/15/2028, 144A		945,830
	315,000	NRG Energy, Inc., 3.625%, 2/15/2031, 144A		239,462
	40,000	NRG Energy, Inc., 3.875%, 2/15/2032, 144A		30,042
	140,000	PG&E Corp., 5.000%, 7/01/2028		127,798
	25,000	PG&E Corp., 5.250%, 7/01/2030		22,750
	460,000	Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A		441,168

				1,807,050

		Environmental — 0.2%
	315,000	GFL Environmental, Inc., 4.000%, 8/01/2028, 144A		269,325

		Finance Companies — 3.9%
	455,000	Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A		268,450
	295,000	Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A		246,067
	155,437	Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(c)		132,122
	115,000	LFS Topco LLC, 5.875%, 10/15/2026, 144A		92,662
	655,000	Navient Corp., 4.875%, 3/15/2028		538,683
	300,000	Navient Corp., 5.500%, 3/15/2029		244,800
	95,000	Navient Corp., 6.750%, 6/25/2025		91,191
	205,000	OneMain Finance Corp., 3.500%, 1/15/2027		169,734
	600,000	OneMain Finance Corp., 7.125%, 3/15/2026		570,528
	275,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A		239,250
	395,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		338,579
	20,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		15,849
	300,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		237,731
	795,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		606,804
	995,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		743,126
	100,000	Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 2.875%, 10/15/2026		85,716

				4,621,292

		Financial Other — 1.7%
	210,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		97,163
	200,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d)(e)		22,728
	200,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(d)(e)		22,928
	200,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026(d)		16,354
	200,000	China Evergrande Group, 8.750%, 6/28/2025(d)		14,442
	206,049	Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(f)		42,747
	220,000	Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(d)		15,950
	85,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		71,880
	1,130,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,034,628
	200,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d)		27,222
	200,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d)		27,042
	400,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d)		54,252
	335,000	Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A		260,462
	120,000	Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A		107,400
	200,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)		37,336
	200,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(d)		42,602
	200,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(d)		42,866
	200,000	Times China Holdings Ltd., 6.200%, 3/22/2026		32,422
	400,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)		36,944
	400,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d)		20,028
	200,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d)		9,856

				2,037,252

		Food & Beverage — 1.2%
	65,000	Aramark Services, Inc., 5.000%, 2/01/2028, 144A		60,641
	165,000	Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A		153,816
	40,000	Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A		39,100

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Food & Beverage — continued
$	165,000	HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.875%, 6/01/2029, 144A	$	113,647
	140,000	Performance Food Group, Inc., 4.250%, 8/01/2029, 144A		121,327
	230,000	Performance Food Group, Inc., 5.500%, 10/15/2027, 144A		216,928
	200,000	Post Holdings, Inc., 4.625%, 4/15/2030, 144A		172,548
	125,000	Post Holdings, Inc., 5.750%, 3/01/2027, 144A		120,885
	105,000	Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A		85,475
	120,000	TreeHouse Foods, Inc., 4.000%, 9/01/2028		102,000
	205,000	US Foods, Inc., 4.750%, 2/15/2029, 144A		182,024

				1,368,391

		Gaming — 3.6%
	280,000	Boyd Gaming Corp., 4.750%, 12/01/2027		260,786
	165,000	Boyd Gaming Corp., 4.750%, 6/15/2031, 144A		143,550
	220,000	Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A		213,769
	400,000	Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A		319,836
	200,000	Sands China Ltd., 3.350%, 3/08/2029		163,390
	605,000	Sands China Ltd., 4.875%, 6/18/2030		531,662
	200,000	Sands China Ltd., 5.900%, 8/08/2028		187,261
	575,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		548,498
	415,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		398,400
	200,000	Studio City Finance Ltd., 5.000%, 1/15/2029, 144A		147,972
	230,000	Studio City Finance Ltd., 6.500%, 1/15/2028, 144A		178,600
	135,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		125,945
	140,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		131,751
	205,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 1/15/2028, 144A		188,114
	125,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		119,844
	105,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		103,977
	450,000	Wynn Macau Ltd., 5.125%, 12/15/2029, 144A		364,090
	165,000	Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A		141,426

				4,268,871

		Government Owned – No Guarantee — 0.4%
	95,000	EcoPetrol S.A., 4.625%, 11/02/2031		72,565
	340,000	Petroleos Mexicanos, 5.950%, 1/28/2031		257,328
	205,000	YPF S.A., 6.950%, 7/21/2027, 144A		145,226

				475,119

		Health Insurance — 0.3%
	420,000	Centene Corp., 2.450%, 7/15/2028		354,501
	70,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		58,131

				412,632

		Healthcare — 2.7%
	100,000	AdaptHealth LLC, 5.125%, 3/01/2030, 144A		85,129
	110,000	AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A		85,938
	710,000	CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A		535,366
	95,000	CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A		86,489
	400,000	DaVita, Inc., 3.750%, 2/15/2031, 144A		298,540
		Healthcare — continued
	180,000	DaVita, Inc., 4.625%, 6/01/2030, 144A		144,797
	155,000	Encompass Health Corp., 4.500%, 2/01/2028		140,802
	260,000	Encompass Health Corp., 4.750%, 2/01/2030		228,317
	205,000	Garden Spinco Corp., 8.625%, 7/20/2030, 144A		217,300
	470,000	LifePoint Health, Inc., 5.375%, 1/15/2029, 144A		265,597
	210,000	Medline Borrower LP, 5.250%, 10/01/2029, 144A		166,797
	75,000	ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A		63,248
	40,000	ModivCare, Inc., 5.875%, 11/15/2025, 144A		37,573
	75,000	RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A		57,274
	135,000	Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A		125,582
	95,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		85,055
	490,000	Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A		470,650
	80,000	U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A		70,994

				3,165,448

		Home Construction — 0.2%
	155,000	Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A		120,861
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(g)		—
	100,000	Empire Communities Corp., 7.000%, 12/15/2025, 144A		90,416

				211,277

		Independent Energy — 6.8%
	215,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A		208,554
	390,000	Baytex Energy Corp., 8.750%, 4/01/2027, 144A		396,813
	115,000	California Resources Corp., 7.125%, 2/01/2026, 144A		110,520
	190,000	Callon Petroleum Co., 8.000%, 8/01/2028, 144A		181,124
	580,000	Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A		559,686
	120,000	Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A		116,832
	65,000	Chord Energy Corp., 6.375%, 6/01/2026, 144A		63,305
	255,000	CNX Resources Corp., 7.250%, 3/14/2027, 144A		253,087
	135,000	Colgate Energy Partners III LLC, 5.875%, 7/01/2029, 144A		115,946
	105,000	Comstock Resources, Inc., 6.750%, 3/01/2029, 144A		94,763
	470,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		348,123
	155,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		144,283
	150,000	Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A		141,351
	165,000	Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A		152,278
	85,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		76,075
	285,000	EQT Corp., 3.900%, 10/01/2027		263,102
	40,000	EQT Corp., 5.678%, 10/01/2025		39,806
	30,000	EQT Corp., 5.700%, 4/01/2028		29,839
	165,000	EQT Corp., 6.125%, 2/01/2025		165,388
	125,000	Gulfport Energy Corp., 8.000%, 5/17/2026, 144A		121,875
	285,000	Matador Resources Co., 5.875%, 9/15/2026		274,016
	60,000	MEG Energy Corp., 5.875%, 2/01/2029, 144A		56,582
	130,000	Murphy Oil Corp., 6.125%, 12/01/2042		101,400
	425,000	Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A		408,082
	70,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		69,738
	260,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		262,389
	80,000	Occidental Petroleum Corp., 6.450%, 9/15/2036		81,600
	470,000	Occidental Petroleum Corp., 6.600%, 3/15/2046		483,625
	225,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		232,510
	85,000	Occidental Petroleum Corp., 7.500%, 5/01/2031		90,820
	40,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		44,160

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Independent Energy — continued
$	45,000	Occidental Petroleum Corp., 8.500%, 7/15/2027	$	48,456
	780,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		880,624
	470,000	PDC Energy, Inc., 5.750%, 5/15/2026		448,648
	115,000	Permian Resources Operating LLC, 6.875%, 4/01/2027, 144A		108,357
	85,000	Range Resources Corp., 8.250%, 1/15/2029		87,588
	110,000	SM Energy Co., 5.625%, 6/01/2025		105,599
	165,000	SM Energy Co., 6.750%, 9/15/2026		160,190
	125,000	Southwestern Energy Co., 5.375%, 2/01/2029		115,883
	250,000	Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A		182,466
	125,000	Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A		116,263

				7,941,746

		Industrial Other — 0.3%
	220,000	Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A		200,562
	130,000	Installed Building Products, Inc., 5.750%, 2/01/2028, 144A		116,889

				317,451

		Leisure — 3.1%
	650,000	Carnival Corp., 5.750%, 3/01/2027, 144A		464,126
	125,000	Cinemark USA, Inc., 5.250%, 7/15/2028, 144A		92,824
	110,000	Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A		93,729
	370,000	Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A		329,420
	950,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		746,196
	10,000	NCL Corp. Ltd., 5.875%, 3/15/2026		7,855
	70,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		51,675
	125,000	Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028		91,875
	325,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		262,713
	1,065,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		849,918
	30,000	Royal Caribbean Cruises Ltd., 11.625%, 8/15/2027, 144A		30,127
	120,000	SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A		104,484
	180,000	Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A		159,725
	375,000	Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A		301,875
	110,000	VOC Escrow Ltd., 5.000%, 2/15/2028, 144A		94,611

				3,681,153

		Lodging — 2.1%
	595,000	Hilton Domestic Operating Co., Inc., 5.375%, 5/01/2025, 144A		588,934
	225,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		183,635
	450,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		387,000
	100,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		82,963
	605,000	Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028		526,823
	895,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		729,273
	20,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		16,585

				2,515,213

		Media Entertainment — 1.9%
	170,000	CMG Media Corp., 8.875%, 12/15/2027, 144A		127,959
	130,000	Deluxe Corp., 8.000%, 6/01/2029, 144A		106,925
		Media Entertainment — continued
	310,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A		36,425
	140,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A		1,050
	395,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		321,664
	245,000	iHeartCommunications, Inc., 6.375%, 5/01/2026		225,400
	430,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		365,684
	20,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		19,400
	185,000	Netflix, Inc., 5.875%, 2/15/2025		187,331
	35,000	Netflix, Inc., 6.375%, 5/15/2029		36,025
	105,000	Nexstar Media, Inc., 5.625%, 7/15/2027, 144A		96,323
	110,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A		99,027
	35,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A		34,674
	65,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		51,022
	185,000	Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A		150,888
	120,000	Stagwell Global LLC, 5.625%, 8/15/2029, 144A		98,927
	170,000	Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A		153,432
	85,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A		70,084

				2,182,240

		Metals & Mining — 3.3%
	200,000	Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A		192,732
	120,000	ATI, Inc., 4.875%, 10/01/2029		106,048
	205,000	ATI, Inc., 5.875%, 12/01/2027		196,038
	200,000	Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A		171,514
	265,000	Cleveland-Cliffs, Inc., 6.750%, 3/15/2026, 144A		265,663
	175,000	Commercial Metals Co., 4.125%, 1/15/2030		154,850
	845,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		800,233
	1,245,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		1,168,088
	285,000	Mineral Resources Ltd., 8.125%, 5/01/2027, 144A		286,976
	525,000	Novelis Corp., 4.750%, 1/30/2030, 144A		465,447
	76,000	United States Steel Corp., 6.875%, 3/01/2029		73,769
	40,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		34,462

				3,915,820

		Midstream — 4.3%
	85,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A		77,710
	195,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A		197,392
	250,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A		248,139
	185,000	Buckeye Partners LP, 4.500%, 3/01/2028, 144A		162,614
	80,000	Buckeye Partners LP, 5.600%, 10/15/2044		58,416
	55,000	Buckeye Partners LP, 5.850%, 11/15/2043		40,979
	220,000	Cheniere Energy Partners LP, 4.000%, 3/01/2031		187,299
	115,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A		105,514
	30,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		24,814
	175,000	DCP Midstream Operating LP, 5.375%, 7/15/2025		173,373
	230,000	DCP Midstream Operating LP, 5.625%, 7/15/2027		228,510
	195,000	EnLink Midstream LLC, 6.500%, 9/01/2030, 144A		192,992
	170,000	EnLink Midstream Partners LP, 5.600%, 4/01/2044		140,210
	160,000	EQM Midstream Partners LP, 5.500%, 7/15/2028		143,065

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Midstream — continued
$	41,000	EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A	$	39,565
	200,000	EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A		191,150
	50,000	EQM Midstream Partners LP, 6.500%, 7/15/2048		37,479
	440,000	EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A		430,874
	80,000	EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A		77,082
	115,000	Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A		104,609
	300,000	Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028		276,144
	150,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		128,238
	250,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		243,521
	150,000	Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A		147,374
	145,000	NuStar Logistics LP, 5.750%, 10/01/2025		139,393
	125,000	Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A		106,248
	135,000	Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029		118,085
	295,000	Targa Resources Corp., 5.200%, 7/01/2027		289,139
	40,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		36,118
	30,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2028		28,619
	240,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		225,821
	50,000	Western Midstream Operating LP, 4.500%, 3/01/2028		45,875
	170,000	Western Midstream Operating LP, 4.750%, 8/15/2028		155,259
	160,000	Western Midstream Operating LP, 5.300%, 3/01/2048		131,556
	120,000	Western Midstream Operating LP, 5.500%, 2/01/2050		98,856

				5,032,032

		Non-Agency Commercial Mortgage-Backed Securities — 1.4%
	96,223	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 7.818%, 11/15/2031, 144A(a)		80,577
	216,502	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 8.818%, 11/15/2031, 144A(a)		138,518
	260,000	Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.941%, 5/10/2047, 144A(h)		210,600
	1,020,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		592,685
	45,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.154%, 8/10/2044, 144A(h)		33,863
	100,000	GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.686%, 6/10/2047, 144A(h)		88,410
	100,000	MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.282%, 10/15/2030, 144A(h)		72,050
	380,000	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 7.818%, 11/15/2027, 144A(a)(g)		102,199
		Non-Agency Commercial Mortgage-Backed Securities — continued
	420,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 8.718%, 11/15/2027, 144A(a)(g)		39,916
	145,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050		89,543
	60,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.134%, 11/15/2059(h)		45,663
	99,910	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(h)		39,824
	80,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.357%, 12/15/2045(h)		71,579
	120,641	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(h)		2,714

				1,608,141

		Oil Field Services — 1.1%
	125,000	Nabors Industries, Inc., 7.375%, 5/15/2027, 144A		122,480
	90,000	Precision Drilling Corp., 6.875%, 1/15/2029, 144A		83,791
	10,000	Precision Drilling Corp., 7.125%, 1/15/2026, 144A		9,675
	55,000	Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A		54,705
	134,400	Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A		131,680
	656,250	Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A		638,610
	38,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		37,433
	180,000	Weatherford International Ltd., 8.625%, 4/30/2030, 144A		172,855
	8,000	Weatherford International Ltd., 11.000%, 12/01/2024, 144A		8,160

				1,259,389

		Packaging — 0.1%
	75,000	Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A		62,576

		Pharmaceuticals — 3.5%
	1,245,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		791,872
	565,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		271,008
	185,000	Bausch Health Cos., Inc., 6.125%, 2/01/2027, 144A		127,581
	200,000	Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A		168,528
	240,000	Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(d)		12,600
	30,000	Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A		22,759
	200,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		172,694
	335,000	Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A		290,070
	200,000	Perrigo Finance Unlimited Co., 4.400%, 6/15/2030		170,403
	325,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		285,697
	690,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		603,405
	1,930,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		1,180,051

				4,096,668

		Property & Casualty Insurance — 0.8%
	240,000	Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A		196,135
	240,000	AmWINS Group, Inc., 4.875%, 6/30/2029, 144A		203,555
	160,000	AssuredPartners, Inc., 5.625%, 1/15/2029, 144A		131,686
	125,000	BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A		106,385
	275,000	USI, Inc., 6.875%, 5/01/2025, 144A		264,920

				902,681

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Refining — 0.3%
$	55,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A	$	57,326
	370,000	CVR Energy, Inc., 5.250%, 2/15/2025, 144A		340,400

				397,726

		REITs – Hotels — 0.3%
	395,000	Service Properties Trust, 4.750%, 10/01/2026		310,845
	70,000	Service Properties Trust, 7.500%, 9/15/2025		66,705

				377,550

		REITs – Mortgage — 0.2%
	45,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		37,802
	215,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		202,001

				239,803

		Restaurants — 1.1%
	770,000	1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A		688,800
	100,000	Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A		84,110
	425,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A		408,000
	90,000	Papa John’s International, Inc., 3.875%, 9/15/2029, 144A		75,150

				1,256,060

		Retailers — 1.4%
	160,000	Asbury Automotive Group, Inc., 4.500%, 3/01/2028		140,864
	225,000	Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A		189,594
	83,000	Asbury Automotive Group, Inc., 4.750%, 3/01/2030		69,417
	120,000	Bath & Body Works, Inc., 5.250%, 2/01/2028		111,438
	100,000	Bath & Body Works, Inc., 6.750%, 7/01/2036		87,890
	55,000	Bath & Body Works, Inc., 6.875%, 11/01/2035		48,890
	195,000	Carvana Co., 4.875%, 9/01/2029, 144A		75,126
	255,000	Carvana Co., 5.500%, 4/15/2027, 144A		101,027
	35,000	Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A		29,625
	50,000	Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A		41,826
	85,000	Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A		56,794
	115,000	NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A		107,786
	250,000	PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A		234,798
	240,000	Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A		192,170
	245,000	Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A		192,615

				1,679,860

		Supermarkets — 0.2%
	200,000	Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A		185,774

		Technology — 5.5%
	185,000	Block, Inc., 2.750%, 6/01/2026		165,279
	345,000	Broadcom, Inc., 4.300%, 11/15/2032		304,062
	215,000	Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A		182,825
	85,000	Cloud Software Group Holdings, Inc., 6.500%, 3/31/2029, 144A		71,594
	205,000	Coherent Corp., 5.000%, 12/15/2029, 144A		176,798
	1,410,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		957,674
	75,000	Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A		64,182
	320,000	Elastic NV, 4.125%, 7/15/2029, 144A		258,464
		Technology — continued
	495,000	Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A		322,186
	60,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		51,538
	290,000	Gen Digital, Inc., 6.750%, 9/30/2027, 144A		284,200
	320,000	Global Payments, Inc., 4.950%, 8/15/2027		310,401
	95,000	GoTo Group, Inc., 5.500%, 9/01/2027, 144A		51,093
	185,000	Iron Mountain, Inc., 4.500%, 2/15/2031, 144A		152,059
	115,000	Iron Mountain, Inc., 4.875%, 9/15/2027, 144A		105,754
	440,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		383,768
	445,000	Micron Technology, Inc., 6.750%, 11/01/2029		452,021
	370,000	NCR Corp., 5.000%, 10/01/2028, 144A		315,438
	45,000	NCR Corp., 5.125%, 4/15/2029, 144A		37,634
	65,000	NCR Corp., 5.750%, 9/01/2027, 144A		62,200
	220,000	Neptune Bidco U.S., Inc., 9.290%, 4/15/2029, 144A		207,350
	455,000	Open Text Corp., 3.875%, 12/01/2029, 144A		365,905
	280,000	Open Text Corp., 6.900%, 12/01/2027, 144A		280,000
	280,000	Oracle Corp., 2.950%, 5/15/2025		265,652
	110,000	Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A		100,312
	110,000	Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A		101,979
	90,000	Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A		39,556
	80,000	Sabre GLBL, Inc., 11.250%, 12/15/2027, 144A		82,378
	60,000	Seagate HDD Cayman, 4.875%, 6/01/2027		55,933
	90,000	Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A		74,038
	50,000	Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A		43,525
	105,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		98,322
	70,000	Ziff Davis, Inc., 4.625%, 10/15/2030, 144A		59,233

				6,483,353

		Treasuries — 3.3%
	920,000	U.S. Treasury Note, 0.125%, 2/28/2023		913,863
	1,390,000	U.S. Treasury Note, 0.125%, 3/31/2023		1,375,765
	1,575,000	U.S. Treasury Note, 0.125%, 7/15/2023		1,536,732

				3,826,360

		Wireless — 3.3%
	640,000	Altice France S.A., 5.125%, 1/15/2029, 144A		481,223
	495,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		455,400
	200,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		165,100
	400,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		322,624
	305,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		289,256
	630,000	SBA Communications Corp., 3.125%, 2/01/2029		523,839
	275,000	SBA Communications Corp., 3.875%, 2/15/2027		248,466
	1,630,000	SoftBank Group Corp., 4.625%, 7/06/2028		1,338,295

				3,824,203

		Wirelines — 1.5%
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		113,413
	30,000	Embarq Corp., 7.995%, 6/01/2036		13,950
	430,000	Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A		399,285
	135,000	Frontier Communications Holdings LLC, 8.750%, 5/15/2030, 144A		137,261
	210,000	Iliad Holding SASU, 6.500%, 10/15/2026, 144A		194,766
	275,000	Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A		201,366
	95,000	Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A		74,832
	435,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		355,869
	120,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		97,428
	210,000	Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A		168,000

				1,756,170

		Total Non-Convertible Bonds (Identified Cost $121,580,891)		101,811,405

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
	Convertible Bonds — 5.0%
		Airlines — 0.5%
$	535,000	Southwest Airlines Co., 1.250%, 5/01/2025	$	642,535

		Cable Satellite — 1.7%
	3,185,000	DISH Network Corp., 3.375%, 8/15/2026		1,995,403
	40,000	DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(i)		25,604

				2,021,007

		Consumer Cyclical Services — 0.2%
	310,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(i)		261,823
	30,000	Zillow Group, Inc., 1.375%, 9/01/2026		30,225

				292,048

		Consumer Products — 0.0%
	30,000	Beauty Health Co. (The), 1.250%, 10/01/2026, 144A		22,680

		Gaming — 0.1%
	60,000	Penn Entertainment, Inc., 2.750%, 5/15/2026		88,440

		Healthcare — 0.8%
	140,000	Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A		140,966
	990,000	Teladoc Health, Inc., 1.250%, 6/01/2027		760,513

				901,479

		Leisure — 0.2%
	275,000	NCL Corp. Ltd., 1.125%, 2/15/2027		188,358

		Media Entertainment — 0.1%
	175,000	Bilibili, Inc., 0.500%, 12/01/2026		128,625

		Pharmaceuticals — 1.2%
	255,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		270,632
	825,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		886,513
	230,000	Livongo Health, Inc., 0.875%, 6/01/2025		201,337

				1,358,482

		Technology — 0.2%
	145,000	RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(i)		113,825
	125,000	Unity Software, Inc., Zero Coupon, 7.449%-7.662%, 11/15/2026(i)		93,562
	45,000	Wolfspeed, Inc., 0.250%, 2/15/2028, 144A		38,903
	50,000	Wolfspeed, Inc., 1.875%, 12/01/2029, 144A		45,025

				291,315

		Total Convertible Bonds (Identified Cost $7,877,632)		5,934,969


		Total Bonds and Notes (Identified Cost $129,458,523)		107,746,374


	Collateralized Loan Obligations — 1.6%
	295,000	AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 10.743%, 7/20/2034, 144A(a)		263,977
	250,000	Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.600%, 10.843%, 12/19/2032, 144A(a)		216,512
	250,000	NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 10.343%, 10/20/2034, 144A(a)		217,497
	250,000	Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 10.829%, 10/15/2034, 144A(a)		212,730
	260,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 10.638%, 4/21/2034, 144A(a)		228,776
$	310,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 10.493%, 7/02/2035, 144A(a)	$	280,518
	260,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 10.129%, 10/15/2034, 144A(a)		234,137
	250,000	Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 10.229%, 1/15/2035, 144A(a)		225,123

		Total Collateralized Loan Obligations (Identified Cost $2,122,374)		1,879,270


Shares
	Preferred Stocks — 0.7%
		Technology — 0.2%
	6,664	Clarivate PLC, Series A, 5.250%		252,432

		Wireless — 0.5%
	506	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A		578,874

		Total Preferred Stocks (Identified Cost $999,485)		831,306


	Common Stocks — 0.1%
		Energy Equipment & Services — 0.0%
	10,149	McDermott International Ltd.(j)		3,248

		Media — 0.1%
	9,786	iHeartMedia, Inc., Class A(j)		59,988

		Oil, Gas & Consumable Fuels — 0.0%
	3,650	Battalion Oil Corp.(j)		35,441

		Total Common Stocks (Identified Cost $841,517)		98,677


	Other Investments — 0.0%
		Aircraft ABS — 0.0%
	100	ECAF I Blocker Ltd.(e)(g) (Identified Cost $1,000,000)		6,825


	Warrants — 0.0%
	20,319	McDermott International Ltd., Tranche A, Expiration on 5/1/2024(g)(j)		73
	22,577	McDermott International Ltd., Tranche B, Expiration on 5/1/2024(g)(j)		22

		Total Warrants (Identified Cost $31,517)		95


	Exchange-Traded Funds — 1.2%
	18,931	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $1,610,340)		1,393,890


Principal Amount
	Short-Term Investments — 4.4%
$	3,745,078	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $3,745,827 on 1/03/2023 collateralized by $4,019,700 U.S. Treasury Note, 2.875% due 5/15/2028 valued at $3,820,049 including accrued interest (Note 2 of Notes to Financial Statements)		3,745,078

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
$	1,425,000	U.S. Treasury Bills, 4.307%, 3/30/2023(k)	$	1,410,403

		Total Short-Term Investments (Identified Cost $5,155,416)		5,155,481


		Total Investments — 99.7% (Identified Cost $141,219,172)		117,111,918
		Other assets less liabilities — 0.3%		369,199

		Net Assets — 100.0%	$	117,481,117


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of December 31, 2022 is disclosed.
	(b)	Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal.
	(c)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2022, interest payments were made in cash and principal.
	(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(e)	Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows:

Acquisition
Date

Acquisition
Cost

Value

% of
Net Assets

CFLD Cayman Investment Ltd.

11/11/2021

66,000

22,728

Less than 0.1%

CFLD Cayman Investment Ltd.

3/11/2020

64,000

22,928

Less than 0.1%

ECAF I Blocker Ltd.

12/20/2016

1,000,000

6,825

Less than 0.1%


	(f)			Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period.
	(g)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(h)			Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed.
	(i)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(j)			Non-income producing security.
	(k)			Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $71,207,910 or 60.6% of net assets.
	ABS			Asset-Backed Securities
	ETF			Exchange-Traded Fund
	LIBOR			London Interbank Offered Rate
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

At December 31, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection


Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value		Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 37 500, 5-Year	5.00%		12/20/2026		4.12	%		1,158,300	$	(10,643	)	$	35,656	$	46,299

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

Industry Summary at December 31, 2022


Cable Satellite	10.1	%
Independent Energy	6.8
Technology	5.9
Pharmaceuticals	4.7
Midstream	4.3
Consumer Cyclical Services	3.9
Finance Companies	3.9
Wireless	3.8
Gaming	3.7
Healthcare	3.5
Metals & Mining	3.3
Leisure	3.3
Treasuries	3.3
Banking	2.9
Automotive	2.5
Building Materials	2.3
Aerospace & Defense	2.3
Lodging	2.1
Media Entertainment	2.0
Other Investments, less than 2% each	17.9
Short-Term Investments	4.4
Collateralized Loan Obligations	1.6
Exchange-Traded Funds	1.2

Total Investments	99.7
Other assets less liabilities (including swap agreements)	0.3

Net Assets	100.0	%

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 73.2% of Net Assets
	Non-Convertible Bonds — 72.0%
		ABS Car Loan — 4.5%
$	3,733,377	American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A	$	3,711,871
	3,200,000	American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A		2,879,182
	1,785,000	American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A		1,807,584
	1,941,756	AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024		1,938,424
	10,515,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024		10,438,865
	25,880,000	AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025		25,461,751
	12,340,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025		12,015,917
	1,395,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026		1,306,772
	11,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A		10,293,118
	1,940,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		1,874,386
	8,910,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A		8,074,513
	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A		6,075,728
	13,585,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025		13,248,812
	5,811,000	CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025		5,691,433
	2,315,000	CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026		2,247,227
	4,625,000	CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026		4,447,289
	2,550,000	CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028		2,223,703
	1,100,000	CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028		957,299
	2,525,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A		2,414,044
	275,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A		259,145
	3,147,456	Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026		3,144,628
	6,944,700	Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026		6,927,744
	2,593,703	Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026		2,574,269
	2,355,183	DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A		2,352,712
	2,156,041	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A		2,132,632
	2,614,543	DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A		2,580,392
		ABS Car Loan — continued
	10,500,000	DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027, 144A		9,434,786
	7,410,000	Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026		6,908,454
	2,685,000	Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028		2,516,147
	2,575,000	Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028		2,576,173
	3,252,334	First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A		3,237,959
	2,660,000	First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028, 144A		2,407,492
	4,610,000	Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A		4,433,522
	8,618,880	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024		8,525,002
	10,768,291	Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025		10,507,741
	20,913,908	Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025		20,315,269
	4,539,008	GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A		4,506,745
	947,409	GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024		941,075
	7,022,605	GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025		6,793,914
	20,450,683	GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026		19,650,067
	1,400,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A		1,352,744
	11,298,000	Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A		9,938,342
	8,396,000	Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A		8,005,149
	6,675,000	Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A		6,152,741
	11,391,683	Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025		11,019,238
	1,089,096	JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A		1,046,934
	786,277	Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024		783,463
	4,186,571	Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024		4,142,042
	4,350,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		4,253,243
	4,466,440	Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025		4,458,661
	3,563,333	Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025		3,540,881
	4,134,105	Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025		4,114,922
	12,815,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028		12,794,016
	2,900,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026		2,821,822

				314,257,984

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Credit Card — 0.2%
$	3,460,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A	$	3,422,461
	6,355,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A		6,063,020
	5,000,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A		4,573,401
	1,525,000	Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A		1,476,675

				15,535,557

		ABS Home Equity — 3.7%
	15,451,000	American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A		15,016,881
	811,282	Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 5.344%, 11/16/2066, 144A(a)		811,106
	10,390,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(b)		9,448,097
	1,398,708	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 6.228%, 11/25/2070, 144A(b)		1,376,491
	3,288,288	Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(b)		3,103,348
	2,434,000	CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A		2,188,251
	3,145,002	CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A		2,945,183
	2,929,000	CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A		2,479,879
	1,259,000	CoreVest American Finance Trust, Series 2020-2, Class C, 4.596%, 5/15/2052, 144A(b)		1,159,177
	1,870,000	CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A		1,413,970
	3,094,414	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b)		2,903,244
	5,120,853	Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b)		4,831,116
	6,511,148	Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, 30-day Average SOFR + 2.000%, 5.928%, 4/25/2042, 144A(a)		6,478,594
	1,515,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,352,528
	11,696,000	FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A		10,244,394
	3,083,000	FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A		2,742,725
	9,710,000	FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A		8,508,001
	3,952,976	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(b)		3,707,302
	2,369,310	Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A		2,037,445
	2,430,560	Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A		2,020,134
	1,000,267	Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A		763,742
	10,451,466	Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A		8,529,639
	5,216,011	Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A		4,256,022
	7,981,115	Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 6.250%, 11/25/2059, 144A(b)		7,966,896
		ABS Home Equity — continued
	5,580,970	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b)		5,539,390
	1,495,469	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b)		1,471,142
	2,091,107	Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(b)		1,869,224
	1,467,786	Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(b)		1,389,167
	2,368,801	Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(b)		2,227,538
	2,744,944	Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(b)		2,425,278
	5,056,499	Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(b)		4,698,323
	3,860,000	Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A		3,614,906
	155,000	Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A		142,077
	295,000	Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A		260,604
	1,818,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		1,586,117
	5,780,000	Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A		4,890,114
	2,420,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A		2,047,475
	2,015,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		1,700,426
	3,575,000	Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A		2,963,595
	1,795,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		1,469,423
	1,400,000	Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A		1,087,132
	960,000	Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A		748,660
	4,224,581	PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(b)		4,075,749
	6,617,643	PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(b)		6,187,548
	5,754,005	PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(b)		5,216,437
	235,972	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b)		217,255
	5,891,178	PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(b)		5,278,147
	15,156,275	PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(b)		15,041,523
	398,352	Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(b)		365,372
	212,116	Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(b)		207,066
	4,930,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(b)		3,991,096
	1,775,000	Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(b)		1,450,281
	1,943,340	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b)		1,553,656
	17,610,000	Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(b)		14,025,504
	5,133,890	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(b)		4,767,024
	3,325,000	Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(b)		2,700,728

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Home Equity — continued
$	3,950,000	Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A	$	3,426,098
	2,575,000	Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A		2,313,702
	1,169,230	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)		1,103,704
	7,778,094	VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b)		6,852,884
	12,545,932	VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(b)		10,922,065
	2,712,153	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)		2,340,260
	6,918,221	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b)		6,223,718
	6,152,376	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)		5,561,826
	4,325,366	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)		3,921,175
	8,745,706	VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b)		7,692,880

				261,850,454

		ABS Other — 1.9%
	5,748,684	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		4,591,651
	11,270,000	BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A		9,795,565
	3,903,089	Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A		3,427,121
	7,076,563	CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A		6,114,630
	6,418,175	CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A		5,570,523
	3,714,866	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A		3,167,569
	940,000	Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A		921,371
	945,000	Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A		927,490
	5,029,748	Hardee’s Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048, 144A		4,723,652
	2,396,216	Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A		1,880,845
	3,645,000	HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A		3,607,772
	1,779,215	HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A		1,770,618
	2,795,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A		2,636,347
	3,135,000	HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A		2,840,022
	6,880,651	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		5,435,989
	8,331,385	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A		6,809,224
	9,126,400	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		7,657,406
	2,334,839	MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A		2,048,731
	1,359,303	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)		1,039,908
	436,644	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		408,298
		ABS Other — continued
	279,408	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A		258,266
	12,671,398	Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(b)		10,643,363
	4,675,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A		4,594,249
	6,585,000	OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A		5,752,461
	8,040,000	OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A		7,404,856
	11,923,493	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		9,240,826
	530,000	SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A		462,297
	2,555,000	SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A		2,262,818
	3,365,000	SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A		3,281,651
	1,118,615	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		855,751
	761,832	Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A		696,429
	340,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 7.892%, 9/15/2032(a)		330,942
	743,171	SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 7.792%, 9/15/2032(a)		723,373
	10,779,254	Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049, 144A		10,362,111
	3,178,941	Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A		2,400,133

				134,644,258

		ABS Student Loan — 0.6%
	745,000	College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A		668,389
	2,705,205	Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A		2,323,003
	2,179,236	EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A		1,845,660
	3,218,494	ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A		2,935,307
	4,778,996	Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A		4,249,780
	873,531	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		783,973
	3,295,578	Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A		2,849,382
	560,000	Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A		394,711
	2,105,000	Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A		1,341,142
	4,790,000	Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A		3,086,435

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Student Loan — continued
$	369,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 7.884%, 6/15/2032(a)	$	359,489
	295,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day Auction Rate Security, 7.818%, 6/15/2032(a)		287,396
	568,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 7.770%, 3/15/2033(a)		553,300
	386,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 7.826%, 3/15/2033(a)		376,010
	2,500,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A		2,350,607
	565,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A		500,297
	1,525,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A		1,382,304
	5,620,360	SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A		5,345,031
	9,549,120	SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A		8,926,468
	761,272	SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A		694,565

				41,253,249

		ABS Whole Business — 1.0%
	9,073,034	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		8,601,115
	3,595,000	Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A		3,386,176
	8,604,945	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A		7,845,851
	2,845,118	Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A		2,607,337
	5,098,560	Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A		4,714,088
	4,001,838	Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A		3,456,947
	15,237,950	Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A		12,818,788
	3,925,750	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		3,676,131
	2,477,380	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		2,057,927
	148,875	Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A		130,539
	17,050,350	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		16,636,804
	2,446,250	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A		2,203,455
	339,825	Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A		274,349

				68,409,507

		Aerospace & Defense — 1.7%
	13,620,000	BAE Systems PLC, 3.400%, 4/15/2030, 144A		12,018,473
	29,500,000	Boeing Co. (The), 2.196%, 2/04/2026		26,802,597
	3,780,000	Boeing Co. (The), 2.250%, 6/15/2026		3,402,737
		Aerospace & Defense — continued
	4,874,000	Boeing Co. (The), 2.950%, 2/01/2030		4,127,901
	655,000	Boeing Co. (The), 3.100%, 5/01/2026		616,332
	3,225,000	Boeing Co. (The), 3.200%, 3/01/2029		2,827,970
	9,088,000	Boeing Co. (The), 3.375%, 6/15/2046		5,896,749
	3,564,000	Boeing Co. (The), 3.625%, 3/01/2048		2,331,801
	10,129,000	Boeing Co. (The), 3.750%, 2/01/2050		6,981,920
	2,501,000	Boeing Co. (The), 3.850%, 11/01/2048		1,716,679
	5,870,000	Boeing Co. (The), 5.150%, 5/01/2030		5,727,002
	4,465,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		4,333,327
	4,350,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		4,165,125
	6,885,000	Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025		6,652,344
	4,245,000	Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030		3,852,878
	29,075,000	Textron, Inc., 3.000%, 6/01/2030		24,708,723

				116,162,558

		Airlines — 0.7%
	1,533,253	American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025		1,480,172
	5,512,474	American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025		5,363,803
	11,174,615	American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030		8,669,903
	1,144,069	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,016,299
	4,799,666	American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031		3,744,005
	2,430,254	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		2,183,721
	15,981,865	American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029		13,357,004
	4,988,476	British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A		4,281,559
	2,301,928	United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031		1,917,860
	5,232,338	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029		5,154,009

				47,168,335

		Automotive — 1.3%
	25,580,000	American Honda Finance Corp., MTN, 0.550%, 7/12/2024		23,883,783
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		5,552,817
	8,600,000	Ford Motor Co., 3.250%, 2/12/2032		6,449,499
	9,966,000	General Motors Co., 5.200%, 4/01/2045		8,100,070
	16,870,000	General Motors Co., 5.400%, 4/01/2048		13,788,257
	200,000	General Motors Co., 5.950%, 4/01/2049		174,303
	9,600,000	General Motors Co., 6.250%, 10/02/2043		8,875,473
	24,360,000	Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A		23,431,622
	2,895,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		2,764,751

				93,020,575

		Banking — 10.8%
	5,125,000	Ally Financial, Inc., 2.200%, 11/02/2028		3,995,810
	36,220,000	Ally Financial, Inc., 4.625%, 3/30/2025		35,408,700
	8,800,000	Ally Financial, Inc., 5.750%, 11/20/2025		8,524,981
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,526,246
	11,790,000	American Express Co., 5.850%, 11/05/2027		12,273,750
	10,155,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A		10,048,373

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	5,800,000	Banco Santander S.A., 2.749%, 12/03/2030	$	4,442,226
	49,304,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		44,646,220
	11,022,000	Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036		8,098,528
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		96,595
	25,627,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		24,307,225
	24,260,000	Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027		20,969,773
	4,287,000	Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030		3,948,586
	18,255,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		13,891,044
	3,335,000	BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A		3,022,344
	14,045,000	BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A		12,352,612
	22,500,000	BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A		19,883,147
	460,000	Capital One Financial Corp., 4.200%, 10/29/2025		444,514
	1,230,000	Citigroup, Inc., 4.125%, 7/25/2028		1,144,818
	30,355,000	Citigroup, Inc., (fixed rate to 9/29/2025, variable rate thereafter), 5.610%, 9/29/2026		30,484,828
	7,155,000	Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A		6,234,008
	14,970,000	Credit Suisse AG, 3.700%, 2/21/2025		13,803,722
	250,000	Credit Suisse Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A		200,387
	8,810,000	Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		9,020,270
	1,675,000	Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		1,430,604
	11,685,000	Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		10,970,452
	11,410,000	Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A		10,392,913
	3,515,000	Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A		3,087,857
	14,200,000	Danske Bank A/S, 5.375%, 1/12/2024, 144A		14,082,378
	3,390,000	Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A		3,172,647
	4,690,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		3,438,773
	2,640,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,206,561
	9,260,000	Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024		8,943,529
	6,235,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031		4,998,527
	19,755,000	Deutsche Bank AG, Series E, 0.962%, 11/08/2023		19,006,850
	61,445,000	Goldman Sachs Group, Inc. (The), (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028		58,889,780
		Banking — continued
	11,115,000	Goldman Sachs Group, Inc. (The), (fixed rate to 9/10/2026, variable rate thereafter), 1.542%, 9/10/2027		9,602,249
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		67,873,278
	28,715,000	JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031		26,818,559
	12,025,000	JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027		10,565,916
	100,000	KeyBank NA, 6.950%, 2/01/2028		105,365
	25,937,000	Mitsubishi UFJ Financial Group, Inc., 3.850%, 3/01/2026		24,814,437
	30,210,000	Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024		30,007,364
	11,262,000	Morgan Stanley, (fixed rate to 4/28/2025, variable rate thereafter), 2.188%, 4/28/2026		10,465,386
	15,150,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		15,094,613
	25,560,000	Nationwide Building Society, 0.550%, 1/22/2024, 144A		24,317,784
	7,340,000	NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028		7,249,583
	15,160,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026		14,069,483
	20,295,000	Societe Generale S.A., 4.250%, 4/14/2025, 144A		19,483,809
	11,950,000	Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A		9,381,912
	16,790,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		12,414,886
	7,090,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A		6,371,336
	11,923,000	Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025		10,863,850
	3,270,000	Synchrony Bank, 5.400%, 8/22/2025		3,225,855
	9,645,000	Synchrony Bank, 5.625%, 8/23/2027		9,417,860
	3,865,000	Synchrony Financial, 4.375%, 3/19/2024		3,795,416
	5,578,000	UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A		4,755,345
	4,125,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		3,351,348

				753,435,212

		Brokerage — 0.4%
	19,498,000	Jefferies Financial Group, Inc., 6.250%, 1/15/2036		19,663,954
	8,760,000	Jefferies Financial Group, Inc., 6.450%, 6/08/2027		9,141,487

				28,805,441

		Building Materials — 1.1%
	33,030,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		27,878,473
	16,180,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		15,094,111
	5,955,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		5,716,770
	3,285,000	Ferguson Finance PLC, 3.250%, 6/02/2030, 144A		2,785,227
	23,975,000	Owens Corning, 7.000%, 12/01/2036		25,372,384
	2,655,000	Vulcan Materials Co., 3.500%, 6/01/2030		2,338,618

				79,185,583

		Cable Satellite — 1.5%
	1,110,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		819,230
	12,605,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 4.400%, 12/01/2061		8,063,082

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Cable Satellite — continued
$	1,360,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032	$	1,001,706
	8,340,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		6,492,754
	24,760,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062		14,605,926
	1,790,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		1,531,630
	28,090,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050		20,391,909
	26,515,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		14,653,092
	1,115,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		622,950
	1,035,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		583,730
	930,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		760,275
	3,270,000	DISH DBS Corp., 5.125%, 6/01/2029		2,109,510
	4,326,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		3,643,941
	2,921,000	Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A		2,700,059
	200,000	Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A		182,556
	17,891,000	Time Warner Cable LLC, 4.500%, 9/15/2042		13,098,083
	15,815,000	Time Warner Cable LLC, 5.500%, 9/01/2041		13,124,468

				104,384,901

		Chemicals — 0.8%
	3,735,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		3,112,194
	9,180,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		7,807,210
	6,060,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		4,694,478
	2,240,000	Celanese U.S. Holdings LLC, 6.330%, 7/15/2029		2,176,477
	1,645,000	Celanese U.S. Holdings LLC, 6.379%, 7/15/2032		1,564,309
	27,205,000	CF Industries, Inc., 4.500%, 12/01/2026, 144A		26,332,046
	3,740,000	FMC Corp., 3.450%, 10/01/2029		3,296,493
	10,720,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		8,416,058

				57,399,265

		Construction Machinery — 0.6%
	2,470,000	Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A		2,362,479
	23,395,000	Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024		22,568,330
	5,730,000	John Deere Capital Corp., MTN, 0.900%, 1/10/2024		5,517,129
	8,900,000	John Deere Capital Corp., MTN, 1.250%, 1/10/2025		8,324,443

				38,772,381

		Consumer Cyclical Services — 0.7%
	8,365,000	Expedia Group, Inc., 2.950%, 3/15/2031		6,726,559
	32,366,000	Expedia Group, Inc., 3.250%, 2/15/2030		27,455,921
	1,025,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		893,036
	8,430,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		8,092,799
	5,015,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,018,511
	2,715,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		2,724,344

				50,911,170

		Consumer Products — 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		7,537,316
	6,970,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		5,687,590

				13,224,906

		Diversified Manufacturing — 0.1%
	4,113,000	GE Capital Funding LLC, 4.550%, 5/15/2032		3,904,216

		Electric — 1.2%
	7,435,000	AES Corp. (The), 2.450%, 1/15/2031		5,914,701
	3,695,000	AES Corp. (The), 3.950%, 7/15/2030, 144A		3,258,990
	14,214,750	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		14,048,320
	11,318,000	Calpine Corp., 3.750%, 3/01/2031, 144A		9,112,754
	13,025,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		11,851,100
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		8,919,977
	2,355,000	IPALCO Enterprises, Inc., 4.250%, 5/01/2030		2,092,119
	9,641,000	NRG Energy, Inc., 4.450%, 6/15/2029, 144A		8,526,002
	6,185,000	Pacific Gas & Electric Co., 3.250%, 6/01/2031		5,027,493
	9,060,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		6,423,431
	2,050,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		2,021,523
	10,835,000	Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A		9,879,588

				87,075,998

		Finance Companies — 3.3%
	7,910,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		6,626,803
	9,900,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032		7,739,432
	860,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027		777,432
	23,900,000	Air Lease Corp., 3.125%, 12/01/2030		19,805,849
	2,235,000	Air Lease Corp., 3.250%, 10/01/2029		1,903,048
	10,270,000	Air Lease Corp., 3.375%, 7/01/2025		9,713,580
	345,000	Air Lease Corp., 4.625%, 10/01/2028		322,693
	8,426,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		7,027,057
	12,430,000	Aircastle Ltd., 4.125%, 5/01/2024		12,015,450
	8,070,000	Aircastle Ltd., 4.400%, 9/25/2023		7,989,606
	10,260,000	Ares Capital Corp., 2.875%, 6/15/2028		8,226,766
	14,460,000	Ares Capital Corp., 3.200%, 11/15/2031		10,611,471
	7,560,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		6,581,572
	7,510,000	Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A		7,376,580
	8,135,000	Barings BDC, Inc., 3.300%, 11/23/2026		6,895,049
	27,825,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027		23,039,545
	9,785,000	FS KKR Capital Corp., 3.125%, 10/12/2028		7,888,370
	7,275,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		6,177,379
	10,036,000	Owl Rock Capital Corp., 2.625%, 1/15/2027		8,279,007
	10,466,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		8,217,634
	13,940,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		11,363,738
	13,705,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		11,747,410
	7,445,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		5,899,701
	18,485,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		14,109,146
	25,002,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		18,672,994

				229,007,312

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Financial Other — 0.2%
$	2,310,000	CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025	$	595,494
	720,000	CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024		189,000
	6,220,000	Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031		3,290,815
	1,110,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		938,672
	2,050,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(c)		457,601
	3,445,000	Logan Group Co. Ltd., 4.850%, 12/14/2026(c)		775,745
	6,065,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)		1,085,635
	400,000	Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d)		73,624
	3,495,000	Shimao Group Holdings Ltd., 4.750%, 7/03/2022(d)		647,589
	4,345,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)		782,099
	3,780,000	Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d)		700,207
	1,265,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)		236,150
	5,120,000	Times China Holdings Ltd., 5.750%, 1/14/2027		832,051
	1,835,000	Times China Holdings Ltd., 6.200%, 3/22/2026		297,472
	1,415,000	Times China Holdings Ltd., 6.750%, 7/08/2025		233,942

				11,136,096

		Food & Beverage — 0.5%
	4,895,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		4,051,320
	3,625,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		2,961,265
	10,660,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A		10,143,203
	4,125,000	NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A		4,096,166
	13,590,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		10,622,760
	2,065,000	Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A		1,756,396
	1,920,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A		1,461,875

				35,092,985

		Gaming — 0.6%
	14,625,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		10,889,001
	4,880,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		3,900,998
	9,470,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		8,834,787
	7,785,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		7,326,288
	6,760,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		6,481,150
	5,560,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		5,505,846

				42,938,070

		Government Owned – No Guarantee — 0.4%
	8,755,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		7,013,410
	12,655,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		10,230,264
	6,700,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		6,604,651
	2,185,000	Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029		1,184,707
	4,210,000	Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030		2,144,995

				27,178,027

		Health Insurance — 0.3%
	19,320,000	Centene Corp., 2.500%, 3/01/2031		15,117,381
	4,145,000	Centene Corp., 2.625%, 8/01/2031		3,257,141
	2,520,000	Centene Corp., 3.000%, 10/15/2030		2,065,768
	565,000	Centene Corp., 4.625%, 12/15/2029		516,317

				20,956,607

		Healthcare — 1.0%
	6,325,000	Alcon Finance Corp., 5.375%, 12/06/2032, 144A		6,357,122
	19,420,000	Cigna Corp., 4.375%, 10/15/2028		18,729,307
	1,261,000	Cigna Corp., 7.875%, 5/15/2027		1,390,041
	7,210,000	CVS Health Corp., 3.250%, 8/15/2029		6,450,116
	325,734	CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A		316,773
	309,512	CVS Pass-Through Trust, 6.036%, 12/10/2028		307,331
	10,076,683	CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A		9,227,219
	1,058,000	CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		939,779
	685,000	Encompass Health Corp., 4.750%, 2/01/2030		601,527
	2,671,000	HCA, Inc., 3.500%, 9/01/2030		2,303,674
	10,120,000	HCA, Inc., 4.125%, 6/15/2029		9,238,458
	16,050,000	HCA, Inc., 4.500%, 2/15/2027		15,468,622

				71,329,969

		Home Construction — 0.3%
	560,000	Lennar Corp., 4.875%, 12/15/2023		557,335
	5,370,000	MDC Holdings, Inc., 3.966%, 8/06/2061		3,000,922
	12,384,000	MDC Holdings, Inc., 6.000%, 1/15/2043		10,061,136
	6,130,000	Meritage Homes Corp., 3.875%, 4/15/2029, 144A		5,198,577

				18,817,970

		Independent Energy — 2.6%
	10,085,000	Aker BP ASA, 2.000%, 7/15/2026, 144A		8,908,189
	3,195,000	Aker BP ASA, 3.000%, 1/15/2025, 144A		3,029,474
	7,360,000	Aker BP ASA, 3.100%, 7/15/2031, 144A		6,036,108
	9,925,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		8,730,950
	16,455,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		14,421,112
	18,551,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		13,740,507
	24,997,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		23,268,715
	4,685,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		3,879,466
	6,910,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		6,184,450
	9,035,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		7,871,744
	1,625,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,493,432
	9,675,000	EQT Corp., 3.625%, 5/15/2031, 144A		8,198,945
	15,955,000	EQT Corp., 3.900%, 10/01/2027		14,729,101
	1,970,000	EQT Corp., 5.000%, 1/15/2029		1,849,354
	3,595,000	EQT Corp., 5.678%, 10/01/2025		3,577,526
	2,480,000	EQT Corp., 5.700%, 4/01/2028		2,466,674
	2,639,000	EQT Corp., 6.125%, 2/01/2025		2,645,202
	10,475,000	Hess Corp., 4.300%, 4/01/2027		10,004,183
	4,675,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		4,573,366
	6,090,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		6,067,162
	11,260,000	Ovintiv, Inc., 6.500%, 8/15/2034		11,330,345
	1,110,000	Ovintiv, Inc., 7.375%, 11/01/2031		1,181,469
	1,750,000	Southwestern Energy Co., 4.750%, 2/01/2032		1,495,533
	5,600,000	Var Energi ASA, 7.500%, 1/15/2028, 144A		5,704,170
	13,015,000	Var Energi ASA, 8.000%, 11/15/2032, 144A		13,440,823

				184,828,000

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Leisure — 0.2%
$	1,985,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A	$	1,559,158
	6,665,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		5,768,958
	4,205,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		3,355,779

				10,683,895

		Life Insurance — 2.4%
	11,800,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		10,178,334
	18,770,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		17,317,414
	21,550,000	Athene Global Funding, 2.550%, 11/19/2030, 144A		16,655,634
	7,385,000	Athene Holding Ltd., 3.500%, 1/15/2031		6,063,785
	8,255,000	CNO Financial Group, Inc., 5.250%, 5/30/2029		7,849,597
	19,600,000	Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A		19,311,997
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		9,430,318
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		35,127,345
	23,335,000	New York Life Global Funding, 0.850%, 1/15/2026, 144A		20,733,385
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		7,071,893
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		2,926,598
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		15,617,997

				168,284,297

		Local Authorities — 0.2%
	14,455,000	Province of Quebec Canada, 0.600%, 7/23/2025		13,093,152

		Lodging — 0.2%
	1,795,000	Marriott International, Inc., Series FF, 4.625%, 6/15/2030		1,674,939
	3,525,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		2,854,484
	975,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		808,886
	7,435,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		6,058,262
	1,610,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,335,125
	205,000	Travel & Leisure Co., 6.000%, 4/01/2027		194,563
	235,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		229,892

				13,156,151

		Media Entertainment — 1.4%
	2,610,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,125,427
	3,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		3,324,802
	13,945,000	Meta Platforms, Inc., 3.500%, 8/15/2027		12,996,742
	3,105,000	Netflix, Inc., 4.875%, 4/15/2028		2,998,146
	22,100,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		20,610,438
	2,545,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		2,468,650
	11,295,000	Netflix, Inc., 5.875%, 11/15/2028		11,447,821
	16,970,000	Netflix, Inc., 6.375%, 5/15/2029		17,467,007
	11,520,000	Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A		10,397,261
	4,125,000	Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A		3,575,179
	13,045,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A		10,755,863

				98,167,336

		Metals & Mining — 2.4%
	3,220,000	Alcoa Nederland Holding BV, 4.125%, 3/31/2029, 144A		2,856,651
		Metals & Mining — continued
	4,390,000	Alcoa Nederland Holding BV, 6.125%, 5/15/2028, 144A		4,324,677
	550,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		446,977
	1,325,000	Anglo American Capital PLC, 2.875%, 3/17/2031, 144A		1,081,875
	6,260,000	Anglo American Capital PLC, 4.000%, 9/11/2027, 144A		5,897,638
	34,334,000	Anglo American Capital PLC, 4.500%, 3/15/2028, 144A		32,472,018
	8,785,000	Anglo American Capital PLC, 4.750%, 4/10/2027, 144A		8,490,627
	11,405,000	ArcelorMittal S.A., 6.750%, 3/01/2041		10,997,838
	3,363,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		3,184,834
	5,890,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		5,526,135
	1,800,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,752,012
	6,325,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		5,260,398
	7,820,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		7,099,859
	2,930,000	Freeport-McMoRan, Inc., 4.375%, 8/01/2028		2,734,774
	8,875,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		8,266,126
	6,175,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		5,831,560
	7,820,000	Glencore Funding LLC, 2.625%, 9/23/2031, 144A		6,229,472
	6,704,000	Glencore Funding LLC, 2.850%, 4/27/2031, 144A		5,486,052
	7,688,000	Glencore Funding LLC, 3.875%, 10/27/2027, 144A		7,191,048
	39,092,000	Glencore Funding LLC, 4.000%, 3/27/2027, 144A		36,892,025
	4,280,000	Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A		3,571,855
	1,855,000	Reliance Steel & Aluminum Co., 2.150%, 8/15/2030		1,460,746
	2,010,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,731,707

				168,786,904

		Midstream — 1.5%
	22,495,000	Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029		20,333,705
	13,555,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		11,211,747
	3,045,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		2,934,569
	650,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		636,950
	7,000,000	Energy Transfer LP, 4.950%, 6/15/2028		6,768,897
	6,405,000	Energy Transfer LP, 5.250%, 4/15/2029		6,193,353
	12,240,000	Energy Transfer LP, 5.750%, 2/15/2033		11,975,126
	1,435,000	Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A		1,269,077
	14,040,000	MPLX LP, 4.250%, 12/01/2027		13,266,698
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		88,444
	225,000	Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023		224,646
	3,710,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		3,224,291
	5,335,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		3,867,887
	12,445,000	Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030		11,535,478
	810,000	Targa Resources Corp., 5.200%, 7/01/2027		793,907
	1,955,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		1,765,267
	1,975,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		1,858,317

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Midstream — continued
$	2,170,000	Western Midstream Operating LP, 4.300%, 2/01/2030	$	1,894,236
	5,070,000	Western Midstream Operating LP, 5.300%, 3/01/2048		4,168,690
	950,000	Western Midstream Operating LP, 5.450%, 4/01/2044		789,184
	710,000	Western Midstream Operating LP, 5.500%, 8/15/2048		589,281
	2,870,000	Western Midstream Operating LP, 5.500%, 2/01/2050		2,364,306

				107,754,056

		Mortgage Related — 0.0%
	627	FNMA, 6.000%, 7/01/2029		648

		Non-Agency Commercial Mortgage-Backed Securities — 1.5%
	8,625,000	BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064		6,656,853
	410,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A		355,097
	8,370,000	BPR Trust, Series 2022-STAR, Class A, 1-month SOFR + 3.232%, 7.568%, 8/15/2024, 144A(a)		8,236,727
	738,267	Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A		663,680
	748,011	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		641,335
	625,015	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(b)		623,850
	2,010,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.298%, 12/10/2044(b)		1,791,960
	370,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		314,071
	510,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A		411,802
	12,790,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		9,406,900
	5,095,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(b)		4,549,716
	3,460,601	Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 6.018%, 7/15/2038, 144A(a)		3,321,701
	2,390,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)		2,167,968
	9,406,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(b)		7,359,091
	6,079,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)		5,565,240
	3,031,000	JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048		2,849,882
	6,478,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.064%, 12/15/2047, 144A(b)		6,120,835
	340,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.064%, 12/15/2047, 144A(b)		315,243
	2,465,000	MedTrust, Series 2021-MDLN, Class B, 1-month LIBOR + 1.450%, 5.768%, 11/15/2038, 144A(a)		2,347,546
	4,990,000	MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 6.118%, 11/15/2038, 144A(a)		4,740,764
		Non-Agency Commercial Mortgage-Backed Securities — continued
	3,048,000	MedTrust, Series 2021-MDLN, Class D, 1-month LIBOR + 2.000%, 6.318%, 11/15/2038, 144A(a)		2,879,844
	921,984	Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A		742,197
	5,050,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.198%, 8/15/2046(b)		4,976,619
	1,405,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.756%, 10/15/2046(b)		1,331,619
	3,456,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(b)		2,589,626
	4,735,000	RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.834%, 1/15/2032, 144A(b)		4,557,309
	6,706,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.702%, 5/10/2063, 144A(b)		117,355
	766,974	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		746,317
	4,990,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.296%, 7/15/2046(b)		4,731,289
	4,030,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059		3,606,688
	1,633,139	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(b)		650,969
	1,565,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045		1,451,745
	1,443,877	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.651%, 6/15/2045(b)		1,025,138
	834,835	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(b)		18,784
	4,615,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		3,971,257
	1,290,000	WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b)		1,171,145

				103,008,162

		Paper — 0.4%
	10,460,000	Suzano Austria GmbH, 3.750%, 1/15/2031		8,775,171
	16,595,000	Weyerhaeuser Co., 4.000%, 4/15/2030		15,110,092
	2,515,000	WRKCo, Inc., 4.000%, 3/15/2028		2,340,355

				26,225,618

		Pharmaceuticals — 0.6%
	2,935,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		1,866,783
	19,045,000	Pfizer, Inc., 3.000%, 12/15/2026		18,019,541
	980,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		861,485
	15,105,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		13,209,323
	6,270,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		3,833,637
	4,335,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		3,918,405
	3,140,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		2,796,318

				44,505,492

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Property & Casualty Insurance — 0.4%
$	16,635,000	Fidelity National Financial, Inc., 3.400%, 6/15/2030	$	14,041,236
	3,159,000	Sirius International Group Ltd., 4.600%, 11/01/2026, 144A		2,714,371
	14,195,000	Stewart Information Services Corp., 3.600%, 11/15/2031		10,878,015

				27,633,622

		REITs – Apartments — 0.0%
	2,185,000	American Homes 4 Rent, 2.375%, 7/15/2031		1,685,352

		REITs – Health Care — 0.1%
	5,972,000	Welltower, Inc., 6.500%, 3/15/2041		5,946,908

		REITs – Office Property — 0.0%
	2,085,000	Corporate Office Properties LP, 2.750%, 4/15/2031		1,560,417

		REITs – Regional Malls — 0.1%
	6,815,000	Simon Property Group LP, 2.650%, 7/15/2030		5,667,934

		REITs – Shopping Centers — 0.0%
	1,600,000	Brixmor Operating Partnership LP, 2.250%, 4/01/2028		1,320,388
	2,280,000	Brixmor Operating Partnership LP, 4.050%, 7/01/2030		1,994,555

				3,314,943

		Restaurants — 0.0%
	2,375,000	Yum! Brands, Inc., 4.750%, 1/15/2030, 144A		2,179,062

		Retailers — 1.0%
	21,520,000	7-Eleven, Inc., 0.800%, 2/10/2024, 144A		20,478,872
	1,960,000	AutoNation, Inc., 4.750%, 6/01/2030		1,748,702
	9,720,000	AutoZone, Inc., 3.625%, 4/15/2025		9,404,528
	14,585,000	AutoZone, Inc., 4.000%, 4/15/2030		13,504,944
	5,620,000	Dollar General Corp., 3.500%, 4/03/2030		5,056,007
	4,665,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		3,844,846
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,125,754
	3,755,000	PVH Corp., 7.750%, 11/15/2023		3,822,966
	3,145,000	Tapestry, Inc., 3.050%, 3/15/2032		2,447,768

				67,434,387

		Supermarkets — 0.0%
	325,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		321,924

		Technology — 4.6%
	6,566,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		4,827,758
	9,915,000	Broadcom, Inc., 3.187%, 11/15/2036, 144A		7,121,824
	8,265,000	Broadcom, Inc., 4.150%, 11/15/2030		7,406,698
	5,480,000	Broadcom, Inc., 4.300%, 11/15/2032		4,829,747
	2,755,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		2,445,939
	3,210,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		2,733,925
	22,935,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		18,899,270
	745,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		685,646
	1,620,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,100,306
	3,095,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		2,495,189
	3,900,000	CommScope, Inc., 6.000%, 3/01/2026, 144A		3,599,271
	3,950,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		2,823,732
	17,625,000	Entegris Escrow Corp., 4.750%, 4/15/2029, 144A		16,072,895
	10,115,000	Equinix, Inc., 2.150%, 7/15/2030		8,046,880
	17,195,000	Equinix, Inc., 3.200%, 11/18/2029		14,966,894
		Technology — continued
	4,880,000	Fidelity National Information Services, Inc., 5.100%, 7/15/2032		4,700,534
	5,730,000	FLEX Ltd., 6.000%, 1/15/2028		5,717,557
	2,540,000	Global Payments, Inc., 2.900%, 11/15/2031		2,002,964
	3,705,000	Global Payments, Inc., 5.300%, 8/15/2029		3,581,885
	8,125,000	Global Payments, Inc., 5.400%, 8/15/2032		7,737,848
	35,505,000	Intel Corp., 3.750%, 8/05/2027		34,109,003
	5,320,000	Jabil, Inc., 1.700%, 4/15/2026		4,714,297
	4,610,000	Jabil, Inc., 3.000%, 1/15/2031		3,815,969
	16,735,000	KLA Corp., 5.650%, 11/01/2034		16,584,170
	7,480,000	Marvell Technology, Inc., 2.450%, 4/15/2028		6,331,380
	6,390,000	Marvell Technology, Inc., 2.950%, 4/15/2031		5,139,724
	11,425,000	Microchip Technology, Inc., 0.983%, 9/01/2024		10,579,095
	25,479,000	Micron Technology, Inc., 4.663%, 2/15/2030		23,108,801
	10,622,000	Micron Technology, Inc., 5.327%, 2/06/2029		10,196,262
	3,980,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027		3,609,967
	2,225,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030		1,922,721
	1,525,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027		1,461,550
	1,055,000	Open Text Corp., 3.875%, 2/15/2028, 144A		905,433
	5,085,000	Open Text Corp., 6.900%, 12/01/2027, 144A		5,085,000
	1,015,000	Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A		814,197
	25,480,000	Oracle Corp., 3.600%, 4/01/2050		17,154,835
	6,765,000	Oracle Corp., 6.150%, 11/09/2029		7,021,839
	4,402,000	S&P Global, Inc., 4.250%, 5/01/2029, 144A		4,200,961
	8,000,000	Salesforce, Inc., 3.700%, 4/11/2028		7,673,273
	1,770,000	Skyworks Solutions, Inc., 1.800%, 6/01/2026		1,555,417
	970,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		908,304
	13,665,000	TD SYNNEX Corp., 1.750%, 8/09/2026		11,614,817
	9,135,000	Verisk Analytics, Inc., 4.125%, 3/15/2029		8,551,564
	5,450,000	Western Digital Corp., 2.850%, 2/01/2029		4,216,501
	8,330,000	Western Digital Corp., 4.750%, 2/15/2026		7,844,528

				320,916,370

		Transportation Services — 0.1%
	9,670,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		8,488,064

		Treasuries — 11.4%
	142,940,000	U.S. Treasury Bond, 2.000%, 11/15/2041		102,062,511
	282,435,000	U.S. Treasury Bond, 2.250%, 2/15/2052		196,402,650
	46,205,000	U.S. Treasury Bond, 2.875%, 5/15/2052		37,021,756
	218,545,000	U.S. Treasury Bond, 3.250%, 5/15/2042		191,602,499
	79,165,000	U.S. Treasury Note, 0.125%, 4/30/2023		78,076,481
	200,000,000	U.S. Treasury Note, 0.125%, 8/31/2023(e)		193,960,938

				799,126,835

		Wireless — 1.3%
	2,295,000	Crown Castle, Inc., 2.250%, 1/15/2031		1,841,122
	3,725,000	Crown Castle, Inc., 3.300%, 7/01/2030		3,258,605
	22,660,000	Crown Castle, Inc., 3.650%, 9/01/2027		21,047,454
	6,615,000	Crown Castle, Inc., 4.000%, 3/01/2027		6,308,386
	610,000	Sprint Capital Corp., 6.875%, 11/15/2028		633,143
	1,960,000	T-Mobile USA, Inc., 2.400%, 3/15/2029		1,654,097
	3,515,000	T-Mobile USA, Inc., 2.700%, 3/15/2032		2,839,927
	15,320,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		13,493,389
	7,565,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		6,534,643
	36,385,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		32,958,070

				90,568,836

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Wirelines — 0.0%
$	857,000	Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A	$	713,453

		Total Non-Convertible Bonds (Identified Cost $5,636,224,401)		5,039,910,404

	Convertible Bonds — 1.1%
		Airlines — 0.1%
	7,215,000	Southwest Airlines Co., 1.250%, 5/01/2025		8,665,215

		Cable Satellite — 0.4%
	9,050,000	DISH Network Corp., 2.375%, 3/15/2024		8,154,050
	20,440,000	DISH Network Corp., 3.375%, 8/15/2026		12,805,660
	4,115,000	DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(f)		2,634,053

				23,593,763

		Consumer Cyclical Services — 0.1%
	1,095,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.799%, 2/15/2026(f)		775,140
	5,755,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(f)		4,860,615

				5,635,755

		Healthcare — 0.2%
	19,015,000	Teladoc Health, Inc., 1.250%, 6/01/2027		14,607,224

		Pharmaceuticals — 0.3%
	5,120,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		5,433,856
	13,985,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		15,027,733
	2,935,000	Livongo Health, Inc., 0.875%, 6/01/2025		2,569,240

				23,030,829

		Total Convertible Bonds (Identified Cost $89,113,619)		75,532,786

	Municipals — 0.1%
		Virginia — 0.1%
	7,115,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $6,861,259)		6,409,483

		Total Bonds and Notes (Identified Cost $5,732,199,279)		5,121,852,673

	Collateralized Loan Obligations — 3.8%
	3,285,000	522 Funding CLO Ltd., Series 2018-3A, Class AR, 3-month LIBOR + 1.040%, 5.283%, 10/20/2031, 144A(a)		3,215,660
	1,585,000	522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 7.225%, 4/23/2034, 144A(a)		1,412,343
	5,565,000	AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3-month LIBOR + 1.700%, 5.943%, 7/20/2034, 144A(a)		5,307,941
	8,720,000	AIG CLO LLC, Series 2018-1A, Class A1R, 3-month LIBOR + 1.120%, 5.363%, 4/20/2032, 144A(a)		8,567,871
	2,505,000	AIMCO CLO Ltd., Series 2020-12A, Class AR, 3-month SOFR + 1.170%, 5.034%, 1/17/2032, 144A(a)		2,456,789
	14,785,000	Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 5.893%, 7/20/2031, 144A(a)		14,263,991
	4,650,000	Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 5.749%, 7/15/2031, 144A(a)		4,483,795
	7,655,000	Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2, 3-month LIBOR + 1.140%, 5.219%, 7/15/2032, 144A(a)		7,487,937
	3,520,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 7.079%, 10/15/2034, 144A(a)		3,254,852
	4,075,000	Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 5.579%, 10/15/2030, 144A(a)		3,925,297
	1,651,667	Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 7.325%, 1/23/2031, 144A(a)		1,547,975
	1,170,000	Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 6.075%, 11/20/2030, 144A(a)		1,125,815
	5,320,000	Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3-month LIBOR + 1.550%, 5.744%, 7/18/2030, 144A(a)		5,120,899
	2,525,000	Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 5.779%, 7/15/2031, 144A(a)		2,422,998
	3,920,000	Canyon CLO Ltd., Series 2021-4A, Class B, 3-month LIBOR + 1.700%, 5.779%, 10/15/2034, 144A(a)		3,737,869
	7,170,000	Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3-month LIBOR + 1.650%, 5.893%, 10/20/2034, 144A(a)		6,880,748
	6,500,000	CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 5.879%, 10/17/2031, 144A(a)		6,284,070
	2,535,000	CIFC Funding Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.700%, 5.978%, 4/23/2029, 144A(a)		2,488,952
	4,415,000	CIFC Funding Ltd., Series 2021-6A, Class B, 3-month LIBOR + 1.650%, 5.729%, 10/15/2034, 144A(a)		4,251,336
	3,335,000	Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 5.479%, 1/15/2031, 144A(a)		3,214,080
	1,250,000	Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 6.008%, 10/25/2031, 144A(a)		1,203,757
	4,465,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 6.365%, 11/22/2031, 144A(a)		4,303,809
	5,405,000	Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 5.793%, 4/20/2030, 144A(a)		5,240,520
	13,735,000	Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 5.723%, 4/20/2031, 144A(a)		13,180,793
	3,545,000	Invesco CLO Ltd., Series 2021-1A, Class D,, 3-month LIBOR + 3.050% 7.129%, 4/15/2034, 144A(a)		3,240,243
	13,180,000	Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 6.025%, 10/22/2030, 144A(a)		12,807,876
	9,544,130	Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3-month LIBOR + 0.970%, 5.328%, 4/25/2029, 144A(a)		9,421,794
	4,410,000	Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, 3-month LIBOR + 1.070%, 5.149%, 7/15/2033, 144A(a)		4,323,749
	2,945,000	Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3-month LIBOR + 1.600%, 5.794%, 10/18/2031, 144A(a)		2,856,650

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
$	6,060,000	Magnetite XV Ltd., Series 2015-15A, Class AR, 3-month LIBOR + 1.010%, 5.368%, 7/25/2031, 144A(a)	$	5,949,653
	13,895,000	Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3-month SOFR + 1.950%, 5.814%, 4/15/2035, 144A(a)		13,199,514
	2,105,000	Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 6.979%, 4/15/2034, 144A(a)		1,914,024
	545,455	Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 5.978%, 10/21/2030, 144A(a)		526,248
	6,205,000	OCP CLO Ltd., Series 2016-12A, Class BR2, 3-month SOFR + 1.810%, 5.739%, 4/18/2033, 144A(a)		5,905,168
	14,755,000	OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 5.629%, 1/17/2032, 144A(a)		14,109,867
	2,000,000	Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 5.679%, 7/15/2030, 144A(a)		1,924,398
	1,986,282	Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 6.125%, 10/24/2030, 144A(a)		1,922,781
	4,155,000	Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 7.379%, 7/15/2036, 144A(a)		3,737,048
	7,170,000	Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 5.549%, 4/16/2031, 144A(a)		6,892,851
	9,536,000	Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3-month LIBOR + 0.970%, 5.197%, 7/19/2030, 144A(a)		9,421,530
	1,440,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 6.375%, 5/21/2034, 144A(a)		1,377,235
	8,844,000	Palmer Square CLO Ltd., Series 2021-2A, Class A, 3-month LIBOR + 1.150%, 5.229%, 7/15/2034, 144A(a)		8,615,480
	4,129,054	Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3-month LIBOR + 0.800%, 5.043%, 7/20/2029, 144A(a)		4,071,153
	12,875,000	Post CLO Ltd., Series 2022-1A, Class B, 3-month SOFR + 1.900%, 5.863%, 4/20/2035, 144A(a)		12,397,891
	4,310,000	Rad CLO Ltd., Series 2021-15A, Class B, 3-month LIBOR + 1.650%, 5.893%, 1/20/2034, 144A(a)		4,116,757
	1,730,000	Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 5.643%, 4/20/2034, 144A(a)		1,622,807
	1,015,000	Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 6.208%, 10/25/2031, 144A(a)		975,459
	6,680,000	Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 7.493%, 4/20/2034, 144A(a)		6,191,117
	1,830,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 7.993%, 10/20/2034, 144A(a)		1,635,797
	3,335,000	Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 5.894%, 10/18/2031, 144A(a)		3,197,181
	1,610,000	Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 5.944%, 10/18/2031, 144A(a)		1,535,000
	6,235,000	Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 5.729%, 10/15/2031, 144A(a)		5,968,317

		Total Collateralized Loan Obligations (Identified Cost $271,272,338)		265,237,685


Shares
	Preferred Stocks — 0.8%
	Convertible Preferred Stocks — 0.8%
		Banking — 0.6%
	17,832	Bank of America Corp., Series L, 7.250%		20,685,120
	18,269	Wells Fargo & Co., Class A, Series L, 7.500%		21,648,765

				42,333,885

		Wireless — 0.2%
	13,185	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A		15,083,904

		Total Convertible Preferred Stocks (Identified Cost $64,871,406)		57,417,789

		Total Preferred Stocks (Identified Cost $64,871,406)		57,417,789


Principal Amount
	Short-Term Investments — 19.3%
$	72,295,125	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $72,309,584 on 1/03/2023 collateralized by $76,819,900 U.S. Treasury Note, 3.250% due 6/30/2029 valued at $73,741,112 including accrued interest (Note 2 of Notes to Financial Statements)		72,295,125
	187,905,000	U.S. Treasury Bills, 3.593%, 1/12/2023(g)		187,741,874
	154,080,000	U.S. Treasury Bills, 3.923%, 1/26/2023(g)		153,698,003
	190,090,000	U.S. Treasury Bills, 4.116%, 4/13/2023(g)		187,943,566
	66,030,000	U.S. Treasury Bills, 4.170%, 2/23/2023(g)		65,632,620
	300,000,000	U.S. Treasury Bills, 4.185%-4.188%, 3/16/2023(g)(h)		297,512,100
	154,075,000	U.S. Treasury Bills, 4.275%, 4/27/2023(g)		151,903,948
	66,850,000	U.S. Treasury Bills, 4.517%, 5/25/2023(g)		65,660,380
	174,920,000	U.S. Treasury Bills, 4.541%-4.543%, 6/08/2023(g)(h)		171,501,481

		Total Short-Term Investments (Identified Cost $1,353,598,503)		1,353,889,097


		Total Investments — 97.1% (Identified Cost $7,421,941,526)		6,798,397,244
		Other assets less liabilities — 2.9%		204,372,455

		Net Assets — 100.0%	$	7,002,769,699

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of December 31, 2022 is disclosed.
	(b)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed.
	(c)	Non-income producing security.

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)


	(d)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(e)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(f)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(g)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(h)			The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $2,167,121,333 or 30.9% of net assets.
	ABS			Asset-Backed Securities
	FNMA			Federal National Mortgage Association
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	SLM			Sallie Mae
	SOFR			Secured Overnight Financing Rate

At December 31, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		3/22/2023		2,108	$	287,957,962	$	283,130,750	$	(4,827,212	)
Ultra 10 Year U.S. Treasury Note		3/22/2023		4,701		559,735,598		556,040,156		(3,695,442	)

Total									$	(8,522,654	)

Industry Summary at December 31, 2022


Treasuries	11.4	%
Banking	11.4
Technology	4.6
ABS Car Loan	4.5
ABS Home Equity	3.7
Finance Companies	3.3
Independent Energy	2.6
Metals & Mining	2.4
Life Insurance	2.4
Other Investments, less than 2% each	27.7
Short-Term Investments	19.3
Collateralized Loan Obligations	3.8

Total Investments	97.1
Other assets less liabilities (including futures contracts)	2.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 82.6% of Net Assets
	Non-Convertible Bonds — 78.3%
		ABS Car Loan — 5.7%
$	2,590,000	American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A	$	2,497,933
	2,660,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A		2,541,219
	1,056,804	Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A		1,051,450
	1,035,000	Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A		1,027,071
	330,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A		326,927
	1,165,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A		1,111,446
	1,565,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A		1,415,744
	2,360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026, 144A		2,121,546
	1,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A		1,076,832
	1,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A		1,607,001
	2,350,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025		2,291,845
	610,000	Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028		553,854
	1,180,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A		1,111,966
	903,354	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A		893,546
	1,110,000	DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A		1,010,496
	2,290,000	DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028, 144A		2,155,217
	1,265,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A		1,252,260
	411,772	Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025		407,120
	635,000	First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A		617,066
	1,475,000	First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A		1,378,334
	3,305,000	Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A		3,215,755
	3,120,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A		2,756,261
	2,555,495	GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A		2,528,887
	1,889,000	Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A		1,661,668
	1,493,000	Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A		1,423,498
	1,050,000	Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A		967,847
	910,000	Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A		893,291
	985,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		963,091
		ABS Car Loan — continued
	3,210,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028		3,204,744
	1,140,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026		1,109,268
	1,675,000	Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A		1,587,234
	1,920,000	Westlake Automobile Receivables Trust, Series 2022-2A,Class D, 5.480%, 9/15/2027, 144A		1,829,516

				48,589,933

		ABS Credit Card — 0.4%
	775,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		766,591
	2,845,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A		2,714,287

				3,480,878

		ABS Home Equity — 7.3%
	129,375	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034		123,022
	128,984	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034		123,620
	122,808	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		118,380
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		288,797
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A		2,113,412
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A		1,183,962
	3,138,000	American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A		3,049,833
	229,899	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		217,514
	193,637	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		189,576
	119,429	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		105,230
	2,315,000	BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(a)		1,657,380
	1,851,885	CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)		1,703,930
	2,856,419	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 6.228%, 11/25/2070, 144A(a)		2,811,048
	378,562	Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 6.439%, 1/25/2040, 144A(b)		375,951
	1,310,097	Connecticut Avenue Securities Trust, Series 2022- R06, Class 1M1, 30-day Average SOFR + 2.750%, 6.678%, 5/25/2042, 144A(b)		1,326,269
	1,830,000	CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A		1,594,368
	245,000	CoreVest American Finance Trust, Series 2020-2, Class C, 4.596%, 5/15/2052, 144A(a)		225,575
	1,340,000	CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A		1,050,250
	265,956	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033		257,940
	326,017	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		309,967
	33,573	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.894%, 9/20/2034(a)		30,101

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,244,992	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a)	$	1,168,078
	2,004,015	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)		1,783,566
	109,606	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033		105,936
	339,841	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 4.999%, 9/19/2045(b)		212,453
	1,008,396	Federal Home Loan Mortgage Corp., Series 2022-DN44, Class M1A, 30-day Average SOFR + 2.200%, 6.128%, 5/25/2042, 144A(b)		1,005,272
	1,715,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,531,080
	4,165,000	FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A		3,670,532
	211,244	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)		198,115
	235,871	Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A		180,096
	363,159	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 5.609%, 9/25/2034(b)		312,265
	1,668,187	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 4.809%, 2/25/2046(b)		1,169,689
	592,674	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		565,936
	1,388,670	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)		1,378,324
	962,936	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(a)		947,272
	267,963	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 4.909%, 2/25/2046(b)		231,119
	181,107	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.750%, 5/25/2034(a)		171,011
	148,173	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		140,021
	114,793	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034		109,995
	151,316	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		146,776
	448,241	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		423,557
	19,988	Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 3.674%, 5/25/2036(a)		19,293
	245,000	Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)		201,925
	268,480	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		181,593
	511,063	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		462,403
	1,005,000	Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A		937,384
	785,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		684,875
	795,000	Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A		671,812
	570,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A		482,257
	470,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		396,626
		ABS Home Equity — continued
	930,000	Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A		774,418
	400,000	Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A		331,221
	585,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		478,893
	415,000	Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A		317,793
	984,252	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a)		906,182
	2,162,729	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)		1,928,097
	2,888,853	PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a)		2,586,780
	1,751,553	PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a)		1,576,768
	1,781,283	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 4.699%, 7/25/2035(b)		1,134,373
	655,000	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)		523,657
	3,712,760	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)		3,447,447
	1,040,000	Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A		922,138
	1,170,000	Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A		956,877
	448,559	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a)		423,421
	987,573	VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(a)		870,100
	1,156,932	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a)		998,293
	3,020,102	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)		2,716,922
	1,434,878	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a)		1,297,148
	1,874,099	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a)		1,698,971

				62,234,885

		ABS Other — 3.8%
	414,098	Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A		394,835
	2,218,114	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 7.072%, 2/15/2040, 144A(a)		775,082
	1,754,602	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		1,401,455
	2,340,000	BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A		2,033,862
	797,000	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)		652,131
	881,100	DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A		724,200
	519,580	Diamond Resorts Owner Trust, Series 2019-1A,Class B, 3.530%, 2/20/2032, 144A		506,819
	305,000	Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A		296,176
	227,625	Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A		216,848
	975,000	HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A		965,042

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	5,900,000	HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A	$	5,839,194
	700,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A		660,266
	1,921,374	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		1,517,963
	860,411	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		721,918
	1,292,169	MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A		834,597
	310,000	Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A		286,515
	200,933	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		187,889
	195,203	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A		180,432
	730,000	Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A		568,823
	1,110,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A		1,090,827
	1,020,000	OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A		850,841
	810,000	OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A		620,474
	3,147,739	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		2,439,530
	775,378	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A		731,187
	978,696	SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A		800,830
	1,832,923	SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A		1,665,476
	327,595	Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A		296,608
	3,682,557	TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A		3,054,113
	1,520,122	Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A		1,147,707
	545,713	Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)		435,407
	721,844	Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A		555,123

				32,452,170

		ABS Student Loan — 1.6%
	175,004	Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A		137,014
	1,103,669	Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A		1,014,054
	1,035,000	Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A		980,898
	1,775,000	Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042, 144A		1,639,887
	3,410,000	Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A		2,762,965
	695,000	Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A		555,110
	320,000	Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A		256,383
		ABS Student Loan — continued
	1,290,000	Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A		1,032,603
	810,000	Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062, 144A		645,390
	385,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 7.884%, 6/15/2032(b)		375,077
	1,143,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 7.770%, 3/15/2033(b)		1,113,419
	122,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 7.826%, 3/15/2033(b)		118,843
	800,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A		752,194
	508,917	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 5.068%, 10/15/2035, 144A(b)		502,273
	190,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A		168,242
	510,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A		462,279
	1,350,000	SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A		1,046,806

				13,563,437

		ABS Whole Business — 1.1%
	3,781,154	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		3,584,484
	2,982,750	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		2,477,732
	2,509,950	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		2,449,072
	982,800	Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A		871,455

				9,382,743

		Aerospace & Defense — 0.8%
	1,065,000	Boeing Co. (The), 3.375%, 6/15/2046		691,025
	90,000	Boeing Co. (The), 3.625%, 3/01/2048		58,884
	1,915,000	Boeing Co. (The), 3.750%, 2/01/2050		1,320,010
	375,000	Boeing Co. (The), 3.825%, 3/01/2059		239,737
	325,000	Boeing Co. (The), 3.850%, 11/01/2048		223,079
	1,420,000	Boeing Co. (The), 3.900%, 5/01/2049		997,074
	2,065,000	Boeing Co. (The), 5.150%, 5/01/2030		2,014,695
	1,150,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		1,116,087
	490,000	TransDigm, Inc., 8.000%, 12/15/2025, 144A		497,247

				7,157,838

		Airlines — 0.6%
	4,970,545	United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029		4,238,036
	548,640	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		516,479

				4,754,515

		Automotive — 1.8%
	1,640,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		1,520,836
	4,935,000	Aptiv PLC/Aptiv Corp., 2.396%, 2/18/2025		4,653,666
	330,000	General Motors Co., 5.200%, 4/01/2045		268,214
	2,530,000	General Motors Co., 5.400%, 4/01/2048		2,067,830
	2,905,000	General Motors Co., 5.950%, 4/01/2049		2,531,750

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	1,365,000	General Motors Financial Co., Inc., 1.200%, 10/15/2024	$	1,263,671
	1,455,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c)		1,224,960
	1,170,000	General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(c)		1,018,520
	470,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c)		397,796

				14,947,243

		Banking — 6.0%
	2,530,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c)		1,691,938
	2,400,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c)		1,503,000
	1,735,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c)		1,322,938
	4,460,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		3,393,813
	6,580,000	Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter), 2.014%, 1/25/2026		6,098,126
	1,330,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		1,245,466
	1,030,000	Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		1,054,583
	375,000	Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A		259,105
	4,570,000	Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		3,903,199
	630,000	Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		591,475
	740,000	Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A		674,036
	1,000,000	Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A		878,480
	5,280,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		3,871,369
	6,595,000	JPMorgan Chase & Co., (fixed rate to 2/24/2025, variable rate thereafter), 2.595%, 2/24/2026		6,200,355
	7,575,000	Morgan Stanley, (fixed rate to 10/21/2024, variable rate thereafter), MTN, 1.164%, 10/21/2025		6,969,985
	6,595,000	Morgan Stanley, (fixed rate to 2/18/2025, variable rate thereafter), 2.630%, 2/18/2026		6,192,629
	3,550,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		2,624,946
	2,255,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		1,996,857

				50,472,300

		Building Materials — 1.5%
	7,070,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		5,967,327
	3,360,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		3,134,500
	1,725,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		1,655,991
		Building Materials — continued
	1,720,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(c)		1,589,297

				12,347,115

		Cable Satellite — 4.4%
	12,800,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		11,930,496
	520,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A		503,412
	11,205,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 4.400%, 12/01/2061		7,167,540
	225,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		165,723
	645,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		502,138
	330,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		282,368
	12,090,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		6,681,346
	405,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		226,274
	405,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		228,416
	885,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		723,487
	3,175,000	DISH DBS Corp., 5.125%, 6/01/2029		2,048,224
	6,305,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		5,310,922
	1,625,000	Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A		1,511,932

				37,282,278

		Chemicals — 0.5%
	1,330,000	Ashland LLC, 3.375%, 9/01/2031, 144A		1,063,030
	2,115,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,798,720
	210,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		192,938
	1,105,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		867,513

				3,922,201

		Consumer Cyclical Services — 2.0%
	490,000	Expedia Group, Inc., 2.950%, 3/15/2031		394,024
	405,000	Expedia Group, Inc., 3.250%, 2/15/2030		343,560
	1,080,000	Go Daddy Operating Co. LLC / GD Finance Co., Inc., 5.250%, 12/01/2027, 144A		1,022,177
	10,725,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		9,344,210
	680,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		652,800
	5,255,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,258,678
	320,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		321,101

				17,336,550

		Consumer Products — 0.2%
	1,605,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		1,309,696

		Electric — 0.6%
	3,805,000	Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(c)		3,113,974
	1,860,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		1,318,718
	685,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		675,484

				5,108,176

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Finance Companies — 5.2%
$	1,140,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025	$	1,155,137
	4,455,000	Aircastle Ltd., 4.250%, 6/15/2026		4,189,624
	855,000	Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(c)		658,350
	1,530,000	Ares Capital Corp., 2.875%, 6/15/2028		1,226,798
	3,400,000	Ares Capital Corp., 3.200%, 11/15/2031		2,495,090
	580,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		504,935
	1,870,000	Barings BDC, Inc., 3.300%, 11/23/2026		1,584,971
	6,355,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027		5,262,042
	2,335,000	FS KKR Capital Corp., 3.125%, 10/12/2028		1,882,406
	3,855,000	FS KKR Capital Corp., 3.400%, 1/15/2026		3,418,434
	1,040,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		883,089
	2,290,000	OneMain Finance Corp., 3.500%, 1/15/2027		1,896,051
	5,000	OneMain Finance Corp., 6.875%, 3/15/2025		4,803
	2,415,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		1,896,196
	1,415,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		1,153,493
	11,490,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		9,848,796
	2,865,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		2,270,335
	105,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		80,144
	5,245,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		3,917,281

				44,327,975

		Financial Other — 1.4%
	540,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025		286,400
	425,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		192,797
	430,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		228,098
	1,540,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		712,527
	485,000	Central China Real Estate Ltd., 7.250%, 7/16/2024		137,561
	410,000	Central China Real Estate Ltd., 7.250%, 8/13/2024		114,722
	1,000,000	Central China Real Estate Ltd., 7.650%, 8/27/2023		357,620
	625,000	Central China Real Estate Ltd., 7.750%, 5/24/2024		193,056
	670,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d)(e)		76,139
	200,000	CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(d)(e)		22,000
	590,000	CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(d)(e)		68,788
	870,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(d)(e)		99,737
	785,000	CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(d)(e)		93,334
	1,350,000	CFLD Cayman Investment Ltd., 9.000%, 7/31/2023(d)(e)		149,229
	710,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024(d)		58,064
	645,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023(d)		54,328
	630,000	China Evergrande Group, 8.250%, 3/23/2022(d)		44,623
	1,020,000	China Evergrande Group, 8.750%, 6/28/2025(d)		73,654
	270,000	China Evergrande Group, 9.500%, 4/11/2022(d)		19,297
	220,000	China Evergrande Group, 9.500%, 3/29/2024(d)		15,567
	1,110,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026		286,302
		Financial Other — continued
	480,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		405,912
	1,115,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		1,069,008
	1,980,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,812,888
	125,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026		120,112
	470,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025		455,806
	1,875,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d)		255,206
	205,000	Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d)		27,755
	855,000	Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d)		115,827
	4,525,000	Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d)		612,594
	2,045,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d)		276,504
	2,125,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d)		288,214
	645,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026		245,584
	845,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026		329,770
	400,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(f)		89,288
	230,000	Logan Group Co. Ltd., 4.850%, 12/14/2026(f)		51,791
	825,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)		147,675
	725,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)		130,500
	610,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)		113,875
	410,000	Sunac China Holdings Ltd., 6.500%, 1/10/2025(d)		87,658
	2,620,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(d)		558,086
	205,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(d)		43,938
	1,090,000	Sunac China Holdings Ltd., 7.000%, 7/09/2025(d)		233,020
	210,000	Times China Holdings Ltd., 5.750%, 1/14/2027		34,127
	1,085,000	Times China Holdings Ltd., 6.200%, 3/22/2026		175,889
	4,400,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)		406,384
	325,000	Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(d)		30,082
	415,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d)		38,446
	555,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d)		51,354
	1,360,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d)		68,095
	210,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d)		10,349
	220,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025(d)		10,670

				11,580,250

		Food & Beverage — 1.0%
	2,055,000	Aramark Services, Inc., 6.375%, 5/01/2025, 144A		2,029,744
	175,000	Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A		171,063
	1,015,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		840,059
	3,490,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		2,678,868
	2,980,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A		2,890,529

				8,610,263

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Gaming — 1.4%
$	1,810,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A	$	1,347,630
	2,940,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		2,804,496
	910,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		873,600
	2,670,000	VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A		2,340,079
	1,375,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		1,282,770
	1,140,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		1,072,828
	985,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		944,369
	815,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		807,062

				11,472,834

		Government Owned – No Guarantee — 1.8%
	2,350,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		1,882,526
	2,790,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		2,255,427
	845,000	Antares Holdings LP, 3.950%, 7/15/2026, 144A		725,661
	4,801,000,000	Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)		894,904
	6,595,000	Petroleos Mexicanos, 5.950%, 1/28/2031		4,991,412
	5,290,000	Petroleos Mexicanos, 6.625%, 6/15/2035		3,837,404
	1,295,000	YPF S.A., 6.950%, 7/21/2027, 144A		917,404

				15,504,738

		Health Insurance — 0.1%
	965,000	Molina Healthcare, Inc., 4.375%, 6/15/2028, 144A		880,649

		Healthcare — 0.4%
	475,000	Charles River Laboratories International, Inc., 4.250%, 5/01/2028, 144A		437,461
	2,365,000	HCA, Inc., 5.875%, 2/15/2026		2,380,112
	340,000	Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A		321,519
	175,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		156,681
	255,000	Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A		244,930

				3,540,703

		Independent Energy — 3.2%
	3,095,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		2,722,649
	1,670,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		1,463,583
	825,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		611,068
	5,175,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		4,817,202
	1,515,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		1,355,925
	2,185,000	EQT Corp., 3.625%, 5/15/2031, 144A		1,851,648
	3,045,000	EQT Corp., 3.900%, 10/01/2027		2,811,038
	585,000	EQT Corp., 5.000%, 1/15/2029		549,174
	570,000	EQT Corp., 5.678%, 10/01/2025		567,229
	1,790,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		1,751,085
	740,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		717,807
	4,240,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		4,224,100
	115,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		116,057
	180,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		198,720
	180,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		203,221
	320,000	Ovintiv, Inc., 6.500%, 8/15/2034		321,999
	140,000	Ovintiv, Inc., 6.500%, 2/01/2038		138,704
	695,000	Ovintiv, Inc., 6.625%, 8/15/2037		698,994
		Independent Energy — continued
	90,000	Ovintiv, Inc., 7.200%, 11/01/2031		94,464
	85,000	Ovintiv, Inc., 7.375%, 11/01/2031		90,473
	385,000	Ovintiv, Inc., 8.125%, 9/15/2030		422,483
	380,000	Southwestern Energy Co., 4.750%, 2/01/2032		324,744
	870,000	Var Energi ASA, 7.500%, 1/15/2028, 144A		886,184
	410,000	Var Energi ASA, 8.000%, 11/15/2032, 144A		423,414

				27,361,965

		Industrial Other — 0.0%
	500,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		406,305

		Leisure — 0.9%
	1,880,000	Carnival Corp., 5.750%, 3/01/2027, 144A		1,342,395
	580,000	Carnival Corp., 6.000%, 5/01/2029, 144A		386,502
	1,560,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		1,225,333
	1,405,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		1,216,112
	570,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		420,786
	240,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		194,003
	3,090,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		2,465,959

				7,251,090

		Life Insurance — 0.1%
	1,110,000	Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A		929,170

		Local Authorities — 0.0%
	67,000,000	Provincia de Buenos Aires, Argentina Badlar Floating Rate Notes + 3.750% 72.913%, 4/12/2025, 144A, (ARS)		175,680

		Lodging — 0.9%
	435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		355,027
	1,435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		1,234,100
	1,605,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027		1,527,684
	1,125,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		933,329
	1,000,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		814,830
	1,535,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,272,930
	195,000	Travel & Leisure Co., 6.000%, 4/01/2027		185,073
	955,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		934,240

				7,257,213

		Media Entertainment — 2.2%
	2,830,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,304,582
	2,400,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		2,033,000
	1,220,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		1,037,521
	1,040,000	Netflix, Inc., 4.875%, 4/15/2028		1,004,210
	3,215,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		2,998,306
	860,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		834,200
	1,325,000	Netflix, Inc., 5.875%, 11/15/2028		1,342,927
	1,705,000	Netflix, Inc., 6.375%, 5/15/2029		1,754,935
	1,025,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A		922,753
	600,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		470,970
	805,000	Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A		726,545
	855,000	Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A		741,037

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Media Entertainment — continued
$	2,555,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A	$	2,106,649

				18,277,635

		Metals & Mining — 1.4%
	4,180,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		3,958,550
	3,870,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		3,766,827
	1,930,000	FMG Resources August 2006 Pty Ltd., 4.500%, 9/15/2027, 144A		1,780,425
	1,310,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		1,189,363
	1,595,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		1,485,574

				12,180,739

		Midstream — 0.7%
	2,340,000	DCP Midstream Operating LP, 5.375%, 7/15/2025		2,318,238
	695,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		594,170
	640,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		623,414
	2,070,000	Western Midstream Operating LP, 3.350%, 2/01/2025		1,958,676

				5,494,498

		Non-Agency Commercial Mortgage-Backed Securities — 5.6%
	2,995,000	Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 6.858%, 10/15/2037, 144A(b)		2,863,129
	2,155,000	BPR Trust, Series 2021-NRD, Class F, 1-month SOFR + 6.870%, 11.196%, 12/15/2038, 144A(b)		1,895,330
	2,040,000	Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.941%, 5/10/2047, 144A(a)		1,652,400
	2,585,000	Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A		2,244,286
	140,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.298%, 12/10/2044(a)		124,813
	1,890,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		1,390,074
	5,680,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,300,444
	750,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(a)		669,733
	600,358	Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 6.568%, 7/15/2038, 144A(b)		574,756
	3,195,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(a)		2,499,712
	540,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.154%, 8/10/2044, 144A(a)		406,351
	3,905,000	GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.154%, 8/10/2044, 144A(a)		1,617,072
	1,420,000	GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.650%, 4/10/2031, 144A(a)		1,373,505
	845,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)		773,586
	1,945,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(a)		1,814,677
	2,435,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.064%, 12/15/2047, 144A(a)		2,300,746
	1,005,417	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.211%, 6/15/2044, 144A(a)		904,875
		Non-Agency Commercial Mortgage-Backed Securities — continued
	2,515,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(a)		1,884,522
	1,350,000	RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.834%, 1/15/2032, 144A(a)		1,299,339
	1,060,000	Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 7.068%, 11/15/2027, 144A(b)(g)		511,491
	4,243,654	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 7.818%, 11/15/2027, 144A(b)(g)		1,141,311
	3,575,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 8.718%, 11/15/2027, 144A(b)(g)		339,765
	1,370,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.702%, 5/10/2063, 144A(a)		23,975
	3,094,293	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.296%, 7/15/2046(a)		2,933,867
	1,690,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)		1,405,234
	440,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.134%, 11/15/2059(a)		334,863
	4,885,000	Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.038%, 9/15/2031, 144A(a)		4,220,284
	2,873,701	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(a)		1,145,457
	1,699,593	WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.844%, 6/15/2044, 144A(a)		1,366,814
	2,245,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.357%, 12/15/2045(a)		2,008,675
	599,548	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.651%, 6/15/2045(a)		425,673
	1,909,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.651%, 6/15/2045, 144A(a)		725,420
	940,999	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(a)		21,173
	1,570,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		1,351,002

				47,544,354

		Pharmaceuticals — 2.3%
	2,485,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		1,580,564
	1,325,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		635,993
	145,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		69,491
	685,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		328,567
	165,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		79,437
	270,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		130,504
	380,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		328,119
	1,665,000	Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR)		1,751,768
	5,755,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		5,628,965
	920,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		804,540

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — continued
$	10,035,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046	$	6,135,652
	200,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		180,780
	635,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		565,497
	1,015,000	Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025		1,009,306

				19,229,183

		REITs – Health Care — 0.0%
	455,000	National Health Investors, Inc., 3.000%, 2/01/2031		328,016

		REITs – Mortgage — 0.2%
	1,630,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		1,369,248
	390,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		366,421

				1,735,669

		Restaurants — 0.3%
	2,885,000	1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A		2,583,246

		Retailers — 0.1%
	1,070,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		881,883

		Technology — 2.3%
	1,020,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		749,972
	2,865,000	Broadcom, Inc., 4.150%, 11/15/2030		2,567,476
	1,805,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		1,602,511
	2,115,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		1,801,324
	490,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		450,962
	1,615,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,096,910
	3,815,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		2,727,224
	330,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		283,459
	395,000	Global Payments, Inc., 2.900%, 11/15/2031		311,484
	225,000	Global Payments, Inc., 5.400%, 8/15/2032		214,279
	3,560,000	Micron Technology, Inc., 6.750%, 11/01/2029		3,616,166
	330,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030		285,168
	730,000	Open Text Corp., 6.900%, 12/01/2027, 144A		730,000
	1,240,000	Western Digital Corp., 2.850%, 2/01/2029		959,351
	1,780,000	Western Digital Corp., 4.750%, 2/15/2026		1,676,262

				19,072,548

		Transportation Services — 0.5%
	1,855,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		1,628,269
	1,865,000	GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		1,734,711
	1,270,000	GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024		1,252,423

				4,615,403

		Treasuries — 6.5%
	338,660,000	Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR)		15,795,663
	9,150,000	U.S. Treasury Note, 1.250%, 7/31/2023(h)		8,969,859
	26,640,000	U.S. Treasury Note, 1.375%, 8/31/2023		26,043,722
	4,235,000	U.S. Treasury Note, 4.250%, 9/30/2024		4,213,329

				55,022,573

		Wireless — 1.5%
	4,365,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		4,015,800
	1,695,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		1,399,223
	1,525,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		1,230,004
	1,297,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		1,230,049
	3,385,000	SBA Communications Corp., 3.875%, 2/15/2027		3,058,393
	1,630,000	SoftBank Group Corp., 4.625%, 7/06/2028		1,338,295
	750,000	SoftBank Group Corp., 5.250%, 7/06/2031		600,000

				12,871,764

		Total Non-Convertible Bonds (Identified Cost $795,026,699)		663,478,304


	Convertible Bonds — 4.3%
		Airlines — 0.6%
	915,000	JetBlue Airways Corp., 0.500%, 4/01/2026		667,106
	3,680,000	Southwest Airlines Co., 1.250%, 5/01/2025		4,419,680

				5,086,786

		Cable Satellite — 0.8%
	35,000	Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(i)		27,492
	1,345,000	DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(j)		860,948
	1,170,000	DISH Network Corp., 2.375%, 3/15/2024		1,054,170
	7,980,000	DISH Network Corp., 3.375%, 8/15/2026		4,999,470

				6,942,080

		Consumer Cyclical Services — 0.3%
	235,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.987%, 2/15/2026(j)		166,354
	3,150,000	Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(j)		2,660,459

				2,826,813

		Gaming — 0.1%
	615,000	Penn Entertainment, Inc., 2.750%, 5/15/2026		906,510

		Healthcare — 0.5%
	5,175,000	Teladoc Health, Inc., 1.250%, 6/01/2027		3,975,408

		Leisure — 0.1%
	2,005,000	NCL Corp. Ltd., 1.125%, 2/15/2027		1,373,305

		Media Entertainment — 0.3%
	1,560,000	Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(j)		1,089,660
	1,420,000	Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(j)		1,143,100

				2,232,760

		Pharmaceuticals — 1.2%
	2,990,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		3,173,287
	4,745,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		5,098,791
	855,000	Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(i)		531,724
	1,285,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(i)		1,186,216
	505,000	Livongo Health, Inc., 0.875%, 6/01/2025		442,067

				10,432,085

		Technology — 0.4%
	85,000	Bentley Systems, Inc., 0.375%, 7/01/2027		69,190
	1,260,000	RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(j)		989,100
	1,325,000	Splunk, Inc., 1.125%, 6/15/2027		1,118,035

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	1,375,000	Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(j)	$	1,029,187

				3,205,512

		Total Convertible Bonds (Identified Cost $44,875,150)		36,981,259


		Total Bonds and Notes (Identified Cost $839,901,849)		700,459,563


	Senior Loans — 0.5%
		Cable Satellite — 0.2%
	1,930,000	Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.000%, 3.764%, 1/31/2029, (EUR)(b)(k)		1,899,409

		Media Entertainment — 0.3%
	2,216,436	Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 7.134%, 3/13/2028(b)(k)		2,111,399

		Total Senior Loans (Identified Cost $4,351,833)		4,010,808


	Collateralized Loan Obligations — 7.7%
	1,350,000	AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 6.229%, 1/15/2033, 144A(b)		1,272,756
	1,740,000	AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 7.379%, 1/15/2033, 144A(b)		1,626,479
	3,460,000	Aimco CLO 11 Ltd., Series 2020-11A, Class DR, 3-month LIBOR + 3.000%, 7.079%, 10/17/2034, 144A(b)		3,257,580
	1,325,000	AIMCO CLO Ltd., Series 2020-12A, Class AR, 3-month SOFR + 1.170%, 5.034%, 1/17/2032, 144A(b)		1,299,499
	480,000	Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 6.029%, 7/16/2031, 144A(b)		456,201
	3,175,000	Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 6.079%, 4/15/2033, 144A(b)		2,996,022
	500,000	Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 10.608%, 4/25/2034, 144A(b)		423,463
	1,105,000	Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 7.943%, 1/20/2034, 144A(b)		907,678
	400,000	Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 7.393%, 4/20/2031, 144A(b)		360,681
	850,000	Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 6.879%, 1/15/2033, 144A(b)		824,275
	1,830,000	Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 6.893%, 4/20/2034, 144A(b)		1,635,032
	445,000	Battalion CLO XVI Ltd., Series 2019 16A, Class DR, 3-month LIBOR + 3.250%, 7.493%, 12/19/2032, 144A(b)		402,151
	915,000	Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 6.029%, 4/15/2029, 144A(b)		866,737
	455,000	Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 6.393%, 10/20/2029, 144A(b)		433,634
	400,000	Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 6.043%, 1/20/2031, 144A(b)		373,517
	970,000	CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 7.493%, 7/20/2034, 144A(b)		901,117
	730,000	CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 6.144%, 10/18/2030, 144A(b)		685,554
	265,000	CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 6.225%, 4/24/2030, 144A(b)		252,569
	875,000	Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 9.929%, 10/15/2030, 144A(b)		706,884
	250,000	Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 5.944%, 4/18/2031, 144A(b)		235,623
	300,000	Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 5.929%, 4/15/2029, 144A(b)		286,940
	1,405,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 10.515%, 11/22/2031, 144A(b)		1,219,983
	2,435,000	Generate CLO Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 8.125%, 1/22/2033, 144A(b)		2,290,200
	650,000	Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 7.029%, 10/15/2030, 144A(b)		605,343
	320,000	Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 6.143%, 4/20/2030, 144A(b)		305,401
	1,640,000	Greystone Commercial Real Estate Notes CDO Ltd., Series 2021-HC2, Class A, 1-month SOFR + 1.914%, 6.250%, 12/15/2039, 144A(b)		1,593,993
	1,550,000	Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3-month LIBOR + 4.160%, 8.403%, 1/20/2034, 144A(b)		1,491,012
	310,000	LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 7.243%, 4/20/2031, 144A(b)		264,612
	475,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 6.475%, 1/23/2031, 144A(b)		449,536
	300,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 7.325%, 1/23/2031, 144A(b)		279,810
	3,300,000	Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 6.274%, 1/28/2030, 144A(b)		3,125,803
	2,100,000	Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 11.473%, 10/20/2032, 144A(b)		1,883,026
	495,000	Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 9.993%, 10/20/2030, 144A(b)		430,662
	920,000	Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 6.225%, 1/22/2030, 144A(b)		868,118
	445,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 10.638%, 4/21/2034, 144A(b)		391,558

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
$	1,900,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 10.493%, 7/02/2035, 144A(b)	$	1,719,302
	5,105,000	OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3-month LIBOR + 6.400%, 10.725%, 10/22/2036, 144A(b)		4,654,428
	1,745,000	OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 6.194%, 4/18/2033, 144A(b)		1,656,371
	2,245,000	OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 7.375%, 7/23/2031, 144A(b)		2,059,718
	1,570,000	OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 6.193%, 1/20/2033, 144A(b)		1,480,023
	2,050,000	OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 7.829%, 4/15/2034, 144A(b)		1,879,387
	300,000	Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 6.193%, 7/20/2030, 144A(b)		285,330
	2,610,000	Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 6.243%, 7/20/2029, 144A(b)		2,450,953
	1,045,000	Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 7.475%, 7/24/2031, 144A(b)		932,596
	1,190,000	Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 7.043%, 7/20/2034, 144A(b)		1,065,983
	340,000	Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 7.493%, 4/20/2034, 144A(b)		297,352
	920,000	Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 7.179%, 7/15/2031, 144A(b)		825,101
	2,565,000	Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 5.979%, 10/15/2029, 144A(b)		2,431,512
	2,000,000	Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3-month LIBOR + 1.100%, 5.775%, 5/20/2031, 144A(b)		1,966,440
	1,017,999	Shackleton CLO Ltd., Series 2017-10A, Class AR2, 3-month LIBOR + 0.890%, 5.133%, 4/20/2029, 144A(b)		1,002,618
	1,030,000	Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3-month LIBOR + 1.160%, 5.239%, 4/17/2034, 144A(b)		1,004,602
	920,000	TCW CLO Ltd., Series 2018-1A,Class D, 3-month LIBOR + 2.910%, 7.268%, 4/25/2031, 144A(b)		800,924
	1,030,000	TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 6.229%, 4/15/2033, 144A(b)		980,416
	610,000	TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 6.393%, 4/20/2033, 144A(b)		561,062
	895,000	TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 10.108%, 7/25/2031, 144A(b)		727,269
	895,000	VERDE CLO Ltd., Series 2019-1A, Class AR, 3-month LIBOR + 1.100%, 5.179%, 4/15/2032, 144A(b)		878,794

		Total Collateralized Loan Obligations (Identified Cost $67,719,850)		65,063,630


	Common Stocks — 1.5%
		Aerospace & Defense — 0.1%
	698	Lockheed Martin Corp.		339,570

		Air Freight & Logistics — 0.0%
	1,613	United Parcel Service, Inc., Class B		280,404

		Beverages — 0.0%
	4,726	Coca-Cola Co. (The)		300,621

		Biotechnology — 0.1%
	2,747	AbbVie, Inc.		443,943

		Capital Markets — 0.1%
	213	BlackRock, Inc.		150,938
	2,249	Morgan Stanley		191,210

				342,148

		Communications Equipment — 0.0%
	2,771	Cisco Systems, Inc.		132,010

		Construction Materials — 0.1%
	240,838	Cemex SAB de CV, Sponsored ADR(f)		975,394

		Containers & Packaging — 0.0%
	938	Packaging Corp. of America		119,980

		Electric Utilities — 0.1%
	1,830	Duke Energy Corp.		188,472
	3,245	NextEra Energy, Inc.		271,282

				459,754

		Electrical Equipment — 0.0%
	1,420	Emerson Electric Co.		136,405

		Food & Staples Retailing — 0.1%
	256	Costco Wholesale Corp.		116,864
	1,736	Walmart, Inc.		246,147

				363,011

		Health Care Equipment & Supplies — 0.0%
	2,124	Abbott Laboratories		233,194

		Health Care Providers & Services — 0.1%
	477	Elevance Health, Inc.		244,687
	452	UnitedHealth Group, Inc.		239,641

				484,328

		Hotels, Restaurants & Leisure — 0.0%
	3,110	Starbucks Corp.		308,512

		Household Products — 0.1%
	2,638	Procter & Gamble Co. (The)		399,815

		IT Services — 0.0%
	659	Accenture PLC, Class A		175,848

		Life Sciences Tools & Services — 0.0%
	331	Thermo Fisher Scientific, Inc.		182,278

		Machinery — 0.1%
	539	Cummins, Inc.		130,594
	611	Deere & Co.		261,973

				392,567

		Media — 0.2%
	365,397	Altice USA, Inc., Class A(f)		1,680,826
	8,061	Comcast Corp., Class A		281,893

				1,962,719

		Metals & Mining — 0.0%
	3,674	Newmont Corp.		173,413

		Oil, Gas & Consumable Fuels — 0.1%
	14,685	California Resources Corp.		638,944
	703	Devon Energy Corp.		43,242

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	1,038	Pioneer Natural Resources Co.	$	237,069
	5,755	Williams Cos., Inc. (The)		189,339

				1,108,594

		Pharmaceuticals — 0.1%
	2,375	Bristol-Myers Squibb Co.		170,881
	2,211	Johnson & Johnson		390,573
	2,177	Merck & Co., Inc.		241,538

				802,992

		REITs – Diversified — 0.0%
	1,032	American Tower Corp.		218,639

		Road & Rail — 0.0%
	923	Union Pacific Corp.		191,126

		Semiconductors & Semiconductor Equipment — 0.1%
	547	Broadcom, Inc.		305,844
	3,434	Microchip Technology, Inc.		241,239
	2,467	QUALCOMM, Inc.		271,222

				818,305

		Software — 0.0%
	1,224	Microsoft Corp.		293,540

		Specialty Retail — 0.0%
	642	Home Depot, Inc. (The)		202,782

		Technology Hardware, Storage & Peripherals — 0.0%
	1,954	Apple, Inc.		253,883

		Wireless Telecommunication Services — 0.1%
	4,744	T-Mobile US, Inc.(f)		664,160

		Total Common Stocks (Identified Cost $16,545,976)		12,759,935

	Preferred Stocks — 0.6%
	Convertible Preferred Stocks — 0.6%
		Midstream — 0.0%
	2,329	El Paso Energy Capital Trust I, 4.750%		104,896

		Technology — 0.1%
	23,100	Clarivate PLC, Series A, 5.250%		875,028

		Wireless — 0.5%
	3,501	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A		4,005,214

		Total Convertible Preferred Stocks (Identified Cost $6,477,979)		4,985,138

		Total Preferred Stocks (Identified Cost $6,477,979)		4,985,138


	Other Investments — 0.0%
		Aircraft ABS — 0.0%
	900	ECAF I Blocker Ltd.(e)(g) (Identified Cost $9,000,000)		61,425


Principal Amount (‡)
	Short-Term Investments — 3.7%
$	31,761,975	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $31,768,328 on 1/03/2023 collateralized by $16,086,900 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $32,397,250 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $31,761,975)		31,761,975

		Total Investments — 96.6% (Identified Cost $975,759,462)		819,102,474
		Other assets less liabilities — 3.4%		28,509,514

		Net Assets — 100.0%	$	847,611,988


Written Options – (0.0%)
Description	Expiration Date		Exercise Price		Shares (††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – (0.0%)
Abbott Laboratories, Call		2/17/2023		115.00		(1,600	)	$	(175,664	)	$	(2,028	)	$	(3,072	)
AbbVie, Inc., Call		2/17/2023		170.00		(2,100	)		(339,381	)		(5,496	)		(4,736	)
American Tower Corp., Call		2/17/2023		230.00		(700	)		(148,302	)		(2,637	)		(2,310	)
BlackRock, Inc., Call		2/17/2023		790.00		(100	)		(70,863	)		(722	)		(820	)
Bristol-Myers Squibb Co., Call		2/17/2023		77.50		(1,900	)		(136,705	)		(1,743	)		(845	)
Broadcom, Inc., Call		2/17/2023		610.00		(400	)		(223,652	)		(3,027	)		(3,340	)
Coca-Cola Co., Call		2/17/2023		65.00		(3,700	)		(235,357	)		(3,912	)		(4,718	)
Cummins, Inc., Call		2/17/2023		260.00		(400	)		(96,916	)		(1,395	)		(1,440	)
Deere & Co., Call		2/17/2023		470.00		(400	)		(171,504	)		(2,987	)		(2,200	)
Devon Energy Corp., Call		2/17/2023		75.00		(400	)		(24,604	)		(247	)		(246	)
Duke Energy Corp., Call		2/17/2023		105.00		(1,400	)		(144,186	)		(2,325	)		(3,185	)
Elevance Health, Inc., Call		2/17/2023		550.00		(300	)		(153,891	)		(1,880	)		(2,085	)
Emerson Electric Co., Call		2/17/2023		100.00		(700	)		(67,242	)		(1,363	)		(1,365	)
Home Depot, Inc., Call		2/17/2023		350.00		(300	)		(94,758	)		(1,205	)		(787	)
Johnson & Johnson, Call		2/17/2023		185.00		(1,700	)		(300,305	)		(2,477	)		(2,890	)
Lockheed Martin Corp., Call		2/17/2023		505.00		(500	)		(243,245	)		(4,784	)		(5,075	)
Merck & Co., Inc., Call		2/17/2023		115.00		(1,500	)		(166,425	)		(2,951	)		(3,225	)
Microchip Technology, Inc., Call		2/17/2023		80.00		(2,000	)		(140,500	)		(2,955	)		(2,150	)
Morgan Stanley, Call		2/17/2023		95.00		(1,500	)		(127,530	)		(1,496	)		(1,050	)
NextEra Energy, Inc., Call		2/17/2023		90.00		(2,500	)		(209,000	)		(3,693	)		(2,875	)
Pioneer Natural Resources Co., Call		2/17/2023		245.00		(700	)		(159,873	)		(3,197	)		(4,235	)

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)


Description	Expiration Date		Exercise Price		Shares (††)			Notional Amount			Premiums (Received)			Value (†)
Procter & Gamble Co., Call		2/17/2023		155.00		(1,300	)	$	(197,028	)	$	(3,441	)	$	(3,679	)
Starbucks Corp., Call		2/17/2023		110.00		(2,400	)		(238,080	)		(2,630	)		(2,544	)
United Parcel Service, Inc., Call		2/17/2023		200.00		(1,100	)		(191,224	)		(2,297	)		(1,177	)
UnitedHealth Group, Inc., Call		2/17/2023		560.00		(300	)		(159,054	)		(2,420	)		(2,288	)
Walmart, Inc., Call		2/17/2023		150.00		(1,200	)		(170,148	)		(2,193	)		(1,572	)
Williams Cos., Inc., Call		2/17/2023		35.00		(4,000	)		(131,600	)		(2,029	)		(2,200	)

Total											$	(67,530	)	$	(66,109	)


	(†)			See Note 2 of Notes to Financial Statements.
	(‡)			Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
	(††)			Options on securities are expressed as shares.
	(a)			Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed.
	(b)			Variable rate security. Rate as of December 31, 2022 is disclosed.
	(c)			Perpetual bond with no specified maturity date.
	(d)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(e)			Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows:


	Acquisition Date		Acquisition Cost		Value		% of Net Assets
CFLD Cayman Investment Ltd.		9/30/2021	$	288,375	$	76,139		Less than 0.1	%
CFLD Cayman Investment Ltd.		11/11/2021		66,000		22,000		Less than 0.1	%
CFLD Cayman Investment Ltd.		9/28/2021		230,050		68,788		Less than 0.1	%
CFLD Cayman Investment Ltd.		1/10/2020		349,325		99,737		Less than 0.1	%
CFLD Cayman Investment Ltd.		9/29/2021		311,750		93,334		Less than 0.1	%
CFLD Cayman Investment Ltd.		9/29/2022		116,100		149,229		Less than 0.1	%
ECAF I Blocker Ltd.		6/18/2015		9,000,000		61,425		Less than 0.1	%


	(f)			Non-income producing security.
	(g)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(h)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(i)			Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(j)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(k)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.00%, to which the spread is added.
	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $462,246,506 or 54.5% of net assets.
	ABS			Asset-Backed Securities
	ADR			An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	EURIBOR			Euro Interbank Offered Rate
	JIBAR			Johannesburg Interbank Agreed Rate
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	SAFEX			South African Futures Exchange
	SLM			Sallie Mae
	SOFR			Secured Overnight Financing Rate

	ARS			Argentine Peso
	COP			Colombian Peso
	EUR			Euro
	ZAR			South African Rand

At December 31, 2022, the Fund had the following open bilateral credit default swap agreements:

Buy Protection


Counterparty	Reference Obligation		(Pay)/ Receive Fixed Rate¹			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)		Market Value			Unrealized Appreciation (Depreciation)
Barclays Bank PLC		United Mexican States		(1.00	%)		6/20/2026		16,555,000	$	44,219	$	(26,118	)	$	(70,337	)

At December 31, 2022, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value	Currency		Expiration Date		Fund Pays¹			Fund Receives¹		Market Value		Unrealized Appreciation (Depreciation)²
330,000,000		ZAR		5/07/2030		7.58	%		3-month SAFEX-JIBAR	$	1,249,413	$	1,247,938

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Buy Protection


Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 39 500, 5-Year		(5.00	%)		12/20/2027		8,240,000		(136,809	)		(64,475	)		72,334
CDX.NA HY* Series 39 500, 5-Year		(5.00	%)		12/20/2027		39,770,000		1,604,223			(311,187	)		(1,915,410	)
CDX.NA HY* Series 39 500, 5-Year		(5.00	%)		12/20/2027		18,730,000		(285,397	)		(146,556	)		138,841
CDX.NA HY* Series 39 500, 5-Year		(5.00	%)		12/20/2027		23,520,000		245,883			(184,036	)		(429,919	)

Total											$	(706,254	)	$	(2,134,154	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

¹	Payments are made quarterly.

²	Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

At December 31, 2022, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America N.A.		1/30/2023		EUR		S	1,665,000	$	1,658,937	$	1,785,378	$	(126,441	)
Barclays Bank PLC		1/30/2023		EUR		S	1,955,000		1,943,233		2,096,345		(153,112	)
Morgan Stanley Capital Services, Inc.		1/11/2023		COP		S	5,186,874,000		1,136,426		1,068,541		67,885
Morgan Stanley Capital Services, Inc.		3/28/2023		ZAR		S	319,874,000		18,519,694		18,693,634		(173,940	)

Total												$	(385,608	)

At December 31, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		3/22/2023		23	$	3,116,770	$	3,089,187	$	(27,583	)

At December 31, 2022, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra 10 Year U.S. Treasury Note		3/22/2023		461	$	54,896,091	$	54,527,656	$	368,435

Industry Summary at December 31, 2022


ABS Home Equity	7.3	%
Treasuries	6.5
Banking	6.0
ABS Car Loan	5.7
Non-Agency Commercial Mortgage-Backed Securities	5.6
Cable Satellite	5.4
Finance Companies	5.2
ABS Other	3.8
Pharmaceuticals	3.6
Independent Energy	3.2
Technology	2.8
Media Entertainment	2.8
Consumer Cyclical Services	2.3
Wireless	2.0
Other Investments, less than 2% each	23.0
Collateralized Loan Obligations	7.7
Short-Term Investments	3.7

Total Investments	96.6
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	3.4

Net Assets	100.0	%

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 89.6% of Net Assets
	Non-Convertible Bonds — 80.1%
		ABS Car Loan — 1.0%
$	635,000	American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A	$	643,034
	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A		6,837,145
	5,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A		4,233,214
	940,000	First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028, 144A		971,990
	7,303,000	Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A		6,424,120
	5,578,000	Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A		5,318,333
	4,105,000	Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A		3,783,821
	2,810,000	Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028, 144A		2,799,070

				31,010,727

		ABS Credit Card — 0.0%
	975,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		964,422

		ABS Home Equity — 4.2%
	7,218,923	510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a)		6,585,600
	8,555,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a)		7,779,448
	5,350,000	CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A		4,109,764
	1,510,000	CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A		1,141,762
	10,932,797	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)		9,730,145
	2,510,000	Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A		1,899,372
	7,660,000	FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A		6,981,251
	1,965,000	FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A		1,650,839
	2,419,000	FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A		1,985,000
	6,840,251	Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A		5,260,768
	8,400,062	Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A		6,855,449
	4,200,031	Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A		3,427,030
	4,025,000	Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a)		3,402,147
	11,507,000	Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A		9,777,950
	3,623,000	Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A		2,986,420
	5,465,000	Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A		4,533,944
	15,160,000	Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A		12,100,286
	7,586,994	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)		6,763,889
		ABS Home Equity — continued
	2,513,000	PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a)		2,072,650
	6,981,281	PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a)		6,315,616
	5,213,840	PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a)		4,693,558
	6,416,453	PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a)		6,367,872
	8,130,000	Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a)		7,688,489
	1,120,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a)		906,699
	795,000	Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a)		645,079
	7,865,000	VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a)		6,076,585
	3,970,000	VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051, 144A(a)		3,135,595

				134,873,207

		ABS Other — 1.5%
	4,639,217	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		3,705,486
	3,103,649	Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A		2,260,896
	506,400	Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A		448,977
	68,231	HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A		62,541
	2,671,877	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A		2,130,830
	12,267,730	MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A		9,940,873
	13,636,273	Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a)		11,147,994
	758,346	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		587,726
	1,930,000	SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A		1,882,195
	591,860	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		452,778
	10,058,820	SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A		8,322,064
	8,809,594	Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A		6,447,645

				47,390,005

		ABS Whole Business — 0.1%
	2,290,125	Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A		1,825,603
	761,450	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		632,527
	133,988	Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A		117,485

				2,575,615

		Aerospace & Defense — 0.5%
	1,995,000	Boeing Co. (The), 3.625%, 3/01/2048		1,305,259
	2,385,000	Boeing Co. (The), 3.750%, 2/01/2050		1,643,981
	4,190,000	Boeing Co. (The), 3.825%, 3/01/2059		2,678,665
	415,000	Boeing Co. (The), 3.850%, 11/01/2048		284,855
	6,000,000	Boeing Co. (The), 3.900%, 5/01/2049		4,212,990

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
		Aerospace & Defense — continued
$	3,230,000	Boeing Co. (The), 5.150%, 5/01/2030	$	3,151,315
	3,145,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		3,011,337

				16,288,402

		Airlines — 1.9%
	13,096,644	Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A		12,285,699
	1,144,069	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,016,299
	636,586	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		572,009
	24,279,065	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		24,138,291
	19,826,766	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029		19,529,959
	2,419,350	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		2,277,528

				59,819,785

		Automotive — 0.5%
	1,625,000	Ford Motor Co., 3.250%, 2/12/2032		1,218,655
	8,880,000	Ford Motor Co., 4.750%, 1/15/2043		6,374,001
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,225,478
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,400,078
	2,845,000	General Motors Co., 5.200%, 4/01/2045		2,312,332
	2,120,000	General Motors Co., 6.250%, 10/02/2043		1,960,000
	540,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(b)		454,624
	865,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b)		732,114

				15,677,282

		Banking — 3.3%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		6,194,078
	8,200,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b)		5,483,750
	7,500,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b)		4,696,875
	11,885,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(b)		9,062,313
	9,000,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		6,848,502
	545,000	Credit Suisse Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A		436,844
	3,695,000	Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		3,783,189
	325,000	Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A		224,558
	5,345,000	Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		4,565,120
	7,760,000	Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		7,285,469
	7,690,000	Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A		7,004,513
		Banking — continued
	3,730,000	Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A		3,276,730
	2,945,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		2,091,467
	16,322,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		11,967,515
	1,709,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		1,428,414
	14,965,000	NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035		11,040,129
	1,830,000	NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028		1,807,457
	2,890,000	Synchrony Bank, 5.400%, 8/22/2025		2,850,985
	5,875,000	Synchrony Bank, 5.625%, 8/23/2027		5,736,644
	14,800,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		12,024,232

				107,808,784

		Brokerage — 0.1%
	3,893,000	Jefferies Financial Group, Inc., 6.250%, 1/15/2036		3,926,135

		Building Materials — 1.8%
	39,615,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		33,436,443
	2,395,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		2,234,264
	6,090,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(b)		5,627,221
	1,265,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		952,128
	1,859,000	Masco Corp., 6.500%, 8/15/2032		1,903,000
	1,226,000	Masco Corp., 7.750%, 8/01/2029		1,340,044
	10,800,000	Owens Corning, 7.000%, 12/01/2036		11,429,478

				56,922,578

		Cable Satellite — 5.4%
	34,275,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		25,296,492
	16,130,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		13,076,591
	7,180,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		5,288,418
	17,890,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		13,927,504
	16,530,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051		10,051,360
	920,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061		532,092
	31,240,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062		18,428,478
	4,025,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		3,444,028
	47,615,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		26,313,671
	6,030,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		3,368,961
	16,340,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		13,174,125
	1,360,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		767,026
	3,705,000	DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		3,314,715
	6,470,000	DISH DBS Corp., 5.125%, 6/01/2029		4,173,862
	22,190,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		18,691,414

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
		Cable Satellite — continued
$	15,865,000	DISH DBS Corp., 7.750%, 7/01/2026	$	12,793,377

				172,642,114

		Chemicals — 0.7%
	13,380,000	Ashland LLC, 3.375%, 9/01/2031, 144A		10,694,243
	1,320,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,122,605
	6,735,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		5,217,378
	2,825,000	Celanese U.S. Holdings LLC, 6.330%, 7/15/2029		2,744,887
	2,080,000	Celanese U.S. Holdings LLC, 6.379%, 7/15/2032		1,977,972
	905,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		831,469

				22,588,554

		Construction Machinery — 0.0%
	1,530,000	Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A		1,463,398

		Consumer Cyclical Services — 2.6%
	1,760,000	Expedia Group, Inc., 2.950%, 3/15/2031		1,415,271
	1,465,000	Expedia Group, Inc., 3.250%, 2/15/2030		1,242,752
	10,550,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		8,832,375
	9,620,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		7,909,564
	8,665,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		7,549,425
	18,350,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		17,615,998
	38,025,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		38,051,617
	1,125,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		1,128,872

				83,745,874

		Consumer Products — 0.5%
	11,880,000	Avon Products, Inc., 8.450%, 3/15/2043		11,373,912
	6,110,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		4,985,821

				16,359,733

		Electric — 0.8%
	18,971,081	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		18,748,963
	3,570,000	Enel Generacion Chile S.A., 7.875%, 2/01/2027		3,766,350
	2,475,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		2,440,619

				24,955,932

		Finance Companies — 5.2%
	10,600,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b)		8,858,631
	3,585,000	Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(b)		2,760,450
	11,555,000	Ares Capital Corp., 3.200%, 11/15/2031		8,479,637
	2,145,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		1,867,390
	5,955,000	Barings BDC, Inc., 3.300%, 11/23/2026		5,047,329
	7,650,000	FS KKR Capital Corp., 3.125%, 10/12/2028		6,167,198
	5,351,000	FS KKR Capital Corp., 3.400%, 1/15/2026		4,745,016
	14,755,000	Hercules Capital, Inc., 3.375%, 1/20/2027		12,650,048
	135,000	Navient Corp., 5.000%, 3/15/2027		118,181
	3,030,000	Navient Corp., 5.875%, 10/25/2024		2,931,677
	950,000	Navient Corp., 6.750%, 6/15/2026		900,397
	4,774,000	Navient Corp., MTN, 6.125%, 3/25/2024		4,676,702
	2,905,000	Navient Corp., Series A, 5.625%, 8/01/2033		2,069,480
	1,796,000	OneMain Finance Corp., 3.500%, 1/15/2027		1,487,034
	8,855,000	OneMain Finance Corp., 4.000%, 9/15/2030		6,607,066
	4,075,000	OneMain Finance Corp., 7.125%, 3/15/2026		3,874,836
		Finance Companies — continued
	7,175,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		5,633,626
	14,750,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		13,540,772
	7,155,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		6,478,708
	25,975,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		22,264,793
	13,540,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		10,729,611
	37,540,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		28,653,360
	9,630,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		7,192,262

				167,734,204

		Financial Other — 2.0%
	1,650,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025		875,110
	1,120,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		508,077
	1,225,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		649,813
	6,150,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		2,845,482
	2,060,000	Central China Real Estate Ltd., 7.250%, 4/24/2023		887,910
	4,720,000	Central China Real Estate Ltd., 7.250%, 7/16/2024		1,338,734
	1,260,000	Central China Real Estate Ltd., 7.250%, 8/13/2024		352,561
	3,260,000	Central China Real Estate Ltd., 7.500%, 7/14/2025		896,025
	4,415,000	Central China Real Estate Ltd., 7.650%, 8/27/2023		1,578,892
	1,305,000	Central China Real Estate Ltd., 7.750%, 5/24/2024		403,101
	2,370,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(c)(d)		269,327
	800,000	CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(c)(d)		88,000
	2,835,000	CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(c)(d)		330,533
	2,520,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(c)(d)		288,893
	2,955,000	CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(c)(d)		351,338
	4,045,000	CFLD Cayman Investment Ltd., 9.000%, 7/31/2023(c)(d)		447,134
	1,035,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026(c)		84,632
	2,400,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024(c)		196,272
	1,240,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023(c)		104,445
	1,800,000	China Evergrande Group, 8.250%, 3/23/2022(c)		127,494
	4,045,000	China Evergrande Group, 8.750%, 6/28/2025(c)		292,089
	1,405,000	China Evergrande Group, 9.500%, 4/11/2022(c)		100,415
	335,000	China Evergrande Group, 9.500%, 3/29/2024(c)		23,705
	4,060,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026		1,047,196
	24,490,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		20,709,968
	3,580,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		3,277,848
	6,925,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(c)		942,562
	1,415,000	Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(c)		191,577
	1,600,000	Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(c)		216,752
	8,085,000	Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(c)		1,094,547
	7,075,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(c)		956,611

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
		Financial Other — continued
$	4,795,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(c)	$	650,346
	1,380,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026		525,435
	3,760,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026		1,467,378
	3,345,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(e)		746,671
	1,320,000	Logan Group Co. Ltd., 4.850%, 12/14/2026(e)		297,238
	11,820,000	Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A		9,638,162
	2,880,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c)		515,520
	400,000	Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c)		73,624
	1,830,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c)		329,400
	280,000	Shimao Group Holdings Ltd., 5.600%, 7/15/2026(c)		51,867
	1,970,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c)		367,760
	425,000	Sunac China Holdings Ltd., 5.950%, 4/26/2024(c)		91,303
	3,610,000	Sunac China Holdings Ltd., 6.500%, 1/10/2025(c)		771,818
	8,570,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(c)		1,825,496
	290,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(c)		62,156
	4,000,000	Sunac China Holdings Ltd., 7.000%, 7/09/2025(c)		855,120
	720,000	Times China Holdings Ltd., 5.750%, 1/14/2027		117,007
	4,030,000	Times China Holdings Ltd., 6.200%, 3/22/2026		653,303
	23,285,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c)		2,150,603
	1,245,000	Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(c)		115,237
	9,395,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(c)		870,353
	5,345,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(c)		494,573
	3,155,000	Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(c)		292,279
	4,535,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c)		227,067
	365,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c)		17,987
	715,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025(c)		34,677

				64,719,423

		Food & Beverage — 1.3%
	6,525,000	Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A		6,082,735
	635,000	Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A		620,713
	24,285,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		18,640,775
	11,860,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		9,270,488
	10,455,000	Post Holdings, Inc., 4.500%, 9/15/2031, 144A		8,789,106

				43,403,817

		Gaming — 1.4%
	12,960,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		9,649,330
	3,845,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		3,073,634
	12,590,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		12,009,727
	740,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		710,400
		Gaming — continued
	6,885,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		6,423,180
	5,680,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		5,345,320
	4,920,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		4,717,050
	4,050,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		4,010,553

				45,939,194

		Government Owned – No Guarantee — 1.4%
	495,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		396,532
	585,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		472,912
	20,000,000	Antares Holdings LP, 8.500%, 5/18/2025, 144A		20,417,809
	4,085,000	EcoPetrol S.A., 4.625%, 11/02/2031		3,120,286
	6,535,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		6,512,368
	6,586,000	Petroleos Mexicanos, 6.625%, 6/15/2035		4,777,532
	12,239,000	Petroleos Mexicanos, 6.950%, 1/28/2060		7,735,337

				43,432,776

		Health Insurance — 0.9%
	21,450,000	Centene Corp., 2.500%, 3/01/2031		16,784,048
	6,390,000	Centene Corp., 2.625%, 8/01/2031		5,021,262
	4,510,000	Centene Corp., 3.000%, 10/15/2030		3,697,069
	4,280,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		3,554,281

				29,056,660

		Healthcare — 0.3%
	1,980,000	Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A		1,751,112
	2,110,000	Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A		1,825,150
	6,380,000	HCA, Inc., 4.125%, 6/15/2029		5,824,245

				9,400,507

		Home Construction — 0.7%
	23,546,000	PulteGroup, Inc., 6.000%, 2/15/2035		22,513,781

		Independent Energy — 5.0%
	12,155,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		10,652,605
	10,240,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		7,584,647
	37,116,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		34,549,812
	6,210,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		5,557,950
	8,120,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		7,074,550
	1,765,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,622,097
	7,740,000	EQT Corp., 3.625%, 5/15/2031, 144A		6,559,156
	7,670,000	EQT Corp., 3.900%, 10/01/2027		7,080,677
	1,535,000	EQT Corp., 5.000%, 1/15/2029		1,440,994
	2,120,000	EQT Corp., 5.678%, 10/01/2025		2,109,696
	1,460,000	EQT Corp., 5.700%, 4/01/2028		1,452,155
	1,555,000	EQT Corp., 6.125%, 2/01/2025		1,558,654
	550,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		538,043
	10,835,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		10,510,058
	370,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		373,400
	32,720,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		33,812,194
	590,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		651,360
	590,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		666,113
	10,085,000	Ovintiv, Inc., 6.500%, 8/15/2034		10,148,004
	540,000	Ovintiv, Inc., 6.500%, 2/01/2038		535,002
	2,715,000	Ovintiv, Inc., 6.625%, 8/15/2037		2,730,601

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
		Independent Energy — continued
$	360,000	Ovintiv, Inc., 7.200%, 11/01/2031	$	377,858
	1,200,000	Ovintiv, Inc., 7.375%, 11/01/2031		1,277,264
	1,495,000	Ovintiv, Inc., 8.125%, 9/15/2030		1,640,549
	17,908,000	Sanchez Energy Corp., 6.125%, 1/15/2023(c)		246,235
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021(c)		130,900
	1,295,000	Southwestern Energy Co., 4.750%, 2/01/2032		1,106,694
	151,000	Southwestern Energy Co., 5.700%, 1/23/2025		148,357
	3,035,000	Var Energi ASA, 7.500%, 1/15/2028, 144A		3,091,456
	6,875,000	Var Energi ASA, 8.000%, 11/15/2032, 144A		7,099,935

				162,327,016

		Industrial Other — 0.1%
	3,985,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		3,238,251

		Leisure — 1.0%
	8,710,000	Carnival Corp., 5.750%, 3/01/2027, 144A		6,219,288
	6,065,000	Carnival Corp., 6.000%, 5/01/2029, 144A		4,041,607
	6,575,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		5,164,465
	5,085,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		4,401,373
	2,415,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		1,782,805
	230,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		185,920
	12,300,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		9,815,953

				31,611,411

		Life Insurance — 1.2%
	3,965,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		3,658,154
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		26,103,400
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		9,795,230

				39,556,784

		Lodging — 1.0%
	7,620,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		6,102,096
	1,745,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		1,424,187
	5,385,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		4,631,100
	4,155,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		3,447,097
	13,015,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		10,605,014
	7,670,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		6,360,504
	680,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		665,218

				33,235,216

		Media Entertainment — 1.8%
	3,925,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		3,196,284
	1,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		1,630,635
	4,380,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		3,724,872
	1,325,000	Netflix, Inc., 4.875%, 4/15/2028		1,279,402
	14,565,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		13,583,305
	1,805,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		1,750,850
	8,735,000	Netflix, Inc., 5.875%, 11/15/2028		8,853,185
	11,900,000	Netflix, Inc., 6.375%, 5/15/2029		12,248,520
	3,070,000	Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A		2,660,800
	10,960,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A		9,036,739

				57,964,592

		Metals & Mining — 2.7%
	14,335,000	ArcelorMittal S.A., 6.750%, 3/01/2041		13,823,236
	2,630,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		2,490,667
	35,930,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		33,710,361
	1,810,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,761,746
	9,590,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		7,975,845
	22,815,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		21,546,079
	6,230,000	JSW Steel Ltd., 5.050%, 4/05/2032, 144A		4,915,653
	1,900,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,636,937

				87,860,524

		Midstream — 1.2%
	11,365,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		9,400,333
	1,430,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		1,378,139
	8,515,000	Energy Transfer LP, 5.750%, 2/15/2033		8,330,735
	2,530,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		2,162,950
	2,760,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		2,688,475
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		525,461
	320,000	Targa Resources Corp., 5.200%, 7/01/2027		313,642
	3,515,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032		2,954,920
	880,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		794,596
	885,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		832,714
	1,750,000	Western Midstream Operating LP, 4.300%, 2/01/2030		1,527,610
	4,055,000	Western Midstream Operating LP, 5.300%, 3/01/2048		3,334,130
	745,000	Western Midstream Operating LP, 5.450%, 4/01/2044		618,886
	560,000	Western Midstream Operating LP, 5.500%, 8/15/2048		464,785
	2,310,000	Western Midstream Operating LP, 5.500%, 2/01/2050		1,902,978

				37,230,354

		Non-Agency Commercial Mortgage-Backed Securities — 1.9%
	335,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A		290,141
	7,375,000	BPR Trust, Series 2021-NRD, Class F, 1-month SOFR + 6.870%, 11.196%, 12/15/2038, 144A(f)		6,486,339
	9,897,160	Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.909%, 9/10/2045, 144A(a)		9,327,178
	119,110	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		102,123
	516,522	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)		515,559
	2,925,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		2,482,857
	1,690,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		1,242,976
	7,680,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.550%, 3/05/2033, 144A(a)		6,326,865
	2,535,000	GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.650%, 4/10/2031, 144A(a)		2,451,997

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	5,785,000	GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.686%, 6/10/2047, 144A(a)	$	5,114,490
	290,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.064%, 12/15/2047, 144A(a)		268,884
	3,110,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a)		2,888,522
	4,010,000	MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 6.118%, 11/15/2038, 144A(f)		3,809,713
	1,135,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.398%, 8/15/2046(a)		837,650
	2,630,755	Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.164%, 3/15/2045, 144A(a)		2,429,462
	5,285,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.296%, 7/15/2046(a)		5,010,994
	4,340,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050		3,736,689
	1,315,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045		1,219,836
	4,000,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.529%, 8/15/2046(a)		3,411,930
	2,612,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.529%, 8/15/2046(a)		2,126,781
	940,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		808,880

				60,889,866

		Paper — 0.1%
	2,055,000	WestRock MWV LLC, 7.950%, 2/15/2031		2,309,024

		Pharmaceuticals — 1.8%
	16,925,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		10,765,008
	9,205,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		4,418,348
	765,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		369,761
	1,309,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		1,130,282
	7,750,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		6,812,767
	3,295,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		2,881,478
	21,480,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		13,133,415
	12,705,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		11,484,046
	8,725,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		7,770,024

				58,765,129

		Property & Casualty Insurance — 0.3%
	12,510,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 15.339%, 1/15/2033, 144A(e)(f)(g)		1,251,000
	10,900,000	Stewart Information Services Corp., 3.600%, 11/15/2031		8,352,967

				9,603,967

		REITs – Diversified — 0.1%
	2,735,000	EPR Properties, 3.600%, 11/15/2031		1,981,511

		Restaurants — 0.5%
	19,175,000	Yum! Brands, Inc., 4.625%, 1/31/2032		16,949,296

		Retailers — 0.4%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,291,085
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,547,955
	3,975,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		3,276,155
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		5,624,433

				13,739,628

		Supermarkets — 0.1%
	2,290,000	Safeway, Inc., 7.250%, 2/01/2031		2,272,459

		Technology — 4.5%
	10,205,000	Avnet, Inc., 5.500%, 6/01/2032		9,423,294
	5,770,000	Block, Inc., 3.500%, 6/01/2031		4,604,027
	3,800,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		2,794,012
	8,435,000	Broadcom, Inc., 4.150%, 11/15/2030		7,559,044
	1,480,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		1,313,971
	1,735,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		1,477,682
	18,245,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		15,034,541
	400,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		368,132
	15,295,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		10,388,388
	14,915,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		12,024,473
	13,035,000	Entegris Escrow Corp., 4.750%, 4/15/2029, 144A		11,887,103
	1,215,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		1,043,644
	1,475,000	Global Payments, Inc., 2.900%, 11/15/2031		1,163,138
	2,290,000	Global Payments, Inc., 5.300%, 8/15/2029		2,213,904
	4,965,000	Global Payments, Inc., 5.400%, 8/15/2032		4,728,420
	13,195,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		11,508,679
	12,925,000	Micron Technology, Inc., 6.750%, 11/01/2029		13,128,916
	5,050,000	MSCI, Inc., 3.250%, 8/15/2033, 144A		3,899,906
	1,360,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027		1,303,415
	2,735,000	Open Text Corp., 6.900%, 12/01/2027, 144A		2,735,000
	12,565,000	Oracle Corp., 3.950%, 3/25/2051		8,951,799
	3,860,000	Oracle Corp., 6.150%, 11/09/2029		4,006,548
	5,200,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		4,485,000
	3,725,000	Western Digital Corp., 2.850%, 2/01/2029		2,881,921
	7,515,000	Western Digital Corp., 4.750%, 2/15/2026		7,077,026

				146,001,983

		Transportation Services — 0.5%
	4,150,000	Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A		3,044,108
	14,685,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		12,890,095
	1,240,000	GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A		1,074,881
	255,000	GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		237,186

				17,246,270

		Treasuries — 14.5%
	55,170,000	U.S. Treasury Bond, 2.250%, 2/15/2052		38,364,701
	23,325,000	U.S. Treasury Bond, 3.250%, 5/15/2042		20,449,465
	127,470,000	U.S. Treasury Note, 0.125%, 2/28/2023		126,619,683
	25,065,000	U.S. Treasury Note, 0.125%, 4/30/2023		24,720,356
	12,675,000	U.S. Treasury Note, 0.250%, 9/30/2023		12,253,655
	137,335,000	U.S. Treasury Note, 0.500%, 11/30/2023		132,131,292
	71,835,000	U.S. Treasury Note, 0.875%, 1/31/2024(h)		68,925,121

See accompanying notes to financial statements.

61 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — continued
$	45,765,000	U.S. Treasury Note, 1.500%, 2/29/2024	$	44,113,170

				467,577,443

		Wireless — 3.0%
	10,875,000	CT Trust, 5.125%, 2/03/2032, 144A		9,568,260
	1,200,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		1,104,000
	20,720,000	HTA Group Ltd., 7.000%, 12/18/2025		19,062,400
	6,140,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		5,068,570
	6,140,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		4,952,278
	7,228,000	IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A		6,355,291
	2,015,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		1,910,986
	17,545,000	SBA Communications Corp., 3.125%, 2/01/2029		14,588,492
	8,849,000	SoftBank Group Corp., 4.625%, 7/06/2028		7,265,383
	4,091,000	SoftBank Group Corp., 5.250%, 7/06/2031		3,272,800
	27,610,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		24,318,046

				97,466,506

		Wirelines — 0.3%
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		305,344
	490,000	Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A		352,531
	3,409,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,576,181
	7,960,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		6,511,996

				9,746,052

		Total Non-Convertible Bonds (Identified Cost $3,087,644,547)		2,582,786,191


	Convertible Bonds — 7.7%
		Airlines — 0.6%
	16,795,000	Southwest Airlines Co., 1.250%, 5/01/2025		20,170,795

		Cable Satellite — 2.8%
	125,000	Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(i)		98,188
	143,750,000	DISH Network Corp., 3.375%, 8/15/2026		90,059,375

				90,157,563

		Consumer Cyclical Services — 0.4%
	455,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.571%, 2/15/2026(j)		322,090
	13,205,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(j)		11,152,811
	1,200,000	Zillow Group, Inc., 1.375%, 9/01/2026		1,209,000

				12,683,901

		Consumer Products — 0.0%
	895,000	Beauty Health Co. (The), 1.250%, 10/01/2026, 144A		676,620

		Gaming — 0.1%
	2,195,000	Penn Entertainment, Inc., 2.750%, 5/15/2026		3,235,430

		Healthcare — 0.9%
	4,105,000	Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A		4,133,324
	32,010,000	Teladoc Health, Inc., 1.250%, 6/01/2027		24,589,916

				28,723,240

		Leisure — 0.2%
	9,760,000	NCL Corp. Ltd., 1.125%, 2/15/2027		6,685,014

		Media Entertainment — 0.4%
	5,925,000	Bilibili, Inc., 0.500%, 12/01/2026		4,354,875
	5,645,000	Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(j)		3,943,033
		Media Entertainment — continued
	5,100,000	Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(j)		4,105,500

				12,403,408

		Pharmaceuticals — 1.5%
	7,490,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		7,949,137
	27,195,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		29,222,682
	5,015,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(i)		4,629,472
	9,665,000	Livongo Health, Inc., 0.875%, 6/01/2025		8,460,547

				50,261,838

		Technology — 0.8%
	315,000	Bentley Systems, Inc., 0.375%, 7/01/2027		256,410
	5,380,000	Nutanix, Inc., 0.250%, 10/01/2027		4,500,370
	4,545,000	RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(j)		3,567,825
	11,790,000	Splunk, Inc., 1.125%, 6/15/2027		9,948,402
	5,165,000	Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(j)		3,866,002
	1,215,000	Wolfspeed, Inc., 0.250%, 2/15/2028, 144A		1,050,368
	1,520,000	Wolfspeed, Inc., 1.875%, 12/01/2029, 144A		1,368,760

				24,558,137

		Total Convertible Bonds (Identified Cost $335,054,959)		249,555,946


	Municipals — 1.8%
		Virginia — 1.8%
	64,380,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $64,374,520)		57,996,137

		Total Bonds and Notes (Identified Cost $3,487,074,026)		2,890,338,274


	Senior Loans — 0.4%
		Independent Energy — 0.4%
	12,660,000	Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 12.941%, 11/01/2025(f)(k)		13,343,640

		Total Senior Loans (Identified Cost $12,660,906)		13,343,640


	Collateralized Loan Obligations — 4.0%
	6,730,000	522 Funding CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 7.343%, 10/20/2031, 144A(f)		6,270,233
	4,475,000	AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 5.843%, 7/20/2034, 144A(f)		4,267,861
	4,955,000	AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 7.093%, 7/20/2034, 144A(f)		4,476,030
	1,245,000	AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 7.179%, 7/15/2034, 144A(f)		1,150,945
	4,390,000	AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 7.275%, 4/22/2034, 144A(f)		4,053,186
	3,780,000	AIG CLO LLC, Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 7.293%, 7/20/2034, 144A(f)		3,490,165

See accompanying notes to financial statements.

| 62

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount		Description	Value (†)
$	2,675,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 7.079%, 10/15/2034, 144A(f)	$	2,473,503
	3,025,000	Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 7.458%, 7/25/2034, 144A(f)		2,785,889
	890,000	Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 6.075%, 11/20/2030, 144A(f)		856,389
	1,505,000	Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 7.079%, 1/17/2032, 144A(f)		1,382,559
	3,530,000	CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 7.193%, 7/20/2032, 144A(f)		3,221,058
	3,095,000	CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 7.329%, 7/15/2034, 144A(f)		2,922,785
	4,775,000	Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 7.663%, 7/20/2034, 144A(f)		4,186,634
	5,230,000	Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 7.343%, 10/20/2034, 144A(f)		4,951,319
	2,890,000	Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 7.093%, 1/20/2034, 144A(f)		2,708,667
	980,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 6.243%, 4/20/2031, 144A(f)		892,999
	2,965,000	LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 7.243%, 4/20/2031, 144A(f)		2,530,888
	10,665,000	Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 7.558%, 7/27/2031, 144A(f)		9,934,949
	990,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 7.325%, 1/23/2031, 144A(f)		923,372
	6,010,000	Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 5.729%, 7/15/2034, 144A(f)		5,785,172
	8,055,000	OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 7.343%, 7/20/2032, 144A(f)		7,250,128
	7,155,000	Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 7.229%, 7/15/2034, 144A(f)		6,772,530
	3,125,000	Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 7.379%, 7/15/2036, 144A(f)		2,810,656
	8,250,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 5.893%, 7/02/2035, 144A(f)		7,962,050
	6,450,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 7.143%, 7/02/2035, 144A(f)		6,027,067
	9,695,000	Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 5.727%, 10/17/2031, 144A(f)		9,364,178
	970,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 6.375%, 5/21/2034, 144A(f)		927,721
	7,615,000	Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 7.525%, 5/21/2034, 144A(f)		7,092,588
	12,510,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 10.129%, 10/15/2034, 144A(f)		11,265,605
	400,000	THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 7.193%, 1/20/2031, 144A(f)		342,949
	1,540,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 7.993%, 10/20/2034, 144A(f)		1,376,572

		Total Collateralized Loan Obligations (Identified Cost $140,547,562)		130,456,647


Shares
	Common Stocks — 2.1%
		Aerospace & Defense — 0.1%
	4,489	Lockheed Martin Corp.		2,183,854

		Air Freight & Logistics — 0.1%
	10,375	United Parcel Service, Inc., Class B		1,803,590

		Beverages — 0.1%
	30,389	Coca-Cola Co. (The)		1,933,044

		Biotechnology — 0.1%
	17,653	AbbVie, Inc.		2,852,901

		Capital Markets — 0.1%
	1,367	BlackRock, Inc.		968,697
	14,458	Morgan Stanley		1,229,219

				2,197,916

		Communications Equipment — 0.0%
	17,796	Cisco Systems, Inc.		847,801

		Containers & Packaging — 0.0%
	6,025	Packaging Corp. of America		770,658

		Electric Utilities — 0.1%
	11,765	Duke Energy Corp.		1,211,677
	20,873	NextEra Energy, Inc.		1,744,983

				2,956,660

		Electrical Equipment — 0.0%
	9,130	Emerson Electric Co.		877,028

		Food & Staples Retailing — 0.1%
	1,651	Costco Wholesale Corp.		753,682
	11,162	Walmart, Inc.		1,582,660

				2,336,342

		Health Care Equipment & Supplies — 0.0%
	13,649	Abbott Laboratories		1,498,524

		Health Care Providers & Services — 0.1%
	3,068	Elevance Health, Inc.		1,573,792
	2,911	UnitedHealth Group, Inc.		1,543,354

				3,117,146

		Hotels, Restaurants & Leisure — 0.1%
	19,980	Starbucks Corp.		1,982,016

		Household Products — 0.1%
	16,952	Procter & Gamble Co. (The)		2,569,245

		IT Services — 0.0%
	4,234	Accenture PLC, Class A		1,129,801

		Life Sciences Tools & Services — 0.0%
	2,129	Thermo Fisher Scientific, Inc.		1,172,419

		Machinery — 0.1%
	3,472	Cummins, Inc.		841,231
	3,928	Deere & Co.		1,684,169

				2,525,400

See accompanying notes to financial statements.

63 |

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


Shares		Description	Value (†)
		Media — 0.3%
	1,317,588	Altice USA, Inc., Class A(e)	$	6,060,905
	51,804	Comcast Corp., Class A		1,811,586
	461,939	iHeartMedia, Inc., Class A(e)		2,831,686

				10,704,177

		Metals & Mining — 0.0%
	23,547	Newmont Corp.		1,111,418

		Oil, Gas & Consumable Fuels — 0.1%
	9,229	Battalion Oil Corp.(e)		89,614
	4,515	Devon Energy Corp.		277,718
	6,673	Pioneer Natural Resources Co.		1,524,046
	36,947	Williams Cos., Inc. (The)		1,215,556

				3,106,934

		Pharmaceuticals — 0.1%
	15,260	Bristol-Myers Squibb Co.		1,097,957
	14,218	Johnson & Johnson		2,511,610
	13,996	Merck & Co., Inc.		1,552,856

				5,162,423

		Professional Services — 0.0%
	5,336	Clarivate PLC(e)		44,502

		REITs – Diversified — 0.1%
	6,633	American Tower Corp.		1,405,268
	170,849	NexPoint Diversified Real Estate Trust		1,915,217

				3,320,485

		Road & Rail — 0.0%
	5,939	Union Pacific Corp.		1,229,789

		Semiconductors & Semiconductor Equipment — 0.2%
	3,520	Broadcom, Inc.		1,968,138
	22,093	Microchip Technology, Inc.		1,552,033
	15,863	QUALCOMM, Inc.		1,743,978

				5,264,149

		Software — 0.1%
	23,768	IQOR U.S., Inc.(e)		166,376
	7,870	Microsoft Corp.		1,887,383

				2,053,759

		Specialty Retail — 0.0%
	4,124	Home Depot, Inc. (The)		1,302,607

		Technology Hardware, Storage & Peripherals — 0.1%
	12,556	Apple, Inc.		1,631,401

		Total Common Stocks (Identified Cost $99,846,086)		67,685,989


	Preferred Stocks — 2.1%
	Convertible Preferred Stocks — 1.7%
		Banking — 0.7%
	11,789	Bank of America Corp., Series L, 7.250%		13,675,240
	7,500	Wells Fargo & Co., Class A, Series L, 7.500%		8,887,500

				22,562,740

		Midstream — 0.3%
	238,087	El Paso Energy Capital Trust I, 4.750%		10,723,224

		Technology — 0.1%
	121,037	Clarivate PLC, Series A, 5.250%		4,584,882

		Wireless — 0.6%
	15,317	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A		17,522,954

		Total Convertible Preferred Stocks (Identified Cost $65,485,893)		55,393,800

	Non-Convertible Preferred Stocks — 0.4%
		Home Construction — 0.1%
	208,246	Hovnanian Enterprises, Inc., 7.625%		3,956,674

		REITs – Diversified — 0.0%
	10,425	iStar, Inc., Series G, 7.650%		255,725

		REITs – Office Property — 0.1%
	1,596	Highwoods Properties, Inc., Series A, 8.625%(g)		1,651,680

		REITs – Warehouse/Industrials — 0.2%
	116,192	Prologis, Inc., Series Q, 8.540%		6,407,989

		Total Non-Convertible Preferred Stocks (Identified Cost $8,520,630)		12,272,068

		Total Preferred Stocks (Identified Cost $74,006,523)		67,665,868


Principal Amount
	Short-Term Investments — 0.1%
$	2,163,711	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $2,164,144 on 1/03/2023 collateralized by $1,095,900 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $2,207,022 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,163,711)		2,163,711


		Total Investments — 98.3% (Identified Cost $3,816,298,814)		3,171,654,129
		Other assets less liabilities — 1.7%		54,254,121

		Net Assets — 100.0%	$	3,225,908,250

(†)

See Note 2 of Notes to Financial Statements.

(a)

Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed.

(b)

Perpetual bond with no specified maturity date.

(c)

The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(d)

Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows:

Acquisition
Date

Acquisition
Cost

Value

% of Net
Assets

CFLD Cayman Investment Ltd.

9/30/2021

939,700

269,327

Less than 0.1%

CFLD Cayman Investment Ltd.

11/11/2021

264,000

88,000

Less than 0.1%

CFLD Cayman Investment Ltd.

9/28/2021

1,034,050

330,533

Less than 0.1%

CFLD Cayman Investment Ltd.

9/30/2021

932,463

288,893

Less than 0.1%

CFLD Cayman Investment Ltd.

9/29/2021

1,168,678

351,338

Less than 0.1%

CFLD Cayman Investment Ltd.

9/29/2022

347,870

447,134

Less than 0.1%

See accompanying notes to financial statements.

| 64

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)


	(e)			Non-income producing security.
	(f)			Variable rate security. Rate as of December 31, 2022 is disclosed.
	(g)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(h)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(i)			Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(j)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(k)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 1.00%, to which the spread is added.
	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $1,394,937,432 or 43.2% of net assets.
	ABS			Asset-Backed Securities
	LIBOR			London Interbank Offered Rate
	MBIA			Municipal Bond Investors Assurance Corp.
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	SOFR			Secured Overnight Financing Rate

At December 31, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection


Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)		Market Value		Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 37 500, 5-Year		5.00	%		12/20/2026		4.12	%		35,244,000	$	(323,825)	$	1,084,904	$	1,408,729

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

At December 31, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra 10 Year U.S. Treasury Note		3/22/2023		442	$	52,627,767	$	52,280,313	$	(347,454	)
Ultra Long U.S. Treasury Bond		3/22/2023		1,353		183,347,395		181,724,812		(1,622,583	)

Total									$	(1,970,037	)

Industry Summary at December 31, 2022


Treasuries	14.5	%
Cable Satellite	8.2
Independent Energy	5.4
Technology	5.4
Finance Companies	5.2
ABS Home Equity	4.2
Banking	4.0
Wireless	3.6
Pharmaceuticals	3.4
Consumer Cyclical Services	3.0
Metals & Mining	2.7
Airlines	2.5
Media Entertainment	2.2
Financial Other	2.0
Other Investments, less than 2% each	27.9
Collateralized Loan Obligations	4.0
Short-Term Investments	0.1

Total Investments	98.3
Other assets less liabilities (including swap agreements and futures contracts)	1.7

Net Assets	100.0	%

See accompanying notes to financial statements.

65 |

Statements of Assets and Liabilities

December 31, 2022


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
ASSETS
Investments at cost	$	141,219,172		$	7,421,941,526		$	975,759,462		$	3,816,298,814
Net unrealized depreciation		(24,107,254	)		(623,544,282	)		(156,656,988	)		(644,644,685	)

Investments at value		117,111,918			6,798,397,244			819,102,474			3,171,654,129
Cash		551,216			14,677,837			—			1,463,401
Due from brokers (Note 2)		120,000			6,138,177			16,240,702			34,385,000
Foreign currency at value (identified cost $91, $0, $4,118,251 and $0, respectively)		91			—			4,140,479			—
Receivable for Fund shares sold		172,875			51,782,992			2,580,112			5,620,676
Receivable for securities sold		1,038			119,565,805			51,000			—
Dividends and interest receivable		1,905,395			47,481,368			9,408,906			35,865,947
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			67,885			—
Tax reclaims receivable		—			70,006			608			—
Receivable for variation margin on futures contracts (Note 2)		—			—			16,180			—
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			—			44,219			—
Prepaid expenses (Note 8)		567			1,042			654			911

TOTAL ASSETS		119,863,100			7,038,114,471			851,653,219			3,248,990,064

LIABILITIES
Options written, at value (premiums received $0, $0, $67,530 and $0, respectively) (Note 2)		—			—			66,109			—
Payable for securities purchased		2,056,275			14,240,800			—			—
Unrealized depreciation on bilateral swap agreements (Note 2)		—			—			70,337			—
Payable for Fund shares redeemed		20,089			16,093,753			1,672,651			18,565,405
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			453,493			—
Payable for variation margin on centrally cleared swap agreements (Note 2)		780			—			357,764			12,703
Payable for variation margin on futures contracts (Note 2)		—			1,347,783			—			704,064
Management fees payable (Note 6)		18,847			1,931,060			454,956			1,441,762
Deferred Trustees’ fees (Note 6)		204,908			1,148,988			230,052			1,875,958
Administrative fees payable (Note 6)		4,677			272,058			35,321			134,056
Payable to distributor (Note 6d)		1,331			52,720			4,284			32,656
Audit and tax services fees payable		55,788			67,019			92,778			67,551
Other accounts payable and accrued expenses		19,288			190,591			603,486			247,659

TOTAL LIABILITIES		2,381,983			35,344,772			4,041,231			23,081,814

NET ASSETS	$	117,481,117		$	7,002,769,699		$	847,611,988		$	3,225,908,250

NET ASSETS CONSIST OF:
Paid-in capital	$	154,922,209		$	7,686,225,425		$	1,032,159,044		$	4,210,425,563
Accumulated loss		(37,441,092	)		(683,455,726	)		(184,547,056	)		(984,517,313	)

NET ASSETS	$	117,481,117		$	7,002,769,699		$	847,611,988		$	3,225,908,250

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	19,108,483		$	641,310,977		$	29,797,277		$	1,067,151,129

Shares of beneficial interest		5,466,275			66,562,561			3,258,354			91,620,571

Net asset value and redemption price per share	$	3.50		$	9.63		$	9.14		$	11.65

Offering price per share (100/95.75 of net asset value) (Note 1)	$	3.66		$	10.06		$	9.55		$	12.17

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,181,579		$	56,519,530		$	3,308,554		$	52,977,040

Shares of beneficial interest		336,399			5,942,737			362,461			4,491,359

Net asset value and offering price per share	$	3.51		$	9.51		$	9.13		$	11.80

Class N shares:
Net assets	$	132,090		$	1,348,620,581		$	164,264,371		$	220,229,442

Shares of beneficial interest		37,771			139,969,234			18,009,203			18,932,069

Net asset value, offering and redemption price per share	$	3.50		$	9.64		$	9.12		$	11.63

Class Y shares:
Net assets	$	97,058,965		$	4,833,608,407		$	650,241,786		$	1,816,762,794

Shares of beneficial interest		27,830,206			501,353,067			71,325,159			156,208,037

Net asset value, offering and redemption price per share	$	3.49		$	9.64		$	9.12		$	11.63

Admin Class shares:
Net assets	$	—		$	122,710,204		$	—		$	68,787,845

Shares of beneficial interest		—			12,776,400			—			5,929,153

Net asset value, offering and redemption price per share	$	—		$	9.60		$	—		$	11.60

See accompanying notes to financial statements.

| 66

Statements of Operations

For the Year Ended December 31, 2022


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
INVESTMENT INCOME
Interest	$	7,701,971		$	213,772,215		$	49,381,949		$	167,741,549
Dividends		186,977			3,865,337			841,721			9,578,360

		7,888,948			217,637,552			50,223,670			177,319,909

Expenses
Management fees (Note 6)		770,775			24,955,988			6,601,307			23,373,236
Service and distribution fees (Note 6)		58,427			2,956,896			125,707			4,339,577
Administrative fees (Note 6)		57,996			2,821,720			496,374			1,825,243
Trustees’ fees and expenses (Note 6)		15,800			203,048			45,010			132,586
Trustees’ fees deferred compensation (Note 6)		(28,222	)		(126,967	)		(22,863	)		(263,362	)
Transfer agent fees and expenses (Notes 6 and 7)		146,470			3,931,684			505,161			3,378,645
Audit and tax services fees		55,793			67,392			92,739			67,383
Custodian fees and expenses		14,727			172,367			67,197			138,755
Legal fees (Note 8)		4,331			211,985			37,896			130,468
Registration fees		90,583			421,527			106,041			124,097
Shareholder reporting expenses		30,513			325,275			51,577			291,660
Miscellaneous expenses		35,749			193,607			68,227			155,398

Total expenses		1,252,942			36,134,522			8,174,373			33,693,686
Less waiver and/or expense reimbursement (Note 6)		(231,100	)		(2,989,460	)		—			(1,331,797	)

Net expenses		1,021,842			33,145,062			8,174,373			32,361,889

Net investment income		6,867,106			184,492,490			42,049,297			144,958,020

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(4,963,266	)		(46,101,801	)		(39,119,644	)		(15,047,002	)
Futures contracts		—			(1,646,145	)		19,483,000			(13,037,463	)
Options written		—			—			16,271			—
Swap agreements		44,796			1,494,309			3,520,315			(6,537,247	)
Forward foreign currency contracts (Note 2d)		—			—			3,133,387			(369,783	)
Foreign currency transactions (Note 2c)		—			(20,986	)		(827,851	)		(311,067	)
Net change in unrealized appreciation (depreciation) on:
Investments		(22,011,852	)		(878,821,596	)		(136,301,544	)		(718,711,996	)
Futures contracts		—			(1,260,391	)		2,713,586			(250,959	)
Options written		—			—			70,508			—
Swap agreements		46,299			—			(84,007	)		(1,275,944	)
Forward foreign currency contracts (Note 2d)		—			—			(1,653,230	)		248,802
Foreign currency translations (Note 2c)		—			—			271,877			349,419

Net realized and unrealized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		(26,884,023	)		(926,356,610	)		(148,777,332	)		(754,943,240	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(20,016,917	)	$	(741,864,120	)	$	(106,728,035	)	$	(609,985,220	)

See accompanying notes to financial statements.

67 |

Statements of Changes in Net Assets


	High Income Fund						Investment Grade Bond Fund
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2022			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	6,867,106		$	4,936,940		$	184,492,490		$	153,264,651
Net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions		(4,918,470	)		3,475,557			(46,274,623	)		109,049,202
Net change in unrealized appreciation (depreciation) on investments, futures contracts and swap agreements		(21,965,553	)		(4,618,963	)		(880,081,987	)		(246,431,700	)

Net increase (decrease) in net assets resulting from operations		(20,016,917	)		3,793,534			(741,864,120	)		15,882,153

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(998,449	)		(946,674	)		(19,585,504	)		(30,802,007	)
Class C		(62,092	)		(73,463	)		(1,336,410	)		(2,795,363	)
Class N		(6,400	)		(275,475	)		(43,794,588	)		(58,322,546	)
Class Y		(6,340,611	)		(4,075,764	)		(128,714,138	)		(158,314,703	)
Admin Class		—			—			(3,388,543	)		(4,776,384	)

Total distributions		(7,407,552	)		(5,371,376	)		(196,819,183	)		(255,011,003	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		17,577,667			16,187,734			1,535,258,308			620,561,500

Net increase (decrease) in net assets		(9,846,802	)		14,609,892			596,575,005			381,432,650
NET ASSETS
Beginning of the year		127,327,919			112,718,027			6,406,194,694			6,024,762,044

End of the year	$	117,481,117		$	127,327,919		$	7,002,769,699		$	6,406,194,694

See accompanying notes to financial statements.

| 68

Statements of Changes in Net Assets (continued)


	Strategic Alpha Fund						Strategic Income Fund
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2022			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	42,049,297		$	38,752,332		$	144,958,020		$	107,292,454
Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		(13,794,522	)		23,922,333			(35,302,562	)		36,820,190
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations		(134,982,810	)		(43,767,308	)		(719,640,678	)		69,006,643

Net increase (decrease) in net assets resulting from operations		(106,728,035	)		18,907,357			(609,985,220	)		213,119,287

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(1,245,882	)		(799,143	)		(70,707,641	)		(41,929,319	)
Class C		(97,863	)		(53,976	)		(3,314,576	)		(3,065,889	)
Class N		(9,392,363	)		(12,165,057	)		(14,593,929	)		(7,514,115	)
Class Y		(28,940,367	)		(18,704,272	)		(135,878,926	)		(94,327,240	)
Admin Class		—			—			(4,238,815	)		(2,347,779	)

Total distributions		(39,676,475	)		(31,722,448	)		(228,733,887	)		(149,184,342	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(466,833,178	)		158,648,418			(1,002,949,085	)		(985,523,294	)

Net increase (decrease) in net assets		(613,237,688	)		145,833,327			(1,841,668,192	)		(921,588,349	)
NET ASSETS
Beginning of the year		1,460,849,676			1,315,016,349			5,067,576,442			5,989,164,791

End of the year	$	847,611,988		$	1,460,849,676		$	3,225,908,250		$	5,067,576,442

See accompanying notes to financial statements.

69 |

Financial Highlights

For a share outstanding throughout each period.


	High Income Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	4.29		$	4.35		$	4.25		$	3.99		$	4.25		$	4.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.19			0.17			0.20			0.20			0.05			0.20
Net realized and unrealized gain (loss)		(0.77	)		(0.05	)		0.12	(b)		0.27			(0.24	)		(0.14	)

Total from Investment Operations		(0.58	)		0.12			0.32			0.47			(0.19	)		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.18	)		(0.22	)		(0.21	)		(0.06	)		(0.18	)
Net realized capital gains		—			—			—			—			(0.01	)		—

Total Distributions		(0.21	)		(0.18	)		(0.22	)		(0.21	)		(0.07	)		(0.18	)

Net asset value, end of the period	$	3.50		$	4.29		$	4.35		$	4.25		$	3.99		$	4.25

Total return(c)(d)		(13.66	)%		2.87	%		8.16	%		11.94	%		(4.54	)%(e)		1.41	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	19,108		$	20,470		$	41,547		$	23,199		$	23,125		$	26,175
Net expenses(f)		1.00	%		1.00	%		1.00	%		1.03	%(g)		1.05	%(h)		1.05	%
Gross expenses		1.18	%		1.19	%		1.22	%		1.18	%		1.27	%(h)		1.16	%
Net investment income		5.13	%		3.83	%		4.91	%		4.84	%		5.13	%(h)		4.73	%
Portfolio turnover rate		53	%		67	%		99	%(i)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

(c)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

(g)	Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

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

(i)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	4.31		$	4.37		$	4.27		$	4.00		$	4.27		$	4.38

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.14			0.17			0.17			0.05			0.17
Net realized and unrealized gain (loss)		(0.78	)		(0.05	)		0.12	(b)		0.28			(0.26	)		(0.13	)

Total from Investment Operations		(0.62	)		0.09			0.29			0.45			(0.21	)		0.04

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.15	)		(0.19	)		(0.18	)		(0.05	)		(0.15	)
Net realized capital gains		—			—			—			—			(0.01	)		—

Total Distributions		(0.18	)		(0.15	)		(0.19	)		(0.18	)		(0.06	)		(0.15	)

Net asset value, end of the period	$	3.51		$	4.31		$	4.37		$	4.27		$	4.00		$	4.27

Total return(c)(d)		(14.50	)%		2.07	%		7.30	%		11.32	%		(4.95	)%(e)		0.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,182		$	1,795		$	2,933		$	3,836		$	5,351		$	6,248
Net expenses(f)		1.75	%		1.75	%		1.75	%		1.78	%(g)		1.80	%(h)		1.80	%
Gross expenses		1.93	%		1.94	%		1.97	%		1.93	%		2.02	%(h)		1.91	%
Net investment income		4.34	%		3.14	%		4.24	%		4.11	%		4.38	%(h)		3.99	%
Portfolio turnover rate		53	%		67	%		99	%(i)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(g)	Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

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

(i)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	4.29		$	4.36		$	4.25		$	3.99		$	4.25		$	4.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.18			0.21			0.22			0.06			0.20
Net realized and unrealized gain (loss)		(0.77	)		(0.05	)		0.14	(b)		0.26			(0.25	)		(0.12	)

Total from Investment Operations		(0.57	)		0.13			0.35			0.48			(0.19	)		0.08

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.20	)		(0.24	)		(0.22	)		(0.06	)		(0.19	)
Net realized capital gains		—			—			—			—			(0.01	)		—

Total Distributions		(0.22	)		(0.20	)		(0.24	)		(0.22	)		(0.07	)		(0.19	)

Net asset value, end of the period	$	3.50		$	4.29		$	4.36		$	4.25		$	3.99		$	4.25

Total return(c)		(13.40	)%		2.95	%		8.73	%		12.28	%		(4.47	)%(d)		1.96	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	132		$	105		$	14,783		$	11,977		$	10,417		$	10,338
Net expenses(e)		0.70	%		0.70	%		0.70	%		0.72	%(f)		0.75	%(g)		0.75	%
Gross expenses		1.80	%		0.86	%		0.88	%		0.82	%		0.89	%(g)		0.79	%
Net investment income		5.46	%		4.10	%		5.28	%		5.13	%		5.45	%(g)		4.65	%
Portfolio turnover rate		53	%		67	%		99	%(h)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f)	Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

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

(h)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	4.28		$	4.34		$	4.25		$	3.98		$	4.24		$	4.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.18			0.22			0.21			0.06			0.21
Net realized and unrealized gain (loss)		(0.77	)		(0.05	)		0.10	(b)		0.28			(0.25	)		(0.14	)

Total from Investment Operations		(0.57	)		0.13			0.32			0.49			(0.19	)		0.07

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.19	)		(0.23	)		(0.22	)		(0.06	)		(0.19	)
Net realized capital gains		—			—			—			—			(0.01	)		—

Total Distributions		(0.22	)		(0.19	)		(0.23	)		(0.22	)		(0.07	)		(0.19	)

Net asset value, end of the period	$	3.49		$	4.28		$	4.34		$	4.25		$	3.98		$	4.24

Total return(c)		(13.47	)%		3.15	%		8.19	%		12.52	%		(4.49	)%(d)		1.68	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	97,059		$	104,957		$	53,456		$	108,315		$	97,585		$	127,699
Net expenses(e)		0.75	%		0.75	%		0.75	%		0.77	%(f)		0.80	%(g)		0.80	%
Gross expenses		0.93	%		0.95	%		0.98	%		0.93	%		1.02	%(g)		0.91	%
Net investment income		5.39	%		4.16	%		5.32	%		5.07	%		5.39	%(g)		4.98	%
Portfolio turnover rate		53	%		67	%		99	%(h)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f)	Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%.

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

(h)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.22		$	11.65		$	11.33		$	10.77		$	10.98		$	11.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.28			0.26			0.32			0.35			0.08			0.30
Net realized and unrealized gain (loss)		(1.58	)		(0.26	)		0.94			0.58			(0.16	)		(0.28	)

Total from Investment Operations		(1.30	)		0.00	(b)		1.26			0.93			(0.08	)		0.02

LESS DISTRIBUTIONS FROM:
Net investment income		(0.28	)		(0.26	)		(0.32	)		(0.36	)		(0.08	)		(0.21	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.29	)		(0.43	)		(0.94	)		(0.37	)		(0.13	)		(0.34	)

Net asset value, end of the period	$	9.63		$	11.22		$	11.65		$	11.33		$	10.77		$	10.98

Total return(c)(d)		(11.62	)%		0.07	%		11.41	%		8.78	%		(0.66	)%(e)		0.19	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	641,311		$	793,271		$	872,976		$	772,485		$	721,110		$	777,391
Net expenses(f)		0.75	%(g)		0.75	%		0.76	%(h)		0.77	%(i)		0.78	%(j)		0.80	%(k)
Gross expenses		0.80	%		0.79	%		0.80	%		0.81	%		0.82	%(j)		0.82	%
Net investment income		2.71	%		2.24	%		2.73	%		3.10	%		3.09	%(j)		2.73	%
Portfolio turnover rate		31	%		27	%		70	%(l)		44	%(m)		39	%(m)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

(c)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

(g)	Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. See Note 6 of Notes to Financial Statements.

(h)	Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%.

(i)	Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

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

(k)	Effective July 1, 2018, the expense limit decreased to 0.78%.

(l)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(m)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.07		$	11.51		$	11.20		$	10.65		$	10.86		$	11.19

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.17			0.23			0.26			0.06			0.22
Net realized and unrealized gain (loss)		(1.55	)		(0.26	)		0.93			0.58			(0.16	)		(0.28	)

Total from Investment Operations		(1.35	)		(0.09	)		1.16			0.84			(0.10	)		(0.06	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.18	)		(0.23	)		(0.28	)		(0.06	)		(0.14	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.21	)		(0.35	)		(0.85	)		(0.29	)		(0.11	)		(0.27	)

Net asset value, end of the period	$	9.51		$	11.07		$	11.51		$	11.20		$	10.65		$	10.86

Total return(b)(c)		(12.26	)%		(0.70	)%		10.61	%		7.94	%		(0.86	)%(d)		(0.53	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	56,520		$	80,099		$	132,606		$	204,395		$	366,068		$	412,788
Net expenses(e)		1.50	%(f)		1.50	%		1.51	%(g)		1.52	%(h)		1.53	%(i)		1.55	%(j)
Gross expenses		1.55	%		1.54	%		1.55	%		1.56	%		1.57	%(i)		1.57	%
Net investment income		1.94	%		1.50	%		2.01	%		2.35	%		2.34	%(i)		1.96	%
Portfolio turnover rate		31	%		27	%		70	%(k)		44	%(l)		39	%(l)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(f)	Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. See Note 6 of Notes to Financial Statements.

(g)	Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%.

(h)	Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

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

(j)	Effective July 1, 2018, the expense limit decreased to 1.53%.

(k)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l)

See accompanying notes to financial statements.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.22		$	11.65		$	11.33		$	10.78		$	10.98		$	11.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.31			0.29			0.35			0.38			0.09			0.34
Net realized and unrealized gain (loss)		(1.57	)		(0.25	)		0.94			0.58			(0.15	)		(0.28	)

Total from Investment Operations		(1.26	)		0.04			1.29			0.96			(0.06	)		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.31	)		(0.30	)		(0.35	)		(0.40	)		(0.09	)		(0.25	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.32	)		(0.47	)		(0.97	)		(0.41	)		(0.14	)		(0.38	)

Net asset value, end of the period	$	9.64		$	11.22		$	11.65		$	11.33		$	10.78		$	10.98

Total return		(11.26	)%(b)		0.37	%(b)		11.74	%(b)		9.11	%		(0.58	)%(c)		0.50	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,348,621		$	1,473,020		$	1,188,772		$	1,367,172		$	1,216,690		$	1,251,189
Net expenses		0.45	%(d)(e)		0.45	%(d)		0.46	%(d)(f)		0.47	%(g)		0.48	%(h)		0.47	%(i)
Gross expenses		0.47	%		0.47	%		0.47	%		0.47	%		0.48	%(h)		0.47	%
Net investment income		3.02	%		2.53	%		3.04	%		3.40	%		3.40	%(h)		3.05	%
Portfolio turnover rate		31	%		27	%		70	%(j)		44	%(k)		39	%(k)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

(e)	Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%. See Note 6 of Notes to Financial Statements.

(f)	Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%.

(g)	Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

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

(i)	Effective July 1, 2018, the expense limit decreased to 0.48%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

See accompanying notes to financial statements.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.22		$	11.66		$	11.34		$	10.78		$	10.99		$	11.31

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.30			0.29			0.35			0.37			0.09			0.33
Net realized and unrealized gain (loss)		(1.56	)		(0.27	)		0.94			0.59			(0.16	)		(0.28	)

Total from Investment Operations		(1.26	)		0.02			1.29			0.96			(0.07	)		0.05

LESS DISTRIBUTIONS FROM:
Net investment income		(0.31	)		(0.29	)		(0.35	)		(0.39	)		(0.09	)		(0.24	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.32	)		(0.46	)		(0.97	)		(0.40	)		(0.14	)		(0.37	)

Net asset value, end of the period	$	9.64		$	11.22		$	11.66		$	11.34		$	10.78		$	10.99

Total return(b)		(11.31	)%		0.24	%		11.68	%		9.04	%		(0.59	)%(c)		0.43	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,833,608		$	3,920,635		$	3,704,948		$	3,118,505		$	2,912,537		$	3,001,906
Net expenses(d)		0.49	%(e)		0.50	%		0.51	%(f)		0.52	%(g)		0.53	%(h)		0.55	%(i)
Gross expenses		0.55	%		0.54	%		0.55	%		0.56	%		0.57	%(h)		0.57	%
Net investment income		3.01	%		2.49	%		2.98	%		3.35	%		3.35	%(h)		2.98	%
Portfolio turnover rate		31	%		27	%		70	%(j)		44	%(k)		39	%(k)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

(e)	Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%. See Note 6 of Notes to Financial Statements.

(f)	Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%.

(g)	Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

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

(i)	Effective July 1, 2018, the expense limit decreased to 0.53%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Admin Class
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.18		$	11.62		$	11.30		$	10.75		$	10.95		$	11.28

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.23			0.29			0.32			0.08			0.28
Net realized and unrealized gain (loss)		(1.56	)		(0.26	)		0.94			0.58			(0.15	)		(0.28	)

Total from Investment Operations		(1.31	)		(0.03	)		1.23			0.90			(0.07	)		0.00	(b)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.24	)		(0.29	)		(0.34	)		(0.08	)		(0.20	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.27	)		(0.41	)		(0.91	)		(0.35	)		(0.13	)		(0.33	)

Net asset value, end of the period	$	9.60		$	11.18		$	11.62		$	11.30		$	10.75		$	10.95

Total return(c)		(11.80	)%		(0.26	)%		11.17	%		8.43	%		(0.63	)%(d)		(0.07	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	122,710		$	139,169		$	125,460		$	111,439		$	111,864		$	115,301
Net expenses(e)		1.00	%(f)		1.00	%		1.01	%(g)		1.02	%(h)		1.03	%(i)		1.02	%(j)(k)
Gross expenses		1.05	%		1.04	%		1.05	%		1.06	%		1.07	%(i)		1.05	%(k)
Net investment income		2.47	%		1.98	%		2.48	%		2.85	%		2.85	%(i)		2.56	%
Portfolio turnover rate		31	%		27	%		70	%(l)		44	%(m)		39	%(m)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f)	Effective July 1, 2022, the expense limit decreased from 1.00% to 0.99%. See Note 6 of Notes to Financial Statements.

(g)	Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%.

(h)	Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

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

(j)	Effective July 1, 2018, the expense limit decreased to 1.03%.

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

(l)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(m)

See accompanying notes to financial statements.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.34		$	10.43		$	9.69		$	9.62		$	9.92

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.34			0.26			0.28			0.30			0.33
Net realized and unrealized gain (loss)		(1.20	)		(0.15	)		0.67			0.04			(0.30	)

Total from Investment Operations		(0.86	)		0.11			0.95			0.34			0.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.34	)		(0.20	)		(0.21	)		(0.27	)		(0.33	)

Net asset value, end of the period	$	9.14		$	10.34		$	10.43		$	9.69		$	9.62

Total return(b)		(8.29	)%		1.07	%		9.97	%		3.58	%		0.39	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	29,797		$	41,765		$	36,067		$	48,815		$	36,528
Net expenses		1.00	%		0.97	%		0.99	%		0.99	%		1.00	%(c)
Gross expenses		1.00	%		0.97	%		0.99	%		0.99	%		1.00	%(c)
Net investment income		3.59	%		2.45	%		2.81	%		3.10	%		3.29	%
Portfolio turnover rate		46	%(d)		218	%(d)		498	%		414	%		379	%

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

(d)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.32		$	10.40		$	9.66		$	9.58		$	9.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.27			0.18			0.21			0.23			0.26
Net realized and unrealized gain (loss)		(1.19	)		(0.15	)		0.66			0.04			(0.31	)

Total from Investment Operations		(0.92	)		0.03			0.87			0.27			(0.05	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.27	)		(0.11	)		(0.13	)		(0.19	)		(0.25	)

Net asset value, end of the period	$	9.13		$	10.32		$	10.40		$	9.66		$	9.58

Total return(b)		(8.90	)%		0.30	%		9.12	%		2.87	%(c)		(0.42	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,309		$	4,266		$	8,962		$	16,337		$	26,883
Net expenses		1.75	%		1.73	%		1.74	%		1.73	%(d)		1.75	%(e)
Gross expenses		1.75	%		1.73	%		1.74	%		1.74	%		1.75	%(e)
Net investment income		2.84	%		1.68	%		2.14	%		2.33	%		2.61	%
Portfolio turnover rate		46	%(f)		218	%(f)		498	%		414	%		379	%

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(f)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.32		$	10.41		$	9.67		$	9.60		$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.37			0.29			0.31			0.33			0.34
Net realized and unrealized gain (loss)		(1.19	)		(0.15	)		0.67			0.04			(0.28	)

Total from Investment Operations		(0.82	)		0.14			0.98			0.37			0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.38	)		(0.23	)		(0.24	)		(0.30	)		(0.36	)

Net asset value, end of the period	$	9.12		$	10.32		$	10.41		$	9.67		$	9.60

Total return		(8.00	)%		1.38	%		10.36	%		3.92	%		0.68	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	164,264		$	484,005		$	527,494		$	297,300		$	255,226
Net expenses		0.69	%		0.67	%		0.68	%		0.67	%		0.70	%(b)
Gross expenses		0.69	%		0.67	%		0.68	%		0.67	%		0.70	%(b)
Net investment income		3.81	%		2.74	%		3.13	%		3.39	%		3.44	%
Portfolio turnover rate		46	%(c)		218	%(c)		498	%		414	%		379	%

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

(b)	Includes fee/expense recovery of 0.01%.

(c)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	10.31		$	10.41		$	9.67		$	9.59		$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.37			0.28			0.30			0.32			0.35
Net realized and unrealized gain (loss)		(1.19	)		(0.15	)		0.68			0.06			(0.31	)

Total from Investment Operations		(0.82	)		0.13			0.98			0.38			0.04

LESS DISTRIBUTIONS FROM:
Net investment income		(0.37	)		(0.23	)		(0.24	)		(0.30	)		(0.35	)

Net asset value, end of the period	$	9.12		$	10.31		$	10.41		$	9.67		$	9.59

Total return		(7.97	)%		1.32	%		10.19	%		3.96	%		0.53	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	650,242		$	930,815		$	742,493		$	938,271		$	1,186,322
Net expenses		0.75	%		0.72	%		0.74	%		0.74	%		0.75	%(b)
Gross expenses		0.75	%		0.72	%		0.74	%		0.74	%		0.75	%(b)
Net investment income		3.83	%		2.70	%		3.05	%		3.33	%		3.51	%
Portfolio turnover rate		46	%(c)		218	%(c)		498	%		414	%		379	%

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

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

(c)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

| 82

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class A
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	14.19		$	14.03		$	13.58		$	14.25		$	14.39		$	14.84

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.44			0.26			0.10			0.47			0.57			0.52
Net realized and unrealized gain (loss)		(2.24	)		0.27			0.63			(0.66	)		(0.16	)		(0.33	)

Total from Investment Operations		(1.80	)		0.53			0.73			(0.19	)		0.41			0.19

LESS DISTRIBUTIONS FROM:
Net investment income		(0.74	)		(0.37	)		(0.16	)		(0.45	)		(0.48	)		(0.57	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.74	)		(0.37	)		(0.28	)		(0.48	)		(0.55	)		(0.64	)

Net asset value, end of the period	$	11.65		$	14.19		$	14.03		$	13.58		$	14.25		$	14.39

Total return(b)		(12.80	)%(c)		3.85	%(c)		5.37	%(d)		(1.39	)%		3.02	%		1.34	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,067,151		$	1,512,939		$	1,682,562		$	1,683,547		$	1,835,813		$	1,986,300
Net expenses		0.95	%(e)(f)		0.96	%(e)(g)		0.97	%(h)		0.97	%(i)		0.96	%		0.96	%
Gross expenses		0.98	%		0.97	%		0.97	%(h)		0.97	%		0.96	%		0.96	%
Net investment income		3.45	%		1.85	%		2.78	%(h)		3.42	%		4.03	%		3.57	%
Portfolio turnover rate		23	%		99	%(j)		30	%(k)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

(f)	Effective July 1, 2022, the expense limit decreased from 0.95% to 0.94%. See Note 6 of Notes to Financial Statements.

(g)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%.

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

(i)	Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(j)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

83 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class C
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	14.36		$	14.18		$	13.72		$	14.39		$	14.52		$	14.97

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.34			0.16			0.07			0.38			0.47			0.41
Net realized and unrealized gain (loss)		(2.26	)		0.28			0.64			(0.68	)		(0.16	)		(0.33	)

Total from Investment Operations		(1.92	)		0.44			0.71			(0.30	)		0.31			0.08

LESS DISTRIBUTIONS FROM:
Net investment income		(0.64	)		(0.26	)		(0.13	)		(0.34	)		(0.37	)		(0.46	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.64	)		(0.26	)		(0.25	)		(0.37	)		(0.44	)		(0.53	)

Net asset value, end of the period	$	11.80		$	14.36		$	14.18		$	13.72		$	14.39		$	14.52

Total return(b)		(13.48	)%(c)		3.13	%(c)		5.17	%(d)		(2.18	)%		2.27	%		0.60	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	52,977		$	120,091		$	259,780		$	277,896		$	676,602		$	1,153,853
Net expenses		1.70	%(e)(f)		1.71	%(e)(g)		1.72	%(h)		1.72	%(i)		1.71	%		1.71	%
Gross expenses		1.73	%		1.72	%		1.72	%(h)		1.72	%		1.71	%		1.71	%
Net investment income		2.62	%		1.12	%		2.04	%(h)		2.75	%		3.30	%		2.79	%
Portfolio turnover rate		23	%		99	%(j)		30	%(k)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(f)	Effective July 1, 2022, the expense limit decreased from 1.70% to 1.69%. See Note 6 of Notes to Financial Statements.

(g)	Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%.

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

(i)	Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(j)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 84

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class N
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	14.17		$	14.01		$	13.57		$	14.24		$	14.38		$	14.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.47			0.31			0.11			0.52			0.61			0.56
Net realized and unrealized gain (loss)		(2.23	)		0.27			0.62			(0.66	)		(0.16	)		(0.32	)

Total from Investment Operations		(1.76	)		0.58			0.73			(0.14	)		0.45			0.24

LESS DISTRIBUTIONS FROM:
Net investment income		(0.78	)		(0.42	)		(0.17	)		(0.50	)		(0.52	)		(0.62	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.78	)		(0.42	)		(0.29	)		(0.53	)		(0.59	)		(0.69	)

Net asset value, end of the period	$	11.63		$	14.17		$	14.01		$	13.57		$	14.24		$	14.38

Total return		(12.55	)%		4.19	%		5.39	%(b)		(1.06	)%		3.37	%		1.67	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	220,229		$	280,661		$	247,697		$	212,804		$	202,989		$	176,456
Net expenses		0.64	%(c)		0.65	%(d)		0.65	%(e)		0.64	%(f)		0.63	%		0.63	%
Gross expenses		0.64	%		0.65	%		0.65	%(e)		0.64	%		0.63	%		0.63	%
Net investment income		3.77	%		2.17	%		3.13	%(e)		3.77	%		4.36	%		3.91	%
Portfolio turnover rate		23	%		99	%(g)		30	%(h)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

(c)	Effective July 1, 2022, the expense limit decreased from 0.65% to 0.64%. See Note 6 of Notes to Financial Statements.

(d)	Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%.

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

(f)	Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(g)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(h)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

85 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class Y
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	14.17		$	14.01		$	13.56		$	14.23		$	14.38		$	14.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.47			0.30			0.11			0.51			0.60			0.55
Net realized and unrealized gain (loss)		(2.24	)		0.27			0.62			(0.66	)		(0.17	)		(0.32	)

Total from Investment Operations		(1.77	)		0.57			0.73			(0.15	)		0.43			0.23

LESS DISTRIBUTIONS FROM:
Net investment income		(0.77	)		(0.41	)		(0.16	)		(0.49	)		(0.51	)		(0.61	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.77	)		(0.41	)		(0.28	)		(0.52	)		(0.58	)		(0.68	)

Net asset value, end of the period	$	11.63		$	14.17		$	14.01		$	13.56		$	14.23		$	14.38

Total return		(12.60	)%(b)		4.12	%(b)		5.44	%(c)		(1.14	)%		3.22	%		1.66	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,816,763		$	3,058,635		$	3,693,954		$	3,774,113		$	4,316,010		$	5,118,016
Net expenses		0.70	%(d)(e)		0.71	%(d)(f)		0.72	%(g)		0.72	%(h)		0.71	%		0.71	%
Gross expenses		0.73	%		0.72	%		0.72	%(g)		0.72	%		0.71	%		0.71	%
Net investment income		3.68	%		2.10	%		3.03	%(g)		3.68	%		4.28	%		3.82	%
Portfolio turnover rate		23	%		99	%(i)		30	%(j)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

(e)	Effective July 1, 2022, the expense limit decreased from 0.70% to 0.69%. See Note 6 of Notes to Financial Statements.

(f)	Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.

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

(h)	Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(i)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(j)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 86

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Admin Class
	Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	14.14		$	13.97		$	13.53		$	14.20		$	14.34		$	14.79

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.40			0.23			0.09			0.44			0.53			0.48
Net realized and unrealized gain (loss)		(2.23	)		0.28			0.62			(0.66	)		(0.16	)		(0.33	)

Total from Investment Operations		(1.83	)		0.51			0.71			(0.22	)		0.37			0.15

LESS DISTRIBUTIONS FROM:
Net investment income		(0.71	)		(0.34	)		(0.15	)		(0.42	)		(0.44	)		(0.53	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.71	)		(0.34	)		(0.27	)		(0.45	)		(0.51	)		(0.60	)

Net asset value, end of the period	$	11.60		$	14.14		$	13.97		$	13.53		$	14.20		$	14.34

Total return		(13.07	)%(b)		3.68	%(b)		5.24	%(c)		(1.64	)%		2.78	%		1.09	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	68,788		$	95,250		$	105,172		$	103,197		$	121,903		$	133,220
Net expenses		1.20	%(d)(e)		1.21	%(d)(f)		1.22	%(g)		1.22	%(h)		1.20	%(i)		1.20	%(i)
Gross expenses		1.23	%		1.22	%		1.22	%(g)		1.22	%		1.20	%(i)		1.20	%(i)
Net investment income		3.20	%		1.60	%		2.53	%(g)		3.19	%		3.80	%		3.33	%
Portfolio turnover rate		23	%		99	%(j)		30	%(k)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

(e)	Effective July 1, 2022, the expense limit decreased from 1.20% to 1.19%. See Note 6 of Notes to Financial Statements.

(f)	Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%.

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

(h)	Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

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

(j)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

87 |

Notes to Financial Statements

December 31, 2022

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

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)

Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee applicable to Class A, Class C and Admin Class) and transfer agent fees are borne collectively for Class A, Class C, Class Y and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Domestic, exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price.

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Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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For the year ended December 31, 2022, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:


Strategic Alpha Fund	$	8,067,674
Strategic Income Fund		2,032,258

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

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

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

f. Option Contracts. A Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized

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losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

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

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

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon

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entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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

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

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption. Swaptions outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

i. Due from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund and Strategic Income Fund represents cash pledged as initial margin for centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Investment Grade Bond Fund represents cash pledged as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for options and forward foreign currency contracts and as initial margin for futures contracts and centrally cleared swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

k. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ 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 paydown gains and losses, defaulted and/or non-income producing securities, distribution re-designations, deferred Trustees’ fees, return of capital distributions received, capital gain distributions received, swap adjustments and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted and/or non-income producing securities, swap adjustments, wash sales, futures contract mark-to-market, return of capital distributions received, capital gain distributions received, trust preferred securities, perpetual bond adjustments, corporate actions and foreign currency gains and losses. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2022 and 2021 was as follows:


	2022 Distributions						2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
High Income Fund	$	7,407,552	$	—	$	7,407,552	$	5,371,376	$	—	$	5,371,376
Investment Grade Bond Fund		188,970,523		7,848,660		196,819,183		173,267,029		81,743,974		255,011,003
Strategic Alpha Fund		39,676,475		—		39,676,475		31,722,448		—		31,722,448
Strategic Income Fund		228,733,887		—		228,733,887		149,184,342		—		149,184,342

As of December 31, 2022, the components of distributable earnings on a tax basis were as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Undistributed ordinary income	$	1,970		$	706,317		$	—		$	205,439

Capital loss carryforward:
Short-term:
No expiration date		(2,656,925	)		(14,154,589	)		(5,764,902	)		(40,712,873	)
Long-term:
No expiration date		(9,780,510	)		(36,976,259	)		(15,860,436	)		(256,973,935	)

Total capital loss carryforward		(12,437,435	)		(51,130,848	)		(21,625,338	)		(297,686,808	)

Late-year ordinary and post-October capital loss deferrals*		—			—			(354,313	)		—

Unrealized depreciation		(24,449,684	)		(630,876,876	)		(159,149,876	)		(657,184,473	)

Total accumulated losses	$	(36,885,149	)	$	(681,301,407	)	$	(181,129,527	)	$	(954,665,842	)

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses.

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Notes to Financial Statements (continued)

December 31, 2022

As of December 31, 2022, unrealized appreciation (depreciation) as a component of distributable earnings was as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Unrealized appreciation (depreciation)
Investments	$	(24,449,684	)	$	(630,876,876	)	$	(146,079,195	)	$	(657,184,473	)
Foreign currency translations		—			—			(13,070,681	)		—

Total unrealized depreciation	$	(24,449,684	)	$	(630,876,876	)	$	(159,149,876	)	$	(657,184,473	)

As of December 31, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Federal tax cost	$	141,607,901		$	7,429,274,120		$	978,844,561		$	3,830,247,331

Gross tax appreciation	$	327,099		$	31,712,037		$	5,577,947		$	28,340,810
Gross tax depreciation		(24,776,783	)		(662,588,913	)		(164,733,687	)		(685,525,283	)

Net tax depreciation	$	(24,449,684	)	$	(630,876,876	)	$	(159,155,740	)	$	(657,184,473	)

The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.

l. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m. Loan Participations. A Fund’s investment in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

n. Collateralized Loan Obligations. A Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

o. Equity Linked Notes. Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

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p. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

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

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of December 31, 2022.

r. Stripped Securities. A Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

s. Securities Lending. High Income Fund, Investment Grade Bond Fund and Strategic Income Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended December 31, 2022, the Funds did not loan securities under this agreement.

t. Unfunded Loan Commitments. A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may

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Notes to Financial Statements (continued)

December 31, 2022

arise due to changes in the value of the unfunded loan commitments. Unfunded loan commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

u. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

v. New Accounting Pronouncement. In June 2022, the Financial Accounting Standards Board issued Accounting Standards Update 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). ASU 2022-03 clarifies the guidance in ASC 820 related to the measurement of fair value of an equity security subject to contractual sale restrictions, eliminating the ability to apply a discount to the fair value of such securities, and introducing related disclosure requirements. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. Management is currently evaluating the impact of applying this update.

In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. In December 2022, the Financial Accounting Standards Board issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. Management expects to apply the optional expedients when appropriate.

•

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

•

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

| 96

Notes to Financial Statements (continued)

December 31, 2022

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2022, at value:

High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	211,277	$	—	$	211,277
Non-Agency Commercial Mortgage-Backed Securities		—		1,466,026		142,115		1,608,141
All Other Non-Convertible Bonds(a)		—		99,991,987		—		99,991,987

Total Non-Convertible Bonds		—		101,669,290		142,115		101,811,405

Convertible Bonds(a)		—		5,934,969		—		5,934,969

Total Bonds and Notes		—		107,604,259		142,115		107,746,374

Collateralized Loan Obligations		—		1,879,270		—		1,879,270
Preferred Stocks
Technology		252,432		—		—		252,432
Wireless		—		578,874		—		578,874

Total Preferred Stocks		252,432		578,874		—		831,306

Common Stocks(a)		98,677		—		—		98,677
Other Investments(a)		—		—		6,825		6,825
Warrants		—		—		95		95
Exchange-Traded Funds		1,393,890		—		—		1,393,890
Short-Term Investments		—		5,155,481		—		5,155,481

Total Investments		1,744,999		115,217,884		149,035		117,111,918

Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		—		46,299		—		46,299

Total	$	1,744,999	$	115,264,183	$	149,035	$	117,158,217

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

Investment Grade Bond Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Bonds and Notes(a)	$	—		$	5,121,852,673	$	—	$	5,121,852,673
Collateralized Loan Obligations		—			265,237,685		—		265,237,685
Preferred Stocks
Banking		42,333,885			—		—		42,333,885
Wireless		—			15,083,904		—		15,083,904

Total Preferred Stocks		42,333,885			15,083,904		—		57,417,789

Short-Term Investments		—			1,353,889,097		—		1,353,889,097

Total	$	42,333,885		$	6,756,063,359	$	—	$	6,798,397,244

Liability Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(8,522,654	)	$	—	$	—	$	(8,522,654	)

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

97 |

Notes to Financial Statements (continued)

December 31, 2022

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	—		$	45,551,787		$	1,992,567	$	47,544,354
All Other Non-Convertible Bonds(a)		—			615,933,950			—		615,933,950

Total Non-Convertible Bonds		—			661,485,737			1,992,567		663,478,304

Convertible Bonds(a)		—			36,981,259			—		36,981,259

Total Bonds and Notes		—			698,466,996			1,992,567		700,459,563

Senior Loans(a)		—			4,010,808			—		4,010,808
Collateralized Loan Obligations		—			65,063,630			—		65,063,630
Common Stocks(a)		12,759,935			—			—		12,759,935
Preferred Stocks
Wireless		—			4,005,214			—		4,005,214
All Other Preferred Stocks(a)		979,924			—			—		979,924

Total Preferred Stocks		979,924			4,005,214			—		4,985,138

Other Investments(a)		—			—			61,425		61,425
Short-Term Investments		—			31,761,975			—		31,761,975

Total Investments		13,739,859			803,308,623			2,053,992		819,102,474

Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—			1,247,938			—		1,247,938
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		—			211,175			—		211,175
Forward Foreign Currency Contracts (unrealized appreciation)		—			67,885			—		67,885
Futures Contracts (unrealized appreciation)		368,435			—			—		368,435

Total	$	14,108,294		$	804,835,621		$	2,053,992	$	820,997,907

Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(66,109	)	$	—		$	—	$	(66,109	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(70,337	)		—		(70,337	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(2,345,329	)		—		(2,345,329	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(453,493	)		—		(453,493	)
Futures Contracts (unrealized depreciation)		(27,583	)		—			—		(27,583	)

Total	$	(93,692	)	$	(2,869,159	)	$	—	$	(2,962,851	)

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

| 98

Notes to Financial Statements (continued)

December 31, 2022

Strategic Income Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Property & Casualty Insurance	$	—		$	8,352,967	$	1,251,000	$	9,603,967
All Other Non-Convertible Bonds(a)		—			2,573,182,224		—		2,573,182,224

Total Non-Convertible Bonds		—			2,581,535,191		1,251,000		2,582,786,191

Convertible Bonds(a)		—			249,555,946		—		249,555,946
Municipals(a)		—			57,996,137		—		57,996,137

Total Bonds and Notes		—			2,889,087,274		1,251,000		2,890,338,274

Senior Loans(a)		—			13,343,640		—		13,343,640
Collateralized Loan Obligations		—			130,456,647		—		130,456,647
Common Stocks
Software		1,887,383			166,376		—		2,053,759
All Other Common Stocks(a)		65,632,230			—		—		65,632,230

Total Common Stocks		67,519,613			166,376		—		67,685,989

Preferred Stocks
Convertible Preferred Stocks
Wireless		—			17,522,954		—		17,522,954
All Other Convertible Preferred Stocks(a)		37,870,846			—		—		37,870,846

Total Convertible Preferred Stocks		37,870,846			17,522,954		—		55,393,800

Non-Convertible Preferred Stocks
REITs—Office Property		—			—		1,651,680		1,651,680
REITs—Warehouse/Industrials		—			6,407,989		—		6,407,989
All Other Non-Convertible Preferred Stocks(a)		4,212,399			—		—		4,212,399

Total Non-Convertible Preferred Stocks		4,212,399			6,407,989		1,651,680		12,272,068

Total Preferred Stocks		42,083,245			23,930,943		1,651,680		67,665,868

Short-Term Investments		—			2,163,711		—		2,163,711

Total Investments		109,602,858			3,059,148,591		2,902,680		3,171,654,129

Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		—			1,408,729		—		1,408,729

Total	$	109,602,858		$	3,060,557,320	$	2,902,680	$	3,173,062,858


Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(1,970,037	)	$	—	$	—	$	(1,970,037	)

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

99 |

Notes to Financial Statements (continued)

December 31, 2022

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or December 31, 2022:

High Income Fund

Asset Valuation Inputs



Investments in Securities	Balance as of December 31, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2022
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	12,427	$	—	$	(12,427	)	$	—	$	—	$	—	$	—		$	—	$	(12,427	)
Non-Agency Commercial Mortgage-Backed Securities		138,957		—		—		3,158			—		—		—		—			142,115		3,158
Collateralized Loan Obligations		250,000		—		—		—			—		—		—		(250,000	)		—		—
Other Investments
Aircraft ABS		87,030		—		—		(80,205	)		—		—		—		—			6,825		(80,205	)
Warrants		1,264		—		—		(1,169	)		—		—		—		—			95		(1,169	)

Total	$	477,251	$	12,427	$	—	$	(90,643	)	$	—	$	—	$	—	$	(250,000	)	$	149,035	$	(90,643	)

A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2022
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	1,932,446	$	—	$	—	$	60,121		$	—	$	—	$	—	$	—		$	1,992,567	$	60,121
Collateralized Loan Obligations		445,000		—		—		—			—		—		—		(445,000	)		—		—
Other Investments
Aircraft ABS		783,270		—		—		(721,845	)		—		—		—		—			61,425		(721,845	)

Total	$	3,160,716	$	—	$	—	$	(661,724	)	$	—	$	—	$	—	$	(445,000	)	$	2,053,992	$	(661,724	)

A debt security valued at $445,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

| 100

Notes to Financial Statements (continued)

December 31, 2022

Strategic Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2022
Bonds and Notes
Non-Convertible Bonds
Independent Energy	$	1,832,190	$	—	$	—	$	—		$	—	$	—	$	—	$	(1,832,190	)	$	—	$	—
Property & Casualty Insurance		1,501,200		74,865		—		(325,065	)		—		—		—		—			1,251,000		(325,065	)
Preferred Stocks
Non-Convertible Preferred Stocks
REITs—Office Property		—		—		—		(343,320	)		—		—		1,995,000		—			1,651,680		(343,320	)

Total	$	3,333,390	$	74,865	$	—	$	(668,385	)	$	—	$	—	$	1,995,000	$	(1,832,190	)	$	2,902,680	$	(668,385	)

Debt securities valued at $1,832,190 were transferred from Level 3 to Level 2 during the period ended December 31, 2022. At December 31, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the securities. At December 31, 2022, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A preferred stock valued at $1,995,000 was transferred from Level 2 to Level 3 during the period ended December 31, 2022. At December 31, 2021, this security was valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2022, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

The Funds are subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the year ended December 31, 2022, The Funds engaged in credit default swap agreements (as a protection seller) to gain investment exposure. Strategic Alpha Fund also engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended December 31, 2022, the Funds engaged in forward foreign currency contracts for hedging purposes and Strategic Alpha Fund also engaged in forward foreign currency contracts to gain exposure to foreign currencies.

Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts and interest rate swap agreements to gain investment exposure. During the year ended December 31, 2022, Strategic

101 |

Notes to Financial Statements (continued)

December 31, 2022

Alpha Fund engaged in futures contracts and interest rate swap agreements for hedging purposes and to manage duration and interest rate swap agreements to gain investment exposure and for yield curve management. During the year ended December 31, 2022, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the year ended December 31, 2022, the Fund engaged in option contracts for hedging purposes.

The following is a summary of derivative instruments for High Income Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Swap agreements at value¹
Exchange-traded/cleared asset derivatives
Credit contracts	$	35,656

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for High Income Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Swap agreements
Credit contracts	$	44,796


Net Change in Unrealized Appreciation (Depreciation) on:	Swap agreements
Credit contracts	$	46,299

The following is a summary of derivative instruments for Investment Grade Bond Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded liability derivatives
Interest rate contracts	$	(8,522,654	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Investment Grade Bond Fund during the year ended December 31, 2022, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Swap agreements
Interest rate contracts	$	(1,646,145	)	$	—
Credit contracts		—			1,494,309

Total	$	(1,646,145	)	$	1,494,309

Net Change in Unrealized

Appreciation (Depreciation) on:

Futures
contracts

Interest rate contracts

(1,260,391

)

| 102

Notes to Financial Statements (continued)

December 31, 2022

The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts¹		Swaps agreements at value²		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	67,885	$	—	$	—	$	67,885
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—	$	368,435	$	1,249,413	$	1,617,848

Total asset derivatives	$	67,885	$	368,435	$	1,249,413	$	1,685,733


Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹			Swap agreements at value²			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	—		$	(453,493	)	$	—		$	—		$	(453,493	)
Credit contracts		—			—			—			(26,118	)		(26,118	)

Total over-the counter liability derivatives	$	—		$	(453,493	)	$	—		$	(26,118	)	$	(479,611	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(27,583	)	$	—		$	(27,583	)
Credit contracts											(706,254	)		(706,254	)
Equity contracts		(66,109	)		—			—			—			(66,109	)

Total exchange-traded/cleared liability derivatives	$	(66,109	)	$	—		$	(27,583	)	$	(706,254	)	$	(799,946	)

Total liability derivatives	$	(66,109	)	$	(453,493	)	$	(27,583	)	$	(732,372	)	$	(1,279,557	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts		Options written		Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	19,483,000	$	—	$	(651,831	)	$	—
Foreign exchange contracts		—		—		—			3,133,387
Credit contracts		—		—		4,172,146			—
Equity contracts		—		16,271		—			—

Total	$	19,483,000	$	16,271	$	3,520,315		$	3,133,387

103 |

Notes to Financial Statements (continued)

December 31, 2022


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts		Options written		Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	2,713,586	$	—	$	1,961,922		$	—
Foreign exchange contracts		—		—		—			(1,653,230	)
Credit contracts		—		—		(2,045,929	)		—
Equity contracts		—		70,508		—			—

Total	$	2,713,586	$	70,508	$	(84,007	)	$	(1,653,230	)

The following is a summary of derivative instruments for Strategic Income Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Swap agreements at value¹
Exchange-traded/cleared asset derivatives
Credit contracts	$	1,084,904


Liabilities	Unrealized depreciation on futures contracts²
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	(1,970,037	)

²	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Income Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	(13,037,463	)	$	—		$	—
Foreign exchange contracts		—			—			(369,783	)
Credit contracts		—			(6,537,247	)		—

Total	$	(13,037,463	)	$	(6,537,247	)	$	(369,783	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	(250,959	)	$	—		$	—
Foreign exchange contracts		—			—			248,802
Credit contracts		—			(1,275,944	)		—

Total	$	(250,959	)	$	(1,275,944	)	$	248,802

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

| 104

Notes to Financial Statements (continued)

December 31, 2022

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2022:


High Income Fund	Credit Default Swaps
Average Notional Amount Outstanding		0.36	%
Highest Notional Amount Outstanding		1.05	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of December 31, 2022		0.99	%


Investment Grade Bond Fund	Futures			Credit Default Swaps
Average Notional Amount Outstanding		5.55	%		0.07	%
Highest Notional Amount Outstanding		12.10	%		0.98	%
Lowest Notional Amount Outstanding		0.00	%		0.00	%
Notional Amount Outstanding as of December 31, 2022		11.98	%		0.00	%


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		2.34	%		47.62	%		6.44	%		1.83	%
Highest Notional Amount Outstanding		2.79	%		115.88	%		12.60	%		2.29	%
Lowest Notional Amount Outstanding		1.71	%		6.37	%		2.83	%		1.64	%
Notional Amount Outstanding as of December 31, 2022		2.79	%		6.80	%		12.60	%		2.29	%


Strategic Income Fund	Forwards			Futures			Credit Default Swaps
Average Notional Amount Outstanding		0.13	%		2.63	%		3.46	%
Highest Notional Amount Outstanding		0.63	%		7.25	%		6.35	%
Lowest Notional Amount Outstanding		0.00	%		0.37	%		0.00	%
Notional Amount Outstanding as of December 31, 2022		0.00	%		7.25	%		1.09	%

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2022:


Strategic Alpha Fund	Call Options Written*
Average Market Value of Underlying Instruments		0.53	%
Highest Market Value of Underlying Instruments		1.05	%
Lowest Market Value of Underlying Instruments		0.00	%
Market Value of Underlying Instruments as of December 31, 2022		0.53	%

*	Market value of underlying instruments is determined by multiplying option shares by the price of the option’s underlying security.

Amounts outstanding at the end of the prior period, if applicable, are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to

International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties.

105 |

Notes to Financial Statements (continued)

December 31, 2022

ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of December 31, 2022, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:


Strategic Alpha Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
Morgan Stanley Capital Services, Inc.	$	67,885		$	(67,885	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America N.A.	$	(126,441	)	$	—		$	(126,441	)	$	—	$	(126,441	)
Barclays Bank PLC		(179,230	)		—			(179,230	)		—		(179,230	)
Morgan Stanley Capital Services, Inc.		(173,940	)		67,885			(106,055	)		106,055		—

	$	(479,611	)	$	67,885		$	(411,726	)	$	106,055	$	(305,671	)

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2022:


Fund	Maximum Amount of Loss—Gross		Maximum Amount of Loss—Net
High Income Fund	$	120,000	$	120,000
Investment Grade Bond Fund		34,298,883		34,298,883
Strategic Alpha Fund		20,246,017		20,072,077
Strategic Income Fund		55,239,563		55,239,563

| 106

Notes to Financial Statements (continued)

December 31, 2022

5. Purchases and Sales of Securities. For the year ended December 31, 2022, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
High Income Fund	$	1,373,059	$	1,912,862	$	76,606,753	$	60,918,441
Investment Grade Bond Fund		648,123,712		624,220,024		1,125,576,160		1,102,681,173
Strategic Alpha Fund		128,725,623		88,255,280		336,655,860		741,027,331
Strategic Income Fund		191,030,849		343,458,049		719,567,819		1,563,653,449

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $1.05 billion			Next $750 million			Next $13 billion			Next $10 billion			Over $25 billion
High Income Fund		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
Investment Grade Bond Fund		0.40	%		0.40	%		0.40	%		0.40	%		0.38	%		0.38	%
Strategic Alpha Fund		0.60	%		0.60	%		0.55	%		0.55	%		0.55	%		0.55	%
Strategic Income Fund		0.65	%		0.60	%		0.60	%		0.55	%		0.54	%		0.53	%

Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, except for Investment Grade Bond Fund and Strategic Income Fund which are in effect until April 30, 2024, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
High Income Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Investment Grade Bond Fund		0.74	%		1.49	%		0.44	%		0.49	%		0.99	%
Strategic Alpha Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Strategic Income Fund		0.94	%		1.69	%		0.64	%		0.69	%		1.19	%

Prior to July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Investment Grade Bond Fund and Strategic Income Fund were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
Investment Grade Bond Fund		0.75	%		1.50	%		0.45	%		0.50	%		1.00	%
Strategic Income Fund		0.95	%		1.70	%		0.65	%		0.70	%		1.20	%

107 |

Notes to Financial Statements (continued)

December 31, 2022

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For year ended December 31, 2022, the management fees and waivers of management fees for each Fund were as follows:


	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
High Income Fund	$	770,775	$	230,050	$	540,725		0.60	%		0.42	%
Investment Grade Bond Fund		24,955,988		2,989,460		21,966,528		0.40	%		0.35	%
Strategic Alpha Fund		6,601,307		—		6,601,307		0.60	%		0.60	%
Strategic Income Fund		23,373,236		1,331,797		22,041,439		0.58	%		0.54	%

¹	Management fee waivers are subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the year ended December 31, 2022 under the terms of the expense limitation agreements.

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Investment Grade Bond Fund and Strategic Income Fund have adopted a Distribution Plan relating to their Admin Class shares (the “Admin Class Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

Under the Admin Class Plans, Investment Grade Bond Fund and Strategic Income Fund pay Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Admin Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Investment Grade Bond Fund and Strategic Income Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For year ended December 31, 2022, the service and distribution fees for each Fund were as follows:


	Service Fees						Distribution Fees
Fund	Class A		Class C		Admin Class		Class C		Admin Class
High Income Fund	$	45,118	$	3,327	$	—	$	9,982	$	—
Investment Grade Bond Fund		1,696,547		155,774		318,627		467,321		318,627
Strategic Alpha Fund		91,022		8,671		—		26,014		—
Strategic Income Fund		3,152,800		198,709		195,971		596,126		195,971

| 108

Notes to Financial Statements (continued)

December 31, 2022

c. Administrative Fees. Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2022, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
High Income Fund	$	57,996
Investment Grade Bond Fund		2,821,720
Strategic Alpha Fund		496,374
Strategic Income Fund		1,825,243

For the year ended December 31, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
High Income Fund	$	118,661
Investment Grade Bond Fund		3,707,698
Strategic Alpha Fund		439,983
Strategic Income Fund		3,148,864


Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	1,331
Investment Grade Bond Fund		52,720
Strategic Alpha Fund		4,284
Strategic Income Fund		32,656

Sub-transfer agent fees attributable to Class A, Class C, Class Y, and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2022 were as follows:


Fund	Commissions
High Income Fund	$	886
Investment Grade Bond Fund		54,983
Strategic Alpha Fund		1,748
Strategic Income Fund		11,900

109 |

Notes to Financial Statements (continued)

December 31, 2022

Effective January 1, 2023, each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically.

For the year ended December 31, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
High Income Fund	$	(28,222	)
Investment Grade Bond Fund		(126,967	)
Strategic Alpha Fund		(22,863	)
Strategic Income Fund		(263,362	)

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the year ended December 31, 2022, Natixis Advisors reimbursed High Income Fund $1,050 for transfer agency expenses related to Class N shares.

h. Affiliated Ownership. As of December 31, 2022, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.10% and 0.39%, respectively, of the Funds’ net assets.

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

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the year ended December 31, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y		Admin Class
High Income Fund	$	20,385	$	1,503	$	1,050	$	123,532	$	—
Investment Grade Bond Fund		546,047		50,040		4,746		3,228,234		102,617
Strategic Alpha Fund		22,064		2,099		1,760		479,238		—
Strategic Income Fund		1,118,241		70,301		2,173		2,118,426		69,504

| 110

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, none of the Funds had borrowings under this agreement.

9. Risk. The Fund’s investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2022, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Account Holders		Percentage of Ownership
High Income Fund		3		26.93	%
Investment Grade Bond Fund		1		7.59	%
Strategic Alpha Fund		3		29.77	%

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

111 |

Notes to Financial Statements (continued)

December 31, 2022

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


	Year Ended December 31, 2022						Year Ended December 31, 2021
High Income Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,722,338		$	6,259,813			668,669		$	2,915,754
Issued in connection with the reinvestment of distributions		236,475			869,986			189,309			821,078
Redeemed		(1,262,111	)		(4,688,427	)		(5,634,696	)		(24,662,646	)

Net change		696,702		$	2,441,372			(4,776,718	)	$	(20,925,814	)

Class C
Issued from the sale of shares		81,001		$	295,199			49,909		$	218,435
Issued in connection with the reinvestment of distributions		11,401			42,287			13,512			58,913
Redeemed		(172,520	)		(656,278	)		(317,893	)		(1,393,021	)

Net change		(80,118	)	$	(318,792	)		(254,472	)	$	(1,115,673	)

Class N
Issued from the sale of shares		11,783		$	43,666			720,158		$	3,122,287
Issued in connection with the reinvestment of distributions		1,742			6,400			63,330			275,475
Redeemed		(317	)		(1,187	)		(4,153,012	)		(18,269,833	)

Net change		13,208		$	48,879			(3,369,524	)	$	(14,872,071	)

Class Y
Issued from the sale of shares		15,154,075		$	60,435,670			16,856,831		$	73,348,124
Issued in connection with the reinvestment of distributions		982,330			3,614,206			753,278			3,261,003
Redeemed		(12,813,646	)		(48,643,668	)		(5,407,849	)		(23,507,835	)

Net change		3,322,759		$	15,406,208			12,202,260		$	53,101,292

Increase from capital share transactions		3,952,551		$	17,577,667			3,801,546		$	16,187,734

| 112

Notes to Financial Statements (continued)

December 31, 2022

11. Capital Shares (continued).


	Year Ended December 31, 2022						Year Ended December 31, 2021
Investment Grade Bond Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		15,784,832		$	157,415,568			14,327,364		$	164,124,803
Issued in connection with the reinvestment of distributions		1,516,060			15,218,475			2,099,128			23,851,196
Redeemed		(21,470,097	)		(218,163,158	)		(20,621,008	)		(237,008,883	)

Net change		(4,169,205	)	$	(45,529,115	)		(4,194,516	)	$	(49,032,884	)

Class C
Issued from the sale of shares		2,006,302		$	19,429,909			934,807		$	10,599,046
Issued in connection with the reinvestment of distributions		124,380			1,234,946			231,399			2,593,460
Redeemed		(3,420,390	)		(34,069,845	)		(5,455,894	)		(61,864,251	)

Net change		(1,289,708	)	$	(13,404,990	)		(4,289,688	)	$	(48,671,745	)

Class N
Issued from the sale of shares		48,529,515		$	490,256,225			56,999,140		$	656,052,872
Issued in connection with the reinvestment of distributions		4,084,214			40,970,231			4,813,498			54,680,208
Redeemed		(43,974,606	)		(443,131,271	)		(32,503,589	)		(373,527,233	)

Net change		8,639,123		$	88,095,185			29,309,049		$	337,205,847

Class Y
Issued from the sale of shares		312,218,522		$	3,118,482,571			113,796,295		$	1,308,956,202
Issued in connection with the reinvestment of distributions		10,979,300			109,867,774			11,974,399			136,171,497
Redeemed		(171,175,077	)		(1,725,580,019	)		(94,197,009	)		(1,082,829,468	)

Net change		152,022,745		$	1,502,770,326			31,573,685		$	362,298,231

Admin Class
Issued from the sale of shares		1,308,463		$	13,205,817			2,719,299		$	31,159,908
Issued in connection with the reinvestment of distributions		336,224			3,362,150			417,648			4,725,224
Redeemed		(1,315,130	)		(13,241,065	)		(1,489,322	)		(17,123,081	)

Net change		329,557		$	3,326,902			1,647,625		$	18,762,051

Increase from capital share transactions		155,532,512		$	1,535,258,308			54,046,155		$	620,561,500

113 |

Notes to Financial Statements (continued)

December 31, 2022

11. Capital Shares (continued).


	Year Ended December 31, 2022						Year Ended December 31, 2021
Strategic Alpha Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		790,735		$	7,604,611			1,219,725		$	12,747,834
Issued in connection with the reinvestment of distributions		113,177			1,055,866			64,366			670,163
Redeemed		(1,683,281	)		(15,940,481	)		(702,862	)		(7,342,564	)

Net change		(779,369	)	$	(7,280,004	)		581,229		$	6,075,433

Class C
Issued from the sale of shares		118,937		$	1,122,473			68,781		$	716,482
Issued in connection with the reinvestment of distributions		8,630			80,131			4,055			42,082
Redeemed		(178,261	)		(1,704,999	)		(521,054	)		(5,431,680	)

Net change		(50,694	)	$	(502,395	)		(448,218	)	$	(4,673,116	)

Class N
Issued from the sale of shares		7,829,851		$	75,848,874			17,281,163		$	180,386,933
Issued in connection with the reinvestment of distributions		307,854			2,864,537			674,696			7,017,221
Redeemed		(37,027,196	)		(360,872,876	)		(21,726,263	)		(226,897,564	)

Net change		(28,889,491	)	$	(282,159,465	)		(3,770,404	)	$	(39,493,410	)

Class Y
Issued from the sale of shares		34,791,067		$	332,916,955			34,048,531		$	355,012,431
Issued in connection with the reinvestment of distributions		2,762,887			25,702,413			1,558,986			16,187,341
Redeemed		(56,471,363	)		(535,510,682	)		(16,721,643	)		(174,460,261	)

Net change		(18,917,409	)	$	(176,891,314	)		18,885,874		$	196,739,511

Increase (decrease) from capital share transactions		(48,636,963	)	$	(466,833,178	)		15,248,481		$	158,648,418

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Notes to Financial Statements (continued)

December 31, 2022

11. Capital Shares (continued).


	Year Ended December 31, 2022						Year Ended December 31, 2021
Strategic Income Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		8,678,765		$	109,989,319			12,975,066		$	183,459,424
Issued in connection with the reinvestment of distributions		4,093,782			49,939,363			2,067,302			29,226,145
Redeemed		(27,767,324	)		(347,469,778	)		(28,392,426	)		(400,924,495	)

Net change		(14,994,777	)	$	(187,541,096	)		(13,350,058	)	$	(188,238,926	)

Class C
Issued from the sale of shares		619,032		$	7,749,499			526,514		$	7,514,746
Issued in connection with the reinvestment of distributions		230,317			2,856,357			192,188			2,740,298
Redeemed		(4,723,388	)		(60,569,472	)		(10,676,591	)		(152,414,889	)

Net change		(3,874,039	)	$	(49,963,616	)		(9,957,889	)	$	(142,159,845	)

Class N
Issued from the sale of shares		1,623,182		$	20,719,348			6,141,155		$	86,946,222
Issued in connection with the reinvestment of distributions		1,134,602			13,826,399			478,281			6,753,879
Redeemed		(3,626,974	)		(45,975,564	)		(4,499,118	)		(63,370,301	)

Net change		(869,190	)	$	(11,429,817	)		2,120,318		$	30,329,800

Class Y
Issued from the sale of shares		33,766,614		$	425,134,342			49,545,428		$	695,309,439
Issued in connection with the reinvestment of distributions		8,220,421			100,514,524			4,816,448			67,989,900
Redeemed		(101,610,881	)		(1,269,402,412	)		(102,253,381	)		(1,437,692,859	)

Net change		(59,623,846	)	$	(743,753,546	)		(47,891,505	)	$	(674,393,520	)

Admin Class
Issued from the sale of shares		213,005		$	2,734,769			517,760		$	7,300,630
Issued in connection with the reinvestment of distributions		343,699			4,173,218			163,815			2,306,303
Redeemed		(1,365,053	)		(17,168,997	)		(1,470,421	)		(20,667,736	)

Net change		(808,349	)	$	(10,261,010	)		(788,846	)	$	(11,060,803	)

Decrease from capital share transactions		(80,170,201	)	$	(1,002,949,085	)		(69,867,980	)	$	(985,523,294	)

115 |

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds II and Natixis Funds Trust II and Shareholders of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Income Fund and Loomis Sayles Strategic Alpha Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund (three of the funds constituting Loomis Sayles Funds II) and Loomis Sayles Strategic Alpha Fund (one of the funds constituting Natixis Funds Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2023

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2022 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
High Income Fund		0.89	%
Investment Grade Bond Fund		2.04	%
Strategic Alpha Fund		1.76	%
Strategic Income Fund		7.08	%


Fund	Amount
Investment Grade Bond Fund	$	7,848,660

Qualified Dividend Income. For the fiscal year ended December 31, 2022, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2022, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:


Fund	Qualifying Percentage
High Income Fund		1.21	%
Investment Grade Bond Fund		1.87	%
Strategic Alpha Fund		2.25	%
Strategic Income Fund		4.14	%

117 |

Trustee and Officer Information

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust II, Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information includes additional information about the Trustees of the Trusts and are available by calling Natixis Funds/Loomis Sayles Funds at 800-225-5478/800-633-3330.


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

INDEPENDENT TRUSTEES

Edmond J. English (1953)	Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member	Executive Chairman of Bob’s Discount Furniture (retail)	54 Director, Burlington Stores, Inc. (retail) and Director, Rue Gilt Groupe, Inc. (e-commerce retail)	Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member and Governance Committee Member	Retired	54 Formerly, Director of Triumph Group (aerospace industry)	Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Chairperson of the Contract Review Committee	Retired	54 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

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Trustee and Officer Information


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

INDEPENDENT TRUSTEES – continued

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member and Governance Committee Member	President, University of Massachusetts	54 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell (1951)	Trustee since 2017 Contract Review Committee Member and Governance Committee Member	Retired	54 Director, Sterling Bancorp (bank)	Significant experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

James P. Palermo (1955)	Trustee since 2016 Audit Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity)	54 Director, FutureFuel.io (chemicals and biofuels)	Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee	Professor of Finance at Babson College	54 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

119 |

Trustee and Officer Information


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

INDEPENDENT TRUSTEES – continued

Peter J. Smail (1952)	Trustee since 2009 Audit Committee Member	Retired	54 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Kirk A. Sykes (1958)	Trustee since 2019 Audit Committee Member and Governance Committee Member	Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance)	54 Advisor Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust)	Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Audit Committee	Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine	54 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P.	54 None	Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

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Trustee and Officer Information


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

INTERESTED TRUSTEES – continued

David L. Giunta⁴ (1965)	Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust II, and President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015	President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC	54 None	Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC

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

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

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

121 |

Trustee and Officer Information


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

OFFICERS OF THE TRUSTS

Matthew Block (1981)	Treasurer, Principal Financial and Accounting Officer	Since 2022	Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company

Susan McWhan Tobin (1963)	Secretary and Chief Legal Officer	Since 2022	Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019– May 2022) and Senior Vice President and Head of Compliance, US for Natixis Investment Managers (July 2011 – March 2019)

Natalie R. Wagner (1979)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since 2021	Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group

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

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(b) Not Applicable.

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Mr. Richard A. Goglia, Mr. James Palermo, Mr. Peter J. Smail, Mr. Kirk A. Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.


	Audit fees				Audit-related fees¹				Tax fees²				All other fees
	1/1/21-12/31/21		1/1/22-12/31/22		1/1/21-12/31/10		1/1/22-12/31/22		1/1/21-12/31/21		1/1/22-12/31/22		1/1/21-12/31/21		1/1/22-12/31/22
Natixis Funds Trust II (except Loomis Sayles Global Growth Fund, Loomis Sayles Senior Floating Rate and Fixed Income Fund and Vaughan Nelson Select Fund)	$	307,537	$	278,606	$	713	$	1,166	$	87,971	$	79,885	$	—	$	—

Audit-related fees consist of:

2021 & 2022 – performance of agreed-upon procedures related to the Registrant’s deferred compensation.

Tax fees consist of:

2021 & 2022 – review of Registrant’s tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2021 and 2022 were $88,684 and $81,051, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex Group, LLC (“AlphaSimplex”), Loomis, Sayles & Company, L.P. (“Loomis”), Natixis Advisors, LLC (“Natixis Advisors”), and entities controlling, controlled by or under common control with AlphaSimplex, Loomis, and Natixis Advisors (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.


	Audit-related fees				Tax fees				All other fees
	1/1/21-12/31/21		1/1/22-12/31/22		1/1/21-12/31/21		1/1/22-12/31/22		1/1/21-12/31/21		1/1/22-12/31/22
Control Affiliates	$	—	$	—	$	31,137	$	28,621	$	—	$	50,000

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex, Loomis, Natixis Advisors and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.


	Aggregate Non-Audit Fees
	1/1/21-12/31/21		1/1/22-12/31/2
Control Affiliates	$	235,234	$	341,351

None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.


(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).

(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002, 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.


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer

Date:		February 22, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer

Date:		February 22, 2023

By:		/s/ Matthew Block
Name:		Matthew Block
Title:		Treasurer and Principal Financial and
		Accounting Officer

Date:		February 22, 2023