N-CSR 1 d302250dncsr.htm NATIXIS FUNDS TRUST I Natixis Funds Trust I

 

 

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: 811-04323

 

 

Natixis Funds Trust I

(Exact name of Registrant as specified in charter)

 

 

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

(Address of principal executive offices) (Zip code)

 

 

Natalie Wagner, 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) 449-2810

Date of fiscal year end: September 30

Date of reporting period: September 30, 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

 

LOGO

 

Annual Report

September 30, 2022

Loomis Sayles Core Plus Bond Fund

Loomis Sayles Credit Income Fund

Loomis Sayles Global Allocation Fund

Loomis Sayles Growth Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     35  
Financial Statements     79  
Notes to Financial Statements     110  

 

LOGO


LOOMIS SAYLES CORE PLUS BOND FUND

 

Managers   Symbols
Peter W. Palfrey, CFA®   Class A    NEFRX
Richard G. Raczkowski   Class C    NECRX
Ian Anderson   Class N    NERNX
Barath W. Sankaran, CFA®   Class Y    NERYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks high total investment return through a combination of current income and capital appreciation.

 

 

Market Conditions

The fixed-income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, took another leg higher in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though has yet to meaningfully decline.

The US Federal Reserve (Fed) responded with an aggressive series of interest-rate increases, bringing its benchmark fed funds rate to a range of 3.0% to 3.25% from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” in 2023; or in other words, the level at which the Fed was likely to stop raising rates.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (or “spread”) over Treasuries faced an additional headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell). Longer-term bonds also lost ground, but to a lesser extent: the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022.

One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Investment-grade corporate bonds lagged considerably due to both the increase in prevailing yields and rising yield spreads (particularly for lower-quality issues in the category). Notably, major corporate bond indexes fell to levels last seen in 2009 during the immediate aftermath of the Global Financial Crisis. The yield on the ICE BofA US Corporate Index reached 5.75% in the final week of September — another level not seen since 2009.1

Amidst rising inflation, geopolitical instability, and a broad selloff in rates and risk markets, securitized credit markets have generally produced negative total and excess returns over the past 12 months. Down in credit collateralized loan obligations (CLOs) have suffered the most as prices on underlying bank loans have dropped significantly. Sectors like consumer asset-backed securities (ABS) with lower interest rate sensitivity and less direct impact from geopolitical instability have performed somewhat better. Sectors like commercial ABS, namely aircraft, have been negatively impacted. Pockets of the commercial mortgage-backed securities (CMBS) market have held up relatively well amidst a longer-term recovery from Covid-19 related shocks. Senior tranches of residential mortgage-backed securities (RMBS) have provided positive excess returns while subordinates have sold off. Agency mortgage-backed securities (MBS) produced significantly negative excess returns versus US treasuries. Agency MBS has experienced massive interest rate volatility and the impact of concerns related to quantitative tightening.

High-yield corporate bonds posted double-digit losses due to a sizable increase in yield spreads. High-yield issuers are particularly vulnerable to slower economic growth due to their smaller average size and generally weaker balance sheets. The category outperformed investment grade corporate issues, however, which is unusual for a time of heightened investor risk aversion. This outperformance is due to High Yield’s generally shorter duration profile compared to Investment Grade debt. Also, energy issuers tend to be heavily represented in the high-yield space, which supported relative performance on the strength of rising oil prices.

Emerging market bonds, which tend to have a higher correlation to global growth trends than the broader fixed income market, underperformed in relation to the United States. The asset class was pressured not just by slowing growth and investors’ increased aversion to risk, but also the effects of the Russia-Ukraine war and pronounced weakness in emerging-market currencies relative to the US dollar.

 

1  |


 

Performance Results

For the 12 months ended September 30, 2022, Class Y shares of Loomis Sayles Core Plus Bond Fund returned -15.03%. The Fund underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -14.60%.

Explanation of Fund Performance

Security selection was the main driver of the Fund’s underperformance for the one-year period. Exposure to more credit-sensitive emerging market bonds detracted from excess returns within both investment grade corporate and government-related sectors. Additionally, security selection within agency mortgage-backed securities (MBS) pass-throughs weighed on relative returns. In sector allocation terms, the Fund’s underweight to US Treasuries detracted from relative performance. In addition, the Fund’s approximately 10% average allocation to fixed rate high yield corporate bonds weighed on excess returns as the out-of-benchmark sector struggled during the period.

Floating rate bank loans fared better than their equally credit-sensitive high yield corporate counterparts, so the Fund’s modest roughly 5% out-of-benchmark weight to that segment was a partial offset. Our approximately 4% out-of-benchmark non-US dollar positions in Mexico and Uruguay also added significant value, offering diversification and attractive carry. The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) and stance with respect to duration and corresponding interest rate sensitivity were strong positive contributors for the period, as our below-benchmark duration stance and bias to a flatter yield curve both proved additive. Finally, the Fund’s slightly elevated allocation to cash and equivalents helped buoy performance over the period.

 

Outlook

The Federal Reserve continued to show resolve in the face of persistent inflation pressures and tight labor markets, hiking its benchmark overnight lending rate by another 75 basis points both in July and September. The Fed has tightened by 300 basis points year-to-date, with another 100 basis points currently priced in by year-end. Despite a brief rally in bond prices in July, rates rose once again in response to decidedly hawkish Fed forward guidance and a September inflation report that surprised to the upside. The September dot plot displaying Fed Open Market Committee members’ expectations for the fed funds rate projects a median peak rate of 4.675% by early 2023, exceeding prior peak pricing by about 25 basis points. We ended the quarter with an inverted yield curve and 10-Year Treasuries briefly hitting 4.0%.

We observe that the Fed has been successful in tightening financial conditions to slow the economy down and cool inflation. While we wait for better news on inflation, we acknowledge a growing risk that the Fed overshoots and misses the elusive “soft landing”. Global growth is threatened by the energy crisis in Europe, and by central banks who are now also tightening policy in response to growing inflationary pressures. Additionally, the Russia-Ukraine conflict continues to escalate and contribute to market volatility and uncertainty.

We believe we are in the later phases of the credit cycle2, as indicated by the significant spread widening that has occurred over the past three quarters, as well as the significant retracement of equity market indices. Government, corporate and consumer balance sheets entered this part of the cycle in a strong position, but are showing some strains from higher inflation, tightening credit conditions and greater economic uncertainty.

The current Core Plus positioning displays a more defensive bias versus that of last year, but still has a moderate pro-cyclical stance. This reflects our view that risk valuations now more accurately reflect a balanced forward outlook of slower growth, coupled with a less punishing inflation outlook. We are closely watching forward-looking indicators on shelter and autos, which have been the largest contributors to core inflation. We also anticipate some goods price deflation given the strong dollar, lower shipping and transportation costs, and bloated domestic inventories, coupled with waning consumer and business demand.

We have incrementally increased our Treasury allocation to add quality, liquidity and duration to the portfolio, but maintain significant excess carry versus the benchmark, with a yield advantage of approximately 75 basis points. Average credit quality remains high at A1.

Nominal duration and corresponding interest rate sensitivity is now approximately 0.30 years longer than the benchmark, while empirical duration is more defensively positioned at approximately 0.3 years shorter than the benchmark. Most recently we have moved closer to neutralizing our overall curve positioning by adding more US Treasury exposure in the 5–10-year part of the curve, while maintaining a modest duration overweight to the 20- to 30-year part of the curve for some protection against the risk of Fed overtightening.

We maintain an underweight to agency MBS but have repositioned our exposures within the sector for a regime where the Fed is neither purchasing nor imminently selling agency MBS.

 

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LOOMIS SAYLES CORE PLUS BOND FUND

 

Within investment grade corporate credit, we remain underweight. While we continue to have a bias towards BBB-rated securities, we have selectively reduced the overall credit sensitivity of our allocation, and favor industries that are more likely to retain pricing power and/or benefit from higher rates, such as banks.

We have a moderate overweight to investment grade securitized credit, primarily in the front end of the yield curve, for more defensive, non-corporate carry. We continue to favor asset-backed securities backed by consumer auto loans and restaurant franchises.

Within the Plus sectors, we have continued to reduce our overall allocation to high yield corporates, currently at 10%, down from approximately 16% in the first quarter. This exposure is split between 6.5% in fixed rate high yield corporates, including a modest 2% in emerging market high yield corporates, and approximately 3.5% in floating rate bank loans. We have been incrementally reducing high yield exposure in response to a more aggressive Fed tightening path, as well as growing signs of economic slowdown from the more robust pace seen in 2021. Where permitted, we added some investment grade, higher quality collateralized loan obligations for additional floating rate carry in the portfolio.

We continue to hold an approximately 3.5% allocation to non-US dollar emerging market bonds. Two-thirds of the exposure is to Mexico and the remainder to Uruguay. Notably this has proven to be an important source of diversification and significant carry year to date.

 

1 

Source: Federal Reserve Bank of St. Louis Economic Database

2 

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

 

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

September 30, 2012 to September 30, 2022

 

LOGO

 

3  |


 

Average Annual Total Returns — September 30, 20223

 

           
                          

Life of

Class N

     Expense Ratios4  
      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y

 

       
NAV      -15.03      0.26      1.64             0.46      0.46
     
Class A                    
NAV      -15.24        0.01        1.39               0.71        0.71  
With 4.25% Maximum Sales Charge      -18.82        -0.87        0.95                 
     
Class C                    
NAV      -15.88        -0.74        0.78               1.46        1.46  
With CDSC1      -16.71        -0.74        0.78                 
     
Class N (Inception 2/1/13)

 

                
NAV      -14.94        0.36               1.61        0.38        0.38  
   
Comparative Performance

 

       
Bloomberg U.S. Aggregate Bond Index2      -14.60        -0.27        0.89        0.98                    

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 and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2

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 Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/23. 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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LOOMIS SAYLES CREDIT INCOME FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    LOCAX
Brian P. Kennedy   Class C    LOCCX
Elaine M. Stokes   Class N    LOCNX
  Class Y    LOCYX
Loomis, Sayles & Company, L.P.

 

 

Investment Goal

The Fund seeks high current income with a secondary objective of capital growth.

 

 

Market Conditions

Fixed income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, increased in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though still has yet to meaningfully recover.

The US Federal Reserve (Fed) responded with an aggressive series of interest rate increases, bringing its benchmark Fed funds rate to a range of 3.0% to 3.25% from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” (the level at which the Fed was likely to stop raising rates) in 2023.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (spread) over Treasuries faced an additional headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell, given the inverse relationship between yield and price). Longer-term bonds also lost ground, : the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Investment grade corporate bonds lagged considerably due to both the increase in prevailing yields and rising yield spreads (particularly for lower-quality issues in the category). Notably, major corporate bond indexes fell to levels last seen in 2009 during the immediate aftermath of the global financial crisis. The yield on the ICE BofA US Corporate Index reached 5.75% in the final week of September – another level not seen since 2009.*

High yield corporate bonds posted double-digit losses due to a sizable increase in yield spreads. High yield issuers are particularly vulnerable to slower economic growth due to their smaller average size and generally weaker balance sheets. The category outperformed investment grade corporate issues, however, which is unusual for a time of heightened investor risk aversion. This outperformance is due to high yield’s generally shorter duration profile compared to investment grade debt. Also, energy issuers tend to be heavily represented in the high yield space, which supported relative performance on the strength of rising oil prices.

Amidst rising inflation, geopolitical instability, and a broad selloff in rates and risk markets, securitized credit markets have generally produced negative total and excess returns over the past 12 months. Lower-rated CLOs (collateralized loan obligations) have suffered the most as prices on underlying bank loans have dropped significantly. Sectors like consumer ABS (asset-backed securities) with lower interest rate sensitivity and less direct impact from geopolitical instability have underperformed less. Sectors like commercial ABS, namely aircraft, have been negatively impacted. Pockets of the CMBS (commercial mortgage-backed securities) market have held in relatively well amidst a longer-term recovery from Covid-19 related shocks. Senior tranches of RMBS (residential mortgage-backed securities) have provided positive excess returns while subordinates have sold off.

Emerging market bonds, which tend to have a higher correlation to global growth trends than the broader fixed income market, underperformed in relation to the US. The asset class was pressured not just by slowing growth and investors’ increased aversion to risk, but also the effects of the Russia-Ukraine war and pronounced weakness in emerging market currencies relative to the US dollar.

 

*

Source: Federal Reserve Bank of St. Louis Economic Database

 

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Performance Results

For the 12 months ended September 30, 2022, Class Y shares of Loomis Sayles Credit Income Fund returned -15.59% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Credit Index, which returned -17.89%.

Explanation of Fund Performance

Despite a 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 is targeting an overall duration shorter than that of the benchmark. To help achieve this we used Treasury futures, and these positions have been a positive contributor given the sharp upward movement in interest rates during the period. Securitized credit was also beneficial given the asset class’s shorter duration profile. Here, holdings in collateralized loan obligations aided returns. Finally, an allocation to defensive, reserve-like positions contributed to relative performance as risk-off sentiment prevailed.

Security selection within investment grade corporate credit was the biggest detractor as several longer- dated issues weighed on performance. An allocation to emerging market credit also lagged, with selected holdings in Israel (consumer non-cyclical), Mexico (basic industry) and Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China have exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector have been limited, resulting in further bond price erosion.

Outlook

After a strong rally in risk assets early in the third quarter, volatility returned to markets as the Federal Reserve (Fed) retained its hawkish stance amid stubborn inflation prints. The macroeconomic environment and outlook remains challenging. Global growth forecasts have been challenged by geopolitics, war, shutdowns in China, and a looming energy crisis in Europe. Domestically, market participants have adjusted their interest rate expectations to incorporate repeated affirmations by the Fed of a clear path to higher policy rates. Stubborn inflation and a determined Fed continue to put pressure on risk assets.

In our view, the credit cycle has slid deeper into the late expansion cycle. We expect slowing growth and stubborn inflation. Fed actions have elevated the risks of a downturn and should that evolve we expect inflation to recede slowly. US hiring remains resilient, putting pressure on wages, but ultimately we believe higher rates may temper those pressures. Oil prices have slid on global growth concerns alleviating the pressure on US gas prices. However, natural gas supplies to Europe this winter are a significant risk and supply chain effects from that remain unknown. In summary, we do expect inflation to moderate but at a very slow pace.

We expect the Fed to stay on a tightening course through the end of this year and into early 2023, likely elevating the policy rate to the 4.50-4.75% range. In our view the Fed will largely be driven by the extent to which there is firm evidence of inflation moderating. We also believe the Fed may be increasingly sensitive to its impact on global financial markets, although a policy pivot seems unlikely. We expect the US 10-year bond yield to move only modestly higher from here and eventually be below the short-term policy rate. Our portfolios remain positioned defensively on rate risk while edging closer to levels where rate sensitivity becomes less of a concern.

While the Fed path seems firm at this point, a critical question is how the growth outlook for 2023 evolves and what impact that could have on corporate earnings and balance sheets. We expect slowing growth with an elevated risk of recession. Corporate fundamentals have remained reasonably strong, with solid second quarter earnings. Nonetheless, we anticipate slowing growth to be a drag on corporate earnings going forward. That said, given the strong starting point for corporate fundamentals we expect credit losses to move closer to historical averages.

Regionally, we are largely focused on US fixed income markets. An aggressive Fed and safe haven inflows have created strong momentum in the US dollar. Given global growth concerns, a committed Fed, and policies abroad that have weakened domestic currencies, we remain cautious in non-dollar-denominated assets. We have largely been avoiding Europe and anticipate a deep recession there. Should that unfold, however, opportunities may present themselves.

We believe that value is returning to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. Dollar prices on bonds are currently at post-global financial crisis lows. Corporate bond spreads in both investment grade and high yield are currently above long-term averages, and overall yields could offer favorable levels with high yield approaching 10% and BBB-rated bonds around 6%. We believe the combination of discount-to-par, wider spreads and overall yield is increasing the potential value opportunity in bonds.

We believe the corporate bond spreads could edge wider from here with some modest further elevation in yields. However, future interest rate and spread risk is being mitigated by generally higher yields and wider spreads. We have been holding larger than average liquid reserves and maintaining an up-in-quality bias. As opportunities develop, we will consider redeploying reserves, a process that has already begun. At the same time, short-term yields have risen meaningfully, and we are comfortable with how we are being paid.

 

1 

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

 

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LOOMIS SAYLES CREDIT INCOME FUND

 

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

September 29, 2020 (inception) through September 30, 2022

 

LOGO

Average Annual Total Returns — September 30, 20223

 

       
                    Expense Ratios4  
   
      1 Year      Life of Fund      Gross     Net  
     
Class Y (Inception 9/29/20)             
NAV      -15.59      -5.82      4.54     0.57
     
Class A (Inception 9//29/20)             
NAV      -15.88        -6.04        4.79       0.82  
With 4.25% Maximum Sales Charge      -19.43        -8.04         
     
Class C (Inception 9/29/20)             
NAV      -16.53        -6.81        5.60       1.57  
With CDSC1      -17.35        -6.81         
     
Class N (Inception 9/29/20)             
NAV      -15.63        -5.77        1.16       0.52  
   
Comparative Performance             
Bloomberg U.S. Credit Index2      -17.89        -8.81                   

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

 

1

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2

Bloomberg U.S. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The Index was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The Index is a subset of the U.S. Government/Credit Index and U.S. Aggregate Index.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/23. 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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LOOMIS SAYLES GLOBAL ALLOCATION FUND

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    LGMAX
Eileen N. Riley, CFA®   Class C    LGMCX
David W. Rolley, CFA®   Class N    LGMNX
Lee M. Rosenbaum   Class Y    LSWWX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks high total investment return through a combination of capital appreciation and current income.

 

 

Market Conditions

Global markets suffered declines in the 12-month period ended September 30, 2022, reflecting a broad assortment of unfavorable headlines. A sharp increase in inflation prompted the US Federal Reserve (Fed) and other central banks to raise interest rates aggressively; rates were boosted in the US by a total of three percentage points in the first nine months of 2022. Rising rates, in turn, fueled concerns about the potential for a recession.

Russia’s invasion of Ukraine in February 2022 also contributed to the downturn. The event brought geopolitical issues back to the forefront, as well as further pressured commodity prices and global supply chains. It also led to concerns about the outlook for the European economy, potentially creating a headwind for US-based multinational companies.

Stocks responded unfavorably to these developments, with poor returns and elevated volatility. The MSCI All Country World Index declined over 20% for the period, with all sectors registering losses except for the energy sector. The communication services, consumer discretionary and information technology sectors posted the largest declines.

In fixed income, tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (or “spread”) over Treasurys faced an added headwind.

Performance Results

For the 12 months ended September 30, 2022, Class Y shares of Loomis Sayles Global Allocation Fund returned -25.41% at net asset value. The Fund underperformed its primary benchmark, the MSCI All Country World Index (Net) which returned-20.66%, and its secondary blended index (60% MSCI All Country World Index (Net)/40% Bloomberg Global Aggregate Bond Index) which returned -20.41%.

Explanation of Fund Performance

In equities, the three largest detractors from returns were ASML, Salesforce, and Airbnb.

ASML is a leader in photolithography, the process in which a light source is used to etch a pattern on a silicon wafer. The company is uniquely positioned in EUV (extreme ultraviolet), the next generation technology, which is needed for chipmakers to continue to make chips smaller while maintaining their power. The barriers to entry are high, given the required technical expertise (to illustrate, EUV was in development for ten years) and associated R&D spending. ASML partners with its customers, aligning its product roadmap with theirs, which we believe has led to a symbiotic relationship. ASML is moving toward a value-based service model under which the company will be paid per wafer output of the machines, which should be more profitable. Under this model, ASML must deliver a certain level of output and fill any shortfalls at no additional cost to the customer. Assuming their machines are delivering as promised, we believe the company should enjoy a solid revenue stream and margin boost based on chip output. Currently, the services business accounts for a little more than a quarter of revenues. We believe ASML has sound capital allocation policies, selectively doing bolt-on acquisitions (such as Berliner Glas) while growing its dividend and opportunistically buying back shares (the company is currently nearing completion of a €9B repurchase program).

Shares of ASML underperformed along with the broader semiconductor sector on geopolitical tensions and concerns over a fall in demand for chips (i.e., the cycle “peaking”). However, ASML reported solid orders and backlog; our view remains that there is a strong long-term environment with many secular demand drivers. The company has a solid balance sheet, currently in a net cash position with no debt due until 2023. We expect intrinsic value growth to be driven by revenues and margin expansion, as the company improves its efficiencies across its EUV and DUV (direct ultraviolet) production lines and ramps up its next product, high-NA (numerical aperture) EUV.

 

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LOOMIS SAYLES GLOBAL ALLOCATION FUND

 

Salesforce is an enterprise software company with leadership in large and growing markets. Salesforce pioneered “software as a service” (SaaS), which allows customers to access its product via the internet. Since its founding in 1999, Salesforce has fine-tuned its original product as well as added more services, creating the “Salesforce economy”. It now operates four “clouds”: Sales Cloud, Service Cloud, Marketing and Commerce Cloud, and Salesforce Platform.

Shares were weak after announcing a mixed set of quarterly results in August. Company guidance for the third quarter was lower than expected, due to a combination of foreign currency headwinds and a challenging macroeconomic environment. Management indicated customers are becoming more cautious which is resulting in a longer sales cycle and some deal compression. On the positive side, the company maintained its full-year adjusted operating margin target and announced approval for a $10 billion share repurchase program. Later in the quarter, at its investor day, Salesforce reaffirmed its fiscal year 2026 targets of $50 billion in revenue and 25% or better adjusted operating margins.

Notwithstanding the current macro challenges, we expect Salesforce to remain both a key beneficiary and enabler of digital transformation for the foreseeable future, leveraging its scale, go-to-market expertise, ecosystem approach, and strategic growth strategies. Salesforce’s suite of applications support essential components of its customers’ businesses, reinforcing the recurring nature of Salesforce’s software subscription revenue.

Airbnb is an online marketplace for short-term stays and vacation rentals. Over the last decade, Airbnb has disrupted the lodging industry by creating a platform where homeowners can offer their properties for rent, introducing significantly more choice for consumers. Our investment thesis on Airbnb is driven by its leadership position within this large addressable market. Airbnb’s capital-lite platform, where it collects commissions for each rental, benefits from a powerful network effect. The more property owners who list their properties with Airbnb the more renters it attracts, and vice versa. Airbnb’s platform offers a superior consumer experience for both the host and the guest driven by trust; hosts can access guest profiles and provide feedback on guests, while guests can also supply reviews and ratings on hosts. We believe this experience has created a brand synonymous with seamless private rentals, evidenced by the high percentage (over 90%) of direct traffic to Airbnb.com.

Shares outperformed following the company’s second quarter results; the company reported growth in room nights, solid margins and strong free cash flow generation. Management also announced a $2 billion share buyback and highlighted a positive trajectory for the travel recovery.

Going forward, we expect intrinsic value growth for Airbnb to be driven by revenue growth and margin expansion. The company has a number of opportunities to grow its top line through increasing its share, offering its users ancillary travel services, and entering new verticals, such as the hotel market. We expect margins to grow as the company continues to leverage its technology.

In fixed income, the Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) and stance with respect to duration and corresponding interest rate sensitivity detracted from performance. Notably, positioning in the US dollar and Canadian dollar-pay markets weighed on performance. In the US dollar-pay market, allocations to the five- and ten-year segments of the yield curve held back performance as the Fed embarked on an aggressive monetary tightening path to tame persistently high inflation, hiking rates 300 basis points so far in 2022.

Corporate credit allocation to the communications, consumer non-cyclical, and consumer cyclical sectors detracted from performance. Within communications, holdings of Dish Network Corp. weighed on return as the company significantly underperformed the broader investment grade telemedia space, reflecting the secular decline of its challenged satellite video business. Holdings of pharmaceuticals in the consumer non-cyclical sector particularly detracted from performance due to political headwinds within the industry as well as headwinds related to the Covid-19 pandemic such as reduced clinical capacity. Within consumer cyclical, surging fuel costs and continued uncertainty surrounding the Omicron variant caused holdings of Norwegian Cruise Line to underperform.

In equities, the three largest contributors to returns were UnitedHealth Group, Northrop Grumman, and Alibaba.

UnitedHealth Group (UNH) is the largest managed care operator (MCO) in the US. The company’s businesses include OptumCare (primary and urgent care centers), OptumInsight which offers back office technology to healthcare providers, and OptumRx, the company’s Pharmaceutical Benefit Manager business. As the largest MCO, it benefits from scale advantages, specifically greater underwriting experience and the ability to leverage non-medical costs. Via its Optum businesses, the company has accumulated valuable medical trend data over decades, providing best-in-class insights which it leverages for its own MCO as well as external clients. UNH rates highly across our quality dimensions; the company has consistently returned cash to shareholders via its growing dividend and share buybacks. It has a strong track record of acquisitions, including Surgical Care Affiliates, Advisory Board, and DaVita Medical Group. We expect intrinsic value growth to be driven by organic top-line growth and modest margin expansion, as well as by continued share repurchases. Valuation is attractive based on our discounted cash flow methodology.

 

9  |


 

UNH shares outperformed over the period. The company’s traditional health insurance business continued to demonstrate strong execution, highlighted by continued positive enrollment trends in both the Medicare Advantage and Commercial segments, as well as better-than-expected medical costs. There has also been progress at OptumCare, as the number of patients under full value-based care agreements rose significantly.

We eliminated our positions in Northrop Grumman, an aerospace and defense company, and Alibaba, an e-commerce company, in October and November of 2021, respectively. Shares were strong relative to other holdings in the portfolio as the stocks were sold prior to the market downturn.

In fixed income, security selection within the technology, consumer cyclical, banking, and consumer non-cyclical sectors contributed to performance. Within technology, holdings of CommScope contributed; 2022 growth has been strong, led by its Connectivity and Cable Solutions division. Within the consumer cyclical sector, Uber reported strong earnings heading into the second half of 2022. In the banking sector, holdings of Ally Financial, a leading digital consumer bank, contributed to performance. The company acquired Fair Square Financial, adding credit cards to its diverse product base. Within consumer non-cyclical, holdings of BioMarin contributed to performance, as the biotech company significantly outperformed the industry.

Holdings of inflation-linked securities contributed positively to performance over the period as inflation reached historically high levels. In particular, allocations to US Treasury-inflation-protected securities and Japan government inflation-linked bonds added to performance.

The Loomis Sayles Global Allocation Fund entered into forward currency contracts for hedging purposes and to mitigate exposure where investment allocation decisions caused the Fund to be either overweight or underweight in certain currencies versus the benchmark when measured in combination with bond exposures to each currency. For most of the year, the Fund held long forward positions of the Euro and Japanese Yen to bring it in line with the benchmark, while being short on the Canadian Dollar for hedging purposes. For the Euro and Yen, a combination of higher US yields relative to these regions, and less vulnerability in the trade balances from accelerating oil prices, led to general US dollar appreciation against these currencies. Given strongly negative returns of rolling long Euro and Yen currency forwards against the dollar, there was a material cost to performance from having used FX forwards. As for the Canadian Dollar (CAD), hedging of our CAD exposure was beneficial, as it reduced our overall exposure to CAD-denominated securities, which depreciated against the US dollar over the year. The use of FX forwards in total detracted from performance.

Outlook

Tighter global monetary policies have increased the odds of a recession. Decelerating, but positive global growth in 2022 remains the base case; however recession risks continue to rise as central bank tightening and demand destruction from higher inflation slow the global economy. Consensus expectations for corporate profit growth have held up well as underlying fundamentals are currently favorable, but they will likely start to decline as we head into 2023.

Inflation is expected to remain sticky, given the volatile geopolitical backdrop, tight labor markets, and only partially resolved supply chain issues. Wage pressure, service sector prices, and home price impacts on core inflation are expected to decelerate, yet remain elevated. Gas prices have come down which has helped ease the pain for US consumers, but core inflation is likely to remain stubbornly high. In the US, we see headline and core inflation nearing 3.25-3.5% in twelve months’ time. Near-term consensus inflation forecasts indicate that the Fed and other central banks will not be able to bring inflation down to their target levels until 2024 and we expect the Fed to continue its hawkish path. The near-term squeeze in European energy markets and depth of the economic downturn are key inputs into the path of prices but are difficult to predict with any precision, leaving fixed income markets volatile.

The US dollar could continue to strengthen over the short term, led by a hawkish Fed, rising US Treasury yields, and the volatile geopolitical backdrop. The US economy is benefiting from being relatively less exposed to energy prices. Other factors contributing to dollar strength include China’s zero-Covid policy and property market issues, and Europe’s acute energy supply shortage. We expect the dollar to remain strong until global growth begins to improve.

Europe remains a source of potential risk if the region’s energy crisis leads to an accelerating decline in industrial production. The potential escalation of the crisis in Ukraine also remains an important risk. We are keeping a close eye on these developments, as well as policy responses from the region’s governments and central banks.

We believe China’s GDP growth target of 5.5% for 2022 is now beyond reach; we forecast 3.5% growth. China continues to respond to Covid-19 outbreaks with strict lockdowns, at the expense of economic growth. The Chinese property market is no longer making front-page news, but it remains a risk. China has a hefty weight in the global economy, and a crisis in China could have spillover effects to the rest of the world.

 

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LOOMIS SAYLES GLOBAL ALLOCATION FUND

 

In equities, we currently hold a diverse group of technology names spanning semiconductor manufacturing and equipment, software, and consulting companies. We have select exposure to consumer names that we believe are uniquely positioned, including companies capturing e-commerce demand, physical retailers with a differentiated value offering, and companies with valuable brands. We have focused our healthcare exposure toward higher growth areas in the industry, and away from areas exposed to reimbursement risk. In financials, our holdings have leading market positions in retail banking, asset management and investment banking. We believe our holdings have sustainable competitive advantages and strong balance sheets, evidenced by the portfolio’s return on equity, which is meaningfully higher than the MSCI ACWI benchmark, and financial leverage which is less than the benchmark by key measures (on a net/debt to EBITDA basis). We believe these characteristics allow our companies the flexibility to weather uncertain environments, and quite possibly emerge stronger.

Top Ten Holdings as of September 30, 2022

 

   
Security Name    % of
Net Assets
 
  1    

Amazon.com, Inc.

     3.13
  2    

Danaher Corp.

     3.05  
  3    

Alphabet, Inc., Class A

     2.92  
  4    

S&P Global, Inc.

     2.89  
  5    

Linde PLC

     2.79  
  6    

Cummins, Inc.

     2.75  
  7    

Salesforce, Inc.

     2.72  
  8    

Accenture PLC, Class A

     2.72  
  9    

Airbnb, Inc., Class A

     2.70  
  10    

UnitedHealth Group, Inc.

     2.67  

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.

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

September 30, 2012 to September 30, 2022

 

LOGO

 

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Average Annual Total Returns — September 30, 20224

 

           
                           Life of
Class N
     Expense Ratios5  
      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y                    
NAV      -25.41      3.24      5.97             0.87      0.87
     
Class A                    
NAV      -25.59        2.99        5.70               1.12        1.12  
With 5.75% Maximum Sales Charge      -29.86        1.78        5.08                 
     
Class C                    
NAV      -26.16        2.22        5.07               1.87        1.87  
With CDSC1      -26.85        2.22        5.07                 
     
Class N (Inception 2/1/17)                    
NAV      -25.36        3.32               5.21        0.80        0.80  
   
Comparative Performance                    
MSCI All Country World Index (Net)2      -20.66        4.44        7.28        6.33          
Blended Index3      -20.41        1.96        4.12        3.53                    

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.

 

2

MSCI All Country World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

 

3

Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Bond Index. The Bloomberg Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

 

4

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

 

5

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 1/31/23. 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.

 

|  12


LOOMIS SAYLES GROWTH FUND

 

Manager   Symbols
Aziz V. Hamzaogullari, CFA®   Class A    LGRRX
Loomis, Sayles & Company, L.P.   Class C    LGRCX
  Class N    LGRNX
  Class Y    LSGRX

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

Market Conditions

The US equity markets suffered a pronounced decline in the 12-month period ended September 30, 2022, reflecting a broad assortment of unfavorable headlines. A sharp increase in inflation, which prompted the US Federal Reserve (Fed) and other central banks to raise interest rates aggressively, was a likely factor weighing on performance. The Fed boosted rates by a total of three percentage points in the first nine months of 2022, and at the close of the period investors were expecting several more increases before year-end. Rising rates, in turn, may have fueled concerns about the potential for a meaningful slowdown in economic growth and corporate earnings in 2023.

Russia’s invasion of Ukraine in February 2022 was another potential catalyst for the downturn in equities. The event not only brought geopolitical issues back to the forefront, but it also contributed to an increase in commodity prices and added further stress to global supply chains. It also led to concerns about the outlook for the European economy, potentially creating a headwind for US-based multinational companies.

Stocks responded unfavorably to these developments, with poor returns and elevated volatility. Growth stocks, which had led the market higher in the rally of 2020-2021, underperformed as rising interest rates may have prompted investors to gravitate away from companies whose cash flows are weighted further in the future. Small-cap equities, which are seen as being vulnerable to the effects of slowing growth, trailed large caps. On the positive side, the energy sector finished with a gain thanks to strength in the related commodities.

Performance Results

For the 12 months ended September 30, 2022, Class Y shares of Loomis Sayles Growth Fund returned -27.29% at net asset value. The Fund underperformed its benchmark, the Russell 1000® Growth Index, which returned -22.59%.

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 these characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30-40 names.

The Fund’s positions in Vertex Pharmaceuticals, Schlumberger, and Regeneron Pharmaceuticals contributed the most to performance. Stock selection in the healthcare, communication services, and financials sectors, along with our allocations in the healthcare, industrials, consumer discretionary, and energy sectors, contributed positively to relative performance.

Vertex Pharmaceuticals is the leader in creating therapies for patients suffering from cystic fibrosis (CF), with four currently approved treatments, and the company is building out its capabilities to address related diseases that lever its core expertise in biology and medicinal chemistry. A strategy holding since June 2021, Vertex reported financial results during the period that reflected the continued penetration of Trikafta, its latest and most efficacious CF therapy. The company continues to penetrate the global market, both through new patients that did not previously have a therapy available and patients switching from older generations of therapies to the new standard of care. Vertex has now reached reimbursement agreements with more than 25 countries since Trikafta’s approval in late-2019. While most of the company’s pipeline assets outside of CF are still very early stage, the company also continues to make progress across a range of disease areas and expects to make regulatory filings for its CTX001 therapy for blood disorders, co-developed with CRISPR Therapeutics, by year-end 2022. We believe Vertex’s strong and sustainable competitive advantages include its unparalleled understanding of CF, for which it is recognized as setting the standard of care, its partnerships with the CF Foundation and other entities that enhance its solutions capabilities, and its broader understanding of biology and serial approach to

 

13  |


 

drug development. We believe expectations embedded in Vertex’s share price underestimate the defensibility of its dominant CF franchise, the life-changing benefit of its therapies for its growing base of 40,000 patients, and the strength of its science and innovation ability that is contributing to a growing pipeline of potentially transformative therapies outside of CF. We trimmed the position during the period following strong 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.

Schlumberger is the world’s leading supplier of technology, equipment, integrated project management, and information solutions to the global oil and gas exploration and production industry. Over its 95-year history, Schlumberger has built a brand and reputation for delivering consistent service and product excellence across the spectrum of exploration, drilling, and production. Only a few companies can compete with the scope of Schlumberger’s integrated suite of products and services, and even fewer can compete with the scale and depth of its technology and service execution. We have owned our position in Schlumberger since the third quarter of 2008, prior to assuming management of the Fund in 2010. At the time, we believed a bubble in commodity pricing was leading to extremely high embedded expectations that resulted in very few energy companies looking attractive through our bottom-up assessment of reward to risk. However, following a significant oil price correction that began in September 2008, we initiated our position in Schlumberger and added to it in 2009 as the substantial decline in oil prices increased the attractiveness of Schlumberger’s reward to risk. We believed Schlumberger’s strong and sustainable competitive advantages included its brand and reputation, scale, history of and commitment to developing innovative technology, the breadth of its integrated product suite, and its institutional knowledge. Further, we believed that secular growth in the long-term global demand for oil, arising primarily from the need to replace naturally depleting reserves, is driving the need to extract hydrocarbons from harsher environments that are increasingly difficult to reach or extract from. We believe services like those Schlumberger provides are essential to profitably meeting long-term ongoing demand for hydrocarbon production. Over our holding period the oil price environment has endured significant challenges. Prompted by the rapid proliferation of shale oil and gas, over a two-year period which began in 2014 oil prices fell by over 70% and industry spending fell by over 50%. Despite this, Schlumberger gained share and maintained leading margins, while several competitors posted losses or very thin margins. Schlumberger was one of the few companies to generate positive free cash flow during the downturn and continued to invest to strengthen its ability to offer integrated solutions to clients. More recently, oil experienced a record price decline in the first quarter of 2020 due to Covid-19-related demand weakness in China and a price war between OPEC and Russia, and demand remained depressed throughout much of 2021 as a result of the global lockdown and continued travel restrictions. In spite of these challenges, we believe Schlumberger continued to execute well and further strengthened its competitive differentiation versus peers. With our assessment of Schlumberger’s quality and long-term secular growth opportunity remaining intact, we took advantage of declines in the company’s share price, with our last addition coming in November 2020. From that point, the company was among our highest returning securities until we exited the position in March 2022. Despite the strong recent performance, we consider Schlumberger to be among our investment mistakes. We believe that in the long term, the price of oil should be driven by supply and demand and be equal to or above the marginal cost of producing oil. Even taking into account our most dire demand projections, we believed the natural decline in reserves of around 7% per year would drive the continued need to extract oil. However, excess supply as a result of the shale boom coincided with a once-in-a-century decline in demand and sharply lowered demand for Schlumberger’s products and services. Our initial value range analysis should have captured this range of outcomes but did not. Ideally, we like to recognize our mistakes as early as possible. Regardless of when we recognize a mistake, at that point we always make a forward-looking assessment as we did with Schlumberger in fall of 2020 when we concluded that the market was overly penalizing the company’s shares and increased our investment at very attractive prices. Upon exiting the position in March of 2022, we allocated the proceeds to new positions in Block, Netflix, PayPal, and Shopify.

Regeneron Pharmaceuticals, Inc. is a fully integrated biopharmaceutical company created with the vision to empower scientists to shape the path of the business. Regeneron has created enabling technologies, platforms, and methods that materially speed target discovery and development timelines, allowing the company to develop viable candidates for clinical trial faster than its competitors. As a result of these technologies, Regeneron was able to negotiate risk-mitigating collaborations with larger biopharmaceutical company partners that fund early-stage research and development in exchange for a share of potential profits, enabling Regeneron to access scale and distribution strength. A holding since the third quarter of 2016, shares responded positively following the company’s September 2022 announcement that trials for a higher dose (8mg) of Aflibercept, the same drug behind the company’s leading Eylea therapy, showed comparable efficacy and safety when dosed at 12 to 16 weeks as 2mg Eylea, which is dosed every 8 weeks. The results, which are accompanied by an established safety profile after Eylea’s decade on the market, are superior to any existing or clinical therapy, and should firmly maintain the company’s leadership in treating diseases of the back of the eye. Further, because the higher dose required a new formulation and some modifications to the underlying molecule, Regeneron will file for a new patent, which if successful, would provide another decade of protection versus biosimilar competition, which is expected to emerge for Eylea sometime over the next two-to-four years. Financial results were volatile during the period due to the company’s success with REGN-Cov, an antibody therapy for Covid-19 that contributed substantially in the first half of the period. We expected demand for REGN-Cov to provide only a short-term boost to results and instead viewed the therapy as further evidence of Regeneron’s ability to

 

|  14


LOOMIS SAYLES GROWTH FUND

 

rapidly respond with novel innovation at a speed that we believe exceeds competitors — capabilities we consider to be at the core of its competitive advantage. Core operating results during the period reflected market share gains for Eylea, a treatment for eye diseases and the company’s largest revenue generator, continued traction for Dupixent, the company’s innovative treatment for atopic dermatitis and allergic asthma, an expanding number of indications for Libtayo, the company’s first approval in the field of immuno-oncology, and meaningful progress in its pipeline. With the continued investments in the company’s broad range of pipeline programs laying the groundwork for sustainable long-term revenue generation, we believe Regeneron is among the highest quality businesses in healthcare, with both broad-based established therapies and meaningful pipeline assets, which include approximately 30 product candidates in clinical development that were generated using the company’s proprietary technology. We trimmed the position during the period on strong price performance but continue to believe that Regeneron’s market price embeds a lack of appreciation for the company’s multiple short-term and longer-term growth opportunities and the uniqueness of its financial model. As a result, we believe the shares trade at a discount to our estimate of intrinsic value and offer an attractive reward-to-risk opportunity.

The Fund’s positions in Meta Platforms, Boeing, and Alphabet detracted the most from performance. Stock selection in the information technology, industrials, consumer discretionary, and consumer staples sectors, along with our allocations in the communication services, consumer staples, and information technology sectors, detracted from relative performance.

Meta Platforms operates online social networking platforms that allow people to connect, share, and interact with friends and communities. With over 3.6 billion monthly users and 200 million businesses 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 the second quarter of 2012, Meta reported financial results during the period that were generally mixed with respect to consensus expectations. However, shares declined substantially following the company’s fourth quarter financial report in early February. Operating expenses were greater than expectations and the company issued guidance for the first quarter of 2022 that was well below expectations, which it attributed to headwinds arising from recent privacy restrictions by Apple, the continuing impact of macro weakness such as supply chain disruptions on advertising spending, and the company’s transition to a new product format — short term 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. The company expects to further reduce the amount of underreporting in 2022 but expects the changes will remain a headwind. 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 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 including from desktop to mobile platforms, from newsfeed to stories, and now to short-form videos. 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. The company previously reported that Reels was consuming more than 20% of users’ time spent on Instagram, and video, including FB Reels, accounted for 50% of time spent on Facebook. In the most recent quarter, the company reported a further 30% increase in time people spent on Reels across FB and Instagram. We believe this is a necessary cycle for maintaining sustainable competitive advantages and long-term growth. Despite the near-term pressure on financial results, Meta continues to have significant advantages arising from its network of almost 3 billion daily users of its family of apps, 200 million businesses that use its platforms and tools every month, and 10 million advertisers who have consistently paid more per user for access to its rare network. 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. We also believe that the expectations embedded in Meta’s current share price show a lack of appreciation for the company’s growth opportunities and the sustainability of its business model. We believe the consensus expectations and current market price reflect assumptions for free cash flow growth that are well below our long-term expectations of high-teens cash flow growth. As a result, we believe the shares trade at a significant discount to our estimate of intrinsic value, creating a compelling reward-to-risk opportunity. We took advantage of near-term market weakness to add to our position in February, April, and July.

Founded in 1916, Boeing is a global leader in the commercial and defense aerospace industries. The company manufactures commercial aircraft for passenger and cargo traffic as well as manned and unmanned military aircraft, missile and defense systems, satellites and launch systems, and other space and security systems. Along with Airbus, Boeing is part of a global duopoly that accounts for almost all commercial planes sold with greater than 125 seats — the largest market segment. A holding since March 2020, Boeing’s financial

 

15  |


 

results during the period were mixed and largely below expectations, but the company posted positive quarterly earnings for the first time since 2019, and positive quarterly free cash flow for the first time in almost three years. Boeing also expects free cash flow to be positive for the full year in 2022. Boeing has made significant progress with the 737 MAX, which is now cleared to fly in almost all countries with the major exception of China. The company had originally anticipated the MAX would be approved in China in the first quarter of 2022, but a combination of ongoing Covid flare-ups, an accident in March involving a predecessor to the MAX, and ongoing geopolitical tensions have left timing uncertain. While the company didn’t provide significant new details, Boeing is now assuming it will make no deliveries in China this year, despite a number of Chinese airlines that were already testing the MAX in preparation for its return to service. Boeing has also faced challenges with its 787 model. After deliveries were halted for almost two years to address manufacturing flaws in the body of the aircraft and other faults, in August, the FAA approved a resumption of deliveries. We believed the issues were temporary, not structural, and despite the halt the 787 was the most used widebody aircraft during the pandemic. We estimate that Boeing has approximately $43 billion of aircraft currently in inventory, including 120 787s, which will generate substantial revenue and cash flow as they are likely delivered over the next 12-to-24 months. As of June quarter-end, the company’s backlog of $372 billion, or approximately 4,239 aircraft, was up 2% year over year. Despite the recent weakness, air traffic recovery is underway, and absent further issues with the MAX and 787 we believe the company’s long-term earnings power remains intact. Boeing’s financial results remain significantly impacted by the decline in global air travel due to Covid-19. At its low point in 2020, travel demand, as measured by revenue passenger kilometer (RPK), which represents distance flown by paying passengers, had declined 94% from April 2019. And while demand has gradually improved, as an indicator, in May 2022 RPK still remained 31% below May 2019. We believe the impact of Covid-19, along with the grounding of the MAX, the fourth generation of its most profitable airplane model, represent temporary, not structural, issues that created the opportunity to initiate our position. We believe Boeing’s strong and sustainable competitive advantages include its significant cumulative knowledge and experience in aeronautical development, scale, and a client base that faces switching costs due to plane-specific operational and maintenance issues. Global growth in air travel is the primary secular growth driver for Boeing. Over our long-term investment horizon, we believe demand for global air travel will continue to grow at a mid-single-digit rate, as it has for the past four decades. We believe Boeing is one of only two companies globally which possess the requisite expertise and scale to profitably serve the global demand for commercial aircraft. We believe the current market price embeds overly pessimistic expectations concerning both aircraft deliveries and the degree to which margins are structurally impaired. 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. We took advantage of near-term price weakness to add to our position on several occasions during the year.

Alphabet is a holding company that owns a collection of businesses — the largest and most important of which by far is Google. Google is the global leader in online search and advertising, and also offers online cloud solutions to businesses and consumers globally. We believe Alphabet’s competitive advantages include its scale, brand strength, the power of its network and business ecosystem, and innovative culture that is reinforced by its massive investments in research and development (R&D). A long-term Fund holding, Alphabet reported financial results during the period that were generally strong and in-line with or better than consensus expectations for revenues and operating profits. After a strong first-half recovery in advertising spending, which had been depressed due to Covid-19 in the prior-year period, still solid double-digit growth in advertising revenue decelerated over the past six months due to challenging prior-year comparisons. The company also observed a slowdown from some advertisers in its YouTube and network advertising businesses. For comparison, YouTube growth of 5% in the most recent quarter came on top of 84% growth in the prior-year period. Despite some cyclical softening in advertising, YouTube continues to benefit from strong demand from brand advertisers due to its reach and engagement with over 2 billion monthly users who recently spent over 1 billion hours daily on the platform. As with other platforms, the company is transitioning to short-form videos, where monetization is currently lower. However, the company reported that YouTube Shorts were being watched each month by over 1.5 billion signed-in users, and that they were receiving over 30 billion daily views. Google Cloud revenue represented approximately 8% of total revenue, and ended the period with a $25 billion run rate, up almost 40% year over year. We believe Google’s key revenue drivers of mobile search, YouTube, programmatic advertising, and an emerging cloud business that is Google’s fastest growing business, each continue to benefit from secular drivers including increased mobility, video advertising, better use of advertising technology to drive performance, and increased penetration of public cloud services. Google’s attractive financial model generates strong free cash flow and earns high returns on invested capital, enabling it to reinvest significantly in its business. Over the past five years, Google has invested over $120 billion in R&D, an amount very few companies could replicate. We believe the global secular shift from traditional advertising to online advertising is the biggest long-term growth driver for Google. Online advertising accounts for approximately $450 billion, or around 25% of the $1.7 trillion annual spending on global advertising and marketing. Over our investment horizon, we believe this penetration will increase to over 40%. We believe investors underestimate Alphabet’s growth opportunities and the intrinsic value of the business given its unique and difficult-to-replicate attributes and business model. As a result, we believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer 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

 

|  16


LOOMIS SAYLES GROWTH FUND

 

positions in Block, Netflix, PayPal, Shopify, and Tesla. We added to our existing holdings in Boeing, Disney, Illumina, Intuitive Surgical, Meta Platforms, Salesforce, and Visa. We trimmed our existing positions in Alibaba, Deere, Expeditors International, Oracle, Regeneron Pharmaceuticals, Roche, Vertex Pharmaceuticals, and Yum China. We also trimmed our positions in Alphabet and Nvidia as they approached our maximum allowable position size. We sold our positions in Automatic Data Processing, Cerner, Cisco, Colgate Palmolive, and Schlumberger. We sold ADP, Cerner, and Colgate as they approached our estimate of intrinsic value, and Cisco due to better reward-to-risk opportunities. We sold Schlumberger due to a mistaken investment thesis as outlined above.

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 communication services, healthcare, industrials, and financials sectors and underweight positions in the information technology, consumer staples, and consumer discretionary sectors. We did not own positions in the real estate, energy, materials, or utilities sectors.

Top Ten Holdings as of September 31, 2022

 

   
Security Name    % of
Net Assets
 
  1    

Amazon.com, Inc.

     6.14
  2    

Visa, Inc., Class A

     6.11  
  3    

Microsoft Corp.

     5.16  
  4    

Boeing Co. (The)

     4.41  
  5    

Meta Platforms, Inc., Class A

     4.24  
  6    

NVIDIA Corp.

     4.11  
  7    

Monster Beverage Corp.

     3.94  
  8    

Autodesk, Inc.

     3.75  
  9    

Alphabet, Inc., Class A

     3.70  
  10    

Oracle Corp.

     3.67  

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.

 

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

September 30, 2012 through September 30, 2022

 

LOGO

 

17  |


 

Average Annual Total Returns — September 30, 20223

 

           
                           Life of
Class N
     Expense Ratios4  
      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y                    
NAV      -27.29      7.77      12.62             0.64      0.64
     
Class A                    
NAV      -27.48        7.50        12.35               0.89        0.89  
With 5.75% Maximum Sales Charge      -31.66        6.23        11.68                 
     
Class C                    
NAV      -28.05        6.69        11.67               1.63        1.63  
With CDSC1      -28.73        6.69        11.67                 
     
Class N (Inception 2/1/13)                    
NAV      -27.25        7.85               11.91        0.56        0.56  
   
Comparative Performance                    
Russell 1000® Growth Index2      -22.59        12.17        13.70        13.71                    

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.

 

2

Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher 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.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/23. 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.

 

|  18


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Managers   Symbols
Daniel Conklin, CFA®   Class A    LSDRX
Christopher T. Harms   Class C    LSCDX
Clifton V. Rowe, CFA®   Class N    LSDNX
  Class Y    LSDIX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks above-average total return through a combination of current income and capital appreciation.

 

 

Market Conditions

The fixed-income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, took another leg higher in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though has yet to meaningfully recover.

The U.S. Federal Reserve (Fed) responded with an aggressive series of interest-rate increases, bringing its benchmark fed funds rate to a range of 3.0% to 3.25% from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” in 2023; or in other words, the level at which the Fed was likely to stop raising rates.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (or “spread”) over Treasuries faced an added headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell). Longer-term bonds also lost ground, but to a lesser extent: the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022.

One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Investment-grade corporate bonds lagged considerably due to both the increase in prevailing yields and rising yield spreads (particularly for lower-quality issues in the category). Notably, major corporate bond indexes fell to levels last seen in 2009 during the immediate aftermath of the Global Financial Crisis. The yield on the ICE BofA US Corporate Index reached 5.75% in the final week of September — another level not seen since 2009.1

Amidst rising inflation, geopolitical instability, and a broad selloff in rates and risk markets, securitized credit markets have generally produced negative total and excess returns over the past 12 months. Down in credit collateralized loan obligations (CLOs) have suffered the most as prices on underlying bank loans have dropped significantly. Sectors like consumer asset-backed securities (ABS) with lower interest rate sensitivity and less direct impact from geopolitical instability have underperformed less. Sectors like commercial ABS, namely aircraft, have been negatively impacted. Pockets of the commercial mortgage-backed securities (CMBS) market have held in relatively well amidst a longer-term recovery from Covid-19 related shocks. Senior tranches of residential mortgage-backed securities (RMBS) have provided positive excess returns while subordinates have sold off. Agency mortgage-backed securities (MBS) produced significantly negative excess returns versus US Treasurys. Agency MBS has experienced massive interest rate volatility and the impact of concerns related to quantitative tightening.

Performance Results

For the 12 months ended September 30, 2022, Class Y shares of Loomis Sayles Intermediate Duration Bond Fund returned-10.76% at net asset value. The Fund underperformed its benchmark, the Bloomberg U.S. Intermediate Government/Credit Bond Index, which returned -10.14%.

Explanation of Fund Performance

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) and stance with respect to duration and corresponding interest rate sensitivity led positive contributions to relative performance during the period. Specifically, the Fund was underweight the short end of the curve as the Fed raised its benchmark overnight lending rate.

 

19  |


 

Within corporate bonds, holdings within the electric, transportation and technology industries contributed positively to performance. The Fund’s holdings of cash and cash equivalents also contributed to results given the weakness in bond markets.

On the downside, the Fund favored credit-oriented sectors such as corporate bonds and securitized assets which trade at a yield spread relative to US Treasuries. As credit spreads widened over the period, these allocations weighed on results. The Fund’s underweight to and security selection within government- related securities also hindered results.

Outlook

The Fed continued to show resolve in the face of persistent inflation pressures and tight labor markets, hiking its benchmark overnight lending rate by another 75 basis points both in July and September. The Fed has tightened by 300 basis points year-to-date, with another 100 basis points currently priced in by year-end. Despite a brief rally in bond prices in July, rates rose once again in response to decidedly hawkish Fed forward guidance and a September inflation report that surprised to the upside. The September dot plot displaying Fed Open Market Committee members’ expectations for fed funds projects a median peak rate of 4.675% by early 2023, exceeding prior peak pricing by about 25 basis points. We ended the quarter with an inverted yield curve and 10-Year Treasuries briefly hitting 4.0%.

We see that the Fed has been successful in tightening financial conditions to slow the economy down and cool inflation. While we wait for better news on inflation, we acknowledge a growing risk that the Fed overshoots and misses the elusive “soft landing”. Global growth is threatened by the energy crisis in Europe, and by central banks who are now also tightening policy in response to growing inflationary pressures. Additionally, the Russia-Ukraine conflict continues to escalate and contribute to market volatility and uncertainty.

We believe we are in the later phases of the credit cycle2, as shown by the significant spread widening that has occurred over the past three quarters, as well as the significant retracement of equity market indices. Government, corporate and consumer balance sheets entered this part of the cycle in a strong position, but are showing some strains from higher inflation, tightening credit conditions and greater economic uncertainty.

We continue to favor spread sectors, such as corporate bonds and securitized assets. We have increased risk exposure primarily through corporate bonds as we continue to find attractively priced new issues with favorable concessions.

We are still overweight both agency and non-agency commercial mortgage-backed securities, particularly senior parts of the capital stack.

Intermediate and short duration strategies are still focused on opportunities with limited prepayment risk.

We continue to favor asset-backed securities in the front end of the yield curve, particularly those backed by consumer-related collateral such as autos and credit card receivables.

We continue to follow our process of building diversified exposures by asset class, industry and issuers.

 

1

Source: Federal Reserve Bank of St. Louis Economic Database

 

2

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

 

|  20


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Hypothetical Growth of $100,000 Investment in Class Y Shares1,4

September 30, 2012 through September 30, 2022

 

LOGO

 

21  |


 

Average Annual Total Returns — September 30, 20224

 

           
                          

Life of

Class N

     Expense Ratios5  
      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y1

 

       
NAV      -10.76      0.67      1.36             0.45      0.40
     
Class A1                    
NAV      -10.98        0.41        1.10               0.70        0.65  
With 4.25% Maximum Sales Charge      -14.77        -0.46        0.66                 
     
Class C (Inception 8/31/16)1                    
NAV      -11.65        -0.35        0.47               1.45        1.40  
With CDSC2      -12.52        -0.35        0.47                 
     
Class N (Inception 2/01/19)    -10.73                0.56      0.38      0.35  
   
Comparative Performance

 

       
Bloomberg U.S. Intermediate Government/Credit Bond Index3      -10.14        0.38        1.00        0.16                    

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

As of August 31, 2016, the Fund’s Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares.

 

2

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

3

Bloomberg U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range within the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.

 

4

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

 

5

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 1/31/23. 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.

 

|  22


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Managers   Symbols
Daniel Conklin, CFA®   Class A    NEFLX
Christopher T. Harms   Class C    NECLX
Clifton V. Rowe, CFA®   Class N    LGANX
  Class Y    NELYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks high current return consistent with preservation of capital.

 

 

Market Conditions

The fixed-income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, took another leg higher in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though still has yet to meaningfully recover.

The U.S. Federal Reserve (Fed) responded with an aggressive series of interest-rate increases, bringing its benchmark fed funds rate to a range of 3.0% to 3.25% from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” in 2023; or in other words, the level at which the Fed was likely to stop raising rates.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (or “spread”) over Treasuries faced an additional headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell). Longer-term bonds also lost ground, but to a lesser extent: the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022.

One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Amidst rising inflation, geopolitical instability, and a broad selloff in rates and risk markets, securitized credit markets have generally produced negative total and excess returns over the past 12 months. Down in credit collateralized loan obligations (CLOs) have suffered the most as prices on underlying bank loans have dropped significantly. Sectors like consumer asset-backed securities (ABS) with lower interest rate sensitivity and less direct impact from geopolitical instability have underperformed less. Sectors like commercial ABS, namely aircraft, have been negatively impacted. Pockets of the commercial mortgage-backed securities (CMBS) market have held in relatively well amidst a longer-term recovery from Covid-19 related shocks. Senior tranches of residential mortgage-backed securities (RMBS) have provided positive excess returns while subordinates have sold off. Agency mortgage-backed securities (MBS) produced significantly negative excess returns versus US Treasurys. Agency MBS has experienced massive interest rate volatility and the impact of concerns related to quantitative tightening.

Performance Results

For the 12 months ended September 30, 2022, Class Y shares of Loomis Sayles Limited Term Government and Agency Fund returned -5.42%. The Fund outperformed its benchmark, the Bloomberg U.S. 1-5 Year Government Bond Index, which returned -7.03%.

Explanation of Fund Performance

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) and stance with respect to duration and corresponding interest rate sensitivity led positive contributions to relative performance, as the Fund was underweight duration as interest rates rose over the period. Security selection within non-agency commercial mortgage-backed securities (CMBS) also contributed to performance. Finally, issue selection within agency pass-through mortgage-backed securities (MBS) and auto-backed receivables within asset-backed securities (ABS) was positive during the period.

 

23  |


 

Positioning with respect to US Treasuries detracted from results due to an underweight allocation relative to the benchmark as well as adverse issue selection. Issue selection in student loans within ABS hindered performance as well during the period. Finally, holdings within agency CMBS detracted from results.

Outlook

Agency mortgage-backed security (MBS) spreads (the difference in yield between agency MBS and Treasuries of similar maturity) are trending higher than their longer-term averages. We continue to favor MBS sectors less likely to face refinancing and extension risk, such as low loan balance mortgages and home equity conversion mortgages. Within the commercial real estate sector, we have focused on agency commercial mortgage-backed security (CMBS) opportunities. Our non-agency securitized exposures remain steady, favoring asset-backed securities (ABS) over CMBS.

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

September 30, 2012 through September 30, 2022

 

LOGO

See notes to charts on page 25.

 

|  24


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Average Annual Total Returns — September 30, 20223

 

           
                          

Life of

Class N

     Expense Ratios4  
      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y

 

       
NAV      -5.42      0.41      0.61             0.49      0.45
     
Class A                    
NAV      -5.75        0.16        0.35               0.73        0.70  
With 2.25% Maximum Sales Charge      -7.86        -0.30        0.12                 
     
Class C                    
NAV      -6.43        -0.60        -0.25               1.49        1.45  
With CDSC1      -7.36        -0.60        -0.25                 
     
Class N (Inception 2/1/17)

 

                
NAV      -5.45        0.47               0.61        0.41        0.40  
   
Comparative Performance

 

       
Bloomberg U.S. 1-5 Year Government Bond Index2      -7.03        0.36        0.59        0.48                    

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

 

1

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2

Bloomberg U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg U.S. Government Index, which is comprised of the Bloomberg U.S. Treasury and U.S. Agency Indices. The Bloomberg U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg U.S. Government Index is a component of the Bloomberg U.S. Government/Credit Index and the Bloomberg U.S. Aggregate Bond Index.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/23. 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.

 

25  |


ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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 Fund’s website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available through the Fund’s 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.

 

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2022 through September 30, 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 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of the 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.

 

LOOMIS SAYLES CORE PLUS BOND FUND    BEGINNING
ACCOUNT VALUE
4/1/2022
     ENDING
ACCOUNT VALUE
9/30/2022
     EXPENSES PAID
DURING PERIOD*
4/1/2022 – 9/30/2022
 
Class A           
Actual      $1,000.00        $899.30        $3.52  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.36        $3.75  
Class C           
Actual      $1,000.00        $896.60        $7.08  
Hypothetical (5% return before expenses)      $1,000.00        $1,017.60        $7.54  
Class N           
Actual      $1,000.00        $901.10        $1.86  
Hypothetical (5% return before expenses)      $1,000.00        $1,023.11        $1.98  
Class Y           
Actual      $1,000.00        $900.60        $2.33  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.61        $2.48  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.39% and 0.49% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

27  |


LOOMIS SAYLES CREDIT INCOME FUND    BEGINNING
ACCOUNT VALUE
4/1/2022
     ENDING
ACCOUNT VALUE
9/30/2022
     EXPENSES PAID
DURING PERIOD*
4/1/2022 – 9/30/2022
 
Class A           
Actual      $1,000.00        $897.20        $3.90  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.96        $4.15  
Class C           
Actual      $1,000.00        $893.60        $7.45  
Hypothetical (5% return before expenses)      $1,000.00        $1,017.20        $7.94  
Class N           
Actual      $1,000.00        $898.50        $2.47  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.46        $2.64  
Class Y           
Actual      $1,000.00        $898.20        $2.71  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.21        $2.89  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.82%, 1.57%, 0.52% and 0.57% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES GLOBAL ALLOCATION FUND    BEGINNING
ACCOUNT VALUE
4/1/2022
     ENDING
ACCOUNT VALUE
9/30/2022
     EXPENSES PAID
DURING PERIOD*
4/1/2022 – 9/30/2022
 
Class A           
Actual      $1,000.00        $788.10        $5.15  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.30        $5.82  
Class C           
Actual      $1,000.00        $784.90        $8.50  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.54        $9.60  
Class N           
Actual      $1,000.00        $789.20        $3.63  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.01        $4.10  
Class Y           
Actual      $1,000.00        $789.20        $4.04  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.56        $4.56  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 1.15%, 1.90%, 0.81% 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 (183), divided by 365 (to reflect the half-year period).

 

|  28


LOOMIS SAYLES GROWTH FUND    BEGINNING
ACCOUNT VALUE
4/1/2022
     ENDING
ACCOUNT VALUE
9/30/2022
     EXPENSES PAID
DURING PERIOD*
4/1/2022 – 9/30/2022
 
Class A           
Actual      $1,000.00        $738.00        $3.96  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.51        $4.61  
Class C           
Actual      $1,000.00        $735.00        $7.22  
Hypothetical (5% return before expenses)      $1,000.00        $1,016.75        $8.39  
Class N           
Actual      $1,000.00        $739.00        $2.48  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.21        $2.89  
Class Y           
Actual      $1,000.00        $738.90        $2.88  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.76        $3.35  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.91%, 1.66%, 0.57% and 0.66% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND    BEGINNING
ACCOUNT VALUE
4/1/2022
     ENDING
ACCOUNT VALUE
9/30/2022
     EXPENSES PAID
DURING PERIOD*
4/1/2022 – 9/30/2022
 
Class A           
Actual      $1,000.00        $942.80        $3.17  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.81        $3.29  
Class C           
Actual      $1,000.00        $940.10        $6.81  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.05        $7.08  
Class N           
Actual      $1,000.00        $944.20        $1.71  
Hypothetical (5% return before expenses)      $1,000.00        $1,023.31        $1.78  
Class Y           
Actual      $1,000.00        $945.00        $1.95  
Hypothetical (5% return before expenses)      $1,000.00        $1,023.06        $2.03  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

29  |


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND    BEGINNING
ACCOUNT VALUE
4/1/2022
     ENDING
ACCOUNT VALUE
9/30/2022
     EXPENSES PAID
DURING PERIOD*
4/1/2022 – 9/30/2022
 
Class A           
Actual      $1,000.00        $972.00        $3.46  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.56        $3.55  
Class C           
Actual      $1,000.00        $968.40        $7.15  
Hypothetical (5% return before expenses)      $1,000.00        $1,017.80        $7.33  
Class N           
Actual      $1,000.00        $973.60        $1.98  
Hypothetical (5% return before expenses)      $1,000.00        $1,023.06        $2.03  
Class Y           
Actual      $1,000.00        $974.20        $2.23  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.81        $2.28  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45%, 0.40% and 0.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

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LOOMIS SAYLES CORE PLUS BOND FUND, LOOMIS SAYLES GLOBAL ALLOCATION FUND, LOOMIS SAYLES CREDIT INCOME FUND, LOOMIS SAYLES GROWTH FUND, LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND AND LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements at its June board meeting.

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

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

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2022. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates. The Trustees also considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the

 

31  |


administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements, such as new rules relating to the fair valuation of investments and the use of derivatives.

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

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

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

The Board noted that, through December 31, 2021, each Fund’s one-, three- and five-year performance, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

      One-Year      Three-Year      Five-Year  
Loomis Sayles Core Plus Bond Fund      89      48      38
Loomis Sayles Credit Income Fund      24      N/A        N/A  
Loomis Sayles Global Allocation Fund      34      3      2
Loomis Sayles Growth Fund      68      78      70
Loomis Sayles Intermediate Duration Bond Fund      53      74      84
Loomis Sayles Limited Term Government and Agency Fund      48      53      44

In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent relative performance (i.e., for periods ending March 31, 2022) had improved; (3) that the Fund had outperformed its relevant performance benchmark for the one-year period ended December 31, 2021; and (4) that effective August 31, 2021, the Fund had been assigned to a different category by the independent third-party data provider, which has resulted in significantly improved relative performance and is expected to result in more relevant performance comparisons. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.

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

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

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Advisers to offer competitive compensation and the potential need

 

|  32


to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Advisers for Loomis Sayles Credit Income Fund, Loomis Sayles Intermediate Duration Bond Fund, and Loomis Sayles Limited Term Government and Agency Fund under their respective expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Core Plus Bond Fund, Loomis Sayles Global Allocation Fund, and Loomis Sayles Growth Fund were below each Fund’s limitation. The Trustees also noted that the total advisory fee rate for each Fund was at or below the median of its peer group of funds.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available.

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that each of Loomis Sayles Core Plus Bond Fund, Loomis Sayles Global Allocation Fund and Loomis Sayles Limited Term Government and Agency Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.

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

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

 

 

The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, as well as more recent market volatility, on the performance, asset levels and expense ratios of each Fund.

 

 

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

 

 

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

 

 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreements should be continued through June 30, 2023.

 

33  |


LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2021 and ending December 31, 2021 (including updates through September 30, 2022)

Effective December 1, 2018 (September 29, 2020 for Loomis Sayles Credit Income Fund), the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator, which is the adviser of the Funds.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Core Plus Bond Fund, Loomis Sayles Credit Income Fund and Loomis Sayles Intermediate Duration Bond Fund have established an HLIM.

During the period from January 1, 2021 to December 31, 2021, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

During the period January 1, 2022 through September 30, 2022, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Programs, assessed their adequacy and effectiveness and described any material changes made to the Programs.

 

|  34


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡)
     Description    Value (†)  
  Bonds and Notes — 90.3% of Net Assets  
  Non-Convertible Bonds — 90.2%  
   ABS Car Loan — 1.3%

 

$ 2,396,000      Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, 4.000%, 3/20/2025, 144A    $ 2,354,044  
  6,444,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A      6,191,545  
  7,064,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A      6,295,779  
  8,160,000      Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028, 144A      7,721,318  
  2,024,783      Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025      2,007,344  
  3,525,000      Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026      3,395,364  
  8,181,000      Santander Drive Auto Receivables Trust, Series 2021-1, Class C, 0.750%, 2/17/2026      8,048,086  
  8,315,000      Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026      8,101,392  
  9,095,000      Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027      8,785,526  
  19,695,000      Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.440%, 9/15/2027      19,213,201  
  6,865,000      Westlake Automobile Receivables Trust, Series 2022-2 2A, Class C, 4.850%, 9/15/2027, 144A      6,712,851  
     

 

 

 
        78,826,450  
     

 

 

 
   ABS Home Equity — 0.4%

 

  2,397,234      Bayview Opportunity Master Fund IVa Trust, Series 2017-RT5, Class A, 3.500%, 5/28/2069, 144A(a)      2,316,883  
  2,886,922      CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A      2,722,345  
  12,465      Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a)      12,345  
  1,117,115      Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a)      1,027,540  
  123,837      Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a)      117,643  
  514,562      Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 3/25/2048, 144A(a)      479,624  
  368,208      Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a)      362,129  
  1,298,545      Towd Point Mortgage Trust, Series 2015-1, Class A5, 3.407%, 10/25/2053, 144A(a)      1,252,635  
  4,254,377      Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a)      4,191,392  
  5,101,352      Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055, 144A(a)      4,670,505  
  4,984,640      Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a)      4,781,731  
     

 

 

 
        21,934,772  
     

 

 

 
   ABS Other — 1.6%

 

  9,814,868      CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A      8,402,470  
  14,689,000      DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A      12,014,060  
   ABS Other — continued

 

7,493,025      Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A    7,237,001  
  8,157,600      Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052, 144A      7,066,390  
  13,726,350      Jack in the Box Funding LLC, Series 2022-1A, Class A2II, 4.136%, 2/26/2052, 144A      11,134,239  
  6,910,455      Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A      6,060,745  
  9,561,890      Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(a)      8,125,496  
  4,971,368      OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A      4,943,190  
  13,500,000      OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30-day Average SOFR + 0.760%, 3.045%, 6/16/2036, 144A(b)      12,536,842  
  19,919,800      Textainer Marine Containers Ltd., Series 2021-3A, Class A, 1.940%, 8/20/2046, 144A      16,493,913  
  3,409,172      Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045, 144A      3,025,828  
     

 

 

 
        97,040,174  
     

 

 

 
   ABS Student Loan — 0.3%

 

  4,231,255      Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A      3,843,530  
  9,938,699      Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069, 144A      8,509,981  
  3,968,022      SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053, 144A      3,378,020  
  2,766,830      SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A      2,579,699  
     

 

 

 
        18,311,230  
     

 

 

 
   ABS Whole Business — 0.3%

 

  5,450,013      Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A      4,487,998  
  4,761,075      Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A      4,171,421  
  12,049,450      Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051, 144A      9,718,628  
     

 

 

 
        18,378,047  
     

 

 

 
   Aerospace & Defense — 1.0%

 

  18,336,000      Boeing Co. (The), 1.433%, 2/04/2024      17,418,417  
  13,774,000      Boeing Co. (The), 5.705%, 5/01/2040      12,031,074  
  17,264,000      Boeing Co. (The), 5.805%, 5/01/2050      15,002,275  
  12,659,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      12,041,874  
  1,329,000      Textron, Inc., 3.000%, 6/01/2030      1,094,264  
     

 

 

 
        57,587,904  
     

 

 

 
   Agency Commercial Mortgage-Backed Securities — 0.5%

 

  1,598,000      FHLMC, 3.100%, 6/01/2037      1,330,351  
  2,103,000      FHLMC, 3.100%, 6/01/2037      1,750,768  

 

See accompanying notes to financial statements.

 

35  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Agency Commercial Mortgage-Backed Securities — continued

 

$ 1,725,000      FHLMC, 3.100%, 6/01/2037    $ 1,436,080  
  3,681,713      FHLMC, 3.450%, 5/01/2037      3,272,033  
  1,267,907      FHLMC, 3.700%, 5/01/2037      1,154,095  
  8,725,905      FHLMC, 3.750%, 5/01/2037      7,850,616  
  7,013,000      FNMA, 3.850%, 9/01/2037      6,366,305  
  6,645,429      FNMA, 4.240%, 7/01/2038      6,250,286  
     

 

 

 
        29,410,534  
     

 

 

 
   Airlines — 0.7%

 

  5,874,112      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A      5,516,790  
  5,620,467      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A      4,903,857  
  1,549,026      Continental Airlines Pass Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026      1,453,219  
  14,151,433      Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A      13,180,017  
  9,537,000      Southwest Airlines Co., 5.125%, 6/15/2027      9,336,873  
  3,913,136      United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027      3,601,181  
  2,266,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      2,022,405  
  2,333,000      United Airlines, Inc., 4.625%, 4/15/2029, 144A      1,930,418  
     

 

 

 
        41,944,760  
     

 

 

 
   Automotive — 1.3%

 

  2,945,000      Dana, Inc., 4.250%, 9/01/2030      2,157,069  
  16,142,000      General Motors Co., 5.000%, 4/01/2035      13,242,084  
  6,067,000      General Motors Financial Co., Inc., 2.900%, 2/26/2025      5,668,444  
  10,719,000      Goodyear Tire & Rubber Co. (The), 5.625%, 4/30/2033      8,588,599  
  5,091,000      Hyundai Capital America, 2.375%, 10/15/2027, 144A      4,250,091  
  10,356,000      Hyundai Capital America, 2.650%, 2/10/2025, 144A      9,650,075  
  7,453,000      Hyundai Capital America, 3.000%, 2/10/2027, 144A      6,618,502  
  13,381,000      Lear Corp., 5.250%, 5/15/2049      10,597,130  
  7,676,000      Nissan Motor Co. Ltd., 3.043%, 9/15/2023, 144A      7,462,300  
  6,096,000      Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A      5,587,632  
     

 

 

 
        73,821,926  
     

 

 

 
   Banking — 7.9%

 

  22,501,000      Ally Financial, Inc., 3.050%, 6/05/2023      22,263,433  
  10,051,000      Banco Santander Chile, 2.700%, 1/10/2025, 144A      9,384,920  
  12,000,000      Banco Santander S.A., 1.849%, 3/25/2026      10,361,753  
  3,200,000      Banco Santander S.A., 2.958%, 3/25/2031      2,426,571  
  28,476,000      Bangkok Bank PCL, 4.050%, 3/19/2024, 144A      28,124,892  
  26,146,000      Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025      24,301,948  
  25,210,000      Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027      23,273,248  
  15,740,000      Bank of America Corp., (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033      14,601,250  
  19,564,000      Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042      12,207,825  
  7,864,000      BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A      7,044,110  
  14,513,000      BNP Paribas S.A., (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027, 144A      12,369,048  
   Banking — continued

 

26,613,000      BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A    24,804,145  
  5,935,000      Citigroup, Inc., 4.000%, 8/05/2024      5,804,317  
  1,154,000      Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025      1,069,229  
  9,780,000      Deutsche Bank AG, 0.898%, 5/28/2024      9,033,164  
  10,038,000      Deutsche Bank AG, 1.686%, 3/19/2026      8,735,997  
  9,585,000      Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033      6,213,225  
  6,737,000      Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032      4,537,015  
  9,985,000      Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026      8,478,071  
  6,768,000      Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023      6,754,321  
  12,486,000      Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037      12,444,590  
  1,326,000      HSBC Holdings PLC, 4.950%, 3/31/2030      1,218,323  
  13,610,000      HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025      12,504,217  
  4,740,000      Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A      3,205,235  
  23,355,000      JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030      18,989,716  
  11,576,000      JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031      9,169,304  
  8,120,000      JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033      7,487,903  
  13,895,000      Macquarie Bank Ltd., 3.231%, 3/21/2025, 144A      13,246,446  
  16,028,000      Morgan Stanley, (fixed rate to 4/05/2023, variable rate thereafter), 0.731%, 4/05/2024      15,641,092  
  4,500,000      Morgan Stanley, (fixed rate to 7/20/2032, variable rate thereafter), 4.889%, 7/20/2033      4,169,532  
  7,931,000      Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), 3.591%, 7/22/2028      7,134,648  
  8,220,000      Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), 2.490%, 1/06/2028      6,854,826  
  9,050,000      Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A      7,145,457  
  24,503,000      Societe Generale S.A., 2.625%, 1/22/2025, 144A      22,674,508  
  19,840,000      Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), 3.603%, 1/12/2033, 144A      14,820,877  
  23,346,000      Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A      21,463,435  
  11,566,000      Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025      10,405,451  
  14,720,000      Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024      14,066,333  
  9,213,000      Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029      7,735,152  
  14,630,000      UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A      11,939,847  
     

 

 

 
        464,105,374  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  36


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Building Materials — 0.5%

 

$ 14,390,000      American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029, 144A    $ 11,303,057  
  9,762,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      7,692,246  
  12,838,000      Mohawk Industries, Inc., 3.625%, 5/15/2030      10,693,669  
  17,000      Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A      14,960  
     

 

 

 
        29,703,932  
     

 

 

 
   Cable Satellite — 0.7%

 

  14,940,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A      10,693,753  
  20,290,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 5.500%, 4/01/2063      15,329,257  
  2,885,000      Time Warner Cable LLC, 4.500%, 9/15/2042      1,991,822  
  783,000      Time Warner Cable LLC, 5.500%, 9/01/2041      614,588  
  2,245,000      Time Warner Cable LLC, 5.875%, 11/15/2040      1,848,115  
  7,162,000      Time Warner Cable LLC, 6.550%, 5/01/2037      6,462,203  
  1,707,000      Time Warner Cable LLC, 6.750%, 6/15/2039      1,525,880  
     

 

 

 
        38,465,618  
     

 

 

 
   Chemicals — 1.4%

 

  1,610,000      Alpek SAB de CV, 3.250%, 2/25/2031, 144A      1,190,097  
  8,370,000      Ashland LLC, 3.375%, 9/01/2031, 144A      6,469,299  
  20,853,000      Braskem America Finance Co., 7.125%, 7/22/2041, 144A      18,219,601  
  6,925,000      Celanese U.S. Holdings LLC, 6.050%, 3/15/2025      6,764,660  
  2,795,000      Celanese U.S. Holdings LLC, 6.330%, 7/15/2029      2,605,010  
  6,020,000      Celanese U.S. Holdings LLC, 6.379%, 7/15/2032      5,594,205  
  6,317,000      Koppers, Inc., 6.000%, 2/15/2025, 144A      5,653,715  
  9,071,000      Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A      7,054,517  
  9,466,000      Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A      8,435,359  
  3,732,000      RPM International, Inc., 3.450%, 11/15/2022      3,727,158  
  3,630,000      Sociedad Quimica y Minera de Chile S.A., 3.500%, 9/10/2051, 144A      2,418,161  
  11,424,000      Sociedad Quimica y Minera de Chile S.A., 4.250%, 1/22/2050, 144A      9,036,384  
  3,309,000      Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A      2,945,010  
     

 

 

 
        80,113,176  
     

 

 

 
   Collateralized Mortgage Obligations — 0.1%

 

  228,190      Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 2.707%, 10/20/2060(b)      225,871  
  162,225      Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 2.877%, 8/20/2062(b)      161,314  
  3,505      Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(c)      3,299  
  12,519      Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(c)      10,941  
  24,383      Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)      22,882  
  83,626      Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(c)      75,003  
  7,258,551      Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065      7,017,636  
   Collateralized Mortgage Obligations — continued

 

10,987      Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 2.637%, 5/20/2063(b)(c)    10,734  
     

 

 

 
        7,527,680  
     

 

 

 
   Construction Machinery — 0.1%

 

  5,805,000      CNH Industrial Capital LLC, 1.950%, 7/02/2023      5,681,760  
     

 

 

 
   Consumer Cyclical Services — 0.0%

 

  1,791,000      Expedia Group, Inc., 6.250%, 5/01/2025, 144A      1,802,686  
     

 

 

 
   Consumer Products — 0.3%

 

  2,157,000      Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A      1,723,098  
  6,250,000      Natura &Co Luxembourg Holdings S.a.r.l., 6.000%, 4/19/2029, 144A      5,150,812  
  11,615,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      9,175,850  
  5,155,000      Valvoline, Inc., 3.625%, 6/15/2031, 144A      3,796,602  
     

 

 

 
        19,846,362  
     

 

 

 
   Electric — 1.9%

 

  3,587,000      AES Corp. (The), 3.300%, 7/15/2025, 144A      3,307,680  
  1,609,000      AES Corp. (The), 3.950%, 7/15/2030, 144A      1,377,787  
  4,863,000      Calpine Corp., 3.750%, 3/01/2031, 144A      3,805,297  
  12,404,000      Calpine Corp., 5.000%, 2/01/2031, 144A      9,855,687  
  12,220,000      CenterPoint Energy, Inc., SOFR Index + 0.650%, 3.303%, 5/13/2024(b)      12,050,436  
  12,579,000      Clearway Energy Operating LLC, 3.750%, 2/15/2031, 144A      9,991,217  
  24,347,544      Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A      21,960,069  
  2,415,000      DPL, Inc., 4.350%, 4/15/2029      2,016,525  
  852,000      Edison International, 4.950%, 4/15/2025      834,718  
  2,811,000      Enel Americas S.A., 4.000%, 10/25/2026      2,652,179  
  2,853,000      Enel Generacion Chile S.A., 4.250%, 4/15/2024      2,760,278  
  5,316,000      Entergy Corp., 2.800%, 6/15/2030      4,306,064  
  14,622,000      National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043      13,303,954  
  3,800,000      NRG Energy, Inc., 3.875%, 2/15/2032, 144A      2,964,171  
  5,584,000      Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028, 144A      4,841,049  
  3,499,000      PG&E Corp., 5.000%, 7/01/2028      3,008,987  
  7,133,000      Transelec S.A., 4.250%, 1/14/2025, 144A      6,919,010  
  3,713,000      Transelec S.A., 4.625%, 7/26/2023, 144A      3,661,946  
     

 

 

 
        109,617,054  
     

 

 

 
   Finance Companies — 2.3%

 

  6,365,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028      5,104,511  
  1,370,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/23/2023      1,362,328  
  16,050,000      Air Lease Corp., GMTN, 3.750%, 6/01/2026      14,671,449  
  21,287,000      Aircastle Ltd., 2.850%, 1/26/2028, 144A      16,525,326  
  23,047,000      Ares Capital Corp., 2.150%, 7/15/2026      19,315,070  
  15,425,000      Avolon Holdings Funding Ltd., 2.750%, 2/21/2028, 144A      12,112,550  
  17,929,000      FS KKR Capital Corp., 3.400%, 1/15/2026      15,819,336  
  6,000,000      Navient Corp., 5.000%, 3/15/2027      4,907,471  
  7,547,000      Navient Corp., MTN, 6.125%, 3/25/2024      7,348,891  
  2,850,000      OneMain Finance Corp., 3.500%, 1/15/2027      2,220,072  
  9,915,000      OneMain Finance Corp., 3.875%, 9/15/2028      7,300,018  
  4,537,000      Owl Rock Capital Corp., 2.625%, 1/15/2027      3,665,830  
  14,397,000      Owl Rock Capital Corp., 3.400%, 7/15/2026      12,352,650  

 

See accompanying notes to financial statements.

 

37  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Finance Companies — continued

 

$ 11,958,000      Owl Rock Technology Finance Corp., 3.750%, 6/17/2026, 144A    $ 10,346,404  
  6,769,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      4,906,536  
  1,155,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A      794,078  
     

 

 

 
        138,752,520  
     

 

 

 
   Financial Other — 0.1%

 

  4,763,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029      3,833,643  
     

 

 

 
   Food & Beverage — 1.0%

 

  5,573,000      Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046      4,843,383  
  12,823,000      Anheuser-Busch InBev Worldwide, Inc., 4.350%, 6/01/2040      10,860,449  
  6,243,000      Anheuser-Busch InBev Worldwide, Inc., 4.600%, 6/01/2060      4,921,490  
  15,008,000      BRF S.A., 5.750%, 9/21/2050, 144A      10,350,117  
  3,117,000      Gruma SAB de CV, 4.875%, 12/01/2024, 144A      3,065,601  
  10,765,000      Minerva Luxembourg S.A., 4.375%, 3/18/2031, 144A      8,154,487  
  9,784,000      Post Holdings, Inc., 4.500%, 9/15/2031, 144A      7,876,120  
  12,674,000      Post Holdings, Inc., 4.625%, 4/15/2030, 144A      10,408,522  
  1,599,000      Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A      1,234,653  
     

 

 

 
        61,714,822  
     

 

 

 
   Government Owned – No Guarantee — 2.1%

 

  6,872,000      Antares Holdings LP, 3.950%, 7/15/2026, 144A      5,875,584  
  17,141,000      BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A      16,183,352  
  3,903,000      Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A      2,191,262  
  8,165,000      Freeport Indonesia PT, 5.315%, 4/14/2032, 144A      6,735,227  
  18,956,000      NBN Co. Ltd., 1.450%, 5/05/2026, 144A      16,539,254  
  6,985,000      OCP S.A., 3.750%, 6/23/2031, 144A      5,290,551  
  19,460,000      OCP S.A., 5.625%, 4/25/2024, 144A      19,335,106  
  6,236,000      Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A      6,191,662  
  8,035,000      SA Global Sukuk Ltd., 0.946%, 6/17/2024, 144A      7,494,245  
  10,588,000      Saudi Arabian Oil Co., 3.500%, 11/24/2070, 144A      6,829,260  
  11,825,000      Tennessee Valley Authority, 4.250%, 9/15/2065      10,546,044  
  7,669,000      Tennessee Valley Authority, 4.625%, 9/15/2060      7,498,883  
  5,427,000      Tennessee Valley Authority, 4.875%, 1/15/2048      5,395,729  
  9,290,000      Tennessee Valley Authority, 5.250%, 9/15/2039      9,884,463  
     

 

 

 
        125,990,622  
     

 

 

 
   Health Insurance — 0.2%

 

  1,886,000      Centene Corp., 2.500%, 3/01/2031      1,421,632  
  2,495,000      Centene Corp., 2.625%, 8/01/2031      1,880,415  
  7,364,000      Centene Corp., 3.375%, 2/15/2030      6,020,070  
     

 

 

 
        9,322,117  
     

 

 

 
   Healthcare — 0.2%

 

  11,660,000      HCA, Inc., 4.625%, 3/15/2052, 144A      8,757,859  
     

 

 

 
   Home Construction — 0.2%

 

  4,091,000      Forestar Group, Inc., 3.850%, 5/15/2026, 144A      3,364,893  
  246,000      Lennar Corp., 4.500%, 4/30/2024      241,428  
  9,190,000      NVR, Inc., 3.000%, 5/15/2030      7,502,900  
     

 

 

 
        11,109,221  
     

 

 

 
   Independent Energy — 0.7%

 

2,626,000      Aker BP ASA, 3.000%, 1/15/2025, 144A    2,459,787  
  8,277,000      Devon Energy Corp., 4.500%, 1/15/2030      7,533,811  
  11,391,292      Energean Israel Finance Ltd., 4.500%, 3/30/2024, 144A      10,679,336  
  1,765,000      EQT Corp., 3.125%, 5/15/2026, 144A      1,607,405  
  4,696,000      EQT Corp., 3.900%, 10/01/2027      4,273,347  
  601,000      EQT Corp., 5.000%, 1/15/2029      560,755  
  9,078,204      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      8,562,108  
  7,181,000      Pan American Energy LLC, 9.125%, 4/30/2027, 144A      7,904,414  
     

 

 

 
        43,580,963  
     

 

 

 
   Industrial Other — 0.1%

 

  3,408,000      Georgetown University (The), Class A, 5.215%, 10/01/2118      2,879,249  
     

 

 

 
   Life Insurance — 0.2%

 

  12,491,000      Brighthouse Financial, Inc., 5.625%, 5/15/2030      11,708,216  
  2,327,000      OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050, 144A      1,689,495  
     

 

 

 
        13,397,711  
     

 

 

 
   Lodging — 0.1%

 

  5,147,000      Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A      3,942,081  
     

 

 

 
   Media Entertainment — 1.0%

 

  9,549,000      AMC Networks, Inc., 4.250%, 2/15/2029      7,060,153  
  54,020,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)      1,644,620  
  5,808,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029, 144A      4,562,184  
  11,303,000      Prosus NV, 3.680%, 1/21/2030, 144A      8,468,899  
  14,750,000      Prosus NV, 3.832%, 2/08/2051, 144A      8,185,100  
  15,925,000      Warnermedia Holdings, Inc., 3.528%, 3/15/2024, 144A      15,370,014  
  18,750,000      Warnermedia Holdings, Inc., 5.391%, 3/15/2062, 144A      13,591,500  
     

 

 

 
        58,882,470  
     

 

 

 
   Metals & Mining — 0.9%

 

  1,835,000      Anglo American Capital PLC, 2.250%, 3/17/2028, 144A      1,507,151  
  2,245,000      Anglo American Capital PLC, 3.875%, 3/16/2029, 144A      1,929,161  
  3,322,000      Anglo American Capital PLC, 3.950%, 9/10/2050, 144A      2,261,242  
  7,696,000      Anglo American Capital PLC, 5.625%, 4/01/2030, 144A      7,281,153  
  10,977,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      8,426,582  
  14,183,000      Fresnillo PLC, 4.250%, 10/02/2050, 144A      9,762,584  
  24,397,000      Glencore Funding LLC, 2.500%, 9/01/2030, 144A      18,668,096  
  3,555,000      SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A      2,740,941  
     

 

 

 
        52,576,910  
     

 

 

 
   Midstream — 1.3%

 

  568,000      Energy Transfer LP, 5.150%, 2/01/2043      448,454  
  125,000      Energy Transfer LP, 5.400%, 10/01/2047      101,209  
  4,900,000      Energy Transfer LP, 5.950%, 10/01/2043      4,245,209  
  8,548,000      Energy Transfer LP, 6.500%, 2/01/2042      7,954,947  
  1,338,000      Energy Transfer LP, 6.625%, 10/15/2036      1,270,348  
  2,445,000      EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A      2,259,396  

 

See accompanying notes to financial statements.

 

|  38


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Midstream — continued

 

$ 2,014,000      Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A    $ 1,805,415  
  982,000      Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A      868,294  
  3,060,000      Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024      3,018,308  
  9,503,000      Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024      9,372,135  
  15,243,000      Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A      15,248,649  
  5,694,000      Rattler Midstream LP, 5.625%, 7/15/2025, 144A      5,765,175  
  12,205,000      Sempra Global, 3.250%, 1/15/2032, 144A      9,714,361  
  6,783,000      Southern Natural Gas Co. LLC, 0.625%, 4/28/2023, 144A      6,596,952  
  930,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027      919,154  
  10,936,000      Williams Cos., Inc. (The), 3.500%, 11/15/2030      9,284,489  
     

 

 

 
        78,872,495  
     

 

 

 
   Mortgage Related — 26.8%

 

  62,968,845      FHLMC, 1.500%, with various maturities from 2050 to 2051(d)      46,749,430  
  177,619,453      FHLMC, 2.000%, with various maturities from 2050 to 2052(d)      144,054,117  
  237,282,200      FHLMC, 2.500%, with various maturities from 2050 to 2052(d)      199,604,662  
  56,860,573      FHLMC, 3.000%, with various maturities from 2042 to 2052(d)      49,827,711  
  17,303,124      FHLMC, 3.500%, with various maturities from 2043 to 2052(d)      15,743,012  
  25,220,962      FHLMC, 4.000%, with various maturities from 2044 to 2052(d)      23,463,877  
  93,632,862      FHLMC, 4.500%, with various maturities from 2041 to 2052(d)      89,492,656  
  15,149,380      FHLMC, 5.000%, with various maturities from 2048 to 2052(d)      14,973,000  
  4,358      FHLMC, 6.000%, 6/01/2035      4,584  
  44,693,605      FNMA, 1.500%, with various maturities from 2050 to 2051(d)      34,141,525  
  394,203,005      FNMA, 2.000%, with various maturities from 2037 to 2052(d)      324,813,072  
  164,162,130      FNMA, 2.500%, with various maturities from 2045 to 2052(d)      138,311,361  
  67,682,958      FNMA, 3.000%, with various maturities from 2045 to 2052(d)      59,549,056  
  116,916,224      FNMA, 3.500%, with various maturities from 2043 to 2052(d)      105,615,029  
  126,382,584      FNMA, 4.000%, with various maturities from 2041 to 2052(d)      119,234,100  
  32,888,345      FNMA, 4.500%, with various maturities from 2043 to 2052(d)      31,601,488  
  123,581,921      FNMA, 5.000%, with various maturities from 2048 to 2052(d)      120,640,721  
  3,328,224      FNMA, 5.500%, 4/01/2050      3,317,341  
  2,135,505      FNMA, 6.000%, with various maturities from 2034 to 2049(d)      2,199,160  
  5,272      FNMA, 6.500%, with various maturities from 2029 to 2031(d)      5,434  
  17,562      FNMA, 7.000%, with various maturities in 2030(d)      17,708  
  10,296      FNMA, 7.500%, with various maturities from 2024 to 2032(d)      10,620  
  1,320      GNMA, 3.890%, 12/20/2062(a)      1,228  
  6,514      GNMA, 3.980%, 7/20/2063(a)      6,340  
   Mortgage Related — continued

 

5,115      GNMA, 4.317%, 8/20/2061(a)    5,008  
  19,397      GNMA, 4.390%, with various maturities in 2062(a)(d)      18,263  
  5,394,383      GNMA, 4.392%, 12/20/2066(a)      5,305,869  
  2,411,038      GNMA, 4.421%, 2/20/2066(a)      2,378,083  
  2,202      GNMA, 4.422%, 5/20/2063(a)      2,149  
  4,072,836      GNMA, 4.426%, 11/20/2066(a)      4,030,482  
  1,521,956      GNMA, 4.438%, 10/20/2066(a)      1,499,239  
  1,179,340      GNMA, 4.447%, 2/20/2066(a)      1,162,525  
  1,445,350      GNMA, 4.450%, 6/20/2066(a)      1,428,437  
  2,706,764      GNMA, 4.496%, 12/20/2064(a)      2,686,652  
  3,638,953      GNMA, 4.497%, with various maturities from 2063 to 2066(a)(d)      3,606,801  
  2,995,378      GNMA, 4.542%, 6/20/2066(a)      2,962,751  
  2,506,957      GNMA, 4.547%, 2/20/2065(a)      2,488,921  
  3,271,716      GNMA, 4.565%, 12/20/2064(a)      3,246,663  
  2,032,636      GNMA, 4.569%, 6/20/2064(a)      2,022,188  
  3,781,444      GNMA, 4.604%, 10/20/2064(a)      3,756,299  
  360,792      GNMA, 4.611%, 1/20/2064(a)      359,646  
  1,042,659      GNMA, 4.622%, 1/20/2065(a)      1,034,994  
  1,444,123      GNMA, 4.624%, 4/20/2066(a)      1,433,483  
  3,325,063      GNMA, 4.628%, 2/20/2065(a)      3,297,466  
  1,431,824      GNMA, 4.632%, 3/20/2065(a)      1,421,389  
  2,789,266      GNMA, 4.634%, 3/20/2066(a)      2,761,495  
  1,703,760      GNMA, 4.657%, with various maturities from 2063 to 2064(a)(d)      1,698,436  
  7,192,084      GNMA, 4.659%, with various maturities from 2064 to 2066(a)(d)      7,133,921  
  2,833,564      GNMA, 4.665%, 1/20/2065(a)      2,816,184  
  1,243,012      GNMA, 4.700%, with various maturities from 2062 to 2066(a)(d)      1,229,573  
  2,640,876      GNMA, 4.714%, 1/20/2064(a)      2,632,550  
  87,018      GNMA, 5.500%, 4/15/2038      91,514  
  17,762      GNMA, 6.000%, with various maturities from 2029 to 2038(d)      18,468  
  21,012      GNMA, 6.500%, with various maturities from 2029 to 2032(d)      21,712  
  19,763      GNMA, 7.000%, 9/15/2025      19,837  
  2,312      GNMA, 7.500%, with various maturities from 2025 to 2030(d)      2,341  
     

 

 

 
        1,585,950,571  
     

 

 

 
   Natural Gas — 0.0%

 

  2,701,000      Boston Gas Co., 3.001%, 8/01/2029, 144A      2,270,090  
     

 

 

 
   Non-Agency Commercial Mortgage-Backed Securities — 2.2%

 

  22,085,000      AOA Mortgage Trust, Series 2021-1177, Class A, 1-month LIBOR + 0.874%, 3.692%, 10/15/2038, 144A(b)      20,981,435  
  1,531,640      BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052      1,422,153  
  3,409,380      BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062      2,954,405  
  12,696,152      BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062      10,955,644  
  6,138,240      BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062      5,275,909  
  7,135,000      BPR Trust, Series 2021-NRD, Class A, 1-month SOFR + 1.525%, 4.447%, 12/15/2023, 144A(b)      6,828,766  
  14,179,842      Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072      12,308,486  
  7,070,071      Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052      6,134,353  

 

See accompanying notes to financial statements.

 

39  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued

 

$ 8,877,514      Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053    $ 7,471,280  
  860,863      Commercial Mortgage Trust, Series 2010-C1, Class D, 5.985%, 7/10/2046, 144A(a)      840,410  
  2,112,208      Credit Suisse Mortgage Trust, Series 2014-USA, Class A1,3.304%, 9/15/2037, 144A      1,925,485  
  11,367,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A      10,317,915  
  6,360,852      Extended Stay America Trust, Series 2021-ESH, Class A, 1-month LIBOR + 1.080%, 3.898%, 7/15/2038, 144A(b)      6,160,985  
  1,475,916      Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 5.068%, 7/15/2038, 144A(b)      1,413,045  
  5,627,003      GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.302%, 8/10/2044, 144A(a)      4,657,686  
  2,317,554      GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)      2,124,234  
  6,596,065      GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053      5,653,553  
  8,370,000      MedTrust, Series 2021-MDLN, Class A, 1-month LIBOR + 0.950%, 3.768%, 11/15/2038, 144A(b)      8,034,504  
  3,825,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.295%, 8/15/2046(a)      3,776,680  
  4,178,362      UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.185%, 3/10/2046      4,162,568  
  4,982,141      WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D,4.987%, 6/15/2044, 144A(a)      4,413,122  
  5,245,978      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047      5,072,252  
     

 

 

 
        132,884,870  
     

 

 

 
   Paper — 0.2%

 

  11,675,000      Klabin Austria GmbH, 7.000%, 4/03/2049, 144A      9,831,885  
     

 

 

 
   Pharmaceuticals — 0.3%

 

  10,284,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      8,438,022  
  7,588,000      Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025      7,386,197  
  2,903,000      Viatris, Inc., 4.000%, 6/22/2050      1,737,712  
     

 

 

 
        17,561,931  
     

 

 

 
   Property & Casualty Insurance — 0.1%

 

  2,585,000      Ascot Group Ltd., 4.250%, 12/15/2030, 144A      2,154,341  
  5,865,000      Liberty Mutual Group, Inc., 3.950%, 5/15/2060, 144A      3,704,533  
     

 

 

 
        5,858,874  
     

 

 

 
   Refining — 0.3%

 

  21,664,000      Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A      16,963,995  
     

 

 

 
   REITs – Apartments — 0.0%

 

  1,715,000      American Homes 4 Rent, 3.375%, 7/15/2051      1,056,043  
     

 

 

 
   REITs – Diversified — 0.3%

 

  3,790,000      EPR Properties, 3.600%, 11/15/2031      2,707,800  
  13,668,000      iStar, Inc., 4.250%, 8/01/2025      13,258,611  
     

 

 

 
        15,966,411  
     

 

 

 
   Retailers — 0.8%

 

3,081,000      Alibaba Group Holding Ltd., 3.250%, 2/09/2061    1,737,645  
  12,000      Asbury Automotive Group, Inc., 4.500%, 3/01/2028      10,140  
  242,000      Asbury Automotive Group, Inc., 4.750%, 3/01/2030      188,998  
  10,405,000      Dick’s Sporting Goods, Inc., 4.100%, 1/15/2052      6,429,983  
  22,769,000      El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A      21,562,243  
  8,985,000      Falabella S.A., 3.375%, 1/15/2032, 144A      6,708,740  
  20,000      Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A      16,104  
  856,000      Hanesbrands, Inc., 4.625%, 5/15/2024, 144A      816,196  
  2,037,000      Hanesbrands, Inc., 4.875%, 5/15/2026, 144A      1,831,161  
  6,632,000      Lithia Motors, Inc., 4.375%, 1/15/2031, 144A      5,430,149  
  4,582,000      MercadoLibre, Inc., 3.125%, 1/14/2031      3,321,950  
     

 

 

 
        48,053,309  
     

 

 

 
   Sovereigns — 0.7%

 

  12,229,000      Dominican Republic, 4.875%, 9/23/2032, 144A      9,193,900  
  10,070,000      Dominican Republic, 5.300%, 1/21/2041, 144A      6,804,172  
  15,265,000      Egypt Government International Bond, 7.625%, 5/29/2032, 144A      9,184,828  
  17,772,000      Republic of Ghana, 7.750%, 4/07/2029, 144A      6,708,930  
  14,320,000      Republic of South Africa Government International Bond, 7.300%, 4/20/2052      10,838,808  
     

 

 

 
        42,730,638  
     

 

 

 
   Supermarkets — 0.1%

 

  8,705,000      Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.250%, 3/15/2026, 144A      7,645,924  
     

 

 

 
   Technology — 2.2%

 

  2,425,000      Baidu, Inc., 2.375%, 10/09/2030      1,914,925  
  4,515,000      Baidu, Inc., 3.075%, 4/07/2025      4,269,790  
  3,890,000      Broadcom, Inc., 3.137%, 11/15/2035, 144A      2,725,720  
  10,254,000      Corning, Inc., 5.450%, 11/15/2079      8,384,614  
  2,133,000      Equifax, Inc., 2.600%, 12/15/2025      1,950,583  
  2,544,000      Equifax, Inc., 3.300%, 12/15/2022      2,543,037  
  4,324,000      Equifax, Inc., 7.000%, 7/01/2037      4,549,613  
  11,320,000      HCL America, Inc., 1.375%, 3/10/2026, 144A      9,938,847  
  6,756,000      Hewlett Packard Enterprise Co., 4.450%, 10/02/2023      6,726,605  
  14,421,000      Hewlett Packard Enterprise Co., 6.200%, 10/15/2035      14,107,621  
  12,214,000      Iron Mountain, Inc., 4.500%, 2/15/2031, 144A      9,443,620  
  5,460,000      Jabil, Inc., 3.000%, 1/15/2031      4,307,780  
  11,294,000      Microchip Technology, Inc., 2.670%, 9/01/2023      11,006,455  
  6,371,000      Microchip Technology, Inc., 4.333%, 6/01/2023      6,340,106  
  6,151,000      Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A      5,826,794  
  13,801,000      Oracle Corp., 4.100%, 3/25/2061      8,688,692  
  4,505,000      Qorvo, Inc., 1.750%, 12/15/2024, 144A      4,152,765  
  3,513,000      Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A      3,146,351  
  39,000      Science Applications International Corp., 4.875%, 4/01/2028, 144A      34,697  
  4,204,000      Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A      3,311,512  
  14,793,000      Tencent Holdings Ltd., 3.290%, 6/03/2060, 144A      8,426,242  
  11,682,000      Ziff Davis, Inc., 4.625%, 10/15/2030, 144A      9,579,240  
     

 

 

 
        131,375,609  
     

 

 

 
   Tobacco — 0.5%

 

  31,751,000      BAT Capital Corp., 2.789%, 9/06/2024      30,185,412  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Transportation Services — 0.1%

 

$ 5,293,000      Ryder System, Inc., MTN, 2.500%, 9/01/2024    $ 5,051,897  
     

 

 

 
   Treasuries — 23.0%

 

  8,220,100(††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)      35,816,281  
  25,562,431(††)      Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)      119,789,744  
  468,727,000      Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU)      9,945,928  
  49,100,000      U.S. Treasury Bond, 1.125%, 8/15/2040      30,415,148  
  154,795,000      U.S. Treasury Bond, 1.750%, 8/15/2041      105,835,035  
  234,700,000      U.S. Treasury Bond, 2.000%, 11/15/2041      167,975,522  
  73,240,000      U.S. Treasury Bond, 2.250%, 2/15/2052      53,213,438  
  71,990,000      U.S. Treasury Bond, 2.375%, 2/15/2042      55,162,337  
  102,735,000      U.S. Treasury Bond, 2.875%, 5/15/2052      86,152,929  
  30,540,000      U.S. Treasury Bond, 3.000%, 8/15/2052      26,354,358  
  46,925,000      U.S. Treasury Bond, 3.250%, 5/15/2042      41,645,938  
  105,150,000      U.S. Treasury Note, 2.750%, 7/31/2027      99,013,511  
  169,775,000      U.S. Treasury Note, 2.750%, 8/15/2032      155,238,016  
  1,135,000      U.S. Treasury Note, 2.875%, 5/15/2032      1,049,343  
  2,250,000      U.S. Treasury Note, 3.125%, 8/31/2027      2,158,242  
  206,885,000      U.S. Treasury Note, 3.125%, 8/31/2029      196,346,795  
  5,300,000      U.S. Treasury Note, 3.250%, 8/31/2024      5,204,352  
  80,895,000      U.S. Treasury Note, 4.125%, 9/30/2027      81,160,437  
  4,253,157,000      Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU)      84,182,683  
  93,095,000      Uruguay Government International Bond, 8.500%, 3/15/2028, (UYU)      1,975,385  
     

 

 

 
        1,358,635,422  
     

 

 

 
   Utility Other — 0.3%

 

  22,525,858      Acwa Power Management & Investments One Ltd., 5.950%, 12/15/2039, 144A      20,136,856  
     

 

 

 
   Wireless — 1.0%

 

  5,400,000      America Movil SAB de CV, 2.875%, 5/07/2030      4,535,027  
  14,780,000      America Movil SAB de CV, 5.375%, 4/04/2032, 144A      12,736,813  
  18,567,000      Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A      17,905,866  
  983,000      Crown Castle, Inc., 4.150%, 7/01/2050      728,767  
  5,305,000      Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A      3,899,175  
  7,180,000      Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A      5,498,085  
  5,452,000      Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A      3,886,949  
  11,510,000      SBA Communications Corp., 3.125%, 2/01/2029      9,257,147  
     

 

 

 
        58,447,829  
     

 

 

 
   Wirelines — 0.6%

 

  17,028,000      AT&T, Inc., 1.700%, 3/25/2026      15,142,815  
  7,956,000      AT&T, Inc., 3.500%, 9/15/2053      5,301,406  
  1,863,000      AT&T, Inc., 3.650%, 6/01/2051      1,258,562  
  11,391,000      AT&T, Inc., 3.650%, 9/15/2059      7,380,234  
  7,539,000      AT&T, Inc., 3.800%, 12/01/2057      5,092,931  
     

 

 

 
        34,175,948  
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $6,223,128,302)
     5,332,515,636  
     

 

 

 
     
  Municipals — 0.1%  
   Virginia — 0.1%

 

12,785,000      University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119    7,718,386  
     

 

 

 
   Total Municipals
(Identified Cost $12,785,000)
     7,718,386  
     

 

 

 
     
   Total Bonds and Notes
(Identified Cost $6,235,913,302)
     5,340,234,022  
     

 

 

 
     
  Senior Loans — 2.9%  
   Brokerage — 0.2%

 

  5,479,198      AllSpring Buyer LLC, Term Loan B, 3-month LIBOR + 3.000%, 6.688%, 11/01/2028(b)(e)      5,309,343  
  3,609,725      Citadel Securities LP, 2021 Term Loan B, 1-month SOFR + 2.500%, 5.649%, 2/02/2028(b)(f)      3,500,531  
     

 

 

 
        8,809,874  
     

 

 

 
   Building Materials — 0.4%

 

  7,498,870      American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1-month LIBOR + 2.000%, 5.115%, 1/15/2027(b)(f)      7,250,507  
  8,249,737      Beacon Roofing Supply, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 5.365%, 5/19/2028(b)(f)      7,940,372  
  5,190,738      Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.625%, 5.740%, 2/01/2027(b)(f)      4,974,440  
  4,017,819      Quikrete Holdings, Inc., 2021 Term Loan B1, 1-month LIBOR + 3.000%, 6.115%, 6/11/2028(b)(f)      3,858,794  
     

 

 

 
        24,024,113  
     

 

 

 
   Cable Satellite — 0.3%

 

  6,779,501      CSC Holdings LLC, 2017 Term Loan B1, 1-month LIBOR + 2.250%, 5.068%, 7/17/2025(b)(f)      6,444,797  
  6,942,629      UPC Broadband Holding BV, 2020 USD Term Loan AT, 1-month LIBOR + 2.250%, 5.068%, 4/30/2028(b)(f)      6,595,497  
  3,715,845      Virgin Media Bristol LLC, USD Term Loan N, 1-month LIBOR + 2.500%, 5.318%, 1/31/2028(b)(f)      3,540,383  
     

 

 

 
        16,580,677  
     

 

 

 
   Consumer Cyclical Services — 0.3%

 

  8,123,723      AEA International Holdings (Lux) S.a.r.l., Term Loan B, 3-month LIBOR + 3.750%, 7.438%, 9/07/2028(b)(e)      7,900,320  
  4,300,563      RE/MAX International, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 5.625%, 7/21/2028(b)(e)      4,028,208  
  5,634,401      Uber Technologies, Inc., 2021 Term Loan B, 3-month LIBOR + 3.500%, 6.570%, 2/25/2027(b)(f)      5,481,484  
     

 

 

 
        17,410,012  
     

 

 

 
   Consumer Products — 0.1%

 

  4,199,032      Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 4.935%, 4/07/2025(b)(f)      4,073,817  
  2,764,814      SRAM LLC, 2021 Term Loan B, LIBOR + 2.750%, 5.824%, 5/18/2028(e)(g)      2,605,837  
     

 

 

 
        6,679,654  
     

 

 

 

 

See accompanying notes to financial statements.

 

41  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Diversified Manufacturing — 0.0%

 

$ 857,552      Griffon Corp., Term Loan B, 1-month SOFR + 2.500%, 5.564%, 1/24/2029(b)(e)    $ 822,538  
     

 

 

 
   Electric — 0.3%

 

  5,712,754      Calpine Corp., 2019 Term Loan B10, 1-month LIBOR + 2.000%, 5.115%, 8/12/2026(b)(f)      5,469,962  
  2,093,497      Calpine Corp., Term Loan B9, 1-month LIBOR + 2.000%, 5.120%, 4/05/2026(b)(f)      2,008,878  
  7,609,776      Pacific Gas & Electric Co., 2020 Term Loan, 1-month LIBOR + 3.000%, 6.125%, 6/23/2025(b)(e)      7,263,531  
     

 

 

 
        14,742,371  
     

 

 

 
   Financial Other — 0.1%

 

  3,626,437      Trans Union LLC, 2019 Term Loan B5, 1-month LIBOR + 1.750%, 4.865%, 11/16/2026(b)(f)      3,492,259  
     

 

 

 
   Food & Beverage — 0.1%

 

  6,976,941      Aramark Services, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 5.615%, 4/06/2028(b)(f)      6,813,401  
     

 

 

 
   Gaming — 0.1%

 

  4,413,275      Churchill Downs, Inc., 2021 Incremental Term Loan B1, 1-month LIBOR + 2.000%, 5.120%, 3/17/2028(b)(f)      4,266,180  
     

 

 

 
   Healthcare — 0.1%

 

  6,233,458      Change Healthcare Holdings LLC, 2017 Term Loan B, 3-month Prime + 1.500%, 7.750%, 3/01/2024(b)(f)      6,209,210  
     

 

 

 
   Media Entertainment — 0.2%

 

  4,587,150      E.W. Scripps Co. (The), 2020 Term Loan B3, 1-month LIBOR + 2.750%, 5.865%, 1/07/2028(b)(h)      4,428,251  
  2,685,459      Sinclair Television Group, Inc., Term Loan B2B, 1-month LIBOR + 2.500%, 5.620%, 9/30/2026(b)(f)      2,537,758  
  5,882,533      WMG Acquisition Corp., 2021 Term Loan G, 1-month LIBOR + 2.125%, 5.240%, 1/20/2028(b)(f)      5,691,351  
     

 

 

 
        12,657,360  
     

 

 

 
   Pharmaceuticals — 0.1%

 

  8,849,865      Elanco Animal Health, Inc., Term Loan B, 1-month LIBOR + 1.750%, 4.314%, 8/01/2027(b)(f)      8,401,884  
     

 

 

 
   Property & Casualty Insurance — 0.1%

 

  5,498,087      Asurion LLC, 2020 Term Loan B8, 1-month LIBOR + 3.250%, 6.365%, 12/23/2026(b)(f)      4,649,348  
  2,066,623      USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 3.250%, 6.924%, 12/02/2026(b)(f)      1,985,673  
     

 

 

 
        6,635,021  
     

 

 

 
   Restaurants — 0.1%

 

  4,899,700      1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 4.871%, 11/19/2026(b)(f)      4,674,853  
     

 

 

 
   Retailers — 0.1%

 

  6,596,531      Restoration Hardware, Inc., Term Loan B, 1-month LIBOR + 2.500%, 5.615%, 10/20/2028(b)(e)      5,829,684  
     

 

 

 
   Technology — 0.3%

 

7,456,975      Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 4.865%, 1/02/2026(b)(f)    7,226,256  
  2,976,840      Sabre GLBL, Inc., 2021 Term Loan B1, 1-month LIBOR + 3.500%, 6.615%, 12/17/2027(b)(e)      2,658,080  
  4,745,260      Sabre GLBL, Inc., 2021 Term Loan B2, 1-month LIBOR + 3.500%, 6.615%, 12/17/2027(b)(e)      4,237,138  
  6,621,516      SS&C Technologies, Inc., 2018 Term Loan B5, 1-month LIBOR + 1.750%, 4.865%, 4/16/2025(b)(f)      6,414,593  
     

 

 

 
        20,536,067  
     

 

 

 
   Total Senior Loans
(Identified Cost $176,199,229)
     168,585,158  
     

 

 

 
     
  Collateralized Loan Obligations — 1.7%  
  1,585,000      AMMC CLO Ltd., Series 2018-22A, Class D, 3-month LIBOR + 2.700%, 5.483%, 4/25/2031, 144A(b)      1,365,051  
  400,000      Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 4.012%, 10/15/2030, 144A(b)      378,571  
  1,000,000      Atrium XIII, Series 13A, Class A1, 3-month LIBOR + 1.180%, 3.963%, 11/21/2030, 144A(b)      984,725  
  1,165,000      Bain Capital Credit CLO, Series 2019-1A, Class CR, 3-month LIBOR + 2.150%, 4.888%, 4/19/2034, 144A(b)      1,048,095  
  420,000      Bain Capital Credit CLO Ltd., Series 2021-4A, Class D, 3-month LIBOR + 3.100%, 5.810%, 10/20/2034, 144A(b)      359,210  
  1,400,000      Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 3-month LIBOR + 1.550%, 4.062%, 7/15/2032, 144A(b)      1,305,212  
  400,000      Battalion CLO XIX Ltd., Series 2021-19A, Class D, 3-month LIBOR + 3.250%, 5.762%, 4/15/2034, 144A(b)      345,954  
  1,675,000      Betony CLO Ltd., Series 18-1A, Class A2, 3-month LIBOR + 1.600%, 4.382%, 4/30/2031, 144A(b)      1,572,889  
  1,575,000      BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, 3-month LIBOR + 1.750%, 4.533%, 7/25/2034, 144A(b)      1,472,003  
  2,035,000      Carbone CLO Ltd., Series 2017-1A, Class A1, 3-month LIBOR + 1.140%, 3.850%, 1/20/2031, 144A(b)      1,981,459  
  400,000      CarVal CLO II Ltd., Series 2019-1A, Class DR, 3-month LIBOR + 3.200%, 5.910%, 4/20/2032, 144A(b)      352,989  
  3,515,000      CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 5.660%, 7/20/2032, 144A(b)      3,056,809  
  525,000      Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, 3-month LIBOR + 1.650%, 4.390%, 7/17/2034, 144A(b)      491,366  
  2,165,000      CIFC Funding Ltd., Series 18-2RA, Class A2, 3-month LIBOR + 1.250%, 3.960%, 1/20/2028, 144A(b)      2,092,516  
  540,000      CIFC Funding Ltd., Series 2019-3A, Class CR, 3-month LIBOR + 3.050%, 5.790%, 10/16/2034, 144A(b)      481,478  
  2,500,000      CIFC Funding Ltd., Series 2019-5A, Class CR, 3-month LIBOR + 3.150%, 5.662%, 1/15/2035, 144A(b)      2,227,782  

 

See accompanying notes to financial statements.

 

|  42


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
$ 1,935,000      CIFC Funding Ltd., Series 2020-1A, Class BR, 3-month LIBOR + 1.650%, 4.162%, 7/15/2036, 144A(b)    $ 1,814,115  
  4,500,000      CIFC Funding Ltd., Series 2020-3A, Class DR, 3-month LIBOR + 3.100%, 5.810%, 10/20/2034, 144A(b)      4,000,293  
  7,190,000      CIFC Funding Ltd., Series 2021-7A, Class D, 3-month LIBOR + 3.000%, 5.783%, 1/23/2035, 144A(b)      6,301,596  
  7,655,000      Crown City CLO III, Series 2021-1A, Class A1A, 3-month LIBOR + 1.170%, 3.880%, 7/20/2034, 144A(b)      7,290,821  
  5,450,000      Dryden CLO Ltd., Series 2020-78A, Class A, 3-month LIBOR + 1.180%, 3.920%, 4/17/2033, 144A(b)      5,294,664  
  2,520,000      Elmwood CLO III Ltd., Series 2019-3A, Class AR, 3-month LIBOR + 1.160%, 3.870%, 10/20/2034, 144A(b)      2,412,212  
  2,700,000      Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3-month LIBOR + 1.240%, 3.752%, 4/15/2033, 144A(b)      2,610,795  
  1,750,000      Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, 3-month LIBOR + 3.650%, 6.162%, 10/15/2034, 144A(b)      1,504,942  
  1,650,000      Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 5.462%, 10/15/2030, 144A(b)      1,479,723  
  2,000,000      LCM XX LP, Series 20A, Class BR, 3-month LIBOR + 1.550%, 4.260%, 10/20/2027, 144A(b)      1,946,748  
  1,190,000      Long Point Park CLO Ltd., Series 2017-1A, Class A2, 3-month LIBOR + 1.375%, 4.115%, 1/17/2030, 144A(b)      1,126,354  
  1,650,000      Madison Park Funding XLVI Ltd., Series 2020-46A, Class DR, 3-month LIBOR + 3.150%, 5.662%, 10/15/2034, 144A(b)      1,476,399  
  475,000      Madison Park Funding XXXV Ltd., Series 2019-35A, Class CR, 3-month LIBOR + 1.900%, 4.610%, 4/20/2032, 144A(b)      437,139  
  1,250,000      Magnetite XXI Ltd., Series 2019-21A, Class BR, 3-month LIBOR + 1.350%, 4.060%, 4/20/2034, 144A(b)      1,156,145  
  4,320,000      Magnetite XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.050%, 5.833%, 1/25/2035, 144A(b)      3,825,779  
  1,900,000      Magnetite XXX Ltd., Series 2021-30A, Class D, 3-month LIBOR + 2.950%, 5.733%, 10/25/2034, 144A(b)      1,678,069  
  465,000      MP CLO VIII Ltd., Class ARR, Series 2015-2A, 3-month LIBOR + 1.200%, 3.993%, 4/28/2034, 144A(b)      440,119  
  3,410,000      Neuberger Berman Loan Advisers CLO Ltd., Series 2021-40A, Class B, 3-month LIBOR + 1.400%, 4.140%, 4/16/2033, 144A(b)      3,201,461  
  2,745,000      NYACK Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 5.510%, 10/20/2034, 144A(b)      2,375,463  
  1,150,000      OCP CLO Ltd., Series 2021-21A, Class D, 3-month LIBOR + 2.950%, 5.660%, 7/20/2034, 144A(b)      975,760  
  7,630,000      OHA Credit Funding Ltd., Series 2021-8A, Class B1, 3-month LIBOR + 1.500%, 4.240%, 1/18/2034, 144A(b)      7,141,962  
  720,000      OHA Credit Partners VII Ltd., Series 2012-7A, Class D1R3, 3-month LIBOR + 2.900%, 5.884%, 2/20/2034, 144A(b)      637,139  
3,895,000      OHA Credit Partners XIII Ltd., Series 2016-13A, Class DR, 3-month LIBOR + 3.200%, 5.932%, 10/25/2034, 144A(b)    3,436,742  
  415,000      Palmer Square Loan Funding Ltd., Series 2020-1A, Class A2, 3-month LIBOR + 1.350%, 4.334%, 2/20/2028, 144A(b)      415,000  
  2,120,000      Palmer Square Loan Funding Ltd., Series 2020-4A, Class C, 3-month LIBOR + 3.600%, 6.597%, 11/25/2028, 144A(b)      2,060,700  
  5,670,000      Post CLO Ltd., Series 2021-1A, Class B, 3-month LIBOR + 1.750%, 4.262%, 10/15/2034, 144A(b)      5,296,789  
  1,245,000      Post CLO Ltd., Series 2022-1A, Class B, 3-month SOFR + 1.900%, 2.613%, 4/20/2035, 144A(b)      1,174,262  
  3,730,000      PPM CLO Ltd., Series 2021-5A, Class B, 3-month LIBOR + 1.700%, 4.440%, 10/18/2034, 144A(b)      3,488,998  
  3,250,000      Riserva CLO Ltd., Series 2016-3A, Class DRR, 3-month LIBOR + 3.250%, 5.990%, 1/18/2034, 144A(b)      2,802,517  
  1,495,000      Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, 3-month LIBOR + 1.650%, 4.360%, 4/20/2034, 144A(b)      1,385,274  
  1,000,000      Signal Peak CLO Ltd., Series 2022-12A, Class B1, 3-month SOFR + 2.600%, 4.717%, 7/18/2034, 144A(b)      973,016  
  1,000,000      Silver Creek CLO Ltd., Series 2014-1A, Class DR, 3-month LIBOR + 3.350%, 6.060%, 7/20/2030, 144A(b)      907,494  
  400,000      Symphony CLO XIV Ltd., Series 2014-14A, Class CR, 3-month LIBOR + 2.100%, 4.583%, 7/14/2026, 144A(b)      395,124  
  1,000,000      Trinitas CLO XVI Ltd., Series 2021-16A, Class A1, 3-month LIBOR + 1.180%, 3.890%, 7/20/2034, 144A(b)      956,597  
  351,594      WhiteHorse IX Ltd., Series 2014-9A, Class C, 3-month LIBOR + 2.700%, 5.440%, 7/17/2026, 144A(b)      351,281  
     

 

 

 
   Total Collateralized Loan Obligations
(Identified Cost $109,571,729)
     102,287,601  
     

 

 

 
     
  Short-Term Investments — 3.9%  
  39,910,642      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $39,914,301 on 10/03/2022 collateralized by $41,509,900 U.S. Treasury Note, 3.500% due 9/15/2025 valued at $40,708,883 including accrued interest (Note 2 of Notes to Financial Statements)      39,910,642  
  61,520,000      U.S. Treasury Bills, 2.301%-2.358%, 10/13/2022(i)(j)      61,475,526  
  10,720,000      U.S. Treasury Bills, 2.330%, 10/06/2022(i)      10,717,809  
  119,885,000      U.S. Treasury Bills, 2.400%-2.450%, 10/11/2022(i)(j)      119,819,730  
     

 

 

 
   Total Short-Term Investments
(Identified Cost $231,929,076)
     231,923,707  
     

 

 

 
     
   Total Investments — 98.8%
(Identified Cost $6,753,613,336)
     5,843,030,488  
   Other assets less liabilities — 1.2%      68,362,990  
     

 

 

 
   Net Assets — 100.0%    $ 5,911,393,478  
     

 

 

 
     

 

See accompanying notes to financial statements.

 

43  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Core Plus Bond Fund – (continued)

 

     
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.

 

  (†)      See Note 2 of Notes to Financial Statements.

 

  (††)      Amount shown represents units. One unit represents a principal amount of 100.

 

  (a)      Variable rate security. 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 September 30, 2022 is disclosed.

 

  (b)      Variable rate security. Rate as of September 30, 2022 is disclosed.

 

  (c)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (d)      The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

  (e)      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 0.50%, to which the spread is added.

 

  (f)      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.

 

  (g)      Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2022. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

 

     
  (h)      Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added.

 

  (i)      Interest rate represents discount rate at time of purchase; not a coupon rate.

 

  (j)      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 September 30, 2022, the value of Rule 144A holdings amounted to $1,385,435,271 or 23.4% of net assets.

 

  ABS      Asset-Backed Securities

 

  EMTN      Euro Medium Term Note

 

  FHLMC      Federal Home Loan Mortgage Corp.

 

  FNMA      Federal National Mortgage Association

 

  GMTN      Global Medium Term Note

 

  GNMA      Government National Mortgage Association

 

  LIBOR      London Interbank Offered Rate

 

  MTN      Medium Term Note

 

  REITs      Real Estate Investment Trusts

 

  SOFR      Secured Overnight Financing Rate

 

  MXN      Mexican Peso

 

  UYU      Uruguayan Peso

 

 

At September 30, 2022, open long futures contracts were as follows:

 

Financial Futures    Expiration
Date
     Contracts      Notional
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 

10 Year U.S. Treasury Note

     12/20/2022        1,404      $ 161,822,366      $ 157,335,750      $ (4,486,616

2 Year U.S. Treasury Note

     12/30/2022        773        161,330,970        158,766,954        (2,564,016

Ultra Long U.S. Treasury Bond

     12/20/2022        602        89,986,609        82,474,000        (7,512,609
              

 

 

 

Total

               $ (14,563,241
              

 

 

 

Industry Summary at September 30, 2022

 

Mortgage Related

     26.8

Treasuries

     23.0  

Banking

     7.9  

Technology

     2.5  

Finance Companies

     2.3  

Non-Agency Commercial Mortgage-Backed Securities

     2.2  

Electric

     2.2  

Government Owned – No Guarantee

     2.1  

Other Investments, less than 2% each

     24.2  

Short-Term Investments

     3.9  

Collateralized Loan Obligations

     1.7  
  

 

 

 

Total Investments

     98.8  

Other assets less liabilities (including futures contracts)

     1.2  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

 

See accompanying notes to financial statements.

 

|  44


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Credit Income Fund

 

Principal
Amount
     Description    Value (†)  
  Bonds and Notes — 91.3% of Net Assets  
  Non-Convertible Bonds — 86.1%  
   Aerospace & Defense — 3.0%

 

$ 125,000      Boeing Co. (The), 2.196%, 2/04/2026    $ 110,930  
  20,000      Boeing Co. (The), 2.250%, 6/15/2026      17,577  
  20,000      Boeing Co. (The), 2.950%, 2/01/2030      16,079  
  5,000      Boeing Co. (The), 3.100%, 5/01/2026      4,564  
  10,000      Boeing Co. (The), 3.200%, 3/01/2029      8,349  
  5,000      Boeing Co. (The), 3.250%, 2/01/2035      3,531  
  5,000      Boeing Co. (The), 3.375%, 6/15/2046      3,021  
  5,000      Boeing Co. (The), 3.500%, 3/01/2039      3,338  
  15,000      Boeing Co. (The), 3.550%, 3/01/2038      10,275  
  220,000      Boeing Co. (The), 3.625%, 2/01/2031      182,611  
  5,000      Boeing Co. (The), 3.625%, 3/01/2048      3,110  
  35,000      Boeing Co. (The), 3.750%, 2/01/2050      22,606  
  15,000      Boeing Co. (The), 3.825%, 3/01/2059      9,036  
  10,000      Boeing Co. (The), 3.850%, 11/01/2048      6,473  
  15,000      Boeing Co. (The), 3.900%, 5/01/2049      9,797  
  45,000      Boeing Co. (The), 5.150%, 5/01/2030      41,627  
  30,000      Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025      28,749  
  20,000      Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030      17,647  
  125,000      Textron, Inc., 3.000%, 6/01/2030      102,922  
  20,000      TransDigm, Inc., 6.250%, 3/15/2026, 144A      19,400  
     

 

 

 
        621,642  
     

 

 

 
   Airlines — 0.3%

 

  70,949      American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030      55,118  
  11,940      United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027      10,988  
     

 

 

 
        66,106  
     

 

 

 
   Automotive — 1.1%

 

  60,000      Allison Transmission, Inc., 3.750%, 1/30/2031, 144A      45,995  
  15,000      Ford Motor Co., 3.250%, 2/12/2032      10,805  
  170,000      General Motors Co., 5.200%, 4/01/2045      129,442  
  40,000      General Motors Co., 6.250%, 10/02/2043      34,745  
  5,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(a)      4,286  
     

 

 

 
        225,273  
     

 

 

 
   Banking — 10.7%

 

  40,000      Ally Financial, Inc., 2.200%, 11/02/2028      30,903  
  65,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(a)      50,668  
  50,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(a)      35,625  
  270,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      256,507  
  200,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035      146,964  
  215,000      Citigroup, Inc., 4.450%, 9/29/2027      199,020  
  250,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A      214,640  
  150,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031      114,368  
  120,000      Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025      114,017  
  390,000      Morgan Stanley, 3.625%, 1/20/2027      362,787  
  80,000      Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028      69,920  
  200,000      NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027      167,911  
  115,000      Santander Holdings USA, Inc., 3.244%, 10/05/2026      102,906  
  200,000      Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A      151,224  
   Banking — continued

 

200,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A    174,703  
     

 

 

 
        2,192,163  
     

 

 

 
   Brokerage — 0.9%

 

  15,000      Jefferies Group LLC, 6.250%, 1/15/2036      14,010  
  180,000      Jefferies Group LLC, 6.500%, 1/20/2043      168,874  
     

 

 

 
        182,884  
     

 

 

 
   Cable Satellite — 5.3%

 

  125,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A      96,703  
  120,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      94,901  
  35,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A      27,257  
  25,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A      22,563  
  10,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A      9,475  
  5,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032      3,570  
  20,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031      15,119  
  5,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033      4,140  
  90,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062      53,369  
  150,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050      108,208  
  200,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      136,000  
  200,000      CSC Holdings LLC, 5.000%, 11/15/2031, 144A      132,108  
  15,000      DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A      12,932  
  155,000      DISH DBS Corp., 5.125%, 6/01/2029      91,063  
  175,000      DISH DBS Corp., 5.250%, 12/01/2026, 144A      143,368  
  200,000      Time Warner Cable LLC, 4.500%, 9/15/2042      138,081  
     

 

 

 
        1,088,857  
     

 

 

 
   Chemicals — 1.5%

 

  15,000      Celanese U.S. Holdings LLC, 6.330%, 7/15/2029      13,980  
  10,000      Celanese U.S. Holdings LLC, 6.379%, 7/15/2032      9,293  
  70,000      CF Industries, Inc., 4.500%, 12/01/2026, 144A      67,105  
  15,000      FMC Corp., 3.450%, 10/01/2029      12,880  
  60,000      Hercules LLC, 6.500%, 6/30/2029      57,840  
  200,000      Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A      146,118  
     

 

 

 
        307,216  
     

 

 

 
   Construction Machinery — 0.7%

 

  90,000      Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024      86,195  
  20,000      John Deere Capital Corp., MTN, 0.900%, 1/10/2024      19,102  
  35,000      John Deere Capital Corp., MTN, 1.250%, 1/10/2025      32,480  
     

 

 

 
        137,777  
     

 

 

 
   Consumer Cyclical Services — 2.5%

 

  10,000      Expedia Group, Inc., 2.950%, 3/15/2031      7,758  
  195,000      Expedia Group, Inc., 3.250%, 2/15/2030      158,147  
  50,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A      40,894  
  325,000      Uber Technologies, Inc., 4.500%, 8/15/2029, 144A      273,203  
  25,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      24,500  
     

 

 

 
        504,502  
     

 

 

 

 

See accompanying notes to financial statements.

 

45  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Electric — 0.9%

 

$ 15,000      AES Corp. (The), 2.450%, 1/15/2031    $ 11,475  
  5,000      AES Corp. (The), 3.950%, 7/15/2030, 144A      4,281  
  60,000      Calpine Corp., 3.750%, 3/01/2031, 144A      46,950  
  20,000      IPALCO Enterprises, Inc., 4.250%, 5/01/2030      17,352  
  35,000      NRG Energy, Inc., 4.450%, 6/15/2029, 144A      30,359  
  35,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      30,625  
  35,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      21,300  
  15,000      Pacific Gas & Electric Co., 5.450%, 6/15/2027      14,130  
  20,000      Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A      17,713  
     

 

 

 
        194,185  
     

 

 

 
   Finance Companies — 7.0%

 

  150,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028      129,465  
  105,000      Air Lease Corp., 3.125%, 12/01/2030      82,674  
  205,000      Air Lease Corp., MTN, 3.000%, 2/01/2030      162,343  
  40,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(a)      33,395  
  125,000      Aircastle Ltd., 4.125%, 5/01/2024      120,115  
  15,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(a)      11,251  
  40,000      Ares Capital Corp., 2.875%, 6/15/2028      31,483  
  60,000      Ares Capital Corp., 3.200%, 11/15/2031      42,767  
  35,000      Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A      29,379  
  30,000      Barings BDC, Inc., 3.300%, 11/23/2026, 144A      24,883  
  115,000      Blackstone Secured Lending Fund, 2.125%, 2/15/2027      92,758  
  40,000      FS KKR Capital Corp., 3.125%, 10/12/2028      31,062  
  35,000      FS KKR Capital Corp., 3.400%, 1/15/2026      30,882  
  75,000      Hercules Capital, Inc., 3.375%, 1/20/2027      62,195  
  60,000      Navient Corp., 5.000%, 3/15/2027      49,075  
  30,000      Oaktree Specialty Lending Corp., 2.700%, 1/15/2027      25,261  
  10,000      OneMain Finance Corp., 7.125%, 3/15/2026      9,014  
  50,000      Owl Rock Capital Corp., 2.625%, 1/15/2027      40,399  
  50,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      38,077  
  60,000      Owl Rock Technology Finance Corp., 2.500%, 1/15/2027      48,139  
  140,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A      114,800  
  75,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      57,724  
  160,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      115,977  
  60,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A      41,251  
     

 

 

 
        1,424,369  
     

 

 

 
   Financial Other — 0.8%

 

  30,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029      24,146  
  115,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      100,684  
  35,000      Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A      25,668  
  200,000      Times China Holdings Ltd., 6.200%, 3/22/2026      22,144  
     

 

 

 
        172,642  
     

 

 

 
   Food & Beverage — 1.5%

 

  30,000      Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A      26,025  
  5,000      Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A      4,758  
  20,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A      16,363  
  10,000      Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A      7,542  
  10,000      Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A      7,983  
   Food & Beverage — continued

 

50,000      Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A    48,625  
  60,000      Post Holdings, Inc., 4.625%, 4/15/2030, 144A      49,275  
  190,000      Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A      146,707  
     

 

 

 
        307,278  
     

 

 

 
   Gaming — 0.9%

 

  20,000      GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032      15,034  
  55,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      51,857  
  5,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      4,654  
  85,000      VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A      71,307  
  20,000      VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A      18,052  
  5,000      VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A      4,566  
  5,000      VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A      4,705  
  10,000      VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A      9,827  
     

 

 

 
        180,002  
     

 

 

 
   Government Owned – No Guarantee — 0.1%

 

  25,000      EcoPetrol S.A., 4.625%, 11/02/2031      17,500  
     

 

 

 
   Health Insurance — 0.7%

 

  90,000      Centene Corp., 2.500%, 3/01/2031      67,840  
  35,000      Centene Corp., 2.625%, 8/01/2031      26,379  
  20,000      Centene Corp., 3.000%, 10/15/2030      15,839  
  5,000      Centene Corp., 4.625%, 12/15/2029      4,493  
  25,000      Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A      20,478  
     

 

 

 
        135,029  
     

 

 

 
   Healthcare — 1.6%

 

  15,000      Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A      11,569  
  75,000      Cigna Corp., 4.375%, 10/15/2028      70,819  
  87,954      CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A      75,483  
  5,000      Encompass Health Corp., 4.750%, 2/01/2030      4,113  
  165,000      HCA, Inc., 4.125%, 6/15/2029      144,703  
  25,000      Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A      21,849  
  10,000      Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A      8,761  
     

 

 

 
        337,297  
     

 

 

 
   Home Construction — 0.5%

 

  75,000      MDC Holdings, Inc., 3.966%, 8/06/2061      39,584  
  70,000      PulteGroup, Inc., 6.000%, 2/15/2035      62,958  
     

 

 

 
        102,542  
     

 

 

 
   Independent Energy — 3.1%

 

  150,000      Aker BP ASA, 4.000%, 1/15/2031, 144A      127,290  
  80,000      Continental Resources, Inc., 2.875%, 4/01/2032, 144A      58,584  
  100,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A      90,386  
  20,000      Diamondback Energy, Inc., 3.125%, 3/24/2031      16,223  
  25,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      21,187  
  40,000      Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A      32,700  
  10,000      EQT Corp., 3.125%, 5/15/2026, 144A      9,107  
  30,000      EQT Corp., 3.625%, 5/15/2031, 144A      25,010  
  40,000      EQT Corp., 3.900%, 10/01/2027      36,400  
  10,000      EQT Corp., 5.000%, 1/15/2029      9,330  
  10,000      EQT Corp., 5.678%, 10/01/2025      9,938  
  10,000      EQT Corp., 5.700%, 4/01/2028      9,803  
  55,000      Hess Corp., 4.300%, 4/01/2027      51,740  

 

See accompanying notes to financial statements.

 

|  46


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Independent Energy — continued

 

$ 30,000      Occidental Petroleum Corp., 5.550%, 3/15/2026    $ 30,034  
  5,000      Occidental Petroleum Corp., 8.875%, 7/15/2030      5,567  
  45,000      Ovintiv Exploration, Inc., 5.375%, 1/01/2026      44,507  
  50,000      Ovintiv, Inc., 6.500%, 8/15/2034      48,709  
  5,000      Southwestern Energy Co., 4.750%, 2/01/2032      4,191  
     

 

 

 
        630,706  
     

 

 

 
   Industrial Other — 0.1%

 

  20,000      TopBuild Corp., 4.125%, 2/15/2032, 144A      15,230  
     

 

 

 
   Leisure — 0.7%

 

  40,000      Carnival Corp., 5.750%, 3/01/2027, 144A      28,022  
  30,000      Carnival Corp., 6.000%, 5/01/2029, 144A      19,697  
  30,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      22,822  
  25,000      NCL Corp. Ltd., 5.875%, 2/15/2027, 144A      20,816  
  10,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A      7,375  
  60,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      42,038  
     

 

 

 
        140,770  
     

 

 

 
   Life Insurance — 1.1%

 

  50,000      Athene Global Funding, 1.608%, 6/29/2026, 144A      42,520  
  55,000      Athene Global Funding, 1.716%, 1/07/2025, 144A      50,275  
  95,000      Athene Global Funding, 2.550%, 11/19/2030, 144A      72,478  
  30,000      Athene Holding Ltd., 3.500%, 1/15/2031      24,026  
  30,000      CNO Financial Group, Inc., 5.250%, 5/30/2029      27,890  
     

 

 

 
        217,189  
     

 

 

 
   Lodging — 1.3%

 

  60,000      Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A      45,954  
  40,000      Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A      32,359  
  10,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A      7,636  
  25,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A      20,177  
  5,000      Hyatt Hotels Corp., 5.625%, 4/23/2025      4,944  
  3,000      Marriott International, Inc., Series EE, 5.750%, 5/01/2025      3,030  
  25,000      Marriott International, Inc., Series FF, 4.625%, 6/15/2030      22,592  
  20,000      Marriott International, Inc., Series HH, 2.850%, 4/15/2031      15,703  
  20,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      15,806  
  45,000      Travel & Leisure Co., 4.500%, 12/01/2029, 144A      34,893  
  75,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      59,283  
     

 

 

 
        262,377  
     

 

 

 
   Media Entertainment — 1.7%

 

  85,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      70,847  
  75,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      64,069  
  20,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      16,818  
  10,000      Netflix, Inc., 4.875%, 4/15/2028      9,359  
  135,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      123,368  
  5,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      4,700  
  5,000      Netflix, Inc., 5.875%, 11/15/2028      4,879  
  15,000      Netflix, Inc., 6.375%, 5/15/2029      14,892  
  15,000      Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A      12,974  
  25,000      Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A      20,584  
     

 

 

 
        342,490  
     

 

 

 
   Metals & Mining — 3.5%

 

  200,000      Anglo American Capital PLC, 4.500%, 3/15/2028, 144A      182,994  
   Metals & Mining — continued

 

35,000      ArcelorMittal S.A., 7.000%, 10/15/2039    32,902  
  25,000      ATI, Inc., 5.875%, 12/01/2027      22,759  
  200,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      180,000  
  45,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      34,545  
  15,000      Freeport-McMoRan, Inc., 4.250%, 3/01/2030      12,827  
  50,000      Freeport-McMoRan, Inc., 4.625%, 8/01/2030      43,811  
  40,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      35,552  
  135,000      Glencore Funding LLC, 3.875%, 10/27/2027, 144A      122,220  
  20,000      Glencore Funding LLC, 4.000%, 3/27/2027, 144A      18,630  
  35,000      Novelis Corp., 4.750%, 1/30/2030, 144A      28,700  
  10,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      8,250  
     

 

 

 
        723,190  
     

 

 

 
   Midstream — 2.5%

 

  115,000      Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027      111,345  
  55,000      DCP Midstream Operating LP, 3.250%, 2/15/2032      43,478  
  10,000      DCP Midstream Operating LP, 5.125%, 5/15/2029      9,370  
  55,000      Energy Transfer LP, 4.000%, 10/01/2027      49,880  
  30,000      EnLink Midstream Partners LP, 5.450%, 6/01/2047      21,914  
  35,000      EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028      29,916  
  15,000      Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A      12,112  
  15,000      Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A      14,239  
  80,000      NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A      74,487  
  15,000      Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030      12,578  
  35,000      Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043      23,540  
  15,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032      12,398  
  5,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031      4,300  
  60,000      Valero Energy Partners LP, 4.500%, 3/15/2028      56,924  
  10,000      Western Midstream Operating LP, 4.300%, 2/01/2030      8,553  
  20,000      Western Midstream Operating LP, 5.300%, 3/01/2048      16,450  
  5,000      Western Midstream Operating LP, 5.450%, 4/01/2044      4,102  
  10,000      Western Midstream Operating LP, 5.500%, 2/01/2050      8,075  
     

 

 

 
        513,661  
     

 

 

 
   Paper — 0.2%

 

  45,000      Suzano Austria GmbH, 3.750%, 1/15/2031      35,255  
     

 

 

 
   Pharmaceuticals — 1.6%

 

  10,000      Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A      6,447  
  65,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A      23,934  
  10,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      3,735  
  50,000      Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A      18,802  
  5,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      1,866  
  5,000      Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A      1,905  
  50,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      41,179  
  85,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      69,742  
  250,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      149,395  
     

 

 

 
        317,005  
     

 

 

 
   Property & Casualty Insurance — 1.1%

 

  175,000      Fidelity National Financial, Inc., 2.450%, 3/15/2031      129,768  
  65,000      Sirius International Group Ltd., 4.600%, 11/01/2026, 144A      55,900  

 

See accompanying notes to financial statements.

 

47  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Property & Casualty Insurance — continued

 

$ 55,000      Stewart Information Services Corp., 3.600%, 11/15/2031    $ 42,393  
     

 

 

 
        228,061  
     

 

 

 
   REITs – Apartments — 0.0%

 

  10,000      American Homes 4 Rent, 2.375%, 7/15/2031      7,540  
     

 

 

 
   REITs – Diversified — 0.1%

 

  15,000      EPR Properties, 3.600%, 11/15/2031      10,717  
     

 

 

 
   REITs – Mortgage — 0.1%

 

  15,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      12,078  
     

 

 

 
   REITs – Office Property — 0.0%

 

  10,000      Corporate Office Properties LP, 2.750%, 4/15/2031      7,352  
     

 

 

 
   REITs – Shopping Centers — 0.8%

 

  115,000      Brixmor Operating Partnership LP, 4.050%, 7/01/2030      96,881  
  75,000      SITE Centers Corp., 3.625%, 2/01/2025      70,894  
     

 

 

 
        167,775  
     

 

 

 
   Restaurants — 0.7%

 

  125,000      1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A      108,313  
  45,000      Yum! Brands, Inc., 4.625%, 1/31/2032      37,718  
     

 

 

 
        146,031  
     

 

 

 
   Retailers — 0.1%

 

  20,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      16,050  
  10,000      Tapestry, Inc., 3.050%, 3/15/2032      7,461  
     

 

 

 
        23,511  
     

 

 

 
   Technology — 6.0%

 

  60,000      Avnet, Inc., 4.625%, 4/15/2026      57,744  
  10,000      Broadcom, Inc., 3.137%, 11/15/2035, 144A      7,007  
  30,000      Broadcom, Inc., 4.150%, 11/15/2030      25,966  
  55,000      Broadcom, Inc., 4.300%, 11/15/2032      46,180  
  10,000      CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026      8,674  
  10,000      CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029      8,121  
  90,000      CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031      70,072  
  130,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      98,150  
  60,000      CommScope, Inc., 4.750%, 9/01/2029, 144A      48,940  
  65,000      Entegris Escrow Corp., 4.750%, 4/15/2029, 144A      57,254  
  5,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      4,100  
  25,000      Fidelity National Information Services, Inc., 5.100%, 7/15/2032      23,492  
  5,000      Gartner, Inc., 3.625%, 6/15/2029, 144A      4,162  
  5,000      Global Payments, Inc., 2.900%, 11/15/2031      3,823  
  15,000      Global Payments, Inc., 5.300%, 8/15/2029      14,107  
  25,000      Global Payments, Inc., 5.400%, 8/15/2032      23,199  
  60,000      Iron Mountain, Inc., 5.250%, 7/15/2030, 144A      49,648  
  35,000      Jabil, Inc., 1.700%, 4/15/2026      30,406  
  30,000      Marvell Technology, Inc., 2.450%, 4/15/2028      24,781  
  25,000      Marvell Technology, Inc., 2.950%, 4/15/2031      19,394  
  265,000      Micron Technology, Inc., 4.663%, 2/15/2030      235,112  
  25,000      MSCI, Inc., 3.250%, 8/15/2033, 144A      19,306  
  5,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027      4,716  
  60,000      Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A      47,917  
  60,000      Oracle Corp., 3.950%, 3/25/2051      39,792  
  60,000      Qorvo, Inc., 3.375%, 4/01/2031, 144A      44,949  
  55,000      S&P Global, Inc., 4.250%, 5/01/2029, 144A      51,716  
  5,000      Seagate HDD Cayman, 4.091%, 6/01/2029      3,994  
  60,000      TD SYNNEX Corp., 1.750%, 8/09/2026      50,995  
  35,000      Verisk Analytics, Inc., 4.125%, 3/15/2029      31,927  
  45,000      Western Digital Corp., 2.850%, 2/01/2029      34,971  
   Technology — continued

 

5,000      Western Digital Corp., 3.100%, 2/01/2032    3,399  
  30,000      Western Digital Corp., 4.750%, 2/15/2026      27,779  
     

 

 

 
        1,221,793  
     

 

 

 
   Treasuries — 18.9%

 

  135,000      U.S. Treasury Bond, 1.125%, 8/15/2040      83,626  
  255,000      U.S. Treasury Bond, 1.875%, 2/15/2051      168,818  
  155,000      U.S. Treasury Bond, 2.250%, 2/15/2052      112,617  
  415,000      U.S. Treasury Bond, 3.250%, 5/15/2042      368,313  
  1,400,000      U.S. Treasury Note, 0.125%, 1/31/2023      1,383,790  
  780,000      U.S. Treasury Note, 0.125%, 4/30/2023      762,542  
  805,000      U.S. Treasury Note, 0.250%, 9/30/2023      773,177  
  230,000      U.S. Treasury Note, 1.500%, 2/29/2024(b)      221,177  
     

 

 

 
        3,874,060  
     

 

 

 
   Wireless — 2.5%

 

  80,000      Crown Castle, Inc., 2.500%, 7/15/2031      61,647  
  70,000      SBA Communications Corp., 3.125%, 2/01/2029      56,299  
  130,000      T-Mobile USA, Inc., 3.375%, 4/15/2029      112,318  
  65,000      T-Mobile USA, Inc., 3.500%, 4/15/2031      54,620  
  265,000      T-Mobile USA, Inc., 3.875%, 4/15/2030      235,059