N-CSRS 1 d191197dncsrs.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

 

 

Loomis Sayles Funds II

(Exact name of Registrant as specified in charter)

 

 

 

888 Boylston Street,

Suite 800 Boston, Massachusetts

   02199-8197
(Address of principal executive offices)   (Zip code)

 

 

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: December 31

Date of reporting period: June 30, 2021

 

 

 

 

 

Item 1. Reports to Stockholders.

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

LOGO

 

LOGO

 

Semiannual Report

June 30, 2021

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     16  
Financial Statements     27  
Notes to Financial Statements     58  

 

LOGO

LOOMIS SAYLES INTERNATIONAL GROWTH FUND

 

Managers    Symbols   
Aziz V. Hamzaogullari, CFA®    Class A    LIGGX
Loomis, Sayles & Company, L.P.    Class C    LIGCX
   Class N    LIGNX
   Class Y    LIGYX

 

 

Investment Goal

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

 

 

Total Returns — June 30, 20213

 

       
                    Expense Ratios4  
     
      6 Months      Life of Fund      Gross      Net  
     
Class Y (Inception 12/15/20)              
NAV      5.25 %       6.71 %       1.35 %       0.95 % 
     
Class A (Inception 12/15/20)              
NAV      5.16        6.59        1.60        1.20  
With 5.75% Maximum Sales Charge      -0.91        0.47          
     
Class C (Inception 12/15/20)              
NAV      4.66        6.06        2.35        1.95  
With CDSC1      3.66        5.06          
     
Class N (Inception 12/15/20)              
NAV      5.25        6.71        1.26        0.90  
   
Comparative Performance              
MSCI ACWI ex USA Index (Net)2      9.16        11.77                    

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

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

 

3

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

 

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 4/30/22. 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.

 

1  |

NATIXIS OAKMARK FUND

 

Managers   Symbols
William C. Nygren, CFA®   Class A    NEFOX
Kevin G. Grant, CFA®   Class C    NECOX
M. Colin Hudson, CFA®   Class N    NOANX
Michael J. Mangan, CFA®   Class Y    NEOYX
Michael A. Nicolas, CFA®  
Harris Associates L.P.  

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20213

 

             
                                 

Life of

Class N

      Expense Ratios4  
      6 Months      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y (Inception 11/18/98)                       
NAV      25.92 %       65.19 %       17.68 %       13.83 %       — %       0.95 %       0.95 % 
     
Class A (Inception 5/6/31)                       
NAV      25.76        64.83        17.39        13.55        —        1.20        1.20  
With 5.75% Maximum Sales Charge      18.50        55.34        16.01        12.88        —          
     
Class C (Inception 5/1/95)                       
NAV      25.28        63.61        16.50        12.87        —        1.95        1.95  
With CDSC1      24.28        62.61        16.50        12.87        —          
     
Class N (Inception 5/1/17)                       
NAV      26.08        65.48        —        —        15.69        1.05        0.86  
   
Comparative Performance                       
S&P 500® Index2      15.25        40.79        17.65        14.84        17.28                    

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

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

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

 

3

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

 

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 4/30/22. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2

NATIXIS OAKMARK INTERNATIONAL FUND

 

Managers   Symbols
David G. Herro, CFA®   Class A    NOIAX
Michael L. Manelli, CFA®   Class C    NOICX
Harris Associates L.P.   Class N    NIONX
  Class Y    NOIYX

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20214

 

             
                                 

Life of

Class N

      Expense Ratios5  
      6 Months      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y (Inception 5/1/17)                       
NAV1      13.78 %       54.91 %       11.96 %       6.67 %       — %       1.11 %       0.95 % 
     
Class A (Inception 12/15/10)                       
NAV      13.64        54.39        11.72        6.56        —        1.36        1.20  
With 5.75% Maximum Sales Charge      7.13        45.47        10.40        5.93        —          
     
Class C (Inception 12/15/10)                       
NAV      13.22        53.28        10.89        5.93        —        2.11        1.95  
With CDSC2      12.22        52.28        10.89        5.93        —          
     
Class N (Inception 5/1/17)                       
NAV      13.77        54.78        —        —        5.98        1.17        0.90  
   
Comparative Performance                       
MSCI World ex U.S. Index (Net)3      9.92        33.60        10.36        5.70        8.63                    

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

 

1

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

 

2

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

3

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

 

4

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

 

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 4/30/22. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations.

 

3  |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

 

Managers   Symbols
Large Cap Value Segment   Class A    NEFSX
Harris Associates L.P.   Class C    NECCX
All Cap Growth Segment   Class N    NESNX
Loomis, Sayles & Company, L.P.   Class Y    NESYX

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

Average Annual Total Returns — June 30, 20214

 

             
                                 

Life of

Class N

      Expense Ratios5  
      6 Months      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y (Inception 11/15/94)                       
NAV      18.78 %       47.66 %       20.17 %       16.11 %       — %       0.92 %       0.92 % 
     
Class A (Inception 7/7/94)                       
NAV      18.60        47.28        19.87        15.82        —        1.17        1.17  
With 5.75% Maximum Sales Charge      11.79        38.81        18.46        15.13        —          
     
Class C (Inception 7/7/94)                       
NAV      18.17        46.18        18.98        15.13        —        1.92        1.92  
With CDSC1      17.17        45.18        18.98        15.13        —          
     
Class N (Inception 5/1/17)                       
NAV      18.80        47.72        —        —        19.46        1.13        0.84  
   
Comparative Performance                       
S&P 500® Index2      15.25        40.79        17.65        14.84        17.28          
Russell 1000® Index3      14.95        43.07        17.99        14.90        17.64                    

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

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

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

 

3

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

 

4

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

 

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 4/30/22. 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.

 

|  4

VAUGHAN NELSON MID CAP FUND

 

Managers   Symbols
Dennis G. Alff, CFA®   Class A    VNVAX
Chad D. Fargason   Class C    VNVCX
Chris D. Wallis, CFA®   Class N    VNVNX
Vaughan Nelson Investment Management, L.P.   Class Y    VNVYX

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20213

 

             
                                  Life of
Class N		      Expense Ratios4  
      6 Months      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y (Inception 10/31/08)                       
NAV      17.36 %       52.39 %       11.84 %       10.25 %       — %       1.04 %       0.95 % 
     
Class A (Inception 10/31/08)                       
NAV      17.24        52.07        11.56        9.97        —        1.29        1.20  
With 5.75% Maximum Sales Charge      10.50        43.35        10.25        9.32        —          
     
Class C (Inception 10/31/08)                       
NAV      16.80        50.93        10.73        9.32        —        2.04        1.95  
With CDSC1      15.80        49.93        10.73        9.32        —          
     
Class N (Inception 5/1/13)                       
NAV      17.38        52.47        11.93        —        10.80        0.94        0.90  
   
Comparative Performance                       
Russell Midcap® Value Index2      19.45        53.06        11.79        11.75        11.45                    

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

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

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

 

3

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

 

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 4/30/22. 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.

 

5  |

VAUGHAN NELSON SMALL CAP VALUE FUND

 

Managers   Symbols
Chris D. Wallis, CFA®   Class A    NEFJX
Stephen Davis, CFA®   Class C    NEJCX
Vaughan Nelson Investment Management, L.P.   Class N    VSCNX
  Class Y    NEJYX

 

 

Investment Goal

The Fund seeks capital appreciation.

 

 

Average Annual Total Returns — June 30, 20213

 

             
                                 

Life of

Class N

      Expense Ratios4  
      6 Months      1 Year      5 Years      10 Years      Gross      Net  
     
Class Y (Inception 8/31/06)                       
NAV      20.50 %       61.31 %       11.64 %       11.07 %       — %       1.28 %       1.05 % 
     
Class A (Inception 12/31/96)                       
NAV      20.37        60.86        11.37        10.79        —        1.53        1.30  
With 5.75% Maximum Sales Charge      13.44        51.64        10.06        10.13        —          
     
Class C (Inception 12/31/96)

 

                    
NAV      20.02 5        59.65        10.54        10.13        —        2.28        2.05  
With CDSC1      19.02        58.65        10.54        10.13        —          
     
Class N (Inception 5/1/17)                       
NAV      20.55        61.40        —        —        10.40        6.54        1.00  
   
Comparative Performance                       
Russell 2000® Value Index2      26.69        73.28        13.62        10.85        10.43                    

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

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

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

 

3

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

 

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 4/30/22. 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.

 

5

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total returns may differ from the total returns reported in the financial highlights. The returns presented in the table are what an investor would have actually experienced.

 

|  6

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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

 

7  |

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2021 through June 30, 2021. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

 

LOOMIS SAYLES INTERNATIONAL GROWTH FUND    BEGINNING
ACCOUNT VALUE
1/1/2021		      ENDING
ACCOUNT VALUE
6/30/2021		      EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021		  
Class A           
Actual      $1,000.00        $1,051.60        $6.10  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.84        $6.01  
Class C           
Actual      $1,000.00        $1,046.60        $9.90  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.13        $9.74  
Class N           
Actual      $1,000.00        $1,052.50        $4.58  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  
Class Y           
Actual      $1,000.00        $1,052.50        $4.83  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.08        $4.76  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

 

|  8

NATIXIS OAKMARK FUND    BEGINNING
ACCOUNT VALUE
1/1/2021		      ENDING
ACCOUNT VALUE
6/30/2021		      EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021		  
Class A           
Actual      $1,000.00        $1,257.60        $6.72  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.84        $6.01  
Class C           
Actual      $1,000.00        $1,252.80        $10.89  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.13        $9.74  
Class N           
Actual      $1,000.00        $1,260.80        $4.82  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.53        $4.31  
Class Y           
Actual      $1,000.00        $1,259.20        $5.27  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.13        $4.71  

 

* 

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.86% and 0.94% 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 (181), divided by 365 (to reflect the half-year period).

 

NATIXIS OAKMARK INTERNATIONAL FUND    BEGINNING
ACCOUNT VALUE
1/1/2021		      ENDING
ACCOUNT VALUE
6/30/2021		      EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021		  
Class A           
Actual      $1,000.00        $1,136.40        $6.36  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.84        $6.01  
Class C           
Actual      $1,000.00        $1,132.20        $10.31  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.13        $9.74  
Class N           
Actual      $1,000.00        $1,137.70        $4.77  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  
Class Y           
Actual      $1,000.00        $1,137.80        $5.04  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.08        $4.76  

 

* 

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

9  |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND    BEGINNING
ACCOUNT VALUE
1/1/2021		      ENDING
ACCOUNT VALUE
6/30/2021		      EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021		  
Class A           
Actual      $1,000.00        $1,186.00        $6.29  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.04        $5.81  
Class C           
Actual      $1,000.00        $1,181.70        $10.33  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.32        $9.54  
Class N           
Actual      $1,000.00        $1,188.00        $4.61  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.58        $4.26  
Class Y           
Actual      $1,000.00        $1,187.80        $4.94  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.28        $4.56  

 

* 

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.16%, 1.91%, 0.85% and 0.91% 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 (181), divided by 365 (to reflect the half-year period).

 

VAUGHAN NELSON MID CAP FUND    BEGINNING
ACCOUNT VALUE
1/1/2021		      ENDING
ACCOUNT VALUE
6/30/2021		      EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021		  
Class A           
Actual      $1,000.00        $1,172.40        $6.46  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.84        $6.01  
Class C           
Actual      $1,000.00        $1,168.00        $10.48  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.13        $9.74  
Class N           
Actual      $1,000.00        $1,173.80        $4.85  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  
Class Y           
Actual      $1,000.00        $1,173.60        $5.12  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.08        $4.76  

 

* 

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

|  10

VAUGHAN NELSON SMALL CAP VALUE FUND    BEGINNING
ACCOUNT VALUE
1/1/2021		      ENDING
ACCOUNT VALUE
6/30/2021		      EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021		  
Class A           
Actual      $1,000.00        $1,203.70        $7.10  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.35        $6.51  
Class C           
Actual      $1,000.00        $1,199.00        $11.18 ** 
Hypothetical (5% return before expenses)      $1,000.00        $1,014.63        $10.24  
Class N           
Actual      $1,000.00        $1,205.50        $5.47  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.84        $5.01  
Class Y           
Actual      $1,000.00        $1,205.00        $5.74  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.59        $5.26  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.30%, 2.05%, 1.00% and 1.05% 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 (181), divided by 365 (to reflect the half-year period).

**

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes. Amounts expressed in the table include the effect of such adjustments.

 

11  |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and sub-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. The Loomis Sayles International Growth Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreement is effective until December 15, 2022.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, 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 and sub-advisory fees and other expenses, including information comparing the Funds’ advisory and sub-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 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’ respective 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, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting, liquidity and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the 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, 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 where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the 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 2021. In the case of Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund, the Board approved the Agreements with an amendment that reduced each Fund’s advisory and sub-advisory fee effective July 1, 2021. 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 Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

The Trustees considered not only the advisory services provided by the 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 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.

 

|  12

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 Natixis Oakmark Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund (the “Existing Funds”) over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees 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, 2020, each Existing Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

     

Three-Year

     

Five-Year

  

Natixis Oakmark Fund

      71 %       94 %       71 % 

Natixis Oakmark International Fund

      87 %       97 %       69 % 

Natixis U.S. Equity Opportunities Fund

      85 %       92 %       77 % 

Vaughan Nelson Mid Cap Fund

      53 %       61 %       84 % 

Vaughan Nelson Small Cap Value Fund

      57 %       62 %       77 % 

In the case of each 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 Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance (i.e., for periods ending March 31, 2021) had improved relative to its category; (3) that effective March 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; and (4) the Adviser’s deep value investment strategy is expected to result in cyclical underperformance from time to time, but that this style of investing is showing improved performance generally, which is expected to help the Fund’s performance. 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 each Adviser’s 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, sub-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 and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for all of the Funds under their expense limitation agreements. They further noted that management had proposed to reduce the expense limitations for Natixis Oakmark Fund, Natixis Oakmark International Fund,

 

13  |

Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund on all share classes, effective as of July 1, 2021. The Trustees also noted that management had proposed to reduce the advisory fee rate for Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund.

The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) that the advisory fee was only five basis points higher than the median of a peer group of funds, which management believes is appropriate given the fund’s multi-manager structure and portfolio managers; (2) that management had proposed to reduce the expense limitations of the Fund; and (3) that management had proposed to reduce the advisory fee of the Fund.

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 relevant 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 fees charged to each of the Funds were 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 Natixis Oakmark Fund, Natixis Oakmark International Fund and Vaughan Nelson Mid Cap Fund had breakpoints in their advisory fees and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitations for Natixis Oakmark Fund, Natixis Oakmark International Fund, Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the 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 certain Advisers had made into their businesses.

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

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

 

•  

The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, 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 Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

•  

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, reflecting the reduction in the advisory fee and sub-advisory fee for Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund, described above, should be continued through June 30, 2022.

 

|  14

LIQUIDITY RISK MANAGEMENT PROGRAM

 

Annual Report for the Period Commencing on January 1, 2020 and ending December 31, 2020 (including updates through June 30, 2021)

Effective December 1, 2018 (December 15, 2020, for the Loomis Sayles International Growth 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 (“Administrator”) which is the adviser or sub-adviser of the Fund.

In accordance with the Program, each of the Funds’ 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”). None of the Funds has established an HLIM.

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

During the period January 1, 2021 through June 30, 2021, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any 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.

 

15  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles International Growth Fund

 

Shares      Description    Value (†)  
  Common Stocks — 97.4% of Net Assets  
   Argentina — 6.3%

 

  1,051      MercadoLibre, Inc.(a)    $ 1,637,237  
     

 

 

  
   Australia — 3.0%

 

  33,026      WiseTech Global Ltd.      789,211  
     

 

 

  
   Belgium — 2.2%

 

  8,040      Anheuser-Busch InBev S.A.      579,594  
     

 

 

  
   Brazil — 4.2%

 

  313,255      Ambev S.A., ADR      1,077,597  
     

 

 

  
   China — 32.9%

 

  5,915      Alibaba Group Holding Ltd., Sponsored ADR(a)      1,341,404  
  4,161      Baidu, Inc., Sponsored ADR(a)      848,428  
  57,800      Budweiser Brewing Co. APAC Ltd., 144A      181,998  
  456,500      Dali Foods Group Co. Ltd., 144A      272,220  
  3,100      Kweichow Moutai Co. Ltd., Class A      985,053  
  3,595      NXP Semiconductors NV      739,563  
  22,000      Tencent Holdings Ltd.      1,656,434  
  24,101      Trip.com Group Ltd., ADR(a)      854,622  
  41,375      Vipshop Holdings Ltd., ADR(a)      830,810  
  12,201      Yum China Holdings, Inc.      808,316  
     

 

 

  
        8,518,848  
     

 

 

  
   Denmark — 2.7%

 

  8,249      Novo Nordisk A/S, Class B      690,512  
     

 

 

  
   France — 4.4%

 

  2,482      EssilorLuxottica S.A.      458,508  
  7,379      Sodexo S.A.(a)      689,639  
     

 

 

  
        1,148,147  
     

 

 

  
   Germany — 3.0%

 

  5,548      SAP SE      779,270  
     

 

 

  
   Japan — 4.6%

 

  4,100      FANUC Corp.      983,171  
  5,300      Unicharm Corp.      213,486  
     

 

 

  
        1,196,657  
     

 

 

  
   Macau — 1.2%

 

  39,000      Galaxy Entertainment Group Ltd.(a)      311,847  
     

 

 

  
   Netherlands — 4.8%

 

  509      Adyen NV, 144A(a)      1,248,236  
     

 

 

  
   Switzerland — 16.8%

 

  5,480      CRISPR Therapeutics AG(a)      887,157  
  6,811      Nestle S.A., (Registered)      848,971  
  12,727      Novartis AG, (Registered)      1,161,040  
  3,830      Roche Holding AG      1,443,289  
     

 

 

  
        4,340,457  
     

 

 

  
   United Kingdom — 9.4%

 

  6,459      Diageo PLC      309,570  
  17,805      Experian PLC      687,436  
  9,470      Reckitt Benckiser Group PLC      836,676  
  10,119      Unilever PLC      593,064  
     

 

 

  
        2,426,746  
     

 

 

  
   United States — 1.9%

 

  4,321      Core Laboratories NV      168,303  
  10,030      Schlumberger NV      321,060  
     

 

 

  
        489,363  
     

 

 

  
   Total Common Stocks
(Identified Cost $24,613,950)		      25,233,722  
     

 

 

  
     
   Total Investments — 97.4%
(Identified Cost $24,613,950)		      25,233,722  
   Other assets less liabilities — 2.6%      672,106  
     

 

 

  
   Net Assets — 100.0%    $ 25,905,828  
     

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.
  (a)      Non-income producing security.
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $1,702,454 or 6.6% of net assets.
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2021 (Unaudited)

 

Internet & Direct Marketing Retail

      18.0 % 

Pharmaceuticals

      12.8  

Beverages

      12.1  

Interactive Media & Services

      9.7  

Hotels, Restaurants & Leisure

      6.9  

Software

      6.0  

IT Services

      4.8  

Food Products

      4.3  

Household Products

      4.0  

Machinery

      3.8  

Biotechnology

      3.4  

Semiconductors & Semiconductor Equipment

      2.9  

Professional Services

      2.7  

Personal Products

      2.3  

Other Investments, less than 2% each

      3.7  
  

 

 

  

Total Investments

      97.4  

Other assets less liabilities

      2.6  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at June 30, 2021 (Unaudited)

 

United States Dollar

      36.8 % 

Euro

      16.7  

Swiss Franc

      13.4  

Hong Kong Dollar

      9.3  

British Pound

      7.1  

Japanese Yen

      4.6  

Yuan Renminbi

      3.8  

Australian Dollar

      3.0  

Danish Krone

      2.7  
  

 

 

  

Total Investments

      97.4  

Other assets less liabilities

      2.6  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  16

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark Fund

 

Shares      Description    Value (†)  
  Common Stocks — 96.0% of Net Assets  
   Aerospace & Defense — 0.9%

 

  14,500      General Dynamics Corp.    $ 2,729,770  
     

 

 

  
   Automobiles — 2.4%

 

  124,000      General Motors Co.(a)      7,337,080  
     

 

 

  
   Banks — 7.7%

 

  223,300      Bank of America Corp.      9,206,659  
  125,000      Citigroup, Inc.      8,843,750  
  126,745      Wells Fargo & Co.      5,740,281  
     

 

 

  
        23,790,690  
     

 

 

  
   Beverages — 3.7%

 

  26,900      Constellation Brands, Inc., Class A      6,291,641  
  143,604      Keurig Dr Pepper, Inc.      5,060,605  
     

 

 

  
        11,352,246  
     

 

 

  
   Biotechnology — 1.9%

 

  10,390      Regeneron Pharmaceuticals, Inc.(a)      5,803,231  
     

 

 

  
   Capital Markets — 12.9%

 

  86,600      Bank of New York Mellon Corp. (The)      4,436,518  
  119,500      Charles Schwab Corp. (The)      8,700,795  
  20,000      Goldman Sachs Group, Inc. (The)      7,590,600  
  23,400      Intercontinental Exchange, Inc.      2,777,580  
  59,700      KKR & Co., Inc.      3,536,628  
  9,085      Moody’s Corp.      3,292,131  
  8,555      S&P Global, Inc.      3,511,400  
  71,500      State Street Corp.      5,883,020  
     

 

 

  
        39,728,672  
     

 

 

  
   Consumer Finance — 9.5%

 

  231,200      Ally Financial, Inc.      11,523,008  
  36,244      American Express Co.      5,988,596  
  75,405      Capital One Financial Corp.      11,664,399  
     

 

 

  
        29,176,003  
     

 

 

  
   Electronic Equipment, Instruments & Components — 1.6%

 

  37,100      TE Connectivity Ltd.      5,016,291  
     

 

 

  
   Entertainment — 2.4%

 

  13,750      Netflix, Inc.(a)      7,262,887  
     

 

 

  
   Health Care Providers & Services — 5.5%

 

  55,685      CVS Health Corp.      4,646,357  
  30,407      HCA Healthcare, Inc.      6,286,343  
  13,535      Humana, Inc.      5,992,215  
     

 

 

  
        16,924,915  
     

 

 

  
   Hotels, Restaurants & Leisure — 3.9%

 

  2,925      Booking Holdings, Inc.(a)      6,400,163  
  46,545      Hilton Worldwide Holdings, Inc.(a)      5,614,258  
     

 

 

  
        12,014,421  
     

 

 

  
   Industrial Conglomerates — 1.9%

 

  434,600      General Electric Co.      5,849,716  
     

 

 

  
   Insurance — 3.4%

 

  130,895      American International Group, Inc.      6,230,602  
  38,620      Reinsurance Group of America, Inc.      4,402,680  
     

 

 

  
        10,633,282  
     

 

 

  
   Interactive Media & Services — 7.1%

 

  4,875      Alphabet, Inc., Class A(a)      11,903,726  
  29,170      Facebook, Inc., Class A(a)      10,142,701  
     

 

 

  
        22,046,427  
     

 

 

  
   Internet & Direct Marketing Retail — 3.1%

 

  104,611      eBay, Inc.      7,344,738  
   Internet & Direct Marketing Retail — continued

 

  180,630      Qurate Retail, Inc., Class A    2,364,447  
     

 

 

  
        9,709,185  
     

 

 

  
   IT Services — 9.6%

 

  20,820      Automatic Data Processing, Inc.      4,135,269  
  165,400      DXC Technology Co.(a)      6,440,676  
  56,600      Fiserv, Inc.(a)      6,049,974  
  30,165      Gartner, Inc.(a)      7,305,963  
  5,270      MasterCard, Inc., Class A      1,924,024  
  15,905      Visa, Inc., Class A      3,718,907  
     

 

 

  
        29,574,813  
     

 

 

  
   Machinery — 1.1%

 

  14,105      Cummins, Inc.      3,438,940  
     

 

 

  
   Media — 4.8%

 

  9,715      Charter Communications, Inc., Class A(a)      7,008,887  
  139,600      Comcast Corp., Class A      7,959,992  
     

 

 

  
        14,968,879  
     

 

 

  
   Oil, Gas & Consumable Fuels — 7.6%

 

  248,898      APA Corp.      5,383,664  
  75,031      ConocoPhillips      4,569,388  
  47,030      Diamondback Energy, Inc.      4,415,647  
  110,324      EOG Resources, Inc.      9,205,434  
     

 

 

  
        23,574,133  
     

 

 

  
   Real Estate Management & Development — 1.0%

 

  36,200      CBRE Group, Inc., Class A(a)      3,103,426  
     

 

 

  
   Software — 1.6%

 

  20,583      Workday, Inc., Class A(a)      4,913,985  
     

 

 

  
   Tobacco — 1.4%

 

  90,000      Altria Group, Inc.      4,291,200  
     

 

 

  
   Wireless Telecommunication Services — 1.0%

 

  21,400      T-Mobile US, Inc.(a)      3,099,362  
     

 

 

  
     
   Total Common Stocks
(Identified Cost $194,965,919)		      296,339,554  
     

 

 

  
Principal
Amount		                
  Short-Term Investments — 4.2%  
$ 13,140,396      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $13,140,396 on 7/01/2021 collateralized by $11,787,600 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $13,403,257 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $13,140,396)		      13,140,396  
     

 

 

  
     
   Total Investments — 100.2%
(Identified Cost $208,106,315)		      309,479,950  
   Other assets less liabilities — (0.2)%      (662,586 ) 
     

 

 

  
   Net Assets — 100.0%    $ 308,817,364  
     

 

 

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

 

  (a)      Non-income producing security.

 

 

See accompanying notes to financial statements.

 

17  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark Fund – (continued)

 

Industry Summary at June 30, 2021 (Unaudited)

 

Capital Markets

      12.9 % 

IT Services

      9.6  

Consumer Finance

      9.5  

Banks

      7.7  

Oil, Gas & Consumable Fuels

      7.6  

Interactive Media & Services

      7.1  

Health Care Providers & Services

      5.5  

Media

      4.8  

Hotels, Restaurants & Leisure

      3.9  

Beverages

      3.7  

Insurance

      3.4  

Internet & Direct Marketing Retail

      3.1  

Automobiles

      2.4  

Entertainment

      2.4  

Other Investments, less than 2% each

      12.4  

Short-Term Investments

      4.2  
  

 

 

  

Total Investments

      100.2  

Other assets less liabilities

      (0.2 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  18

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark International Fund

 

    
Shares		      Description    Value (†)  
  Common Stocks — 95.6% of Net Assets  
   Australia — 2.5%

 

  3,784,550      AMP Ltd.    $ 3,193,197  
  538,400      Brambles Ltd.      4,620,523  
  657,768      Orica Ltd.      6,541,703  
     

 

 

  
        14,355,423  
     

 

 

  
   Belgium — 1.2%

 

  94,500      Anheuser-Busch InBev S.A.      6,812,392  
     

 

 

  
   Canada — 3.3%

 

  771,767      Cenovus Energy, Inc.      7,383,960  
  152,800      Open Text Corp.      7,759,568  
  55,799      Restaurant Brands International, Inc.      3,595,687  
     

 

 

  
        18,739,215  
     

 

 

  
   China — 1.9%

 

  23,000      Alibaba Group Holding Ltd., Sponsored ADR(a)      5,215,940  
  184,300      Alibaba Group Holding Ltd.(a)      5,225,610  
     

 

 

  
        10,441,550  
     

 

 

  
   Finland — 0.8%

 

  113,100      UPM-Kymmene OYJ      4,281,727  
     

 

 

  
   France — 11.1%

 

  318,205      Accor S.A.(a)      11,902,015  
  311,991      BNP Paribas S.A.(b)      19,580,440  
  32,400      Capgemini SE      6,230,954  
  76,180      Danone S.A.      5,359,636  
  12,020      Danone S.A.      847,424  
  16,945      EssilorLuxottica S.A.      3,130,304  
  125,468      Publicis Groupe S.A.      8,029,323  
  235,312      Valeo S.A.      7,097,832  
     

 

 

  
        62,177,928  
     

 

 

  
   Germany — 24.7%

 

  75,910      Allianz SE, (Registered)      18,943,854  
  345,130      Bayer AG, (Registered)      20,982,244  
  700      Bayer AG, (Registered)      42,626  
  196,200      Bayerische Motoren Werke AG      20,800,244  
  119,959      Continental AG(a)      17,648,509  
  226,114      Daimler AG, (Registered)      20,205,229  
  157,700      Fresenius Medical Care AG & Co. KGaA      13,104,270  
  69,100      Fresenius SE & Co. KGaA      3,606,320  
  44,400      Henkel AG & Co. KGaA      4,088,762  
  74,200      SAP SE      10,422,108  
  859,100      thyssenkrupp AG(a)      8,972,965  
     

 

 

  
        138,817,131  
     

 

 

  
   India — 1.4%

 

  763,475      Axis Bank Ltd.(a)      7,705,883  
     

 

 

  
   Indonesia — 0.5%

 

  7,491,300      Bank Mandiri Persero Tbk PT      3,054,174  
     

 

 

  
   Ireland — 1.2%

 

  59,963      Ryanair Holdings PLC, Sponsored ADR(a)      6,488,596  
  24,200      Ryanair Holdings PLC(a)      458,774  
     

 

 

  
        6,947,370  
     

 

 

  
   Italy — 3.9%

 

  7,858,800      Intesa Sanpaolo SpA      21,740,082  
     

 

 

  
   Japan — 2.1%

 

  145,200      Komatsu Ltd.      3,597,120  
  93,600      Toyota Motor Corp.      8,181,954  
     

 

 

  
        11,779,074  
     

 

 

  
   Korea — 1.4%

 

  19,850      NAVER Corp.      7,365,708  
   Korea — continued

 

  4,100      Samsung Electronics Co. Ltd.    293,503  
     

 

 

  
        7,659,211  
     

 

 

  
   Mexico — 1.6%

 

  621,800      Grupo Televisa SAB, Sponsored ADR      8,879,304  
     

 

 

  
   Netherlands — 1.8%

 

  127,844      EXOR NV      10,259,915  
     

 

 

  
   South Africa — 2.6%

 

  69,335      Naspers Ltd., N Shares      14,619,068  
     

 

 

  
   Spain — 1.3%

 

  102,630      Amadeus IT Group S.A.(a)      7,235,067  
     

 

 

  
   Sweden — 3.6%

 

  356,955      H & M Hennes & Mauritz AB, B Shares(a)      8,477,473  
  239,200      SKF AB, B Shares      6,096,771  
  231,300      Volvo AB, B Shares      5,574,197  
     

 

 

  
        20,148,441  
     

 

 

  
   Switzerland — 12.2%

 

  37,800      Cie Financiere Richemont S.A., (Registered)      4,582,440  
  1,683,434      Credit Suisse Group AG, (Registered)(b)      17,622,061  
  4,385,780      Glencore PLC(b)      18,824,159  
  123,921      Holcim Ltd., (Registered)      7,448,653  
  96,000      Novartis AG, (Registered)      8,757,748  
  20,000      Roche Holding AG      7,536,757  
  11,699      Swatch Group AG (The)      4,017,608  
     

 

 

  
        68,789,426  
     

 

 

  
   United Kingdom — 16.5%

 

  60,000      Bunzl PLC      1,984,875  
  971,300      CNH Industrial NV      16,111,606  
  219,000      Compass Group PLC(a)      4,613,872  
  408,832      Liberty Global PLC, Class A(a)      11,103,877  
  35,630,700      Lloyds Banking Group PLC      23,047,931  
  3,170,400      NatWest Group PLC      8,922,383  
  371,200      Prudential PLC      7,062,365  
  2,103,500      Rolls-Royce Holdings PLC(a)      2,879,725  
  140,189      Schroders PLC      6,817,919  
  140,900      Smiths Group PLC      3,103,158  
  534,200      WPP PLC      7,221,239  
     

 

 

  
        92,868,950  
     

 

 

  
   Total Common Stocks
(Identified Cost $460,808,236)		      537,311,331  
     

 

 

  
     
Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 0.3%  
  Convertible Bonds — 0.3%  
   Switzerland — 0.3%

 

  800,000      Credit Suisse Group Guernsey VII Ltd., Series AR,
3.000%, 11/12/2021, 144A, (CHF)		      967,090  
  610,000      Credit Suisse Group Guernsey VII Ltd., Series BR,
3.000%, 11/12/2021, 144A, (CHF)		      738,461  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $1,547,687)		      1,705,551  
     

 

 

  

 

See accompanying notes to financial statements.

 

19  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark International Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Short-Term Investments — 3.6%  
  20,278,547      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $20,278,547 on 7/01/2021 collateralized by $1,723,500 U.S. Treasury Bond, 4.375% due 2/15/2038 valued at $2,364,966; $16,111,000 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $18,319,241 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $20,278,547)		    $ 20,278,547  
     

 

 

  
     
   Total Investments — 99.5%
(Identified Cost $482,634,470)		      559,295,429  
   Other assets less liabilities — 0.5%      2,836,986  
     

 

 

  
   Net Assets — 100.0%    $ 562,132,415  
     

 

 

  
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.
  (†)      See Note 2 of Notes to Financial Statements.
  (a)      Non-income producing security.
  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $1,705,551 or 0.3% of net assets.
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
  CHF      Swiss Franc

 

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

 

Counterparty

    Delivery
Date		      Currency
Bought/
Sold (B/S)		      Units of
Currency		      In
Exchange for		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

State Street Bank and Trust Company

      12/15/2021        CHF      $     5,999,000      $     6,703,834      $     6,513,908      $     189,926  
                 

 

 

  

 

Industry Summary at June 30, 2021 (Unaudited)

 

Banks

      15.0 % 

Automobiles

      8.8  

Pharmaceuticals

      6.6  

Machinery

      5.6  

Metals & Mining

      5.0  

Insurance

      4.7  

Internet & Direct Marketing Retail

      4.5  

Auto Components

      4.4  

Capital Markets

      4.3  

Media

      4.3  

Hotels, Restaurants & Leisure

      3.5  

Software

      3.3  

Health Care Providers & Services

      3.0  

IT Services

      2.4  

Diversified Financial Services

      2.4  

Textiles, Apparel & Luxury Goods

      2.1  

Diversified Telecommunication Services

      2.0  

Other Investments, less than 2% each

      14.0  

Short-Term Investments

      3.6  
  

 

 

  

Total Investments

      99.5  

Other assets less liabilities (including forward foreign currency contracts)

      0.5  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at June 30, 2021 (Unaudited)

 

Euro

      47.8 % 

British Pound

      15.0  

United States Dollar

      9.8  

Swiss Franc

      9.1  

Swedish Krona

      3.6  

Canadian Dollar

      2.7  

South African Rand

      2.6  

Australian Dollar

      2.5  

Japanese Yen

      2.1  

Other, less than 2% each

      4.3  
  

 

 

  

Total Investments

      99.5  

Other assets less liabilities (including forward foreign currency contracts)

      0.5  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  20

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis U.S. Equity Opportunities Fund

 

    
Shares		      Description    Value (†)  
  Common Stocks — 99.1% of Net Assets  
   Aerospace & Defense — 2.1%

 

  90,956      Boeing Co. (The)(a)    $ 21,789,419  
     

 

 

  
   Air Freight & Logistics — 1.0%

 

  86,218      Expeditors International of Washington, Inc.      10,915,199  
     

 

 

  
   Automobiles — 1.9%

 

  340,600      General Motors Co.(a)      20,153,302  
     

 

 

  
   Banks — 6.2%

 

  692,160      Bank of America Corp.      28,537,757  
  340,605      Citigroup, Inc.      24,097,803  
  290,900      Wells Fargo & Co.      13,174,861  
     

 

 

  
        65,810,421  
     

 

 

  
   Beverages — 4.3%

 

  66,391      Constellation Brands, Inc., Class A      15,528,191  
  285,400      Keurig Dr Pepper, Inc.      10,057,496  
  221,045      Monster Beverage Corp.(a)      20,192,461  
     

 

 

  
        45,778,148  
     

 

 

  
   Biotechnology — 5.0%

 

  72,279      Alnylam Pharmaceuticals, Inc.(a)      12,252,736  
  55,058      BioMarin Pharmaceutical, Inc.(a)      4,594,040  
  64,687      CRISPR Therapeutics AG(a)      10,472,178  
  46,572      Regeneron Pharmaceuticals, Inc.(a)      26,012,325  
     

 

 

  
        53,331,279  
     

 

 

  
   Capital Markets — 7.7%

 

  372,045      Charles Schwab Corp. (The)      27,088,596  
  19,233      FactSet Research Systems, Inc.      6,454,787  
  40,200      Moody’s Corp.      14,567,274  
  16,272      MSCI, Inc.      8,674,278  
  119,518      SEI Investments Co.      7,406,531  
  204,600      State Street Corp.      16,834,488  
     

 

 

  
        81,025,954  
     

 

 

  
   Communications Equipment — 0.7%

 

  138,009      Cisco Systems, Inc.      7,314,477  
     

 

 

  
   Consumer Finance — 4.5%

 

  87,100      American Express Co.      14,391,533  
  213,285      Capital One Financial Corp.      32,993,057  
     

 

 

  
        47,384,590  
     

 

 

  
   Electronic Equipment, Instruments & Components — 1.1%

 

  89,400      TE Connectivity Ltd.      12,087,774  
     

 

 

  
   Energy Equipment & Services — 0.8%

 

  264,618      Schlumberger NV      8,470,422  
     

 

 

  
   Entertainment — 3.2%

 

  31,815      Netflix, Inc.(a)      16,805,001  
  99,106      Walt Disney Co. (The)(a)      17,419,862  
     

 

 

  
        34,224,863  
     

 

 

  
   Health Care Equipment & Supplies — 0.5%

 

  6,127      Intuitive Surgical, Inc.(a)      5,634,634  
     

 

 

  
   Health Care Providers & Services — 3.8%

 

  144,100      CVS Health Corp.      12,023,704  
  73,100      HCA Healthcare, Inc.      15,112,694  
  29,220      Humana, Inc.      12,936,278  
     

 

 

  
        40,072,676  
     

 

 

  
   Health Care Technology — 0.5%

 

  61,806      Cerner Corp.      4,830,757  
     

 

 

  
   Hotels, Restaurants & Leisure — 5.4%

 

  8,665      Booking Holdings, Inc.(a)      18,959,800  
  105,400      Hilton Worldwide Holdings, Inc.(a)      12,713,348  
  117,751      Starbucks Corp.      13,165,739  
   Hotels, Restaurants & Leisure — continued

 

  117,078      Yum China Holdings, Inc.    7,756,418  
  42,181      Yum! Brands, Inc.      4,852,080  
     

 

 

  
        57,447,385  
     

 

 

  
   Household Products — 0.4%

 

  58,003      Colgate-Palmolive Co.      4,718,544  
     

 

 

  
   Industrial Conglomerates — 1.6%

 

  1,236,750      General Electric Co.      16,646,655  
     

 

 

  
   Insurance — 2.8%

 

  403,355      American International Group, Inc.      19,199,698  
  92,600      Reinsurance Group of America, Inc.      10,556,400  
     

 

 

  
        29,756,098  
     

 

 

  
   Interactive Media & Services — 10.8%

 

  18,653      Alphabet, Inc., Class A(a)      45,546,709  
  5,967      Alphabet, Inc., Class C(a)      14,955,212  
  155,602      Facebook, Inc., Class A(a)      54,104,371  
     

 

 

  
        114,606,292  
     

 

 

  
   Internet & Direct Marketing Retail — 5.4%

 

  92,379      Alibaba Group Holding Ltd., Sponsored ADR(a)      20,949,710  
  10,500      Amazon.com, Inc.(a)      36,121,680  
     

 

 

  
        57,071,390  
     

 

 

  
   IT Services — 4.6%

 

  17,585      Automatic Data Processing, Inc.      3,492,733  
  384,300      DXC Technology Co.(a)      14,964,642  
  93,000      Fiserv, Inc.(a)      9,940,770  
  87,745      Visa, Inc., Class A      20,516,536  
     

 

 

  
        48,914,681  
     

 

 

  
   Life Sciences Tools & Services — 1.3%

 

  29,097      Illumina, Inc.(a)      13,768,991  
     

 

 

  
   Machinery — 1.2%

 

  35,511      Deere & Co.      12,525,085  
     

 

 

  
   Media — 3.1%

 

  19,350      Charter Communications, Inc., Class A(a)      13,960,057  
  326,080      Comcast Corp., Class A      18,593,082  
     

 

 

  
        32,553,139  
     

 

 

  
   Oil, Gas & Consumable Fuels — 3.3%

 

  690,541      APA Corp.      14,936,402  
  238,738      EOG Resources, Inc.      19,920,298  
     

 

 

  
        34,856,700  
     

 

 

  
   Pharmaceuticals — 2.8%

 

  151,883      Novartis AG, Sponsored ADR      13,857,805  
  49,958      Novo Nordisk A/S, Sponsored ADR      4,184,982  
  255,994      Roche Holding AG, Sponsored ADR      12,029,158  
     

 

 

  
        30,071,945  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 4.2%

 

  42,407      NVIDIA Corp.      33,929,841  
  74,791      QUALCOMM, Inc.      10,689,877  
     

 

 

  
        44,619,718  
     

 

 

  
   Software — 8.0%

 

  81,150      Autodesk, Inc.(a)      23,687,685  
  51,477      Microsoft Corp.      13,945,119  
  260,013      Oracle Corp.      20,239,412  
  55,993      salesforce.com, Inc.(a)      13,677,410  
  54,257      Workday, Inc., Class A(a)      12,953,316  
     

 

 

  
        84,502,942  
     

 

 

  
   Textiles, Apparel & Luxury Goods — 0.9%

 

  437,498      Under Armour, Inc., Class A(a)      9,253,083  
     

 

 

  
   Total Common Stocks
(Identified Cost $612,778,268)		      1,050,136,563  
     

 

 

  

 

See accompanying notes to financial statements.

 

21  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

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

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 1.1%  
$ 11,145,029      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $11,145,029 on 7/01/2021 collateralized by $2,311,100 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $3,151,222; $7,226,300 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $8,216,767 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $11,145,029)		    $ 11,145,029  
     

 

 

  
     
   Total Investments — 100.2%
(Identified Cost $623,923,297)		      1,061,281,592  
   Other assets less liabilities — (0.2)%      (1,777,110 ) 
     

 

 

  
   Net Assets — 100.0%    $ 1,059,504,482  
     

 

 

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

 

  (a)      Non-income producing security.

 

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

 

Industry Summary at June 30, 2021 (Unaudited)

 

Interactive Media & Services

      10.8 % 

Software

      8.0  

Capital Markets

      7.7  

Banks

      6.2  

Hotels, Restaurants & Leisure

      5.4  

Internet & Direct Marketing Retail

      5.4  

Biotechnology

      5.0  

IT Services

      4.6  

Consumer Finance

      4.5  

Beverages

      4.3  

Semiconductors & Semiconductor Equipment

      4.2  

Health Care Providers & Services

      3.8  

Oil, Gas & Consumable Fuels

      3.3  

Entertainment

      3.2  

Media

      3.1  

Pharmaceuticals

      2.8  

Insurance

      2.8  

Aerospace & Defense

      2.1  

Other Investments, less than 2% each

      11.9  

Short-Term Investments

      1.1  
  

 

 

  

Total Investments

      100.2  

Other assets less liabilities

      (0.2 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Mid Cap Fund

 

    
Shares		      Description    Value (†)  
  Common Stocks — 97.7% of Net Assets  
   Banks — 5.2%

 

  123,275      Bank of N.T. Butterfield & Son Ltd. (The)    $ 4,370,098  
  416,866      Huntington Bancshares, Inc.      5,948,678  
  150,930      PacWest Bancorp      6,212,279  
     

 

 

  
        16,531,055  
     

 

 

  
   Beverages — 1.0%

 

  13,130      Constellation Brands, Inc., Class A      3,070,976  
     

 

 

  
   Building Products — 0.7%

 

  16,820      Allegion PLC      2,343,026  
     

 

 

  
   Capital Markets — 5.6%

 

  53,365      Ares Management Corp., Class A      3,393,480  
  237,265      Brightsphere Investment Group, Inc.      5,559,119  
  19,520      Nasdaq, Inc.      3,431,616  
  41,300      Raymond James Financial, Inc.      5,364,870  
     

 

 

  
        17,749,085  
     

 

 

  
   Chemicals — 4.1%

 

  151,840      Axalta Coating Systems Ltd.(a)      4,629,601  
  57,610      FMC Corp.      6,233,402  
  20,510      LyondellBasell Industries NV, Class A      2,109,864  
     

 

 

  
        12,972,867  
     

 

 

  
   Communications Equipment — 3.0%

 

  43,840      Motorola Solutions, Inc.      9,506,704  
     

 

 

  
   Construction & Engineering — 1.9%

 

  218,615      WillScot Mobile Mini Holdings Corp.(a)      6,092,800  
     

 

 

  
   Consumer Finance — 2.1%

 

  135,970      Synchrony Financial      6,597,264  
     

 

 

  
   Containers & Packaging — 3.1%

 

  17,930      Avery Dennison Corp.      3,769,603  
  58,320      Crown Holdings, Inc.      5,960,887  
     

 

 

  
        9,730,490  
     

 

 

  
   Diversified Consumer Services — 1.5%

 

  52,370      Grand Canyon Education, Inc.(a)      4,711,729  
     

 

 

  
   Electric Utilities — 1.4%

 

  28,210      Alliant Energy Corp.      1,572,990  
  49,950      Evergy, Inc.      3,018,478  
     

 

 

  
        4,591,468  
     

 

 

  
   Electrical Equipment — 6.0%

 

  43,045      AMETEK, Inc.      5,746,507  
  37,095      Hubbell, Inc.      6,930,830  
  201,315      nVent Electric PLC      6,289,081  
     

 

 

  
        18,966,418  
     

 

 

  
   Electronic Equipment, Instruments & Components — 1.5%

 

  8,925      CDW Corp.      1,558,751  
  21,385      Keysight Technologies, Inc.(a)      3,302,058  
     

 

 

  
        4,860,809  
     

 

 

  
   Food & Staples Retailing — 0.7%

 

  48,640      Performance Food Group Co.(a)      2,358,554  
     

 

 

  
   Health Care Equipment & Supplies — 2.3%

 

  7,575      Cooper Cos., Inc. (The)      3,001,745  
  65,505      Hologic, Inc.(a)      4,370,494  
     

 

 

  
        7,372,239  
     

 

 

  
   Health Care Providers & Services — 1.6%

 

  409,500      Aveanna Healthcare Holdings, Inc.(a)      5,065,515  
     

 

 

  
   Hotels, Restaurants & Leisure — 2.4%

 

  206,355      Aramark      7,686,724  
     

 

 

  
   Independent Power & Renewable Electricity Producers — 1.7%

 

  298,050      Vistra Corp.    5,528,828  
     

 

 

  
   Insurance — 5.1%

 

  17,335      Allstate Corp. (The)      2,261,177  
  19,835      Arthur J. Gallagher & Co.      2,778,487  
  93,505      Athene Holding Ltd., Class A(a)      6,311,588  
  41,855      Reinsurance Group of America, Inc.      4,771,470  
     

 

 

  
        16,122,722  
     

 

 

  
   IT Services — 5.2%

 

  90,660      Alliance Data Systems Corp.      9,445,865  
  12,220      Global Payments, Inc.      2,291,739  
  53,760      MAXIMUS, Inc.      4,729,267  
     

 

 

  
        16,466,871  
     

 

 

  
   Life Sciences Tools & Services — 6.0%

 

  16,660      Agilent Technologies, Inc.      2,462,515  
  135,850      Avantor, Inc.(a)      4,824,033  
  17,147      IQVIA Holdings, Inc.(a)      4,155,061  
  317,640      Sotera Health Co.(a)      7,696,417  
     

 

 

  
        19,138,026  
     

 

 

  
   Machinery — 7.7%

 

  70,265      Crane Co.      6,490,378  
  55,385      Oshkosh Corp.      6,903,187  
  56,100      Otis Worldwide Corp.      4,587,297  
  81,375      Timken Co. (The)      6,558,011  
     

 

 

  
        24,538,873  
     

 

 

  
   Media — 2.5%

 

  53,165      Nexstar Media Group, Inc., Class A      7,862,040  
     

 

 

  
   Metals & Mining — 3.1%

 

  515,280      Constellium SE(a)      9,764,556  
     

 

 

  
   Multi-Utilities — 0.9%

 

  23,210      Ameren Corp.      1,857,729  
  19,040      CMS Energy Corp.      1,124,883  
     

 

 

  
        2,982,612  
     

 

 

  
   Oil, Gas & Consumable Fuels — 5.5%

 

  98,870      Diamondback Energy, Inc.      9,282,904  
  49,315      Pioneer Natural Resources Co.      8,014,674  
     

 

 

  
        17,297,578  
     

 

 

  
   Pharmaceuticals — 4.1%

 

  376,410      Elanco Animal Health, Inc.(a)      13,057,663  
     

 

 

  
   Professional Services — 2.0%

 

  25,075      CACI International, Inc., Class A(a)      6,397,134  
     

 

 

  
   REITs – Diversified — 0.8%

 

  242,025      New Residential Investment Corp.      2,563,045  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 2.0%

 

  14,795      Analog Devices, Inc.      2,547,107  
  10,670      CMC Materials, Inc.      1,608,396  
  16,740      Entegris, Inc.      2,058,518  
     

 

 

  
        6,214,021  
     

 

 

  
   Software — 2.0%

 

  384,705      SolarWinds Corp.(a)      6,497,667  
     

 

 

  
   Specialty Retail — 1.7%

 

  193,065      Leslie’s, Inc.(a)      5,307,357  
     

 

 

  
   Textiles, Apparel & Luxury Goods — 3.3%

 

  207,070      Skechers U.S.A., Inc., Class A(a)      10,318,298  
     

 

 

  
   Total Common Stocks
(Identified Cost $240,222,270)		      310,265,014  
     

 

 

  
     

 

See accompanying notes to financial statements.

 

23  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Mid Cap Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 2.1%  
$ 6,696,592      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $6,696,592 on 7/01/2021 collateralized by $6,007,200 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $6,830,572 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $6,696,592)		    $ 6,696,592  
     

 

 

  
     
   Total Investments — 99.8%
(Identified Cost $246,918,862)		      316,961,606  
   Other assets less liabilities — 0.2%      492,764  
     

 

 

  
   Net Assets — 100.0%    $ 317,454,370  
     

 

 

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

 

  (a)      Non-income producing security.

 

  REITs      Real Estate Investment Trusts

 

Industry Summary at June 30, 2021 (Unaudited)

 

Machinery

      7.7 % 

Life Sciences Tools & Services

      6.0  

Electrical Equipment

      6.0  

Capital Markets

      5.6  

Oil, Gas & Consumable Fuels

      5.5  

Banks

      5.2  

IT Services

      5.2  

Insurance

      5.1  

Pharmaceuticals

      4.1  

Chemicals

      4.1  

Textiles, Apparel & Luxury Goods

      3.3  

Metals & Mining

      3.1  

Containers & Packaging

      3.1  

Communications Equipment

      3.0  

Media

      2.5  

Hotels, Restaurants & Leisure

      2.4  

Health Care Equipment & Supplies

      2.3  

Consumer Finance

      2.1  

Software

      2.0  

Professional Services

      2.0  

Semiconductors & Semiconductor Equipment

      2.0  

Other Investments, less than 2% each

      15.4  

Short-Term Investments

      2.1  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities

      0.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  24

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Small Cap Value Fund

 

Shares      Description    Value (†)  
  Common Stocks — 98.7% of Net Assets  
   Airlines — 0.8%

 

  36,075      Spirit Airlines, Inc.(a)    $ 1,098,123  
     

 

 

  
   Banks — 5.9%

 

  75,880      BancorpSouth Bank      2,149,680  
  48,615      BankUnited, Inc.      2,075,374  
  115,120      Old National Bancorp      2,027,263  
  52,185      PacWest Bancorp      2,147,935  
     

 

 

  
        8,400,252  
     

 

 

  
   Biotechnology — 0.6%

 

  14,633      Emergent BioSolutions, Inc.(a)      921,733  
     

 

 

  
   Building Products — 1.6%

 

  17,160      Builders FirstSource, Inc.(a)      732,046  
  21,210      Gibraltar Industries, Inc.(a)      1,618,535  
     

 

 

  
        2,350,581  
     

 

 

  
   Capital Markets — 3.9%

 

  22,970      LPL Financial Holdings, Inc.      3,100,491  
  44,705      Moelis & Co., Class A      2,543,267  
     

 

 

  
        5,643,758  
     

 

 

  
   Chemicals — 8.7%

 

  58,505      Axalta Coating Systems Ltd.(a)      1,783,818  
  94,690      Chemours Co. (The)      3,295,212  
  210,730      Element Solutions, Inc.      4,926,867  
  22,950      FMC Corp.      2,483,190  
     

 

 

  
        12,489,087  
     

 

 

  
   Commercial Services & Supplies — 2.5%

 

  36,365      Ritchie Bros. Auctioneers, Inc.      2,155,717  
  5,840      UniFirst Corp.      1,370,298  
     

 

 

  
        3,526,015  
     

 

 

  
   Electronic Equipment, Instruments & Components — 9.2%

 

  40,985      Fabrinet(a)      3,929,232  
  29,580      II-VI, Inc.(a)      2,147,212  
  50,970      Insight Enterprises, Inc.(a)      5,097,510  
  35,475      Jabil, Inc.      2,061,807  
     

 

 

  
        13,235,761  
     

 

 

  
   Energy Equipment & Services — 1.4%

 

  24,280      ChampionX Corp.(a)      622,782  
  154,360      TechnipFMC PLC(a)      1,396,958  
     

 

 

  
        2,019,740  
     

 

 

  
   Food & Staples Retailing — 1.7%

 

  49,895      Performance Food Group Co.(a)      2,419,409  
     

 

 

  
   Food Products — 1.3%

 

  68,260      Nomad Foods Ltd.(a)      1,929,710  
     

 

 

  
   Gas Utilities — 2.2%

 

  24,415      Southwest Gas Holdings, Inc.      1,616,029  
  21,950      Spire, Inc.      1,586,326  
     

 

 

  
        3,202,355  
     

 

 

  
   Health Care Equipment & Supplies — 0.8%

 

  16,530      Hologic, Inc.(a)      1,102,882  
     

 

 

  
   Health Care Providers & Services — 1.0%

 

  5,700      Molina Healthcare, Inc.(a)      1,442,442  
     

 

 

  
   Hotels, Restaurants & Leisure — 5.5%

 

  79,345      Everi Holdings, Inc.(a)      1,978,864  
  118,414      International Game Technology PLC(a)      2,837,199  
  38,695      Scientific Games Corp., Class A(a)      2,996,541  
     

 

 

  
        7,812,604  
     

 

 

  
   Household Durables — 0.8%

 

  9,385      Installed Building Products, Inc.    1,148,349  
     

 

 

  
   Insurance — 4.3%

 

  29,860      Brown & Brown, Inc.      1,586,760  
  25,385      First American Financial Corp.      1,582,755  
  24,590      Selective Insurance Group, Inc.      1,995,479  
  65,240      Trean Insurance Group, Inc.(a)      983,819  
     

 

 

  
        6,148,813  
     

 

 

  
   IT Services — 4.9%

 

  58,995      DXC Technology Co.(a)      2,297,265  
  26,475      ExlService Holdings, Inc.(a)      2,813,234  
  92,930      Switch, Inc., Class A      1,961,752  
     

 

 

  
        7,072,251  
     

 

 

  
   Life Sciences Tools & Services — 4.3%

 

  70,925      Avantor, Inc.(a)      2,518,547  
  39,990      Syneos Health, Inc.(a)      3,578,705  
     

 

 

  
        6,097,252  
     

 

 

  
   Machinery — 5.6%

 

  13,925      Alamo Group, Inc.      2,126,069  
  74,920      Federal Signal Corp.      3,014,032  
  35,330      SPX Corp.(a)      2,157,956  
  24,220      Trinity Industries, Inc.      651,276  
     

 

 

  
        7,949,333  
     

 

 

  
   Media — 3.3%

 

  75,715      Sinclair Broadcast Group, Inc., Class A      2,515,252  
  121,380      TEGNA, Inc.      2,277,089  
     

 

 

  
        4,792,341  
     

 

 

  
   Metals & Mining — 0.7%

 

  27,755      Arconic Corp.(a)      988,633  
     

 

 

  
   Oil, Gas & Consumable Fuels — 3.6%

 

  91,475      Comstock Resources, Inc.(a)      610,138  
  84,840      Ovintiv, Inc.      2,669,915  
  19,475      PDC Energy, Inc.      891,760  
  181,060      Southwestern Energy Co.(a)      1,026,610  
     

 

 

  
        5,198,423  
     

 

 

  
   Personal Products — 1.6%

 

  241,650      Coty, Inc., Class A(a)      2,257,011  
     

 

 

  
   Professional Services — 5.0%

 

  30,520      ASGN, Inc.(a)      2,958,303  
  9,385      CACI International, Inc., Class A(a)      2,394,301  
  13,175      FTI Consulting, Inc.(a)      1,799,837  
     

 

 

  
        7,152,441  
     

 

 

  
   REITs – Hotels — 2.5%

 

  283,830      Sunstone Hotel Investors, Inc.(a)      3,525,169  
     

 

 

  
   Road & Rail — 1.1%

 

  7,750      Saia, Inc.(a)      1,623,547  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 5.6%

 

  14,545      CMC Materials, Inc.      2,192,513  
  14,030      MKS Instruments, Inc.      2,496,638  
  111,755      Tower Semiconductor Ltd.(a)      3,288,950  
     

 

 

  
        7,978,101  
     

 

 

  
   Specialty Retail — 1.3%

 

  11,900      Group 1 Automotive, Inc.      1,837,717  
     

 

 

  
   Textiles, Apparel & Luxury Goods — 2.6%

 

  65,945      Capri Holdings Ltd.(a)      3,771,395  
     

 

 

  
   Trading Companies & Distributors — 4.4%

 

  18,070      GATX Corp.      1,598,653  
  42,595      Rush Enterprises, Inc., Class A      1,841,808  

 

See accompanying notes to financial statements.

 

25  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

 

Shares      Description    Value (†)  
   Trading Companies & Distributors — continued

 

  115,640      Univar Solutions, Inc.(a)    $ 2,819,303  
     

 

 

  
        6,259,764  
     

 

 

  
   Total Common Stocks
(Identified Cost $117,451,048)		      141,394,992  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 2.8%  
$ 4,001,172      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $4,001,172 on 7/01/2021 collateralized by $3,589,300 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $4,081,264 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $4,001,172)		      4,001,172  
     

 

 

  
     
   Total Investments — 101.5%
(Identified Cost $121,452,220)		      145,396,164  
   Other assets less liabilities — (1.5)%      (2,149,392 ) 
     

 

 

  
   Net Assets — 100.0%    $ 143,246,772  
     

 

 

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

 

  (a)      Non-income producing security.

 

  REITs      Real Estate Investment Trusts

 

Industry Summary at June 30, 2021 (Unaudited)

 

Electronic Equipment, Instruments & Components

      9.2 % 

Chemicals

      8.7  

Banks

      5.9  

Semiconductors & Semiconductor Equipment

      5.6  

Machinery

      5.6  

Hotels, Restaurants & Leisure

      5.5  

Professional Services

      5.0  

IT Services

      4.9  

Trading Companies & Distributors

      4.4  

Insurance

      4.3  

Life Sciences Tools & Services

      4.3  

Capital Markets

      3.9  

Oil, Gas & Consumable Fuels

      3.6  

Media

      3.3  

Textiles, Apparel & Luxury Goods

      2.6  

Commercial Services & Supplies

      2.5  

REITs – Hotels

      2.5  

Gas Utilities

      2.2  

Other Investments, less than 2% each

      14.7  

Short-Term Investments

      2.8  
  

 

 

  

Total Investments

      101.5  

Other assets less liabilities

      (1.5 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  26

Statements of Assets and Liabilities

 

June 30, 2021 (Unaudited)

 

     International
Growth
Fund		     Natixis
Oakmark
Fund		     Natixis
Oakmark
International
Fund		     Natixis U.S.
Equity
Opportunities
Fund		  

ASSETS

 

Investments at cost

    $ 24,613,950     $ 208,106,315     $ 482,634,470     $ 623,923,297  

Net unrealized appreciation

      619,772       101,373,635       76,660,959       437,358,295  
  

 

 

    

 

 

    

 

 

    

 

 

  

Investments at value

      25,233,722       309,479,950       559,295,429       1,061,281,592  

Cash

      622,725       —       —       —  

Foreign currency at value (identified cost $48,895, $0, $191,800 and $0, respectively)

      48,913       —       190,793       —  

Receivable for Fund shares sold

      272       233,256       478,840       231,513  

Receivable for securities sold

      —       —       494,014       —  

Dividends receivable

      17,162       159,553       712,998       295,371  

Unrealized appreciation on forward foreign currency contracts (Note 2)

      —       —       189,926       —  

Tax reclaims receivable

      25,984       36,194       2,969,932       480,095  

Prepaid expenses (Note 9)

      4       43       77       150  
  

 

 

    

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

      25,948,782       309,908,996       564,332,009       1,062,288,721  
  

 

 

    

 

 

    

 

 

    

 

 

  

LIABILITIES

 

Payable for securities purchased

      —       —       1,068,553       —  

Payable for Fund shares redeemed

      —       115,816       144,125       1,398,870  

Foreign taxes payable (Note 2)

      —       —       419,885       —  

Management fees payable (Note 6)

      5,142       172,629       289,235       653,891  

Deferred Trustees’ fees (Note 6)

      1,740       725,605       136,012       570,770  

Administrative fees payable (Note 6)

      920       10,807       20,172       37,095  

Payable to distributor (Note 6d)

      —       987       9,752       4,110  

Audit and tax services fees payable

      22,498       22,113       23,749       22,316  

Other accounts payable and accrued expenses

      12,654       43,675       88,111       97,187  
  

 

 

    

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

      42,954       1,091,632       2,199,594       2,784,239  
  

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 25,905,828     $ 308,817,364     $ 562,132,415     $ 1,059,504,482  
  

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

    $ 24,876,315     $ 197,084,487     $ 612,525,946     $ 580,446,312  

Accumulated earnings (loss)

      1,029,513       111,732,877       (50,393,531 )      479,058,170  
  

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 25,905,828     $ 308,817,364     $ 562,132,415     $ 1,059,504,482  
  

 

 

    

 

 

    

 

 

    

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A Shares:

 

Net assets

    $ 100,514     $ 211,845,136     $ 151,985,530     $ 732,758,328  
  

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

      9,441       7,280,498       9,460,100       16,414,865  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value and redemption price per share

    $ 10.65     $ 29.10     $ 16.07     $ 44.64  
  

 

 

    

 

 

    

 

 

    

 

 

  

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

    $ 11.30     $ 30.88     $ 17.05     $ 47.36  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C Shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

         

Net assets

    $ 42,134     $ 41,303,079     $ 85,990,217     $ 62,185,813  
  

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

      3,973       1,725,260       5,486,986       2,568,539  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value and offering price per share

    $ 10.60 *    $ 23.94     $ 15.67     $ 24.21  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class N shares:

 

Net assets

    $ 25,541,268     $ 10,143     $ 309,279     $ 204,616  
  

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

      2,395,482       326       19,301       3,709  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

    $ 10.66     $ 31.09 *    $ 16.02     $ 55.17  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class Y shares:

 

Net assets

    $ 221,912     $ 55,659,006     $ 323,847,389     $ 264,355,725  
  

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

      20,817       1,795,232       20,233,271       4,803,046  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

    $ 10.66     $ 31.00     $ 16.01     $ 55.04  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

*

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

 

See accompanying notes to financial statements.

 

27  |

Statements of Assets and Liabilities (continued)

 

June 30, 2021 (Unaudited)

 

     Vaughan Nelson
Mid Cap Fund		          
Vaughan Nelson
Small Cap
Value Fund		  

ASSETS

 

Investments at cost

    $ 246,918,862      $ 121,452,220  

Net unrealized appreciation

      70,042,744        23,943,944  
  

 

 

     

 

 

  

Investments at value

      316,961,606        145,396,164  

Cash

      6,097        —  

Receivable for Fund shares sold

      109,318        18,480  

Receivable for securities sold

      1,618,621        2,593,156  

Dividends receivable

      184,761        52,723  

Prepaid expenses (Note 9)

      45        21  
  

 

 

     

 

 

  

TOTAL ASSETS

      318,880,448        148,060,544  
  

 

 

     

 

 

  

LIABILITIES

 

Payable for securities purchased

      857,302        4,300,139  

Payable for Fund shares redeemed

      88,138        111,971  

Management fees payable (Note 6)

      195,932        95,725  

Deferred Trustees’ fees (Note 6)

      210,917        249,670  

Administrative fees payable (Note 6)

      11,186        5,080  

Payable to distributor (Note 6d)

      2,817        715  

Audit and tax services fees payable

      22,862        22,120  

Other accounts payable and accrued expenses

      36,924        28,352  
  

 

 

     

 

 

  

TOTAL LIABILITIES

      1,426,078        4,813,772  
  

 

 

     

 

 

  

NET ASSETS

    $ 317,454,370      $ 143,246,772  
  

 

 

     

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

    $ 222,883,508      $ 101,495,197  

Accumulated earnings

      94,570,862        41,751,575  
  

 

 

     

 

 

  

NET ASSETS

    $ 317,454,370      $ 143,246,772  
  

 

 

     

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

    $ 35,955,995      $ 78,011,860  
  

 

 

     

 

 

  

Shares of beneficial interest

      1,424,181        3,883,286  
  

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 25.25      $ 20.09  
  

 

 

     

 

 

  

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

    $ 26.79      $ 21.32  
  

 

 

     

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

      

Net assets

    $ 13,612,350      $ 937,261  
  

 

 

     

 

 

  

Shares of beneficial interest

      585,666        93,680  
  

 

 

     

 

 

  

Net asset value and offering price per share

    $ 23.24      $ 10.00  
  

 

 

     

 

 

  

Class N shares:

 

Net assets

    $ 22,408,024      $ 1,244,702  
  

 

 

     

 

 

  

Shares of beneficial interest

      874,974        58,939  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 25.61      $ 21.12  
  

 

 

     

 

 

  

Class Y shares:

 

Net assets

    $ 245,478,001      $ 63,052,949  
  

 

 

     

 

 

  

Shares of beneficial interest

      9,572,591        2,988,229  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 25.64      $ 21.10  
  

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Statements of Operations

 

For the Six Months Ended June 30, 2021 (Unaudited)

 

     International
Growth
Fund		     Natixis
Oakmark
Fund		     Natixis
Oakmark
International
Fund		     Natixis U.S.
Equity
Opportunities
Fund		  

INVESTMENT INCOME

 

Dividends

    $ 214,908     $ 1,618,273     $ 8,223,027     $ 4,702,493  

Interest

      —       —       18,155       —  

Less net foreign taxes withheld

      (23,097 )      —       (965,881 )      (129,546 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     191,811       1,618,273       7,275,301       4,572,947  
  

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

 

Management fees (Note 6)

      88,924       956,455       2,073,305       3,742,472  

Service and distribution fees (Note 6)

      178       435,864       646,495       1,173,387  

Administrative fees (Note 6)

      5,068       59,661       113,969       214,400  

Trustees’ fees and expenses (Note 6)

      7,579       79,166       28,547       77,762  

Transfer agent fees and expenses (Notes 6 and 8)

      2,494       105,744       427,753       323,660  

Audit and tax services fees

      20,974       20,385       28,726       21,282  

Custodian fees and expenses (Note 7)

      8,515       4,047       103,971       28,682  

Legal fees (Note 9)

      480       4,799       9,678       18,286  

Registration fees

      33,328       60,408       58,634       71,274  

Shareholder reporting expenses

      6,162       10,620       54,634       25,201  

Miscellaneous expenses (Notes 7 and 9)

      17,134       18,299       42,466       29,871  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

      190,836       1,755,448       3,588,178       5,726,277  

Less waiver and/or expense reimbursement (Notes 6 and 7)

      (83,897 )      (893 )      (408,739 )      (886 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net expenses

      106,939       1,754,555       3,179,439       5,725,391  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income (loss)

      84,872       (136,282 )      4,095,862       (1,152,444 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

         

Net realized gain (loss) on:

 

Investments

      325,374       17,710,873       18,007,877       46,915,042  

Forward foreign currency contracts (Note 2d)

      —       —       146,847       —  

Foreign currency transactions (Note 2c)

      (44 )      —       (7,417 )      —  

Net change in unrealized appreciation (depreciation) on:

 

Investments

      431,237       44,640,134       43,796,573       125,388,626  

Forward foreign currency contracts (Note 2d)

      —       —       199,045       —  

Foreign currency translations (Note 2c)

      (125 )      —       (117,145 )      —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain on investments, forward foreign currency contracts and foreign currency transactions

      756,442       62,351,007       62,025,780       172,303,668  
  

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 841,314     $ 62,214,725     $ 66,121,642     $ 171,151,224  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Statements of Operations (continued)

 

For the Six Months Ended June 30, 2021 (Unaudited)

 

     Vaughan Nelson
Mid Cap Fund		         
Vaughan Nelson
Small Cap
Value Fund		  

INVESTMENT INCOME

 

Dividends

    $ 1,960,709     $ 726,389  

Non-cash dividends (Note 2b)

      —       345,009 (a) 

Less net foreign taxes withheld

      —       (2,843 ) 
  

 

 

    

 

 

  
     1,960,709       1,068,555  
  

 

 

    

 

 

  

Expenses

 

Management fees (Note 6)

      1,230,652       589,754  

Service and distribution fees (Note 6)

      112,565       95,042  

Administrative fees (Note 6)

      65,779       28,020  

Trustees’ fees and expenses (Note 6)

      31,525       33,421  

Transfer agent fees and expenses (Notes 6 and 8)

      139,902       66,150  

Audit and tax services fees

      20,824       20,386  

Custodian fees and expenses (Note 7)

      6,813       4,983  

Legal fees (Note 9)

      5,445       2,207  

Registration fees

      38,006       52,441  

Shareholder reporting expenses

      16,583       6,377  

Miscellaneous expenses (Notes 7 and 9)

      19,414       16,813  
  

 

 

    

 

 

  

Total expenses

      1,687,508       915,594  

Less waiver and/or expense reimbursement (Notes 6 and 7)

      (116,990 )      (132,720 ) 
  

 

 

    

 

 

  

Net expenses

      1,570,518       782,874  
  

 

 

    

 

 

  

Net investment income

      390,191       285,681  
  

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS

 

Net realized gain on:

 

Investments

      29,499,125       22,883,786  

Net change in unrealized appreciation (depreciation) on:

 

Investments

      19,147,463       200,790  
  

 

 

    

 

 

  

Net realized and unrealized gain on investments

      48,646,588       23,084,576  
  

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 49,036,779     $ 23,370,257  
  

 

 

    

 

 

  

 

(a)

Represents a non-recurring stock dividend.

 

See accompanying notes to financial statements.

 

|  30

Statements of Changes in Net Assets

 

 

     International Growth Fund     Natixis Oakmark Fund  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020(a)		     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		  

FROM OPERATIONS:

 

Net investment income (loss)

    $ 84,872     $ 9,420     $ (136,282 )    $ 1,003,906  

Net realized gain on investments and foreign currency transactions

      325,330       8,123       17,710,873       14,582,175  

Net change in unrealized appreciation (depreciation) on investments and foreign currency translations

      431,112       188,539       44,640,134       5,121,754  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

      841,314       206,082       62,214,725       20,707,835  
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (17 )      (1 )      (514,176 )      (14,572,150 ) 

Class C

      (9 )      — (b)      (124,073 )      (3,470,297 ) 

Class N

      (5,372 )      (12,450 )      (63 )      (30,687 ) 

Class Y

      (40 )      (9 )      (120,881 )      (3,143,507 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (5,438 )      (12,460 )      (759,193 )      (21,216,641 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      9,850,120       15,026,210       2,759,889       (38,326,966 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

      10,685,996       15,219,832       64,215,421       (38,835,772 ) 

NET ASSETS

 

Beginning of the period

      15,219,832       —       244,601,943       283,437,715  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

    $ 25,905,828     $ 15,219,832     $ 308,817,364     $ 244,601,943  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

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

(b)

Amount rounds to less than $1.00.

 

See accompanying notes to financial statements.

 

31  |

Statements of Changes in Net Assets (continued)

 

 

     Natixis Oakmark
International Fund		     Natixis U.S. Equity
Opportunities Fund		  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		  

FROM OPERATIONS:

 

Net investment income (loss)

    $ 4,095,862     $ 245,748     $ (1,152,444 )    $ (1,093,083 ) 

Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions

      18,147,307       (97,769,005 )      46,915,042       130,277,857  

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations

      43,878,473       79,782,696       125,388,626       34,019,289  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      66,121,642       (17,740,561 )      171,151,224       163,204,063  
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (96,380 )      (310,049 )      (25,275,072 )      (78,012,779 ) 

Class C

      (63,664 )      —       (4,233,578 )      (13,186,942 ) 

Class N

      (196 )      (1,852 )      (5,649 )      (21,295 ) 

Class Y

      (193,190 )      (1,281,600 )      (7,527,569 )      (24,792,696 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (353,430 )      (1,593,501 )      (37,041,868 )      (116,013,712 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      (7,795,151 )      (74,342,754 )      (30,959,020 )      (70,200,600 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

      57,973,061       (93,676,816 )      103,150,336       (23,010,249 ) 

NET ASSETS

 

Beginning of the period

      504,159,354       597,836,170       956,354,146       979,364,395  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

    $ 562,132,415     $ 504,159,354     $ 1,059,504,482     $ 956,354,146  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  32

Statements of Changes in Net Assets (continued)

 

 

     Vaughan Nelson Mid Cap
Fund		     Vaughan Nelson Small Cap
Value Fund		  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Six Months
Ended
June 30, 2021
(Unaudited)		      Year Ended
December 31,
2020		  

FROM OPERATIONS:

 

Net investment income

    $ 390,191     $ 1,455,275     $ 285,681      $ 101,981  

Net realized gain (loss) on investments

      29,499,125       27,799,575       22,883,786        (3,132,416 ) 

Net change in unrealized appreciation (depreciation) on investments

      19,147,463       (16,338,813 )      200,790        10,854,499  
  

 

 

    

 

 

    

 

 

     

 

 

  

Net increase in net assets resulting from operations

      49,036,779       12,916,037       23,370,257        7,824,064  
  

 

 

    

 

 

    

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (390,349 )      (3,468,834 )      —        (376,748 ) 

Class C

      (183,494 )      (1,857,110 )      —        (14,118 ) 

Class N

      (241,764 )      (2,038,286 )      —        (179 ) 

Class Y

      (2,914,559 )      (26,620,537 )      —        (344,758 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total distributions

      (3,730,166 )      (33,984,767 )      —        (735,803 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      (17,907,565 )      (61,208,438 )      7,983,350        (8,673,052 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Net increase (decrease) in net assets

      27,399,048       (82,277,168 )      31,353,607        (1,584,791 ) 

NET ASSETS

 

Beginning of the period

      290,055,322       372,332,490       111,893,165        113,477,956  
  

 

 

    

 

 

    

 

 

     

 

 

  

End of the period

    $ 317,454,370     $ 290,055,322     $ 143,246,772      $ 111,893,165  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

33  |

Financial Highlights

 

For a share outstanding throughout each period.

 

     International Growth
Fund—Class A		  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		  

Net asset value, beginning of the period

    $ 10.13     $ 10.00  
  

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.03       0.01  

Net realized and unrealized gain (loss)

      0.49       0.13  
  

 

 

    

 

 

  

Total from Investment Operations

      0.52       0.14  
  

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(b)      (0.01 ) 

Net realized capital gains

      (0.00 )(b)      —  
  

 

 

    

 

 

  

Total Distributions

      (0.00 )      (0.01 ) 
  

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.65     $ 10.13  
  

 

 

    

 

 

  

Total return(c)(d)(e)

      5.16 %      1.37 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 101     $ 1  

Net expenses(f)(g)

      1.20 %      1.20 % 

Gross expenses(g)

      3.69 %      13.05 % 

Net investment income(g)

      0.60 %      1.28 % 

Portfolio turnover rate

      7 %      1 % 

 

*

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

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

 

See accompanying notes to financial statements.

 

|  34

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     International Growth Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		  

Net asset value, beginning of the period

    $ 10.13     $ 10.00  
  

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      (0.02 )      0.00 (b) 

Net realized and unrealized gain (loss)

      0.49       0.13  
  

 

 

    

 

 

  

Total from Investment Operations

      0.47       0.13  
  

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(b)      (0.00 )(b) 

Net realized capital gains

      (0.00 )(b)      —  
  

 

 

    

 

 

  

Total Distributions

      (0.00 )      (0.00 ) 
  

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.60     $ 10.13  
  

 

 

    

 

 

  

Total return(c)(d)(e)

      4.66 %      1.33 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 42     $ 1  

Net expenses(f)(g)

      1.95 %      1.95 % 

Gross expenses(g)

      4.44 %      13.78 % 

Net investment income (loss)(g)

      (0.41 )%      0.55 % 

Portfolio turnover rate

      7 %      1 % 

 

*

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

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

 

See accompanying notes to financial statements.

 

35  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     International Growth Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*
 

Net asset value, beginning of the period

    $ 10.13     $ 10.00  
  

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.04       0.01  

Net realized and unrealized gain (loss)

      0.49       0.13  
  

 

 

    

 

 

  

Total from Investment Operations

      0.53       0.14  
  

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(b)      (0.01 ) 

Net realized capital gains

      (0.00 )(b)      —  
  

 

 

    

 

 

  

Total Distributions

      (0.00 )      (0.01 ) 
  

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.66     $ 10.13  
  

 

 

    

 

 

  

Total return(c)(d)

      5.25 %      1.38 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 25,541     $ 15,206  

Net expenses(e)(f)

      0.90 %      0.90 % 

Gross expenses(f)

      1.59 %      6.48 % 

Net investment income(f)

      0.72 %      1.43 % 

Portfolio turnover rate

      7 %      1 % 

 

*

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

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

 

See accompanying notes to financial statements.

 

|  36

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     International Growth Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		  

Net asset value, beginning of the period

    $ 10.13     $ 10.00  
  

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.04       0.01  

Net realized and unrealized gain (loss)

      0.49       0.13  
  

 

 

    

 

 

  

Total from Investment Operations

      0.53       0.14  
  

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(b)      (0.01 ) 

Net realized capital gains

      (0.00 )(b)      —  
  

 

 

    

 

 

  

Total Distributions

      (0.00 )      (0.01 ) 
  

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.66     $ 10.13  
  

 

 

    

 

 

  

Total return(c)(d)

      5.25 %      1.38 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 222     $ 12  

Net expenses(e)(f)

      0.95 %      0.95 % 

Gross expenses(f)

      3.44 %      12.58 % 

Net investment income(f)

      0.85 %      1.63 % 

Portfolio turnover rate

      7 %      1 % 

 

*

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

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

 

See accompanying notes to financial statements.

 

37  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 23.20     $ 22.45     $ 19.44     $ 24.72      $ 21.37      $ 18.79  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      (0.00 )(b)      0.11 (c)      0.18 (d)      0.10        0.11        0.16  

Net realized and unrealized gain (loss)

      5.97       2.78       4.93       (3.28 )       4.28        3.20  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      5.97       2.89       5.11       (3.18 )       4.39        3.36  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(b)      (0.12 )      (0.21 )      (0.08 )       (0.10 )       (0.16 ) 

Net realized capital gains

      (0.07 )      (2.02 )      (1.89 )      (2.02 )       (0.94 )       (0.62 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.07 )      (2.14 )      (2.10 )      (2.10 )       (1.04 )       (0.78 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 29.10     $ 23.20     $ 22.45     $ 19.44      $ 24.72      $ 21.37  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total return(e)

      25.76 %(f)      13.01 %(c)      26.77 %(d)      (13.01 )%       20.75 %       18.37 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 211,845     $ 170,702     $ 181,417     $ 164,748      $ 203,792      $ 173,036  

Net expenses

      1.20 %(g)      1.20 %(h)      1.17 %      1.13 %       1.18 %       1.18 % 

Gross expenses

      1.20 %(g)      1.20 %(h)      1.17 %      1.13 %       1.18 %       1.18 % 

Net investment income (loss)

      (0.03 )%(g)      0.53 %(c)      0.85 %(d)      0.41 %       0.48 %       0.82 % 

Portfolio turnover rate

      16 %      22 %      15 %      39 %       16 %       16 % 

 

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

Includes refund of prior year service fee of 0.01%.

 

See accompanying notes to financial statements.

 

|  38

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 19.17     $ 18.92     $ 16.66     $ 21.58      $ 18.83     $ 16.65  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      (0.09 )      (0.04 )(b)      0.02 (c)      (0.07 )       (0.05 )      0.01  

Net realized and unrealized gain (loss)

      4.93       2.31       4.20       (2.83 )       3.74       2.80  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      4.84       2.27       4.22       (2.90 )       3.69       2.81  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(d)      —       (0.07 )      —        (0.00 )(d)      (0.01 ) 

Net realized capital gains

      (0.07 )      (2.02 )      (1.89 )      (2.02 )       (0.94 )      (0.62 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (0.07 )      (2.02 )      (1.96 )      (2.02 )       (0.94 )      (0.63 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 23.94     $ 19.17     $ 18.92     $ 16.66      $ 21.58     $ 18.83  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total return(e)

      25.28 %(f)      12.15 %(b)      25.82 %(c)      (13.63 )%       19.85 %      17.45 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 41,303     $ 35,940     $ 54,384     $ 53,606      $ 62,272     $ 55,910  

Net expenses

      1.95 %(g)      1.95 %      1.92 %      1.88 %       1.93 %      1.93 % 

Gross expenses

      1.95 %(g)      1.95 %      1.92 %      1.88 %       1.93 %      1.93 % 

Net investment income (loss)

      (0.78 )%(g)      (0.23 )%(b)      0.12 %(c)      (0.33 )%       (0.27 )%      0.09 % 

Portfolio turnover rate

      16 %      22 %      15 %      39 %       16 %      16 % 

 

(a)

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

(b)

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

(c)

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

(d)

Amount rounds to less than $0.01 per share.

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

 

See accompanying notes to financial statements.

 

39  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

    $ 24.72     $ 23.78     $ 20.49     $ 25.91      $ 23.13  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.06       0.18 (b)      0.22 (c)      0.22        0.14  

Net realized and unrealized gain (loss)

      6.38       2.98       5.25       (3.45 )       3.44  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      6.44       3.16       5.47       (3.23 )       3.58  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(d)      (0.20 )      (0.29 )      (0.17 )       (0.17 ) 

Net realized capital gains

      (0.07 )      (2.02 )      (1.89 )      (2.02 )       (0.63 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.07 )      (2.22 )      (2.18 )      (2.19 )       (0.80 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 31.09     $ 24.72     $ 23.78     $ 20.49      $ 25.91  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(e)

      26.08 %(f)      13.41 %(b)      27.16 %(c)      (12.60 )%       15.46 %(f) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 10     $ 364     $ 801     $ 10      $ 1  

Net expenses(g)

      0.86 %(h)      0.86 %      0.83 %      0.75 %       0.75 %(h) 

Gross expenses

      2.13 %(h)      1.05 %      1.25 %      3.79 %       13.79 %(h) 

Net investment income

      0.46 %(h)      0.85 %(b)      0.93 %(c)      0.88 %       0.84 %(h) 

Portfolio turnover rate

      16 %      22 %      15 %      39 %       16 %(i) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

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

(b)

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

(c)

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

(d)

Amount rounds to less than $0.01 per share.

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

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

(i)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

See accompanying notes to financial statements.

 

|  40

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 24.68     $ 23.75     $ 20.46     $ 25.90      $ 22.34      $ 19.60  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.03       0.17 (b)      0.27 (c)      0.17        0.17        0.21  

Net realized and unrealized gain (loss)

      6.36       2.95       5.17       (3.44 )       4.48        3.36  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      6.39       3.12       5.44       (3.27 )       4.65        3.57  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(d)      (0.17 )      (0.26 )      (0.15 )       (0.15 )       (0.21 ) 

Net realized capital gains

      (0.07 )      (2.02 )      (1.89 )      (2.02 )       (0.94 )       (0.62 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.07 )      (2.19 )      (2.15 )      (2.17 )       (1.09 )       (0.83 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 31.00     $ 24.68     $ 23.75     $ 20.46      $ 25.90      $ 22.34  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total return

      25.92 %(e)      13.28 %(b)      27.06 %(c)(f)      (12.76 )%       21.05 %       18.69 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 55,659     $ 37,595     $ 46,836     $ 53,829      $ 49,955      $ 26,252  

Net expenses

      0.94 %(g)      0.95 %      0.91 %(h)      0.88 %       0.93 %       0.92 % 

Gross expenses

      0.94 %(g)      0.95 %      0.92 %      0.88 %       0.93 %       0.92 % 

Net investment income

      0.20 %(g)      0.79 %(b)      1.16 %(c)      0.68 %       0.71 %       1.05 % 

Portfolio turnover rate

      16 %      22 %      15 %      39 %       16 %       16 % 

 

(a)

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

(b)

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

(c)

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

(d)

Amount rounds to less than $0.01 per share.

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

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

 

See accompanying notes to financial statements.

 

41  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 14.15     $ 13.63     $ 11.29     $ 15.58      $ 12.15      $ 11.47  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      0.12       (0.00 )(b)      0.37 (c)      0.25        0.18        0.17  

Net realized and unrealized gain (loss)

      1.81       0.55 (d)      2.38       (4.02 )       3.41        0.76  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      1.93       0.55       2.75       (3.77 )       3.59        0.93  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.01 )      (0.03 )      (0.41 )      (0.29 )       (0.16 )       (0.21 ) 

Net realized capital gains

      —       —       —       (0.23 )       —        (0.04 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.01 )      (0.03 )      (0.41 )      (0.52 )       (0.16 )       (0.25 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 16.07     $ 14.15     $ 13.63     $ 11.29      $ 15.58      $ 12.15  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total return(e)

      13.64 %(f)(g)      4.06 %(f)      24.35 %(c)      (24.15 )%       29.56 %       8.19 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 151,986     $ 131,630     $ 172,906     $ 257,551      $ 603,988      $ 533,112  

Net expenses

      1.20 %(h)(i)      1.29 %(h)(j)      1.29 %      1.31 %       1.32 %       1.34 % 

Gross expenses

      1.35 %(i)      1.36 %      1.29 %      1.31 %       1.32 %       1.34 % 

Net investment income (loss)

      1.56 %(i)      (0.03 )%      2.91 %(c)      1.72 %       1.28 %       1.54 % 

Portfolio turnover rate

      19 %      63 %      28 %      50 %       40 %       41 % 

 

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

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

(e)

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

(f)

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

(g)

Periods less than one year are not annualized.

(h)

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

(i)

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

(j)

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

 

See accompanying notes to financial statements.

 

|  42

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 13.85     $ 13.41     $ 11.11     $ 15.30      $ 11.96      $ 11.29  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      0.05       (0.08 )      0.26 (b)      0.13        0.06        0.08  

Net realized and unrealized gain (loss)

      1.78       0.52 (c)      2.34       (3.92 )       3.35        0.74  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      1.83       0.44       2.60       (3.79 )       3.41        0.82  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.01 )      —       (0.30 )      (0.17 )       (0.07 )       (0.11 ) 

Net realized capital gains

      —       —       —       (0.23 )       —        (0.04 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.01 )      —       (0.30 )      (0.40 )       (0.07 )       (0.15 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 15.67     $ 13.85     $ 13.41     $ 11.11      $ 15.30      $ 11.96  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total return(d)

      13.22 %(e)(f)      3.28 %(e)      23.44 %(b)      (24.74 )%       28.55 %       7.36 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 85,990     $ 96,772     $ 179,533     $ 212,618      $ 363,018      $ 255,249  

Net expenses

      1.95 %(g)(h)      2.05 %(g)(i)      2.04 %      2.07 %       2.07 %       2.09 % 

Gross expenses

      2.10 %(h)      2.11 %      2.04 %      2.07 %       2.07 %       2.09 % 

Net investment income (loss)

      0.71 %(h)      (0.76 )%      2.09 %(b)      0.94 %       0.42 %       0.73 % 

Portfolio turnover rate

      19 %      63 %      28 %      50 %       40 %       41 % 

 

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

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

(i)

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

 

See accompanying notes to financial statements.

 

43  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

    $ 14.09     $ 13.56     $ 11.25     $ 15.58      $ 13.98  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.14       0.04       0.33 (b)      0.28        0.15  

Net realized and unrealized gain (loss)

      1.80       0.56 (c)      2.45       (4.02 )       1.66  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      1.94       0.60       2.78       (3.74 )       1.81  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.01 )      (0.07 )      (0.47 )      (0.36 )       (0.21 ) 

Net realized capital gains

      —       —       —       (0.23 )       —  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.01 )      (0.07 )      (0.47 )      (0.59 )       (0.21 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 16.02     $ 14.09     $ 13.56     $ 11.25      $ 15.58  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(d)

      13.77 %(e)      4.44 %      24.75 %(b)      (23.94 )%       12.96 %(e) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 309     $ 290     $ 811     $ 758      $ 1  

Net expenses(f)

      0.90 %(g)      0.92 %(h)      0.94 %      0.99 %       0.92 %(g) 

Gross expenses

      1.55 %(g)      1.17 %      1.08 %      1.02 %       25.21 %(g) 

Net investment income

      1.82 %(g)      0.37 %      2.56 %(b)      2.04 %       1.54 %(g) 

Portfolio turnover rate

      19 %      63 %      28 %      50 %       40 %(i) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

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

(b)

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

(c)

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

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

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

(i)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

See accompanying notes to financial statements.

 

|  44

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

    $ 14.08     $ 13.56     $ 11.25     $ 15.56      $ 13.98  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.14       0.04       0.37 (b)      0.26        0.00 (c) 

Net realized and unrealized gain (loss)

      1.80       0.55 (d)      2.40       (3.99 )       1.79  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      1.94       0.59       2.77       (3.73 )       1.79  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.01 )      (0.07 )      (0.46 )      (0.35 )       (0.21 ) 

Net realized capital gains

      —       —       —       (0.23 )       —  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.01 )      (0.07 )      (0.46 )      (0.58 )       (0.21 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 16.01     $ 14.08     $ 13.56     $ 11.25      $ 15.56  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return

      13.78 %(e)(f)      4.32 %(e)      24.64 %(b)      (23.93 )%       12.79 %(f) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 323,847     $ 275,468     $ 244,586     $ 215,123      $ 172,978  

Net expenses

      0.95 %(g)(h)      1.03 %(g)(i)      1.04 %      1.07 %       1.07 %(h) 

Gross expenses

      1.10 %(h)      1.11 %      1.04 %      1.07 %       1.07 %(h) 

Net investment income

      1.79 %(h)      0.41 %      2.91 %(b)      1.85 %       0.03 %(h) 

Portfolio turnover rate

      19 %      63 %      28 %      50 %       40 %(j) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

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

(b)

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

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

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

(i)

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

(j)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

See accompanying notes to financial statements.

 

45  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 39.04     $ 36.53      $ 31.00     $ 36.90      $ 30.27     $ 27.60  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      (0.05 )      (0.05 )       0.15 (b)      0.08        0.06       0.12  

Net realized and unrealized gain (loss)

      7.22       7.66        9.34       (2.51 )       7.88       3.12  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      7.17       7.61        9.49       (2.43 )       7.94       3.24  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       —        (0.17 )      (0.05 )       (0.06 )      (0.12 ) 

Net realized capital gains

      (1.57 )      (5.10 )       (3.79 )      (3.42 )       (1.25 )      (0.45 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (1.57 )      (5.10 )       (3.96 )      (3.47 )       (1.31 )      (0.57 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 44.64     $ 39.04      $ 36.53     $ 31.00      $ 36.90     $ 30.27  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total return(c)

      18.60 %(d)      22.09 %       31.03 %(b)      (6.48 )%       26.28 %      11.86 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 732,758     $ 649,754      $ 616,922     $ 523,665      $ 604,330     $ 472,436  

Net expenses

      1.16 %(e)      1.17 %       1.17 %      1.16 %       1.21 %(f)      1.23 %(g) 

Gross expenses

      1.16 %(e)      1.17 %       1.17 %      1.16 %       1.21 %      1.23 %(g) 

Net investment income (loss)

      (0.25 )%(e)      (0.14 )%       0.42 %(b)      0.20 %       0.16 %      0.42 % 

Portfolio turnover rate

      5 %      26 %       12 %      23 %       17 %      17 % 

 

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%.

(g)

Includes fee/expense recovery of less than 0.01%.

 

See accompanying notes to financial statements.

 

|  46

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 21.89     $ 22.65      $ 20.42     $ 25.73      $ 21.54     $ 19.86  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment loss(a)

      (0.11 )      (0.19 )       (0.07 )(b)      (0.14 )       (0.14 )      (0.07 ) 

Net realized and unrealized gain (loss)

      4.00       4.53        6.10       (1.75 )       5.58       2.22  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      3.89       4.34        6.03       (1.89 )       5.44       2.15  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       —        (0.01 )      —        (0.00 )(c)      (0.02 ) 

Net realized capital gains

      (1.57 )      (5.10 )       (3.79 )      (3.42 )       (1.25 )      (0.45 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (1.57 )      (5.10 )       (3.80 )      (3.42 )       (1.25 )      (0.47 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 24.21     $ 21.89      $ 22.65     $ 20.42      $ 25.73     $ 21.54  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total return(d)

      18.17 %(e)      21.15 %       30.06 %(b)      (7.18 )%       25.35 %      11.02 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 62,186     $ 63,126      $ 77,924     $ 78,783      $ 112,615     $ 72,768  

Net expenses

      1.91 %(f)      1.92 %       1.92 %      1.91 %       1.96 %(g)      1.98 %(h) 

Gross expenses

      1.91 %(f)      1.92 %       1.92 %      1.91 %       1.96 %      1.98 %(h) 

Net investment loss

      (0.99 )%(f)      (0.87 )%       (0.31 )%(b)      (0.54 )%       (0.59 )%      (0.33 )% 

Portfolio turnover rate

      5 %      26 %       12 %      23 %       17 %      17 % 

 

(a)

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

(b)

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

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%.

(h)

Includes fee/expense recovery of less than 0.01%.

 

See accompanying notes to financial statements.

 

47  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

    $ 47.84     $ 43.61      $ 36.37     $ 42.63      $ 37.62  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.02       0.13        0.19 (b)      0.25        0.12  

Net realized and unrealized gain (loss)

      8.88       9.20        11.14       (2.91 )       6.20  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      8.90       9.33        11.33       (2.66 )       6.32  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       —        (0.30 )      (0.18 )       (0.16 ) 

Net realized capital gains

      (1.57 )      (5.10 )       (3.79 )      (3.42 )       (1.15 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total Distributions

      (1.57 )      (5.10 )       (4.09 )      (3.60 )       (1.31 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 55.17     $ 47.84      $ 43.61     $ 36.37      $ 42.63  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total return(c)

      18.80 %(d)      22.48 %       31.44 %(b)      (6.11 )%       16.78 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 205     $ 172      $ 654     $ 1      $ 1  

Net expenses(e)

      0.85 %(f)      0.84 %       0.83 %      0.76 %       0.78 %(f)(g) 

Gross expenses

      1.79 %(f)      1.13 %       1.42 %      13.35 %       13.41 %(f) 

Net investment income

      0.07 %(f)      0.31 %       0.44 %(b)      0.56 %       0.44 %(f) 

Portfolio turnover rate

      5 %      26 %       12 %      23 %       17 %(h) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%.

(h)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

See accompanying notes to financial statements.

 

|  48

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 47.74     $ 43.56      $ 36.33     $ 42.61      $ 34.77     $ 31.61  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.00 (b)      0.05        0.29 (c)      0.20        0.16       0.21  

Net realized and unrealized gain (loss)

      8.87       9.23        10.99       (2.92 )       9.07       3.59  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      8.87       9.28        11.28       (2.72 )       9.23       3.80  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       —        (0.26 )      (0.14 )       (0.14 )      (0.19 ) 

Net realized capital gains

      (1.57 )      (5.10 )       (3.79 )      (3.42 )       (1.25 )      (0.45 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (1.57 )      (5.10 )       (4.05 )      (3.56 )       (1.39 )      (0.64 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 55.04     $ 47.74      $ 43.56     $ 36.33      $ 42.61     $ 34.77  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  

Total return

      18.78 %(d)      22.36 %       31.36 %(c)(e)      (6.24 )%       26.60 %      12.13 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 264,356     $ 243,302      $ 283,864     $ 296,255      $ 285,008     $ 143,231  

Net expenses

      0.91 %(f)      0.92 %       0.91 %(g)      0.91 %       0.95 %(h)      0.98 %(i) 

Gross expenses

      0.91 %(f)      0.92 %       0.92 %      0.91 %       0.95 %      0.98 %(i) 

Net investment income

      0.00 %(f)(j)      0.13 %       0.69 %(c)      0.45 %       0.40 %      0.63 % 

Portfolio turnover rate

      5 %      26 %       12 %      23 %       17 %      17 % 

 

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

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

(h)

Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.

(i)

Includes fee/expense recovery of less than 0.01%.

(j)

Amount rounds to less than 0.01%.

 

See accompanying notes to financial statements.

 

49  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 21.79     $ 22.42     $ 17.37     $ 22.65      $ 20.55     $ 20.04  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.01       0.07       0.03       0.09        0.17 (b)      0.07  

Net realized and unrealized gain (loss)

      3.73       1.96       5.21       (3.71 )       2.48       1.05  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      3.74       2.03       5.24       (3.62 )       2.65       1.12  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(c)      (0.04 )      (0.02 )      (0.15 )       (0.18 )      (0.05 ) 

Net realized capital gains

      (0.28 )      (2.62 )      (0.17 )      (1.51 )       (0.37 )      (0.56 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (0.28 )      (2.66 )      (0.19 )      (1.66 )       (0.55 )      (0.61 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 25.25     $ 21.79     $ 22.42     $ 17.37      $ 22.65     $ 20.55  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total return(d)

      17.24 %(e)(f)      10.46 %(e)      30.21 %(e)      (16.10 )%       12.93 %(b)      5.85 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 35,956     $ 30,567     $ 33,434     $ 43,769      $ 67,186     $ 87,536  

Net expenses

      1.20 %(g)(h)      1.20 %(g)      1.25 %(g)(i)(j)      1.24 %       1.22 %      1.23 % 

Gross expenses

      1.28 %(h)      1.29 %      1.28 %(i)      1.24 %       1.22 %      1.23 % 

Net investment income

      0.08 %(h)      0.35 %      0.16 %      0.42 %       0.77 %(b)      0.35 % 

Portfolio turnover rate

      33 %      52 %      52 %      44 %       42 %      57 % 

 

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.09, total return would have been 12.53% and the ratio of net investment income to average net assets would have been 0.41%.

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

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

(i)

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

(j)

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

 

See accompanying notes to financial statements.

 

|  50

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 20.15     $ 21.06     $ 16.43     $ 21.50      $ 19.51     $ 19.16  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      (0.08 )      (0.08 )      (0.10 )      (0.08 )       0.00 (b)(c)      (0.07 ) 

Net realized and unrealized gain (loss)

      3.45       1.79       4.90       (3.48 )       2.36       0.98  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      3.37       1.71       4.80       (3.56 )       2.36       0.91  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(b)      —       (0.00 )(b)      —        —       (0.00 )(b) 

Net realized capital gains

      (0.28 )      (2.62 )      (0.17 )      (1.51 )       (0.37 )      (0.56 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (0.28 )      (2.62 )      (0.17 )      (1.51 )       (0.37 )      (0.56 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 23.24     $ 20.15     $ 21.06     $ 16.43      $ 21.50     $ 19.51  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total return(d)

      16.80 %(e)(f)      9.60 %(e)      29.25 %(e)      (16.71 )%       12.11 %(c)      5.03 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 13,612     $ 14,023     $ 21,932     $ 23,967      $ 47,559     $ 68,923  

Net expenses

      1.95 %(g)(h)      1.95 %(g)      1.99 %(g)(i)(j)      1.98 %       1.97 %      1.98 % 

Gross expenses

      2.03 %(h)      2.04 %      2.02 %(i)      1.98 %       1.97 %      1.98 % 

Net investment income (loss)

      (0.69 )%(h)      (0.42 )%      (0.50 )%      (0.36 )%       0.00 %(c)(k)      (0.38 )% 

Portfolio turnover rate

      33 %      52 %      52 %      44 %       42 %      57 % 

 

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 11.70% and the ratio of net investment loss to average net assets would have been (0.35)%.

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

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

(i)

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

(j)

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

(k)

Amount rounds to less than 0.01%.

 

See accompanying notes to financial statements.

 

51  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
     Year Ended
December 31,
2017
    Year Ended
December 31,
2016
 

Net asset value, beginning of the period

    $ 22.07     $ 22.66     $ 17.54     $ 22.87      $ 20.75     $ 20.26  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.05       0.13       0.11       0.17        0.25 (b)      0.16  

Net realized and unrealized gain (loss)

      3.77       2.00       5.27       (3.75 )       2.51       1.04  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      3.82       2.13       5.38       (3.58 )       2.76       1.20  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(c)      (0.10 )      (0.09 )      (0.24 )       (0.27 )      (0.15 ) 

Net realized capital gains

      (0.28 )      (2.62 )      (0.17 )      (1.51 )       (0.37 )      (0.56 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (0.28 )      (2.72 )      (0.26 )      (1.75 )       (0.64 )      (0.71 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 25.61     $ 22.07     $ 22.66     $ 17.54      $ 22.87     $ 20.75  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total return

      17.38 %(d)(e)      10.83 %(d)      30.67 %(d)      (15.78 )%       13.31 %(b)      6.21 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 22,408     $ 17,965     $ 18,262     $ 70,902      $ 134,205     $ 148,365  

Net expenses

      0.90 %(f)(g)      0.90 %(f)      0.92 %(f)(h)(i)      0.88 %       0.88 %      0.88 % 

Gross expenses

      0.94 %(g)      0.94 %      0.93 %(h)      0.88 %       0.88 %      0.88 % 

Net investment income

      0.38 %(g)      0.65 %      0.51 %      0.76 %       1.16 %(b)      0.78 % 

Portfolio turnover rate

      33 %      52 %      52 %      44 %       42 %      57 % 

 

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.17, total return would have been 12.92% and the ratio of net investment income to average net assets would have been 0.76%.

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

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

(i)

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

 

See accompanying notes to financial statements.

 

|  52

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
     Year Ended
December 31,
2017
    Year Ended
December 31,
2016
 

Net asset value, beginning of the period

    $ 22.10     $ 22.69     $ 17.57     $ 22.89      $ 20.77     $ 20.27  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.04       0.12       0.10       0.15        0.23 (b)      0.12  

Net realized and unrealized gain (loss)

      3.78       2.00       5.26       (3.75 )       2.51       1.07  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      3.82       2.12       5.36       (3.60 )       2.74       1.19  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.00 )(c)      (0.09 )      (0.07 )      (0.21 )       (0.25 )      (0.13 ) 

Net realized capital gains

      (0.28 )      (2.62 )      (0.17 )      (1.51 )       (0.37 )      (0.56 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      (0.28 )      (2.71 )      (0.24 )      (1.72 )       (0.62 )      (0.69 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 25.64     $ 22.10     $ 22.69     $ 17.57      $ 22.89     $ 20.77  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total return

      17.36 %(d)(e)      10.76 %(d)      30.52 %(d)      (15.85 )%       13.19 %(b)      6.14 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 245,478     $ 227,501     $ 298,705     $ 453,085      $ 774,304     $ 903,545  

Net expenses

      0.95 %(f)(g)      0.95 %(f)      1.00 %(f)(h)(i)      0.99 %       0.97 %      0.98 % 

Gross expenses

      1.03 %(g)      1.04 %      1.02 %(h)      0.99 %       0.97 %      0.98 % 

Net investment income

      0.32 %(g)      0.60 %      0.48 %      0.66 %       1.04 %(b)      0.62 % 

Portfolio turnover rate

      33 %      52 %      52 %      44 %       42 %      57 % 

 

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, total return would have been 12.80% and the ratio of net investment income to average net assets would have been 0.67%.

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

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

(i)

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

 

See accompanying notes to financial statements.

 

53  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
    Year Ended
December 31,
2017
    Year Ended
December 31,
2016
 

Net asset value, beginning of the period

    $ 16.69     $ 15.45     $ 12.48     $ 18.71     $ 19.79     $ 17.74  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      0.03 (b)      0.00 (c)      0.02       0.01       (0.01 )      0.02  

Net realized and unrealized gain (loss)

      3.37       1.33       3.06       (2.76 )      1.21       3.49  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      3.40       1.33       3.08       (2.75 )      1.20       3.51  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.00 )(c)      (0.03 )      (0.00 )(c)      (0.00 )(c)      (0.01 ) 

Net realized capital gains

      —       (0.09 )      (0.08 )      (3.48 )      (2.28 )      (1.45 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      —       (0.09 )      (0.11 )      (3.48 )      (2.28 )      (1.46 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 20.09     $ 16.69     $ 15.45     $ 12.48     $ 18.71     $ 19.79  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

      20.37 %(b)(e)(f)      8.91 %(e)      24.66 %(e)      (14.84 )%      6.28 %      20.24 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 78,012     $ 61,571     $ 67,525     $ 66,376     $ 93,751     $ 106,447  

Net expenses

      1.30 %(g)(h)      1.32 %(g)(i)      1.40 %(g)(j)      1.38 %      1.36 %      1.35 % 

Gross expenses

      1.50 %(h)      1.53 %      1.47 %      1.38 %      1.36 %      1.35 % 

Net investment income (loss)

      0.32 %(b)(h)      0.02 %      0.12 %      0.03 %      (0.03 )%      0.11 % 

Portfolio turnover rate

      60 %      105 %      61 %      70 %      92 %      74 % 

 

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 20.07% and the ratio of net investment loss to average net assets would have been (0.20%).

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

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

(h)

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

(i)

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

(j)

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

 

See accompanying notes to financial statements.

 

|  54

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
    Year Ended
December 31,
2017
    Year Ended
December 31,
2016
 

Net asset value, beginning of the period

    $ 8.34     $ 7.84     $ 6.41     $ 11.67     $ 13.26     $ 12.39  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment loss(a)

      (0.02 )(b)      (0.05 )      (0.05 )      (0.09 )      (0.10 )      (0.08 ) 

Net realized and unrealized gain (loss)

      1.68       0.64       1.57       (1.69 )      0.79       2.40  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      1.66       0.59       1.52       (1.78 )      0.69       2.32  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.00 )(c)      (0.01 )      (0.00 )(c)      (0.00 )(c)      —  

Net realized capital gains

      —       (0.09 )      (0.08 )      (3.48 )      (2.28 )      (1.45 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      —       (0.09 )      (0.09 )      (3.48 )      (2.28 )      (1.45 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.00     $ 8.34     $ 7.84     $ 6.41     $ 11.67     $ 13.26  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

      19.90 %(b)(e)(f)(g)      8.08 %(e)      23.69 %(e)      (15.51 )%      5.50 %      19.32 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 937     $ 983     $ 1,450     $ 3,480     $ 15,756     $ 20,379  

Net expenses

      2.05 %(h)(i)      2.07 %(h)(j)      2.16 %(h)(k)      2.12 %      2.11 %      2.10 % 

Gross expenses

      2.25 %(i)      2.28 %      2.23 %      2.12 %      2.11 %      2.10 % 

Net investment loss

      (0.35 )%(b)(i)      (0.71 )%      (0.68 )%      (0.83 )%      (0.79 )%      (0.64 )% 

Portfolio turnover rate

      60 %      105 %      61 %      70 %      92 %      74 % 

 

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.04), total return would have been 19.66% and the ratio of net investment loss to average net assets would have been (0.93%).

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

Periods less than one year are not annualized.

(g)

Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.

(h)

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

(i)

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

(j)

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

(k)

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

 

See accompanying notes to financial statements.

 

55  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
     Period Ended
December 31,
2017*
 

Net asset value, beginning of the period

    $ 17.52     $ 16.20     $ 13.08     $ 19.37      $ 19.55  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.00 (b)(c)      0.04       0.08       0.08        0.07  

Net realized and unrealized gain (loss)

      3.60       1.42       3.20       (2.86 )       1.35  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      3.60       1.46       3.28       (2.78 )       1.42  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.05 )      (0.08 )      (0.03 )       (0.02 ) 

Net realized capital gains

      —       (0.09 )      (0.08 )      (3.48 )       (1.58 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.14 )      (0.16 )      (3.51 )       (1.60 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 21.12     $ 17.52     $ 16.20     $ 13.08      $ 19.37  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(d)

      20.55 %(b)(e)      9.27 %      25.08 %      (14.48 )%       7.17 %(e) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 1,245     $ 23     $ 21     $ 1      $ 1  

Net expenses(f)

      1.00 %(g)      1.02 %(h)      1.03 %(i)      0.96 %       0.96 %(g) 

Gross expenses

      1.36 %(g)      6.54 %      11.80 %      15.17 %       14.68 %(g) 

Net investment income

      0.01 %(b)(g)      0.31 %      0.52 %      0.43 %       0.56 %(g) 

Portfolio turnover rate

      60 %      105 %      61 %      70 %       92 %(j) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.00), total return would have been 20.26% and the ratio of net investment loss to average net assets would have been (0.01%).

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

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

(i)

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

(j)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

See accompanying notes to financial statements.

 

|  56

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
 

Net asset value, beginning of the period

    $ 17.51     $ 16.19     $ 13.08     $ 19.37      $ 20.36      $ 18.21  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.06 (b)      0.04       0.05       0.04        0.05        0.07  

Net realized and unrealized gain (loss)

      3.53       1.41       3.21       (2.84 )       1.25        3.59  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      3.59       1.45       3.26       (2.80 )       1.30        3.66  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.04 )      (0.07 )      (0.01 )       (0.01 )       (0.06 ) 

Net realized capital gains

      —       (0.09 )      (0.08 )      (3.48 )       (2.28 )       (1.45 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      —       (0.13 )      (0.15 )      (3.49 )       (2.29 )       (1.51 ) 
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 21.10     $ 17.51     $ 16.19     $ 13.08      $ 19.37      $ 20.36  
  

 

 

    

 

 

    

 

 

    

 

 

     

 

 

     

 

 

  

Total return

      20.50 %(b)(c)(d)      9.23 %(c)      24.88 %(c)      (14.61 )%       6.60 %       20.53 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 63,053     $ 49,315     $ 44,482     $ 58,538      $ 176,940      $ 183,145  

Net expenses

      1.05 %(e)(f)      1.07 %(e)(g)      1.15 %(e)(h)      1.12 %       1.11 %       1.10 % 

Gross expenses

      1.25 %(f)      1.28 %      1.23 %      1.12 %       1.11 %       1.10 % 

Net investment income

      0.61 %(b)(f)      0.26 %      0.35 %      0.22 %       0.23 %       0.36 % 

Portfolio turnover rate

      60 %      105 %      61 %      70 %       92 %       74 % 

 

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 20.22% and the ratio of net investment income to average net assets would have been 0.06%.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

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

(h)

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

 

See accompanying notes to financial statements.

 

57  |

Notes to Financial Statements

 

June 30, 2021 (Unaudited)

 

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

Loomis Sayles Funds II:

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

Natixis Funds Trust I:

Natixis Oakmark International Fund

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

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

Natixis Funds Trust II:

Natixis Oakmark Fund

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

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

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

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

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day,

 

|  58

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of June 30, 2021, securities held by the Funds were fair valued as follows:

 

Fund

   

Equity
securities1

     

Percentage of
Net Assets

  

International Growth Fund

    $ 15,447,005        59.6 % 

Natixis Oakmark International Fund

      486,884,399        86.6 % 

 

1

Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

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

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign

 

59  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2021 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

In certain countries across the European Union, certain Funds filed tax reclaims for previously withheld taxes on dividends earned in certain countries (EU reclaims) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. Income recognized, if any, for EU reclaims is reflected as other income in the Statements of Operations and any related receivable, if any, is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. To date, no amounts have been received by any Funds and no amounts are included in any Funds financial statements for such EU reclaims, based on the uncertainty with the ultimate resolution of these proceedings, the potential collectability and timing for payment, if any.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to

 

|  60

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

differing treatments for book and tax purposes of items such as deferred Trustees’ fees, prior period adjustments, distribution re-designations, foreign currency gains and losses, non-deductible expenses, net operating losses, passive foreign investment company adjustments, return of capital distributions received, and capital gain distributions received. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to wash sales, deferred Trustees’ fees, and passive foreign investment company adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2020 was as follows:

 

    

2020 Distributions

  

Fund

   

Ordinary
Income

     

Long-Term
Capital
Gains

     

Total

  

International Growth Fund

    $ 12,460      $ —      $ 12,460  

Natixis Oakmark Fund

      3,185,140        18,031,501        21,216,641  

Natixis Oakmark International Fund

      1,593,501        —        1,593,501  

U.S. Equity Opportunities Fund

      297,964        115,715,748        116,013,712  

Mid Cap Fund

      965,830        33,018,937        33,984,767  

Small Cap Value Fund

      118,830        616,973        735,803  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2020, capital loss carryforwards were as follows:

 

    

International
Growth Fund

     

Natixis

Oakmark

Fund

     

Natixis

Oakmark
International

Fund

    

U.S. Equity
Opportunities
Fund

     

Mid Cap
Fund

     

Small Cap
Value
Fund

  

Capital loss carryforward:

                 

Long-term:

 

No expiration date

    $   —      $   —      $ (110,479,511 )    $   —      $   —      $ (4,098,262 ) 
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

As of June 30, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

International
Growth
Fund

    

Natixis
Oakmark
Fund

    

Natixis
Oakmark
International
Fund

    

U.S. Equity
Opportunities
Fund

    

Mid Cap
Fund

    

Small Cap
Value
Fund

  

Federal tax cost

    $ 24,613,950     $ 208,106,315     $ 482,634,470     $ 623,923,297     $ 246,918,862     $ 121,452,220  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Gross tax appreciation

    $ 1,517,574     $ 102,104,689     $ 101,461,424     $ 450,098,690     $ 72,781,468     $ 26,145,105  

Gross tax depreciation

      (897,802 )      (731,054 )      (24,610,539 )      (12,740,395 )      (2,738,724 )      (2,201,161 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net tax appreciation

    $ 619,772     $ 101,373,635     $ 76,850,885     $ 437,358,295     $ 70,042,744     $ 23,943,944  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

 

61  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2021, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  Securities Lending.  Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2021, none of the Funds had loaned securities under this agreement.

i.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

 

|  62

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2021, at value:

International Growth Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —      $ 789,211      $ —      $ 789,211  

Belgium

      —        579,594        —        579,594  

China

      5,695,363        2,823,485        —        8,518,848  

Denmark

      —        690,512        —        690,512  

France

      —        1,148,147        —        1,148,147  

Germany

      —        779,270        —        779,270  

Japan

      —        1,196,657        —        1,196,657  

Macau

      —        311,847        —        311,847  

Netherlands

      —        1,248,236        —        1,248,236  

Switzerland

      887,157        3,453,300        —        4,340,457  

United Kingdom

      —        2,426,746        —        2,426,746  

All Other Common Stocks(a)

      3,204,197        —        —        3,204,197  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 9,786,717      $ 15,447,005      $   —      $ 25,233,722  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

Natixis Oakmark Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 296,339,554      $ —      $ —      $ 296,339,554  

Short-Term Investments

      —        13,140,396        —        13,140,396  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 296,339,554      $ 13,140,396      $   —      $ 309,479,950  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

 

63  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Natixis Oakmark International Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —      $ 14,355,423      $ —      $ 14,355,423  

Belgium

      —        6,812,392        —        6,812,392  

China

      5,215,940        5,225,610        —        10,441,550  

Finland

      —        4,281,727        —        4,281,727  

France

      —        62,177,928        —        62,177,928  

Germany

      —        138,817,131        —        138,817,131  

India

      —        7,705,883        —        7,705,883  

Indonesia

      —        3,054,174        —        3,054,174  

Ireland

      6,488,596        458,774        —        6,947,370  

Italy

      —        21,740,082        —        21,740,082  

Japan

      —        11,779,074        —        11,779,074  

Korea

      —        7,659,211        —        7,659,211  

Netherlands

      —        10,259,915        —        10,259,915  

South Africa

      —        14,619,068        —        14,619,068  

Spain

      —        7,235,067        —        7,235,067  

Sweden

      —        20,148,441        —        20,148,441  

Switzerland

      —        68,789,426        —        68,789,426  

United Kingdom

      11,103,877        81,765,073        —        92,868,950  

All Other Common Stocks(a)

      27,618,519        —        —        27,618,519  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      50,426,932        486,884,399        —        537,311,331  
  

 

 

     

 

 

     

 

 

     

 

 

  

Bonds and Notes(a)

      —        1,705,551        —        1,705,551  

Short-Term Investments

      —        20,278,547        —        20,278,547  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      50,426,932        508,868,497        —        559,295,429  
  

 

 

     

 

 

     

 

 

     

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —        189,926        —        189,926  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 50,426,932      $ 509,058,423      $   —      $ 559,485,355  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

U.S. Equity Opportunities Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 1,050,136,563      $ —      $ —      $ 1,050,136,563  

Short-Term Investments

      —        11,145,029        —        11,145,029  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,050,136,563      $ 11,145,029      $   —      $ 1,061,281,592  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

Mid Cap Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 310,265,014      $ —      $ —      $ 310,265,014  

Short-Term Investments

      —        6,696,592        —        6,696,592  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 310,265,014      $ 6,696,592      $   —      $ 316,961,606  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

 

|  64

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Small Cap Value Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 141,394,992      $ —      $   —      $ 141,394,992  

Short-Term Investments

      —        4,001,172        —        4,001,172  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 141,394,992      $ 4,001,172      $ —      $ 145,396,164  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

Natixis Oakmark International Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2021, Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation
on forward
foreign
currency
contracts

                        

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 189,926     

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Forward
foreign
currency
contracts

                        

Foreign exchange contracts

    $ 146,847     

 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Forward
foreign
currency
contracts

                        

Foreign exchange contracts

    $ 199,045     

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2021:

 

Natixis Oakmark International Fund

   

Forwards

                       

Average Notional Amount Outstanding

      1.24 %   

Highest Notional Amount Outstanding

      1.37 %   

Lowest Notional Amount Outstanding

      1.16 %   

Notional Amount Outstanding as of June 30, 2021

      1.16 %   

 

65  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in net assets.

Natixis Oakmark International Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.

As of June 30, 2021, gross amounts of derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

 

Counterparty

   

Gross Amounts of
Assets

     

Offset
Amount

     

Net
Amount

  

State Street Bank and Trust Company

    $ 189,926      $   —      $ 189,926  

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2021:

 

Fund

   

Maximum Amount
of Loss - Gross

     

Maximum Amount
of Loss - Net

  

Natixis Oakmark International Fund

    $ 189,926      $ 189,926  

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2021, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   

Purchases

     

Sales

  

International Growth Fund

    $ 11,013,167      $ 1,543,919  

Natixis Oakmark Fund

      42,166,070        44,736,963  

Natixis Oakmark International Fund

      95,042,269        111,870,789  

U.S. Equity Opportunities Fund

      51,575,084        92,596,743  

Mid Cap Fund

      98,305,866        124,778,423  

Small Cap Value Fund

      85,015,677        76,458,558  

6. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to International Growth Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreement, International Growth Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

 

|  66

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

    Percentage of Average Daily Net Assets  

Fund

  

First

$150 million

    

Next

$50 million

    

Next

$300 million

    

Next

$500 million

    

Next

$500 million

    

Over

$1.5 billion

  

Natixis Oakmark Fund

     0.70 %      0.70 %      0.65 %      0.60 %      0.60 %      0.60 % 

Natixis Oakmark International Fund

     0.85 %      0.75 %      0.75 %      0.75 %      0.70 %      0.70 % 

U.S. Equity Opportunities Fund

     0.75 %      0.75 %      0.75 %      0.75 %      0.75 %      0.75 % 

Mid Cap Fund

     0.80 %      0.80 %      0.80 %      0.80 %      0.80 %      0.75 % 

Small Cap Value Fund

     0.90 %      0.90 %      0.90 %      0.90 %      0.90 %      0.90 % 

Effective July 1, 2021, Mid Cap Fund and Small Cap Value Fund pay a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

    Percentage of Average Daily Net Assets  

Fund

  

First

$150 million

    

Next

$50 million

    

Next

$300 million

    

Next

$500 million

    

Next

$500 million

    

Over

$1.5 billion

  

Mid Cap Fund

     0.75 %      0.75 %      0.75 %      0.75 %      0.75 %      0.70 % 

Small Cap Value Fund

     0.85 %      0.85 %      0.85 %      0.85 %      0.85 %      0.85 % 

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

 

Natixis Oakmark Fund

    Harris Associates L.P. (“Harris”)

Natixis Oakmark International Fund

    Harris

U.S. Equity Opportunities Fund

   

Harris

Loomis Sayles

Mid Cap Fund

    Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)

Small Cap Value Fund

    Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

          Percentage of Average
Daily Net Assets		  

Fund

   

Subadviser

   

First

$150 million

     

Next

$50 million

     

Next

$800 million

     

Next

$500 million

     

Over

$1.5 billion

  

Natixis Oakmark Fund

    Harris      0.52 %       0.52 %       0.50 %       0.50 %       0.50 % 

Natixis Oakmark International Fund

    Harris      0.60 %       0.50 %       0.50 %       0.45 %       0.45 % 

U.S. Equity Opportunities Fund

                  

Large Cap Value Segment

    Harris      0.52 %       0.52 %       0.52 %       0.52 %       0.52 % 

All Cap Growth Segment

    Loomis Sayles      0.35 %       0.35 %       0.35 %       0.35 %       0.35 % 

Mid Cap Fund

    Vaughan Nelson      0.50 %       0.50 %       0.50 %       0.50 %       0.47 % 

Small Cap Value Fund

    Vaughan Nelson      0.55 %       0.55 %       0.55 %       0.55 %       0.55 % 

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

 

67  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Effective July 1, 2021, Mid Cap Fund and Small Cap Value Fund each pay their respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

            Percentage of Average
Daily Net Assets		  

Fund

   

Subadviser

     

First

$150 million

     

Next

$50 million

     

Next

$800 million

     

Next

$500 million

     

Over

$1.5 billion

  

Mid Cap Fund

      Vaughan Nelson        0.47 %       0.47 %       0.47 %       0.47 %       0.44 % 

Small Cap Value Fund

      Vaughan Nelson        0.52 %       0.52 %       0.52 %       0.52 %       0.52 % 

Loomis Sayles and Natixis Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of Average
Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

International Growth Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Natixis Oakmark Fund

      1.30 %      2.05 %      1.00 %      1.05 % 

Natixis Oakmark International Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

U.S. Equity Opportunities Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Mid Cap Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Small Cap Value Fund

      1.30 %      2.05 %      1.00 %      1.05 % 

Effective July 1, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Natixis Oakmark Fund, Natixis Oakmark International Fund, Mid Cap Fund and Small Cap Value Fund are as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

Natixis Oakmark Fund

      1.05 %      1.80 %      0.75 %      0.80 % 

Natixis Oakmark International Fund

      1.15 %      1.90 %      0.85 %      0.90 % 

Mid Cap Fund

      1.15 %      1.90 %      0.85 %      0.90 % 

Small Cap Value Fund

      1.25 %      2.00 %      0.95 %      1.00 % 

These new undertakings are in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Loomis Sayles and Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

 

|  68

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

For the six months ended June 30, 2021, the management fees and waiver of management fees for each Fund were as follows:

 

     Gross
Management Fees		      Contractual
Waivers of
Management Fees1		      Net
Management Fees		      Percentage of
Average Daily
Net Assets
  

Fund

    Gross      Net  

International Growth Fund

    $ 88,924      $ 71,035      $ 17,889        0.75 %       0.15 % 

Natixis Oakmark Fund

      956,455        —        956,455        0.69 %       0.69 % 

Natixis Oakmark International Fund

      2,073,305        407,832        1,665,473        0.78 %       0.62 % 

U.S. Equity Opportunities Fund

      3,742,472        —        3,742,472        0.75 %       0.75 % 

Mid Cap Fund

      1,230,652        116,778        1,113,874        0.80 %       0.72 % 

Small Cap Value Fund

      589,754        131,835        457,919        0.90 %       0.70 % 

 

1 

Management fee waivers are subject to possible recovery until December 31, 2022.

No expenses were recovered for any of the Funds during the six months ended June 30, 2021 under the terms of the expense limitation agreements.

b. Service and Distribution Fees.  Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2021, the service and distribution fees for each Fund were as follows:

 

    

Service Fees

     

Distribution Fees

  

Fund

   

Class A

     

Class C

     

Class C

  

International Growth Fund

    $ 65      $ 28      $ 85  

Natixis Oakmark Fund

      241,786        48,520        145,558  

Natixis Oakmark International Fund

      181,603        116,223        348,669  

U.S. Equity Opportunities Fund

      856,800        79,147        237,440  

Mid Cap Fund

      41,734        17,708        53,123  

Small Cap Value Fund

      90,102        1,235        3,705  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

 

69  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

For the six months ended June 30, 2021, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative Fees

  

International Growth Fund

    $ 5,068  

Natixis Oakmark Fund

      59,661  

Natixis Oakmark International Fund

      113,969  

U.S. Equity Opportunities Fund

      214,400  

Mid Cap Fund

      65,779  

Small Cap Value Fund

      28,020  

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2021, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

Natixis Oakmark Fund

    $ 43,849  

Natixis Oakmark International Fund

      408,708  

U.S. Equity Opportunities Fund

      173,123  

Mid Cap Fund

      125,517  

Small Cap Value Fund

      36,202  

As of June 30, 2021, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

Natixis Oakmark Fund

    $ 987  

Natixis Oakmark International Fund

      9,752  

U.S. Equity Opportunities Fund

      4,110  

Mid Cap Fund

      2,817  

Small Cap Value Fund

      715  

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2021 was as follows:

 

Fund

   

Commissions

  

Natixis Oakmark Fund

    $ 9,384  

Natixis Oakmark International Fund

      3,977  

U.S. Equity Opportunities Fund

      15,732  

Mid Cap Fund

      489  

Small Cap Value Fund

      635  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance

 

|  70

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

Certain officers and employees of Natixis Advisors, Loomis Sayles and affiliates are also officers and/or Trustees of the Trusts.

g.  Affiliated Ownership.  As of June 30, 2021, Natixis Investment Managers, LLC and affiliates held shares of International Growth Fund representing 98.66% of the Funds’ net assets.

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

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to the Funds (effective May 1, 2021 for Mid Cap Fund) to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2022 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2021 (for the period May 1, 2021 through June 30, 2021 for Mid Cap Fund), Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

 

    

Reimbursement
of Transfer
Agency
Expenses

  

Fund

   

Class N

  

International Growth Fund

    $ 600  

Natixis Oakmark Fund

      893  

Natixis Oakmark International Fund

      907  

U.S. Equity Opportunities Fund

      886  

Mid Cap Fund

      212  

Small Cap Value Fund

      885  

7.  Custodian Fees and Expenses.  State Street Bank, custodian to the Funds, has agreed to waive custodian fees and certain other expenses for the first 12 months of operations for International Growth Fund. For the six months ended June 30, 2021, total fees waived for the Fund were $12,262.

8.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

 

71  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

For the six months ended June 30, 2021, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

    

Transfer Agent Fees and Expenses

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

  

International Growth Fund

    $ 477      $ 209      $ 600      $ 1,208  

Natixis Oakmark Fund

      72,777        14,655        893        17,419  

Natixis Oakmark International Fund

      116,319        74,874        907        235,653  

U.S. Equity Opportunities Fund

      221,627        20,540        886        80,607  

Mid Cap Fund

      16,158        6,850        886        116,008  

Small Cap Value Fund

      36,011        499        885        28,755  

9.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 8, 2021, each Fund except for International Growth Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit.

For the six months ended June 30, 2021, Mid Cap Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $14,200,000 at a weighted average interest rate of 1.17%. Interest expense incurred on the line of credit was $923.

10.  Risk.  The Funds’ investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

International Growth Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2021, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

Natixis Oakmark International Fund

      1        26.53 % 

Mid Cap Fund

      3        21.64 % 

Small Cap Value Fund

      3        17.32 % 

 

|  72

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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

 

    

Six Months Ended
June 30, 2021

     

Period Ended
December 31, 2020(a)

  

International Growth Fund

   

Shares

     

Amount

     

Shares

    

Amount

  
Class A

 

Issued from the sale of shares

      9,339      $ 98,404        100     $ 1,000  

Issued in connection with the reinvestment of distributions

      2        17        — (b)      1  
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      9,341      $ 98,421        100     $ 1,001  
  

 

 

     

 

 

     

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      3,872      $ 40,000        100     $ 1,000  

Issued in connection with the reinvestment of distributions

      1        9        — (b)      — (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      3,873      $ 40,009        100     $ 1,000  
  

 

 

     

 

 

     

 

 

    

 

 

  
Class N

 

Issued from the sale of shares

      940,734      $ 10,000,000        1,500,000     $ 15,000,000  

Issued in connection with the reinvestment of distributions

      517        5,372        1,224       12,450  

Redeemed

      (46,993 )       (500,000 )       —       —  
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      894,258      $ 9,505,372        1,501,224     $ 15,012,450  
  

 

 

     

 

 

     

 

 

    

 

 

  
Class Y

 

Issued from the sale of shares

      20,123      $ 211,278        1,163     $ 11,750  

Issued in connection with the reinvestment of distributions

      4        40        1       9  

Redeemed

      (474 )       (5,000 )       —       —  
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      19,653      $ 206,318        1,164     $ 11,759  
  

 

 

     

 

 

     

 

 

    

 

 

  

Increase from capital share transactions

      927,125      $ 9,850,120        1,502,588     $ 15,026,210  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a)

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

(b)

Amount rounds to less than one share.

(c)

Amount rounds to less than $1.00.

 

73  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

12.   Capital Shares (continued).

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  

Natixis Oakmark Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      268,226      $ 7,352,576        583,622      $ 11,675,703  

Issued in connection with the reinvestment of distributions

      17,379        474,730        589,672        13,475,622  

Redeemed

      (364,504 )       (9,626,271 )       (1,895,350 )       (37,988,760 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (78,899 )     $ (1,798,965 )       (722,056 )     $ (12,837,435 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      128,967      $ 2,947,654        196,466      $ 3,196,499  

Issued in connection with the reinvestment of distributions

      4,946        111,343        166,000        3,131,121  

Redeemed

      (283,902 )       (6,249,441 )       (1,362,306 )       (22,568,463 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (149,989 )     $ (3,190,444 )       (999,840 )     $ (16,240,843 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      —      $ —        26      $ 561  

Issued in connection with the reinvestment of distributions

      2        63        1,266        30,687  

Redeemed

      (14,411 )       (395,907 )       (20,248 )       (414,541 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (14,409 )     $ (395,844 )       (18,956 )     $ (383,293 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      877,199      $ 25,017,613        898,502      $ 17,536,595  

Issued in connection with the reinvestment of distributions

      3,623        105,355        88,591        2,151,945  

Redeemed

      (608,855 )       (16,977,826 )       (1,435,875 )       (28,553,935 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      271,967      $ 8,145,142        (448,782 )     $ (8,865,395 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) from capital share transactions

      28,670      $ 2,759,889        (2,189,634 )     $ (38,326,966 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  

Natixis Oakmark International Fund

   

Shares

     

Amount

     

Shares

    

Amount

  
Class A

 

Issued from the sale of shares

      1,177,467      $ 18,467,718        2,770,572     $ 30,737,529  

Issued in connection with the reinvestment of distributions

      4,126        64,816        14,764       209,645  

Redeemed

      (1,024,095 )       (16,023,533 )       (6,172,183 )      (66,211,902 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      157,498      $ 2,509,001        (3,386,847 )    $ (35,264,728 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      184,926      $ 2,837,834        471,769     $ 5,126,354  

Issued in connection with the reinvestment of distributions

      3,755        57,645        —       —  

Redeemed

      (1,686,605 )       (25,574,185 )       (6,873,953 )      (71,978,638 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      (1,497,924 )     $ (22,678,706 )       (6,402,184 )    $ (66,852,284 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  
Class N

 

Issued from the sale of shares

      376      $ 5,871        7,236     $ 76,266  

Issued in connection with the reinvestment of distributions

      13        196        131       1,852  

Redeemed

      (1,670 )       (24,429 )       (46,592 )      (500,123 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      (1,281 )     $ (18,362 )       (39,225 )    $ (422,005 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  
Class Y

 

Issued from the sale of shares

      3,394,367      $ 54,282,082        22,716,726     $ 249,354,124  

Issued in connection with the reinvestment of distributions

      11,886        185,895        87,587       1,237,605  

Redeemed

      (2,738,432 )       (42,075,061 )       (21,280,488 )      (222,395,466 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Net change

      667,821      $ 12,392,916        1,523,825     $ 28,196,263  
  

 

 

     

 

 

     

 

 

    

 

 

  

Decrease from capital share transactions

      (673,886 )     $ (7,795,151 )       (8,304,431 )    $ (74,342,754 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

|  74

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

12.   Capital Shares (continued).

 

   

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  

U.S. Equity Opportunities Fund

  

Shares

    

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

     363,872     $ 15,371,088        809,852      $ 28,587,906  

Issued in connection with the reinvestment of distributions

     539,107       22,728,698        1,934,829        70,589,892  

Redeemed

     (1,133,519 )      (47,250,788 )       (2,986,385 )       (103,892,894 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  

Net change

     (230,540 )    $ (9,151,002 )       (241,704 )     $ (4,715,096 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

     96,954     $ 2,243,343        289,975      $ 6,110,793  

Issued in connection with the reinvestment of distributions

     163,710       3,750,603        553,577        11,519,306  

Redeemed

     (575,839 )      (13,405,041 )       (1,400,383 )       (29,908,911 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  

Net change

     (315,175 )    $ (7,411,095 )       (556,831 )     $ (12,278,812 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

     —     $ —        947      $ 37,836  

Issued in connection with the reinvestment of distributions

     109       5,649        500        21,295  

Redeemed

     —       —        (12,852 )       (496,375 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  

Net change

     109     $ 5,649        (11,405 )     $ (437,244 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

     681,783     $ 35,442,708        1,666,973      $ 71,953,482  

Issued in connection with the reinvestment of distributions

     117,498       6,104,024        465,008        20,643,018  

Redeemed

     (1,092,211 )      (55,949,304 )       (3,552,649 )       (145,365,948 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  

Net change

     (292,930 )    $ (14,402,572 )       (1,420,668 )     $ (52,769,448 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  

Decrease from capital share transactions

     (838,536 )    $ (30,959,020 )       (2,230,608 )     $ (70,200,600 ) 
 

 

 

    

 

 

     

 

 

     

 

 

  

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  

Mid Cap Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      133,842      $ 3,238,003        226,127      $ 4,488,446  

Issued in connection with the reinvestment of distributions

      14,607        352,760        162,666        3,228,512  

Redeemed

      (127,076 )       (3,019,526 )       (477,370 )       (9,158,673 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      21,373      $ 571,237        (88,577 )     $ (1,441,715 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      3,373      $ 72,381        18,169      $ 328,156  

Issued in connection with the reinvestment of distributions

      7,963        177,346        92,379        1,686,307  

Redeemed

      (121,417 )       (2,718,023 )       (456,387 )       (8,272,196 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (110,081 )     $ (2,468,296 )       (345,839 )     $ (6,257,733 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      106,375      $ 2,601,956        94,843      $ 1,960,180  

Issued in connection with the reinvestment of distributions

      9,732        238,223        99,203        2,004,292  

Redeemed

      (55,232 )       (1,320,156 )       (185,807 )       (3,709,379 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      60,875      $ 1,520,023        8,239      $ 255,093  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      1,276,172      $ 30,925,160        2,378,301      $ 47,273,465  

Issued in connection with the reinvestment of distributions

      113,939        2,793,794        1,248,965        25,109,423  

Redeemed

      (2,111,112 )       (51,249,483 )       (6,496,334 )       (126,146,971 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (721,001 )     $ (17,530,529 )       (2,869,068 )     $ (53,764,083 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Decrease from capital share transactions

      (748,834 )     $ (17,907,565 )       (3,295,245 )     $ (61,208,438 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

75  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

12.   Capital Shares (continued).

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  

Small Cap Value Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      580,924      $ 10,844,793        158,490      $ 2,085,145  

Issued in connection with the reinvestment of distributions

      —        —        31,711        358,304  

Redeemed

      (386,161 )       (7,204,379 )       (872,436 )       (11,688,128 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      194,763      $ 3,640,414        (682,235 )     $ (9,244,679 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      4,543      $ 42,428        40,156      $ 298,734  

Issued in connection with the reinvestment of distributions

      —        —        1,869        10,560  

Redeemed

      (28,695 )       (270,065 )       (109,068 )       (738,265 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (24,152 )     $ (227,637 )       (67,043 )     $ (428,971 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      57,613      $ 1,103,286        —      $ —  

Issued in connection with the reinvestment of distributions

      —        —        14        179  

Redeemed

      —        —        —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      57,613      $ 1,103,286        14      $ 179  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      493,171      $ 9,888,402        1,175,448      $ 16,303,249  

Issued in connection with the reinvestment of distributions

      —        —        25,025        327,632  

Redeemed

      (321,194 )       (6,421,115 )       (1,131,163 )       (15,630,462 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      171,977      $ 3,467,287        69,310      $ 1,000,419  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) from capital share transactions

      400,201      $ 7,983,350        (679,954 )     $ (8,673,052 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  76

LOGO

 

LOGO

 

Semiannual

June 30, 2021

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Municipal Bond Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     14  
Financial Statements     64  
Notes to Financial Statements     92  

 

LOGO

LOOMIS SAYLES HIGH INCOME FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    NEFHX
Brian P. Kennedy   Class C    NEHCX
Elaine M. Stokes   Class N    LSHNX
Todd P. Vandam, CFA®   Class Y    NEHYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

 

 

Average Annual Total Returns—June 30, 20213

 

             
                                         Expense Ratios4  
     
      6 Months      1 Year      5 Years      10 Years      Life of Class N      Gross      Net  
     
Class Y (Inception 2/29/08)                         
NAV      3.28 %       16.88 %       6.89 %       5.76 %       — %       0.98 %       0.75 % 
     
Class A (Inception 2/22/84)                         
NAV      3.14        16.53        6.60        5.50        —        1.22        1.00  
With 4.25% Maximum Sales Charge      -1.18        11.46        5.67        5.04        —          
     
Class C (Inception 3/2/98)                         
NAV      2.75        15.86        5.82        4.88        —        1.97        1.75  
With CDSC1      1.75        14.86        5.82        4.88        —          
     
Class N (Inception 11/30/16)                         
NAV      3.29 5        16.88        —        —        6.52        0.88        0.70  
   
Comparative Performance                       
Bloomberg Barclays U.S. Corporate High-Yield Bond Index2      3.62        15.37        7.48        6.66        6.92                    

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

 

1

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

 

2

The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Corporate High-Yield 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 4/30/22. 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.

 

5

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

 

1  |

LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND

 

Managers   Symbols
Dawn Mangerson   Class A    MIMAX
James Grabovac, CFA®   Class C    MIMCX
Lawrence Jones   Class Y    MIMYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.

 

 

Average Annual Total Returns — June 30, 20214

 

           
                                  Expense Ratios5  
   
      6 Months      1 Year      5 Years      Life of Fund      Gross      Net  
     
Class Y (Inception 12/31/12)1                    
NAV      0.30 %       2.64 %       2.38 %       2.61 %       1.17 %       0.46 % 
     
Class A (Inception 12/31/12)1                    
NAV      0.17        2.38        2.13        2.33        1.43        0.71  
With 3.00% Maximum Sales Charge      -2.86        -0.67        1.51        1.96          
     
Class C (Inception 12/31/12)1                    
NAV      -0.20        1.62        1.37        1.62        2.18        1.46  
With CDSC2      -1.19        0.62        1.37        1.62                    
   
Comparative Performance                    
Bloomberg Barclays Municipal Bond Index3      1.06        4.17        3.25        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. 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

December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 represents commencement of operations for accounting and financial reporting purposes only.

 

2

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

3

Bloomberg Barclays Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more. Effective August 24, 2021, the index name was changed to Bloomberg Municipal Bond Index.

 

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 4/30/22. 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.

 

|  2

LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

Managers      Symbols   
Matthew J. Eagan, CFA®      Class A    LIGRX
Brian P. Kennedy      Class C    LGBCX
Elaine M. Stokes      Class N    LGBNX
Loomis, Sayles & Company, L.P.      Class Y    LSIIX
     Admin Class    LIGAX

 

 

Investment Goal

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

 

 

Average Annual Total Returns — June 30, 20214

 

             
                                         Expense Ratios5  
     
      6 Months      1 Year      5 Years      10 Years      Life of Class N      Gross      Net  
     
Class Y (Inception 12/31/96)                       
NAV      0.20 %       5.97 %       5.36 %       4.60 %       — %       0.55 %       0.50 % 
     
Class A (Inception 12/31/96)                                                 
NAV      0.08        5.71        5.10        4.33        —        0.80        0.75  
With 4.25% Maximum Sales Charge      -4.20        1.21        4.18        3.88        —          
     
Class C (Inception 9/12/03)                       
NAV      -0.30        4.97        4.31        3.71        —        1.55        1.50  
With CDSC1      -1.29        3.98        4.31        3.71        —          
     
Class N (Inception 2/1/13)                       
NAV      0.22        6.03        5.43        —        4.01        0.47        0.45  
     
Admin Class (Inception 2/1/10)                       
NAV      -0.04        5.47        4.86        4.09        —        1.05        1.00  
   
Comparative Performance                       
Bloomberg Barclays U.S. Government/Credit Bond Index2      -1.96        -0.39        3.31        3.71        3.24          
Bloomberg Barclays U.S. Aggregate Bond Index3      -1.60        -0.33        3.03        3.39        3.03                    

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

The Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg Barclays U.S. Aggregate Index. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Government/Credit Bond Index.

 

3

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

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Aggregate Bond Index.

 

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 4/30/22. 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.

 

3  |

LOOMIS SAYLES STRATEGIC ALPHA FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    LABAX
Kevin P. Kearns*   Class C    LABCX
Brian P. Kennedy**   Class N    LASNX
Elaine M. Stokes**   Class Y    LASYX
Todd P. Vandam, CFA®  
Loomis, Sayles & Company, L.P.  

 

*

Effective January 8, 2021, Kevin P. Kearns no longer serves as portfolio manager of the Fund.

**

Effective January 8, 2021, Brian P. Kennedy and Elaine M. Stokes joined the portfolio management team of the Fund.

 

 

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

 

 

Average Annual Total Returns — June 30, 20214

 

             
                                          Expense Ratios5  
     
      6 Months      1 Year      5 Years      10 Years      Life of Class N      Gross      Net  
     
Class Y (Inception 12/15/10)                       
NAV      1.86 %       9.98 %       4.78 %       3.65 %       — %       0.74 %       0.74 % 
     
Class A (Inception 12/15/10)                       
NAV      1.74        9.68        4.53        3.40        —        0.99        0.99  
With 4.25% Maximum Sales Charge      -2.56        5.06        3.63        2.95        —          
     
Class C (Inception 12/15/10)                       
NAV      1.29        8.73        3.73        2.78        —        1.74        1.74  
With CDSC1      0.29        7.73        3.73        2.78        —          
     
Class N (Inception 5/1/17)                       
NAV      1.79        9.93        —        —        4.45        0.68        0.68  
   
Comparative Performance                       
3-Month LIBOR2      0.09        0.21        1.41        0.88        1.50          
3-Month LIBOR + 300 basis points3      1.58        3.20        4.41        3.88        4.49                    

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

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

 

3

3-Month LIBOR + 300 basis points is created by adding 3.00% to the annual return of the 3-Month LIBOR. The calculation is performed on a monthly basis and is subject to the effects of compounding.

 

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 4/30/22. 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.

 

|  4

LOOMIS SAYLES STRATEGIC INCOME FUND

 

Managers    Symbols   
Matthew J. Eagan, CFA®    Class A    NEFZX
Daniel J. Fuss, CFA®, CIC*    Class C    NECZX
Brian P. Kennedy    Class N    NEZNX
Elaine M. Stokes    Class Y    NEZYX
Loomis, Sayles & Company, L.P.    Admin Class    NEZAX

 

*

Effective March 1, 2021, Daniel J. Fuss no longer serves as portfolio manager of the Fund.

 

 

Investment Goal

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

 

 

Average Annual Total Returns — June 30, 20214

 

             
                                         Expense Ratios5  
     
      6 Months      1 Year      5 Years      10 Years      Life of Class N      Gross      Net  
     
Class Y (Inception 12/1/99)                         
NAV      3.59 %       12.54 %       4.58 %       4.76 %       — %       0.72 %       0.72 % 
     
Class A (Inception 5/1/95)                         
NAV      3.39        12.17        4.31        4.49        —        0.97        0.97  
With 4.25% Maximum Sales Charge      -0.99        7.40        3.40        4.04        —          
     
Class C (Inception 5/1/95)                         
NAV      3.08        11.42        3.53        3.87        —        1.72        1.72  
With CDSC1      2.08        10.42        3.53        3.87        —          
     
Class N (Inception 2/1/13)                         
NAV      3.63        12.55        4.66        —        4.24        0.65        0.65  
     
Admin Class (Inception 2/1/10)                         
NAV      3.35        11.93        4.07        4.25        —        1.22        1.22  
   
Comparative Performance                       
Bloomberg Barclays U.S. Aggregate Bond Index2      -1.60        -0.33        3.03        3.39        3.03          
Bloomberg Barclays U.S. Universal Bond Index3      -1.15        1.12        3.48        3.74        3.34                    

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

 

2

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Aggregate Bond Index.

 

3

The Bloomberg Barclays U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Universal Bond Index.

 

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 4/30/22. 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.

 

5  |

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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

 

 

|  6

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2021 through June 30, 2021. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

 

LOOMIS SAYLES HIGH INCOME FUND   

BEGINNING
ACCOUNT VALUE
1/1/2021

     

ENDING
ACCOUNT VALUE
6/30/2021

     

EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021

  

Class A

           

Actual

      $1,000.00        $1,031.40        $5.04  

Hypothetical (5% return before expenses)

      $1,000.00        $1,019.84        $5.01  

Class C

           

Actual

      $1,000.00        $1,027.50        $8.80  

Hypothetical (5% return before expenses)

      $1,000.00        $1,016.12        $8.75  

Class N

           

Actual

      $1,000.00        $1,030.50        $3.52 ** 

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.32        $3.51  

Class Y

           

Actual

      $1,000.00        $1,032.80        $3.78  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.08        $3.76  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

**

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes. Amounts expressed in the table include the effect of such adjustments.

 

7  |

LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND   

BEGINNING
ACCOUNT VALUE
1/1/2021

     

ENDING
ACCOUNT VALUE
6/30/2021

     

EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021

  

Class A

           

Actual

      $1,000.00        $1,001.70        $3.47  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.32        $3.51  

Class C

           

Actual

      $1,000.00        $998.00        $7.18  

Hypothetical (5% return before expenses)

      $1,000.00        $1,017.60        $7.25  

Class Y

           

Actual

      $1,000.00        $1,003.00        $2.23  

Hypothetical (5% return before expenses)

      $1,000.00        $1,022.56        $2.26  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES INVESTMENT GRADE BOND FUND   

BEGINNING
ACCOUNT VALUE
1/1/2021

     

ENDING
ACCOUNT VALUE
6/30/2021

     

EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021

  

Class A

           

Actual

      $1,000.00        $1,000.80        $3.72  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.08        $3.76  

Class C

           

Actual

      $1,000.00        $997.00        $7.43  

Hypothetical (5% return before expenses)

      $1,000.00        $1,017.36        $7.50  

Class N

           

Actual

      $1,000.00        $1,002.20        $2.23  

Hypothetical (5% return before expenses)

      $1,000.00        $1,022.56        $2.26  

Class Y

           

Actual

      $1,000.00        $1,002.00        $2.48  

Hypothetical (5% return before expenses)

      $1,000.00        $1,022.32        $2.51  

Admin Class

           

Actual

      $1,000.00        $999.60        $4.96  

Hypothetical (5% return before expenses)

      $1,000.00        $1,019.84        $5.01  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.50%, 0.45%, 0.50% and 1.00% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

|  8

LOOMIS SAYLES STRATEGIC ALPHA FUND   

BEGINNING
ACCOUNT VALUE
1/1/2021

     

ENDING
ACCOUNT VALUE
6/30/2021

     

EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021

  

Class A

           

Actual

      $1,000.00        $1,017.40        $4.90  

Hypothetical (5% return before expenses)

      $1,000.00        $1,019.94        $4.91  

Class C

           

Actual

      $1,000.00        $1,012.90        $8.63  

Hypothetical (5% return before expenses)

      $1,000.00        $1,016.22        $8.65  

Class N

           

Actual

      $1,000.00        $1,017.90        $3.40  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.42        $3.41  

Class Y

           

Actual

      $1,000.00        $1,018.60        $3.65  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.18        $3.66  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.98%, 1.73%, 0.68% and 0.73% 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 (181), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES STRATEGIC INCOME FUND   

BEGINNING
ACCOUNT VALUE
1/1/2021

     

ENDING
ACCOUNT VALUE
6/30/2021

     

EXPENSES PAID
DURING PERIOD*
1/1/2021 – 6/30/2021

  

Class A

           

Actual

      $1,000.00        $1,033.90        $4.89  

Hypothetical (5% return before expenses)

      $1,000.00        $1,019.98        $4.86  

Class C

           

Actual

      $1,000.00        $1,030.80        $8.66  

Hypothetical (5% return before expenses)

      $1,000.00        $1,016.27        $8.60  

Class N

           

Actual

      $1,000.00        $1,036.30        $3.28  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.57        $3.26  

Class Y

           

Actual

      $1,000.00        $1,035.90        $3.63  

Hypothetical (5% return before expenses)

      $1,000.00        $1,021.22        $3.61  

Admin Class

           

Actual

      $1,000.00        $1,033.50        $6.15  

Hypothetical (5% return before expenses)

      $1,000.00        $1,018.75        $6.11  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.97%, 1.72%, 0.65%, 0.72% and 1.22% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

9  |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and Loomis Sayles Intermediate Municipal Bond Fund’s sub-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 advisers and sub-advisers, as applicable (collectively, 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 and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, 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 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’ respective 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, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting, liquidity and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the 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, 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 where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the 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 2021. 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 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.

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.

 

|  10

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 Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Intermediate Municipal Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund (the “Existing Funds”) over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees 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, 2020, each Existing 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 High Income Fund      12 %       44 %       27 % 
Loomis Sayles Investment Grade Bond Fund      8 %       10 %       4 % 
Loomis Sayles Intermediate Municipal Bond Fund      92 %       83 %       69 % 
Loomis Sayles Strategic Alpha Fund      9 %       26 %       33 % 
Loomis Sayles Strategic Income Fund      84 %       88 %       74 % 

In the case of each 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 Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that more recent performance (i.e., for periods ending March 31, 2021) has been stronger relative to its category ; and (3) that the Fund’s long-term (10-year) performance was stronger relative to its category . 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 each Adviser’s 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, sub-advisory and administrative services, as applicable, 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 and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for the Funds under their expense limitation agreements . The Trustees also considered that the current expenses for Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund were below each Fund’s expense limitation. They further noted that management had proposed to reduce the expense cap for Loomis Sayles Strategic Income Fund on all share classes, effective as of July 1, 2021.

 

11  |

The Trustees noted that each of Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including that: (1) the advisory fee was only one basis point higher than the median of a peer group of funds for Loomis Sayles Investment Grade Bond Fund and (2) management had proposed to further reduce the expense limitation of the Loomis Sayles Strategic Income Fund, which had also been reduced last year.

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 relevant 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 fees charged to each of the Funds were 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 Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund has breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Strategic Income Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the 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 each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

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

 

•  

The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, 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 Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

•  

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2022.

 

|  12

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2020 and ending December 31, 2020

(including updates through June 30, 2021)

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

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

In accordance with the Program, each of the Funds’ 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 High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund have established an HLIM.

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.

During the period January 1, 2021 through June 30, 2021, 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.

 

13  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 88.3% of Net Assets  
  Non-Convertible Bonds — 82.8%  
   ABS Home Equity — 0.5%

 

$ 127,806      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.423%, 9/19/2045(a)    $ 96,528  
  115,000      Progress Residential Trust, Series 2021-SFR3, Class F, 3.436%, 5/17/2026, 144A      116,217  
  225,000      Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A      224,584  
  100,000      VOLT XCVI LLC, Series 2021-NPL5,
Class A2, 4.826%, 3/27/2051, 144A(b)		      99,898  
     

 

 

  
        537,227  
     

 

 

  
   Aerospace & Defense — 2.7%

 

  30,000      Boeing Co. (The), 3.250%, 2/01/2035      30,334  
  20,000      Boeing Co. (The), 3.550%, 3/01/2038      20,541  
  430,000      Boeing Co. (The), 5.150%, 5/01/2030      509,187  
  135,000      Bombardier, Inc., 6.000%, 10/15/2022, 144A      135,169  
  635,000      Bombardier, Inc., 7.125%, 6/15/2026, 144A      664,845  
  95,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      100,334  
  140,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      149,190  
  263,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A      312,741  
  60,000      Moog, Inc., 4.250%, 12/15/2027, 144A      62,100  
  350,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      343,000  
  190,000      Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A      202,825  
  235,000      TransDigm, Inc., 4.625%, 1/15/2029, 144A      235,082  
  110,000      TransDigm, Inc., 4.875%, 5/01/2029, 144A      111,045  
  100,000      TransDigm, Inc., 5.500%, 11/15/2027      104,250  
  120,000      Triumph Group, Inc., 6.250%, 9/15/2024, 144A      121,800  
  69,000      Wolverine Escrow LLC, 9.000%, 11/15/2026, 144A      67,275  
     

 

 

  
        3,169,718  
     

 

 

  
   Airlines — 1.3%

 

  30,000      American Airlines Group, Inc., 5.000%, 6/01/2022, 144A      30,038  
  160,000      American Airlines, Inc., 11.750%, 7/15/2025, 144A      200,800  
  225,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A      238,219  
  255,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A      275,719  
  200,000      Delta Air Lines, Inc., 7.375%, 1/15/2026      234,667  
  260,000      Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyality Ltd., 5.750%, 1/20/2026, 144A      279,138  
  105,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      108,694  
  155,000      United Airlines, Inc., 4.625%, 4/15/2029, 144A      160,425  
     

 

 

  
        1,527,700  
     

 

 

  
   Automotive — 2.0%

 

  105,000      Clarios Global LP/Clarios U.S. Finance Co.,
8.500%, 5/15/2027, 144A		      114,471  
  75,000      Dana Financing Luxembourg S.a.r.l.,
5.750%, 4/15/2025, 144A		      77,344  
  1,110,000      Ford Motor Co., 9.000%, 4/22/2025      1,368,486  
  105,000      Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027      111,266  
  115,000      Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026      117,989  
  300,000      Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028      315,750  
  40,000      Meritor, Inc., 4.500%, 12/15/2028, 144A      40,550  
  65,000      Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A      67,418  
  40,000      Tenneco, Inc., 7.875%, 1/15/2029, 144A      45,175  
   Automotive — continued   
85,000      Wheel Pros, Inc., 6.500%, 5/15/2029, 144A    85,956  
     

 

 

  
        2,344,405  
     

 

 

  
   Banking — 0.7%

 

  400,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      431,368  
  400,000      UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A      436,137  
     

 

 

  
        867,505  
     

 

 

  
   Building Materials — 2.2%

 

  265,000      Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A      278,634  
  270,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      274,455  
  285,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      313,386  
  125,000      Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A      134,063  
  50,000      CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A      51,813  
  315,000      Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A      311,850  
  170,000      LBM Acquisition LLC, 6.250%, 1/15/2029, 144A      171,309  
  195,000      Park River Holdings, Inc., 5.625%, 2/01/2029, 144A      189,613  
  125,000      Park River Holdings, Inc., 6.750%, 8/01/2029, 144A      126,563  
  125,000      Patrick Industries, Inc., 4.750%, 5/01/2029, 144A      124,219  
  130,000      SRS Distribution, Inc., 6.125%, 7/01/2029, 144A      133,784  
  45,000      Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A      47,809  
  165,000      U.S. Concrete, Inc., 5.125%, 3/01/2029, 144A      180,262  
  165,000      Victors Merger Corp., 6.375%, 5/15/2029, 144A      166,237  
  30,000      White Cap Buyer LLC, 6.875%, 10/15/2028, 144A      32,108  
     

 

 

  
        2,536,105  
     

 

 

  
   Cable Satellite — 5.1%

 

  210,000      Altice Financing S.A., 5.000%, 1/15/2028, 144A      205,836  
  80,000      Block Communications, Inc., 4.875%, 3/01/2028, 144A      81,600  
  600,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A      611,514  
  1,005,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A      1,062,787  
  205,000      Connect Finco S.a.r.l./Connect U.S. Finco LLC,
6.750%, 10/01/2026, 144A		      216,787  
  420,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      412,066  
  555,000      CSC Holdings LLC, 4.625%, 12/01/2030      544,516  
  150,000      DISH DBS Corp., 7.375%, 7/01/2028      161,420  
  675,000      DISH DBS Corp., 7.750%, 7/01/2026      764,437  
  254,021      Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(c)      250,625  
  76,397      Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(c)      58,829  
  185,000      Radiate Holdco LLC/Radiate Finance, Inc.,
6.500%, 9/15/2028, 144A		      194,370  
  125,000      Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A      125,469  
  310,000      UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A      310,713  
  110,000      ViaSat, Inc., 6.500%, 7/15/2028, 144A      117,311  
  225,000      Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A      227,315  
  200,000      Ziggo BV, 4.875%, 1/15/2030, 144A      205,180  
  296,000      Ziggo BV, 5.500%, 1/15/2027, 144A      307,544  
     

 

 

  
        5,858,319  
     

 

 

  
   Chemicals — 1.2%

 

  55,000      Chemours Co. (The), 5.375%, 5/15/2027      59,651  
  150,000      Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A      153,879  

 

See accompanying notes to financial statements.

 

|  14

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Chemicals — continued   
$ 70,000      CVR Partners LP/CVR Nitrogen Finance Corp.,
6.125%, 6/15/2028, 144A		    $ 71,750  
  330,000      Hercules LLC, 6.500%, 6/30/2029      363,776  
  200,000      Herens Holdco S.a.r.l., 4.750%, 5/15/2028, 144A      199,000  
  140,000      Hexion, Inc., 7.875%, 7/15/2027, 144A      151,025  
  80,000      Methanex Corp., 5.125%, 10/15/2027      86,400  
  20,000      Methanex Corp., 5.250%, 12/15/2029      21,550  
  185,000      Olin Corp., 5.000%, 2/01/2030      197,256  
  65,000      Olin Corp., 5.125%, 9/15/2027      67,600  
  5,000      Olin Corp., 5.625%, 8/01/2029      5,489  
     

 

 

  
        1,377,376  
     

 

 

  
   Construction Machinery — 0.1%

 

  125,000      Titan International, Inc., 7.000%, 4/30/2028, 144A      130,781  
     

 

 

  
   Consumer Cyclical Services — 2.0%

 

  95,000      ANGI Group LLC, 3.875%, 8/15/2028, 144A      94,406  
  35,000      Arches Buyer, Inc., 6.125%, 12/01/2028, 144A      36,050  
  175,000      Prime Security Services Borrower LLC/Prime Finance, Inc., 6.250%, 1/15/2028, 144A      186,156  
  330,000      Realogy Group LLC/Realogy Co-Issuer Corp.,
5.750%, 1/15/2029, 144A		      344,979  
  185,000      Realogy Group LLC/Realogy Co-Issuer Corp.,
7.625%, 6/15/2025, 144A		      200,669  
  80,000      Realogy Group LLC/Realogy Co-Issuer Corp.,
9.375%, 4/01/2027, 144A		      88,891  
  200,000      Staples, Inc., 7.500%, 4/15/2026, 144A      207,147  
  240,000      Terminix Co. LLC (The), 7.450%, 8/15/2027      280,800  
  60,000      TKC Holdings, Inc., 10.500%, 5/15/2029, 144A      64,950  
  760,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      817,920  
     

 

 

  
        2,321,968  
     

 

 

  
   Consumer Products — 0.3%

 

  160,000      Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A      160,165  
  175,000      Prestige Brands, Inc., 5.125%, 1/15/2028, 144A      184,233  
     

 

 

  
        344,398  
     

 

 

  
   Diversified Manufacturing — 0.5%

 

  120,000      Madison IAQ LLC, 5.875%, 6/30/2029, 144A      122,100  
  200,000      TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A      210,750  
  215,000      WESCO Distribution, Inc., 7.250%, 6/15/2028, 144A      239,478  
     

 

 

  
        572,328  
   Electric — 0.7%

 

  510,000      Calpine Corp., 5.125%, 3/15/2028, 144A      518,925  
  140,000      PG&E Corp., 5.000%, 7/01/2028      141,557  
  25,000      PG&E Corp., 5.250%, 7/01/2030      25,237  
  110,000      Talen Energy Supply LLC, 10.500%, 1/15/2026, 144A      79,544  
     

 

 

  
        765,263  
     

 

 

  
   Environmental — 0.1%

 

  175,000      GFL Environmental, Inc., 4.000%, 8/01/2028, 144A      172,874  
     

 

 

  
   Finance Companies — 3.1%

 

  105,000      Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A      109,331  
  265,000      Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A      275,865  
  150,000      Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(d)      150,750  
  385,000      Midcap Financial Issuer Trust, 6.500%, 5/01/2028, 144A      402,918  
  655,000      Navient Corp., 4.875%, 3/15/2028      658,275  
  170,000      Navient Corp., 5.000%, 3/15/2027      175,907  
  95,000      Navient Corp., 6.750%, 6/25/2025      105,185  
  170,000      Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A      172,125  
  490,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      514,500  
   Finance Companies — continued   
380,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A		    375,250  
  620,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A		      624,644  
     

 

 

  
        3,564,750  
     

 

 

  
   Financial Other — 1.5%

 

  175,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A      174,125  
  145,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027, 144A      149,712  
  1,030,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      1,063,470  
  225,000      Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A      223,875  
  120,000      Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A      124,354  
     

 

 

  
        1,735,536  
     

 

 

  
   Food & Beverage — 1.6%

 

  65,000      Aramark Services, Inc., 5.000%, 2/01/2028, 144A      68,068  
  324,000      Kraft Heinz Foods Co., 3.000%, 6/01/2026      345,039  
  325,000      MARB BondCo. PLC, 3.950%, 1/29/2031, 144A      313,365  
  120,000      Performance Food Group, Inc., 5.500%, 10/15/2027, 144A      126,114  
  270,000      Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A      287,550  
  110,000      Post Holdings, Inc., 5.500%, 12/15/2029, 144A      117,837  
  140,000      Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed,
4.625%, 3/01/2029, 144A		      141,217  
  120,000      TreeHouse Foods, Inc., 4.000%, 9/01/2028      119,100  
  140,000      Triton Water Holdings, Inc., 6.250%, 4/01/2029, 144A      140,350  
  205,000      US Foods, Inc., 4.750%, 2/15/2029, 144A      209,100  
     

 

 

  
        1,867,740  
     

 

 

  
   Gaming — 4.1%

 

  375,000      Boyd Gaming Corp., 4.750%, 12/01/2027      388,125  
  165,000      Boyd Gaming Corp., 4.750%, 6/15/2031, 144A      171,188  
  220,000      Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A      233,200  
  290,000      Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A      322,538  
  295,000      Caesars Resort Collection LLC/CRC Finco, Inc.,
5.250%, 10/15/2025, 144A		      298,687  
  100,000      Caesars Resort Collection LLC/CRC Finco, Inc.,
5.750%, 7/01/2025, 144A		      105,375  
  200,000      International Game Technology PLC, 4.125%, 4/15/2026, 144A      208,250  
  220,000      International Game Technology PLC, 5.250%, 1/15/2029, 144A      235,950  
  200,000      MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A      203,846  
  205,000      MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028      216,788  
  255,000      MGM Resorts International, 5.500%, 4/15/2027      279,862  
  410,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      447,802  
  330,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      372,240  
  200,000      Studio City Finance Ltd., 5.000%, 1/15/2029, 144A      201,804  
  230,000      Studio City Finance Ltd., 6.500%, 1/15/2028, 144A      246,100  
  370,000      Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 3/01/2025, 144A      398,438  
  250,000      Wynn Macau Ltd., 5.125%, 12/15/2029, 144A      257,500  
  165,000      Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A      174,281  
     

 

 

  
        4,761,974  
     

 

 

  

 

See accompanying notes to financial statements.

 

15  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Government Owned – No Guarantee — 0.5%

 

$ 340,000      Petroleos Mexicanos, 5.950%, 1/28/2031    $ 330,310  
  280,000      YPF S.A., 6.950%, 7/21/2027, 144A      197,232  
     

 

 

  
        527,542  
     

 

 

  
   Healthcare — 4.3%

 

  110,000      AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A      111,513  
  435,000      CHS/Community Health Systems, Inc., 5.625%, 3/15/2027, 144A      464,362  
  270,000      CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A      274,050  
  195,000      CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A      204,062  
  235,000      CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A      253,212  
  240,000      DaVita, Inc., 3.750%, 2/15/2031, 144A      230,400  
  155,000      Encompass Health Corp., 4.500%, 2/01/2028      160,808  
  300,000      Encompass Health Corp., 4.750%, 2/01/2030      318,750  
  160,000      HCA, Inc., 7.050%, 12/01/2027      196,000  
  145,000      HCA, Inc., 7.500%, 11/06/2033      200,100  
  115,000      HCA, Inc., MTN, 7.750%, 7/15/2036      160,425  
  270,000      LifePoint Health, Inc., 5.375%, 1/15/2029, 144A      263,250  
  40,000      ModivCare, Inc., 5.875%, 11/15/2025, 144A      42,800  
  230,000      MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A      231,129  
  75,000      RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A      78,281  
  75,000      Select Medical Corp., 6.250%, 8/15/2026, 144A      79,877  
  100,000      Surgery Center Holdings, Inc., 6.750%, 7/01/2025, 144A      102,000  
  100,000      Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A      102,920  
  920,000      Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A      980,389  
  355,000      Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A      370,531  
  95,000      U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A      98,164  
     

 

 

  
        4,923,023  
     

 

 

  
   Home Construction — 0.9%

 

  215,000      Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A      212,926  
  75,000      Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.250%, 9/15/2027, 144A      79,219  
  1,200,000      Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)(f)(g)      —  
  100,000      Empire Communities Corp., 7.000%, 12/15/2025, 144A      105,000  
  40,000      Forestar Group, Inc., 3.850%, 5/15/2026, 144A      40,362  
  230,000      KB Home, 4.800%, 11/15/2029      249,198  
  165,000      Mattamy Group Corp., 4.625%, 3/01/2030, 144A      168,863  
  185,000      Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A      208,865  
     

 

 

  
        1,064,433  
     

 

 

  
   Independent Energy — 7.5%

 

  210,000      Antero Resources Corp., 7.625%, 2/01/2029, 144A      233,100  
  23,000      Antero Resources Corp., 8.375%, 7/15/2026, 144A      26,163  
  190,000      Apache Corp., 4.250%, 1/15/2030      200,450  
  60,000      Apache Corp., 4.375%, 10/15/2028      63,870  
  35,000      Apache Corp., 4.875%, 11/15/2027      37,905  
  130,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A      130,000  
  115,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A      120,314  
  155,000      Baytex Energy Corp., 8.750%, 4/01/2027, 144A      156,162  
  45,000      California Resources Corp., 7.125%, 2/01/2026, 144A      47,354  
  65,000      Callon Petroleum Co., 6.250%, 4/15/2023      65,075  
  165,000      Callon Petroleum Co., 8.000%, 8/01/2028, 144A      166,856  
   Independent Energy — continued   
50,000      Centennial Resource Production LLC, 5.375%, 1/15/2026, 144A    49,000  
  155,000      Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A      158,505  
  45,000      Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A      47,475  
  105,000      Comstock Resources, Inc., 6.750%, 3/01/2029, 144A      111,849  
  30,000      Continental Resources, Inc., 4.375%, 1/15/2028      33,188  
  160,000      Continental Resources, Inc., 4.900%, 6/01/2044      181,201  
  50,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A      59,875  
  30,000      Endeavor Energy Resources LP/EER Finance, Inc.,
5.500%, 1/30/2026, 144A		      31,163  
  50,000      Endeavor Energy Resources LP/EER Finance, Inc.,
6.625%, 7/15/2025, 144A		      53,500  
  165,000      Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A      169,064  
  85,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      87,314  
  85,000      Energy Ventures GoM LLC/EnVen Finance Corp.,
11.750%, 4/15/2026, 144A		      88,645  
  20,000      EQT Corp., 3.125%, 5/15/2026, 144A      20,494  
  40,000      EQT Corp., 3.625%, 5/15/2031, 144A      41,700  
  5,000      EQT Corp., 5.000%, 1/15/2029      5,575  
  55,000      EQT Corp., 7.625%, 2/01/2025      64,157  
  225,000      EQT Corp., 8.500%, 2/01/2030      293,155  
  70,000      Hilcorp Energy I LP/Hilcorp Finance Co., 5.750%, 2/01/2029, 144A      72,975  
  65,000      Hilcorp Energy I LP/Hilcorp Finance Co., 6.000%, 2/01/2031, 144A      68,900  
  150,000      Independence Energy Finance LLC, 7.250%, 5/01/2026, 144A      157,525  
  205,000      Indigo Natural Resources LLC, 5.375%, 2/01/2029, 144A      214,225  
  85,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      93,315  
  115,000      Matador Resources Co., 5.875%, 9/15/2026      118,450  
  125,000      MEG Energy Corp., 5.875%, 2/01/2029, 144A      130,312  
  130,000      MEG Energy Corp., 7.125%, 2/01/2027, 144A      138,492  
  85,000      Murphy Oil Corp., 6.375%, 7/15/2028      89,620  
  130,000      Murphy Oil Corp., 6.375%, 12/01/2042      128,748  
  140,000      Murphy Oil Corp., 6.875%, 8/15/2024      143,150  
  130,000      Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A      140,075  
  65,000      Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A      67,777  
  500,000      Occidental Petroleum Corp., 2.900%, 8/15/2024      511,250  
  40,000      Occidental Petroleum Corp., 3.000%, 2/15/2027      39,700  
  20,000      Occidental Petroleum Corp., 3.400%, 4/15/2026      20,450  
  620,000      Occidental Petroleum Corp., 3.500%, 6/15/2025      633,950  
  155,000      Occidental Petroleum Corp., 3.500%, 8/15/2029      155,558  
  245,000      Occidental Petroleum Corp., 4.100%, 2/15/2047      228,124  
  105,000      Occidental Petroleum Corp., 4.200%, 3/15/2048      98,175  
  50,000      Occidental Petroleum Corp., 4.400%, 4/15/2046      48,025  
  145,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      160,225  
  225,000      Occidental Petroleum Corp., 5.875%, 9/01/2025      250,312  
  85,000      Occidental Petroleum Corp., 7.500%, 5/01/2031      107,100  
  40,000      Occidental Petroleum Corp., 7.875%, 9/15/2031      51,400  
  110,000      Occidental Petroleum Corp., 8.500%, 7/15/2027      138,512  
  215,000      Occidental Petroleum Corp., 8.875%, 7/15/2030      287,539  
  220,000      Ovintiv, Inc., 6.500%, 8/15/2034      290,425  
  10,000      Ovintiv, Inc., 6.500%, 2/01/2038      13,314  
  90,000      Ovintiv, Inc., 6.625%, 8/15/2037      120,085  
  95,000      Ovintiv, Inc., 7.200%, 11/01/2031      125,008  
  45,000      Ovintiv, Inc., 7.375%, 11/01/2031      59,747  
  35,000      Ovintiv, Inc., 8.125%, 9/15/2030      47,698  
  135,000      Range Resources Corp., 9.250%, 2/01/2026      148,837  

 

See accompanying notes to financial statements.

 

|  16

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Independent Energy — continued   
$ 38,000      Range Resources Corp., 5.000%, 3/15/2023    $ 39,330  
  85,000      Range Resources Corp., 8.250%, 1/15/2029, 144A      95,837  
  85,000      SM Energy Co., 5.625%, 6/01/2025      84,150  
  65,000      SM Energy Co., 6.500%, 7/15/2028      66,788  
  105,000      SM Energy Co., 6.750%, 9/15/2026      106,837  
  200,000      Southwestern Energy Co., 6.450%, 1/23/2025      221,400  
  30,000      Southwestern Energy Co., 7.500%, 4/01/2026      31,763  
  20,000      Southwestern Energy Co., 7.750%, 10/01/2027      21,700  
  120,000      Vine Energy Holdings LLC, 6.750%, 4/15/2029, 144A      126,300  
     

 

 

  
        8,636,212  
     

 

 

  
   Industrial Other — 0.3%

 

  125,000      Brundage-Bone Concrete Pumping Holdings, Inc.,
6.000%, 2/01/2026, 144A		      131,588  
  65,000      Hillenbrand, Inc., 5.750%, 6/15/2025      69,771  
  130,000      Installed Building Products, Inc., 5.750%, 2/01/2028, 144A      136,825  
     

 

 

  
        338,184  
     

 

 

  
   Leisure — 2.8%

 

  65,000      AMC Entertainment Holdings, Inc., 10.500%, 4/15/2025, 144A      70,525  
  80,000      Boyne USA, Inc., 4.750%, 5/15/2029, 144A      82,538  
  650,000      Carnival Corp., 5.750%, 3/01/2027, 144A      680,875  
  145,000      Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 6.500%, 10/01/2028, 144A      156,238  
  125,000      Cinemark USA, Inc., 5.250%, 7/15/2028, 144A      128,125  
  110,000      Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A      110,486  
  220,000      Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A      227,975  
  335,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      350,912  
  70,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A      73,357  
  125,000      Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028      119,386  
  325,000      Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A      324,594  
  370,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      387,501  
  180,000      Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A      181,575  
  115,000      Viking Cruises Ltd., 5.875%, 9/15/2027, 144A      113,643  
  255,000      Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A      257,550  
     

 

 

  
        3,265,280  
     

 

 

  
   Lodging — 1.2%

 

  150,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A      149,607  
  415,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A      424,338  
  100,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      101,375  
  605,000      Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028      619,943  
  20,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      20,614  
  15,000      Travel & Leisure Co., 6.000%, 4/01/2027      16,479  
     

 

 

  
        1,332,356  
     

 

 

  
   Media Entertainment — 4.1%

 

  305,000      AMC Networks, Inc., 4.250%, 2/15/2029      307,669  
  145,000      Audacy Capital Corp., 6.750%, 3/31/2029, 144A      150,709  
  60,000      Clear Channel Outdoor Holdings, Inc., 7.500%, 6/01/2029, 144A      62,120  
  210,000      Clear Channel Outdoor Holdings, Inc., 7.750%, 4/15/2028, 144A      219,979  
   Media Entertainment — continued   
130,000      Deluxe Corp., 8.000%, 6/01/2029, 144A    141,050  
  240,000      Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A      155,400  
  105,000      Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A      51,569  
  265,000      Gray Television, Inc., 4.750%, 10/15/2030, 144A      264,080  
  260,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      267,475  
  591,125      iHeartCommunications, Inc., 8.375%, 5/01/2027      633,243  
  160,000      Lamar Media Corp., 3.750%, 2/15/2028      162,800  
  175,000      Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A      183,969  
  745,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      886,028  
  5,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      6,073  
  45,000      Netflix, Inc., 5.875%, 11/15/2028      55,234  
  60,000      Netflix, Inc., 6.375%, 5/15/2029      76,635  
  105,000      Nexstar Broadcasting, Inc., 5.625%, 7/15/2027, 144A      111,300  
  120,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A      121,800  
  35,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A      36,996  
  65,000      Playtika Holding Corp., 4.250%, 3/15/2029, 144A      64,955  
  185,000      Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A      185,694  
  200,000      Summer BC Bidco B LLC, 5.500%, 10/31/2026, 144A      203,338  
  170,000      Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A      183,813  
  45,000      Townsquare Media, Inc., 6.875%, 2/01/2026, 144A      48,150  
  100,000      Univision Communications, Inc., 6.625%, 6/01/2027, 144A      108,355  
     

 

 

  
        4,688,434  
     

 

 

  
   Metals & Mining — 3.8%

 

  405,000      ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028      436,286  
  210,000      Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A      227,808  
  60,000      Allegheny Technologies, Inc., 5.875%, 12/01/2027      62,850  
  25,000      Carpenter Technology Corp., 6.375%, 7/15/2028      27,446  
  220,000      Cleveland-Cliffs, Inc., 4.625%, 3/01/2029, 144A      231,499  
  180,000      Cleveland-Cliffs, Inc., 4.875%, 3/01/2031, 144A      189,000  
  139,000      Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A      162,909  
  845,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      883,963  
  455,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      495,814  
  210,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      217,875  
  340,000      Freeport-McMoRan, Inc., 4.250%, 3/01/2030      364,225  
  20,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      24,156  
  60,000      GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A      61,575  
  285,000      Mineral Resources Ltd., 8.125%, 5/01/2027, 144A      313,144  
  320,000      Novelis Corp., 4.750%, 1/30/2030, 144A      336,000  
  50,000      SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A      49,938  
  125,000      United States Steel Corp., 6.250%, 3/15/2026      128,850  
  75,000      United States Steel Corp., 6.875%, 8/15/2025      76,740  
  100,000      United States Steel Corp., 6.875%, 3/01/2029      107,000  
  40,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      39,600  
     

 

 

  
        4,436,678  
     

 

 

  
   Midstream — 5.0%

 

  250,000      Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A      270,920  
  185,000      Buckeye Partners LP, 4.500%, 3/01/2028, 144A      189,682  
  80,000      Buckeye Partners LP, 5.600%, 10/15/2044      77,600  
  55,000      Buckeye Partners LP, 5.850%, 11/15/2043      54,588  

 

See accompanying notes to financial statements.

 

17  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Midstream — continued   
$ 510,000      CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031, 144A    $ 531,415  
  115,000      Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A      120,462  
  40,000      DCP Midstream Operating LP, 5.125%, 5/15/2029      44,200  
  230,000      DCP Midstream Operating LP, 5.625%, 7/15/2027      262,060  
  280,000      EnLink Midstream Partners LP, 5.600%, 4/01/2044      253,400  
  110,000      EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A      119,625  
  200,000      EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A      223,000  
  180,000      EQM Midstream Partners LP, 6.500%, 7/15/2048      192,600  
  160,000      EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028      172,893  
  115,000      Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A      113,994  
  225,000      Genesis Energy LP/Genesis Energy Finance Corp.,
7.750%, 2/01/2028		      232,524  
  120,000      Harvest Midstream I LP, 7.500%, 9/01/2028, 144A      130,320  
  665,000      Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A      693,595  
  220,000      New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A      224,796  
  355,000      New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A      363,431  
  105,000      NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025      95,287  
  145,000      NuStar Logistics LP, 5.750%, 10/01/2025      157,687  
  125,000      Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A      127,969  
  130,000      Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029, 144A      132,275  
  3,000      Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 9/15/2024, 144A      3,041  
  5,000      Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 1/15/2028, 144A      5,088  
  110,000      Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.000%, 3/01/2027, 144A      113,300  
  255,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030      280,413  
  155,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031, 144A      167,787  
  200,000      Western Midstream Operating LP, 5.300%, 2/01/2030      224,001  
  110,000      Western Midstream Operating LP, 5.450%, 4/01/2044      118,525  
  105,000      Western Midstream Operating LP, 6.500%, 2/01/2050      121,573  
     

 

 

  
        5,818,051  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 1.6%

 

  99,317      CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.573%, 11/15/2031, 144A(a)(h)(i)      65,024  
  223,463      CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.573%, 11/15/2031, 144A(a)(h)(i)      128,227  
  100,000      Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A      99,910  
  1,020,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A      913,311  
  45,000      GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.428%, 8/10/2044, 144A(b)      37,356  
  100,000      MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.426%, 10/15/2030, 144A(b)      78,271  
   Non-Agency Commercial Mortgage-Backed Securities — continued

 

380,000      Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.573%, 11/15/2027, 144A(a)(f)(g)(h)    93,664  
  420,000      Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.473%, 11/15/2027, 144A(a)(f)(g)(h)      40,048  
  60,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.325%, 11/15/2059(b)      50,830  
  145,000      Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050      107,803  
  121,836      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.520%, 3/15/2044, 144A(b)      59,359  
  80,000      WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.508%, 12/15/2045(b)      68,665  
  125,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(h)(i)      50,991  
     

 

 

  
        1,793,459  
     

 

 

  
   Oil Field Services — 0.9%

 

  55,000      Nabors Industries Ltd., 7.250%, 1/15/2026, 144A      53,900  
  61,000      Nabors Industries, Inc., 9.000%, 2/01/2025, 144A      64,164  
  90,000      Precision Drilling Corp., 6.875%, 1/15/2029, 144A      92,700  
  10,000      Precision Drilling Corp., 7.125%, 1/15/2026, 144A      10,300  
  55,000      Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A      58,300  
  174,000      Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A      176,038  
  135,000      Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A      135,675  
  52,250      Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A      52,773  
  140,000      Transocean, Inc., 8.000%, 2/01/2027, 144A      117,872  
  60,000      Transocean, Inc., 11.500%, 1/30/2027, 144A      64,122  
  35,000      Weatherford International Ltd., 8.750%, 9/01/2024, 144A      36,619  
  165,000      Weatherford International Ltd., 11.000%, 12/01/2024, 144A      171,600  
     

 

 

  
        1,034,063  
     

 

 

  
   Packaging — 1.3%

 

  570,000      ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(d)      598,500  
  500,000      Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A      510,000  
  75,000      Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A      80,813  
  80,000      Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A      83,200  
  290,000      Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A      284,200  
     

 

 

  
        1,556,713  
     

 

 

  
   Pharmaceuticals — 4.1%

 

  725,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      674,250  
  585,000      Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A      546,068  
  200,000      Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A      205,062  
  260,000      Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A      175,332  
  70,000      Endo Luxembourg Finance Co. I.S.a.r.l/Endo U.S., Inc., 6.125%, 4/01/2029, 144A      68,600  
  200,000      Jazz Securities DAC, 4.375%, 1/15/2029, 144A      207,360  
  335,000      Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A      345,117  

 

See accompanying notes to financial statements.

 

|  18

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Pharmaceuticals — continued

 

$ 107,000      Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A    $ 109,390  
  325,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      357,500  
  285,000      Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026		      271,106  
  1,980,000      Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046		      1,734,975  
     

 

 

  
        4,694,760  
     

 

 

  
   Property & Casualty Insurance — 0.4%

 

  212,820      Ardonagh Midco 2 PLC, 12.750% PIK or 11.500% Cash, 1/15/2027, 144A(o)      233,038  
  105,000      AssuredPartners, Inc., 5.625%, 1/15/2029, 144A      105,000  
  125,000      BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A      127,500  
     

 

 

  
        465,538  
     

 

 

  
   Refining — 0.6%

 

  55,000      Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A      59,812  
  50,000      CVR Energy, Inc., 5.250%, 2/15/2025, 144A      50,026  
  395,000      Parkland Corp., 5.875%, 7/15/2027, 144A      421,019  
  65,000      PBF Holding Co. LLC/PBF Finance Corp., 6.000%, 2/15/2028      44,525  
  80,000      PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A      80,591  
     

 

 

  
        655,973  
     

 

 

  
   REITs – Hotels — 0.3%

 

  240,000      Service Properties Trust, 4.750%, 10/01/2026      237,000  
  135,000      Service Properties Trust, 7.500%, 9/15/2025      152,847  
     

 

 

  
        389,847  
     

 

 

  
   REITs – Mortgage — 0.3%

 

  45,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      44,936  
  215,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A      218,762  
  75,000      Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A      75,563  
     

 

 

  
        339,261  
     

 

 

  
   Restaurants — 0.5%

 

  540,000      1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A      522,450  
  100,000      Bloomin’ Brands, Inc./OSI Restaurant Partners LLC,
5.125%, 4/15/2029, 144A		      102,750  
     

 

 

  
        625,200  
     

 

 

  
   Retailers — 2.6%

 

  70,000      Ambience Merger Sub, Inc., 4.875%, 7/15/2028, 144A      70,175  
  130,000      Ambience Merger Sub, Inc., 7.125%, 7/15/2029, 144A      131,300  
  75,000      Asbury Automotive Group, Inc., 4.500%, 3/01/2028      77,063  
  83,000      Asbury Automotive Group, Inc., 4.750%, 3/01/2030      86,735  
  400,000      Carvana Co., 5.500%, 4/15/2027, 144A      413,092  
  105,000      Carvana Co., 5.625%, 10/01/2025, 144A      109,164  
  220,000      Carvana Co., 5.875%, 10/01/2028, 144A      231,422  
  35,000      Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A      35,613  
  50,000      Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A      51,000  
  140,000      L Brands, Inc., 5.250%, 2/01/2028      156,625  
  75,000      L Brands, Inc., 6.625%, 10/01/2030, 144A      86,813  
  105,000      L Brands, Inc., 6.750%, 7/01/2036      131,512  
  55,000      L Brands, Inc., 6.875%, 11/01/2035      69,644  
  90,000      Lithia Motors, Inc., 4.375%, 1/15/2031, 144A      96,400  
  250,000      Magic Mergeco, Inc., 7.875%, 5/01/2029, 144A      257,812  
  115,000      NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A      122,762  
   Retailers — continued

 

250,000      PetSmart, Inc./PetSmart Finance Corp., 4.750%, 2/15/2028, 144A    259,687  
  250,000      PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A      275,625  
  10,000      QVC, Inc., 4.450%, 2/15/2025      10,680  
  10,000      QVC, Inc., 4.850%, 4/01/2024      10,850  
  115,000      Rite Aid Corp., 7.500%, 7/01/2025, 144A      116,438  
  180,000      Victoria’s Secret & Co., 4.625%, 7/15/2029, 144A      180,000  
     

 

 

  
        2,980,412  
     

 

 

  
   Technology — 5.2%

 

  99,000      BY Crown Parent LLC/BY Bond Finance, Inc., 4.250%, 1/31/2026, 144A      103,702  
  145,000      Camelot Finance S.A., 4.500%, 11/01/2026, 144A      151,706  
  215,000      Clarivate Science Holdings Corp., 4.875%, 6/30/2029, 144A      220,644  
  1,005,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      1,028,869  
  86,000      CommScope Technologies LLC, 6.000%, 6/15/2025, 144A      87,828  
  405,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      438,919  
  235,000      Elastic NV, 4.125%, 7/15/2029, 144A      235,000  
  360,000      Endure Digital, Inc., 6.000%, 2/15/2029, 144A      356,400  
  60,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      60,000  
  465,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      479,973  
  80,000      J2 Global, Inc., 4.625%, 10/15/2030, 144A      82,824  
  95,000      LogMeIn, Inc., 5.500%, 9/01/2027, 144A      98,330  
  60,000      NCR Corp., 5.000%, 10/01/2028, 144A      62,044  
  70,000      NCR Corp., 5.250%, 10/01/2030, 144A      72,625  
  50,000      NCR Corp., 8.125%, 4/15/2025, 144A      54,675  
  190,000      Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A      200,657  
  180,000      Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A      196,016  
  175,000      Pitney Bowes, Inc., 6.875%, 3/15/2027, 144A      184,844  
  110,000      Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A      113,164  
  110,000      Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A      119,625  
  90,000      Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A      92,250  
  255,000      Rocket Software, Inc., 6.500%, 2/15/2029, 144A      253,031  
  65,000      Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A      70,688  
  260,000      Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A      309,096  
  60,000      Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.625%, 11/01/2026, 144A      62,625  
  185,000      Square, Inc., 2.750%, 6/01/2026, 144A      188,237  
  210,000      Veritas U.S., Inc./Veritas Bermuda Ltd., 7.500%, 9/01/2025, 144A      218,662  
  200,000      Veritas U.S., Inc./Veritas Bermuda Ltd., 10.500%, 2/01/2024, 144A      205,294  
  105,000      Xerox Holdings Corp., 5.000%, 8/15/2025, 144A      110,840  
  105,000      Xerox Holdings Corp., 5.500%, 8/15/2028, 144A      109,094  
     

 

 

  
        5,967,662  
     

 

 

  
   Transportation Services — 0.2%

 

  185,000      Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A      192,970  
     

 

 

  
   Treasuries — 2.1%

 

  2,485,000      U.S. Treasury Note, 0.125%, 12/15/2023      2,471,895  
     

 

 

  
   Wireless — 1.1%

 

  440,000      Altice France S.A., 5.125%, 1/15/2029, 144A      442,200  
  200,000      Altice France S.A., 5.125%, 7/15/2029, 144A      200,980  
  245,000      HTA Group Ltd., 7.000%, 12/18/2025, 144A      260,626  
  305,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      324,127  
     

 

 

  
        1,227,933  
     

 

 

  

 

See accompanying notes to financial statements.

 

19  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Wirelines — 1.5%

 

$ 200,000      Cablevision Lightpath LLC, 5.625%, 9/15/2028, 144A    $ 203,700  
  130,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      143,629  
  135,000      Embarq Corp., 7.995%, 6/01/2036      153,043  
  25,000      Lumen Technologies, Inc., 5.125%, 12/15/2026, 144A      25,969  
  455,000      Lumen Technologies, Inc., 5.375%, 6/15/2029, 144A      461,545  
  225,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      268,312  
  120,000      Telecom Italia Capital S.A., 7.200%, 7/18/2036      154,800  
  210,000      Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A      209,475  
  100,000      Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A      103,000  
     

 

 

  
        1,723,473  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $92,345,104)		      95,605,319  
     

 

 

  
     
  Convertible Bonds — 5.5%  
   Airlines — 0.3%

 

  80,000      JetBlue Airways Corp., 0.500%, 4/01/2026, 144A      79,720  
  190,000      Southwest Airlines Co., 1.250%, 5/01/2025      287,731  
     

 

 

  
        367,451  
     

 

 

  
   Cable Satellite — 2.0%

 

  2,080,000      DISH Network Corp., 3.375%, 8/15/2026      2,122,640  
  145,000      Liberty Media Corp., 0.500%, 12/01/2050, 144A      166,823  
     

 

 

  
        2,289,463  
     

 

 

  
   Consumer Cyclical Services — 0.3%

 

  110,000      Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(j)      118,800  
  120,000      Peloton Interactive, Inc., Zero Coupon, 0.000%-1.735%, 2/15/2026, 144A(k)      116,025  
  150,000      Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(j)      152,100  
     

 

 

  
        386,925  
     

 

 

  
   Healthcare — 0.5%

 

  535,000      Teladoc Health, Inc., 1.250%, 6/01/2027      598,879  
     

 

 

  
   Media Entertainment — 0.1%

 

  175,000      Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(j)      166,906  
     

 

 

  
   Pharmaceuticals — 1.6%

 

  110,000      Aerie Pharmaceuticals, Inc., 1.500%, 10/01/2024      108,354  
  340,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      352,342  
  970,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027      971,869  
  100,000      Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(j)      113,812  
  115,000      Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(j)      112,665  
  75,000      Livongo Health, Inc., 0.875%, 6/01/2025      119,143  
  45,000      Neurocrine Biosciences, Inc., 2.250%, 5/15/2024      60,161  
     

 

 

  
        1,838,346  
     

 

 

  
   Technology — 0.7%

 

  510,000      Palo Alto Networks, Inc., 0.375%, 6/01/2025      693,600  
  55,000      Splunk, Inc., 1.125%, 6/15/2027      53,591  
     

 

 

  
        747,191  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $6,405,489)		      6,395,161  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $98,750,593)		      102,000,480  
     

 

 

  
     
  Collateralized Loan Obligations — 1.7%  
260,000      CIFC Funding Ltd., Series 2019-1A, Class DR,
3-month LIBOR + 3.100%, 3.288%, 4/20/2032, 144A(a)		    260,081  
  255,000      Madison Park Funding XII Ltd., Series 2014-12A, Class E, 3-month LIBOR + 5.100%, 5.288%, 7/20/2026, 144A(a)      254,449  
  260,000      OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER,
3-month LIBOR + 6.360%, 6.546%, 4/21/2034, 144A(a)		      260,007  
  310,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER,
3-month LIBOR + 6.250%, 7/02/2035, 144A(a)(f)(l)		      310,000  
  370,000      OZLM XXIII Ltd., Series 2019-23A, Class DR,
3-month LIBOR + 3.750%, 3.934%, 4/15/2034, 144A(a)		      371,656  
  250,000      Palmer Square CLO Ltd., Series 2021-2A, Class D,
3-month LIBOR + 2.900%, 3.006%, 7/15/2034, 144A(a)		      249,994  
  250,000      Palmer Square Loan Funding Ltd., Series 2020-3A, Class D, 3-month LIBOR + 4.230%, 4.418%, 7/20/2028, 144A(a)      250,845  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $1,952,741)		      1,957,032  
     

 

 

  
     
  Senior Loans — 0.3%  
   Airlines — 0.1%

 

  135,340      United Airlines, Inc., 2021 Term Loan B,
1-month LIBOR + 3.750%, 4.500%, 4/21/2028(a)		      136,993  
     

 

 

  
   Chemicals — 0.1%

 

  155,000      Lonza Group AG, USD Term Loan B, 4/29/2028(m)      155,084  
     

 

 

  
   Pharmaceuticals — 0.1%

 

  116,000      Jazz Financing Lux S.a.r.l., USD Term Loan,
1-month LIBOR + 3.500%, 4.000%, 5/05/2028(a)		      116,326  
     

 

 

  
   Total Senior Loans
(Identified Cost $403,558)		      408,403  
     

 

 

  
     
    
Shares		                
  Preferred Stocks — 2.1%  
  Convertible Preferred Stocks — 2.1%  
   Food & Beverage — 0.6%

 

  6,307      Bunge Ltd., 4.875%      731,990  
     

 

 

  
   Healthcare — 0.1%

 

  942      Boston Scientific Corp., Series A, 5.500%      109,329  
     

 

 

  
   Technology — 0.3%

 

  2,750      Clarivate PLC, Series A, 5.250%      287,925  
     

 

 

  
   Wireless — 1.1%

 

  1,002      2020 Cash Mandatory Exchangeable Trust,
5.250%, 144A(h)(i)		      1,262,600  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $2,267,636)		      2,391,844  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $2,267,636)		      2,391,844  
     

 

 

  
     
  Common Stocks — 0.6%  
   Chemicals — 0.2%

 

  12,177      Hexion Holdings Corp., Class B(n)      225,275  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  20

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Energy Equipment & Services — 0.0%

 

  10,149      McDermott International Ltd.(n)    $ 4,973  
     

 

 

  
   Media — 0.2%

 

  9,786      iHeartMedia, Inc., Class A(n)      263,537  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.2%

 

  3,650      Battalion Oil Corp.(n)      48,910  
  3,768      Whiting Petroleum Corp.(n)      205,544  
     

 

 

  
        254,454  
     

 

 

  
   Total Common Stocks
(Identified Cost $1,358,371)		      748,239  
     

 

 

  
     
  Other Investments — 0.1%  
   Aircraft ABS — 0.1%

 

  100      ECAF I Blocker Ltd.(f)(g)(h)(p)
(Identified Cost $1,000,000)		      114,940  
     

 

 

  
     
  Warrants — 0.0%  
  20,319      McDermott International Ltd., Tranche A, Expiration on 5/1/2024(f)(g)(n)      1,423  
  22,577      McDermott International Ltd., Tranche B, Expiration on 5/1/2024(f)(g)(n)      677  
     

 

 

  
   Total Warrants
(Identified Cost $31,517)		      2,100  
     

 

 

  
     
  Exchange-Traded Funds — 1.0%  
  13,000      iShares® iBoxx $ High Yield Corporate Bond ETF
(Identified Cost $1,141,379)		      1,144,520  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 5.1%  
$ 5,887,409      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $5,887,409 on 7/01/2021 collateralized by $4,404,200 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $6,005,197 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $5,887,409)		      5,887,409  
     

 

 

  
     
   Total Investments — 99.2%
(Identified Cost $112,793,204)		      114,654,967  
   Other assets less liabilities — 0.8%      899,524  
     

 

 

  
   Net Assets — 100.0%    $ 115,554,491  
     

 

 

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

 

  (a)      Variable rate security. Rate as of June 30, 2021 is disclosed.

 

  (b)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.

 

  (c)      Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal.

 

  (d)      Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2021, interest payments were made in cash.
  (e)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
  (f)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (g)      Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $250,752 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
  (h)      Illiquid security.   
  (i)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $1,506,842 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.
  (j)      Interest rate represents annualized yield at time of purchase; not a coupon rate.
  (k)      Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
  (l)      New issue unsettled as of June 30, 2021. Coupon rate does not take effect until settlement date.
  (m)      Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
  (n)      Non-income producing security.
  (o)      Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2021, interest payments were made in principal.
  (p)      Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows:
  
     Acquisition
Date		      Acquisition
Cost		    Value      % of
Net Assets		  
ECAF I Blocker Ltd.      12/20/2016      $1,000,000    $ 114,940        0.1 % 
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $70,363,832 or 60.9% of net assets.
  ABS      Asset-Backed Securities   
  ETF      Exchange-Traded Fund   
  LIBOR      London Interbank Offered Rate   
  MTN      Medium Term Note   
  PIK      Payment-in-Kind   
  REITs      Real Estate Investment Trusts   

 

See accompanying notes to financial statements.

 

21  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Industry Summary at June 30, 2021 (Unaudited)

 

Independent Energy

      7.5 % 

Cable Satellite

      7.1  

Technology

      6.2  

Pharmaceuticals

      5.8  

Midstream

      5.0  

Healthcare

      4.9  

Media Entertainment

      4.2  

Gaming

      4.1  

Metals & Mining

      3.8  

Finance Companies

      3.1  

Leisure

      2.8  

Aerospace & Defense

      2.7  

Retailers

      2.6  

Consumer Cyclical Services

      2.3  

Food & Beverage

      2.2  

Building Materials

      2.2  

Wireless

      2.2  

Treasuries

      2.1  

Automotive

      2.0  

Other Investments, less than 2% each

      18.6  

Short-Term Investments

      5.1  

Collateralized Loan Obligations

      1.7  

Exchange-Traded Funds

      1.0  
  

 

 

  

Total Investments

      99.2  

Other assets less liabilities

      0.8  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 95.2% of Net Assets  
  Municipals — 95.2%  
   Arizona — 0.6%

 

$ 200,000      City of Mesa, Excise Tax Revenue, 4.000%, 7/01/2037    $ 242,739  
     

 

 

  
   California — 3.1%

 

  1,000,000      California State, GO, Various Purpose, Refunding,
4.000%, 3/01/2037		      1,218,971  
     

 

 

  
   Colorado — 5.8%

 

  260,000      Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033      287,941  
  400,000      Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026      427,449  
  250,000      Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030      309,516  
  500,000      Regional Transportation District Sales Tax Revenue, Series A, 5.000%, 11/01/2028      646,692  
  500,000      State of Colorado, Certificate of Participation, Series A, 4.000%, 12/15/2035      614,578  
     

 

 

  
        2,286,176  
     

 

 

  
   Delaware — 1.7%

 

  225,000      Delaware Municipal Electric Corp. Revenue, Beasley Power Station Project, Refunding, 5.000%, 7/01/2028      286,151  
  250,000      University of Delaware, Revenue Bond, 5.000%, 11/01/2043      375,821  
     

 

 

  
        661,972  
     

 

 

  
   Florida — 12.5%

 

  500,000      Alachua County School Board, Certificate of Participation, (AGM Insured), 5.000%, 7/01/2028      633,957  
  340,000      Bay County School Board, Certificate of Participation, Series A, (AGM Insured), 5.000%, 7/01/2033      442,448  
  230,000      City of Cape Coral Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, Refunding, (AGM Insured), 3.000%, 9/01/2027      257,363  
  90,000      City of Cape Coral Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, Refunding, (AGM Insured), 3.000%, 9/01/2028      101,602  
  200,000      Clay County, Sales Surtax Revenue, 4.000%, 10/01/2039      235,972  
  225,000      County of Collier Special Obligation, Revenue Bonds, Series A, 4.000%, 10/01/2036      276,412  
  500,000      Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027      550,242  
  500,000      Lee County Airport Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2028      635,402  
  500,000      Miami-Dade County Aviation Revenue, Refunding, Series A, 4.000%, 10/01/2039      597,188  
  400,000      Sarasota County Utility System Revenue, 5.000%, 10/01/2023      442,897  
  225,000      Sarasota County Utility System Revenue, Series A, 5.000%, 10/01/2027      284,753  
  400,000      Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025      472,337  
     

 

 

  
        4,930,573  
     

 

 

  
   Georgia — 0.7%

 

  250,000      Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027      276,403  
     

 

 

  
   Illinois — 6.4%

 

$ 540,000      Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031    $ 595,139  
  500,000      Chicago O’Hare International Airport, Series C, AMT, 5.000%, 1/01/2046      568,259  
  450,000      Illinois Finance Authority Revenue, The Carle Foundation, Refunding, Series A, 5.000%, 8/15/2029      587,104  
  400,000      Illinois Finance Authority, Presbyterian Homes Obligation Group, Revenue Bonds, Series A, 3.000%, 5/01/2025      433,984  
  300,000      State of Illinois, GO, 5.000%, 6/01/2028      354,828  
     

 

 

  
        2,539,314  
     

 

 

  
   Iowa — 0.3%

 

  100,000      Iowa Tobacco Settlement Authority Revenue, Refunding, Series A-2, Class 1, 5.000%, 6/01/2027      125,461  
     

 

 

  
   Kentucky — 1.8%

 

  700,000      Trimble County Pollution Control, Louisville Gas & Electric Project, Revenue Bonds, Series B, AMT, 1.350%, 11/01/2027      705,772  
     

 

 

  
   Louisiana — 3.5%

 

  625,000      Louisiana Public Facilities Authority Revenue, Loyola University New Orleans Project, Refunding, 5.000%, 10/01/2032      829,709  
  250,000      New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036      299,339  
  200,000      New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035      239,987  
     

 

 

  
        1,369,035  
     

 

 

  
   Maryland — 1.1%

 

  360,000      Maryland Health & Higher Educational Facilities Authority, Series B2, 5.000%, 7/01/2045      436,898  
     

 

 

  
   Michigan — 1.8%

 

  600,000      University of Michigan, Revenue Bonds, 5.000%, 4/01/2032      716,206  
     

 

 

  
   Minnesota — 1.0%

 

  390,000      Minnesota Housing Finance Agency, Revenue Bonds, Series A, AMT, 1.350%, 1/01/2027      391,918  
     

 

 

  
   Nebraska — 0.8%

 

  250,000      Douglas County Hospital Authority No. 2, Series A, 5.000%, 11/15/2030      328,839  
     

 

 

  
   Nevada — 2.7%

 

  500,000      City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026      567,813  
  240,000      Las Vegas Convention & Visitors Authority, Refunding, Series C, 5.000%, 7/01/2032      265,725  
  200,000      Washoe County School District, GO, Series A, 5.000%, 10/01/2025      237,736  
     

 

 

  
        1,071,274  
     

 

 

  
   New Jersey — 2.8%

 

  265,000      New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023      289,956  
  500,000      New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032      566,087  
  270,000      New Jersey Transportation Trust Fund Authority, Capital Appreciation Transportation System, Revenue Bonds, Series A, Zero Coupon, 0.000%, 12/15/2029(a)      231,130  
     

 

 

  
        1,087,173  
     

 

 

  

 

See accompanying notes to financial statements.

 

23  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   New Mexico — 1.5%

 

$ 500,000      New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031    $ 577,923  
     

 

 

  
   New York — 4.5%

 

  500,000      Metropolitan Transportation Authority, Series D, 4.000%, 11/15/2032      569,637  
  400,000      New York City, GO, Refunding, Series A1, 5.000%, 8/01/2030      532,817  
  200,000      New York State Dormitory Authority, Series D, 4.000%, 2/15/2038      238,563  
  350,000      Troy Capital Resource Corp. Revenue, Rensselaer Polytechnic Institute Project, 4.000%, 9/01/2032      423,438  
     

 

 

  
        1,764,455  
     

 

 

  
   North Carolina — 1.7%

 

  180,000      Buncombe County, Limited Obligation, Revenue, Series A, 4.000%, 6/01/2034      221,371  
  400,000      North Carolina Agricultural & Technical University System Revenue, Series A, 4.000%, 10/01/2045      444,017  
     

 

 

  
        665,388  
     

 

 

  
   North Dakota — 1.9%

 

  250,000      City of West Fargo, GO, Refunding, Series A, 4.000%, 5/01/2026      288,854  
  350,000      North Dakota Building Authority, Series A, 5.000%, 12/01/2030      471,023  
     

 

 

  
        759,877  
     

 

 

  
   Ohio — 4.4%

 

  500,000      Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023      551,057  
  500,000      Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024      557,937  
  500,000      Ohio State University (The), Series A, 5.000%, 12/01/2026      617,692  
     

 

 

  
        1,726,686  
     

 

 

  
   Oregon — 0.7%

 

  230,000      Port of Portland, Airport Revenue, Portland International Airport, Series 25-B, 5.000%, 7/01/2028      290,734  
     

 

 

  
   Pennsylvania — 0.8%

 

  270,000      Allegheny County Higher Education Building Authority, Refunding, Series A, 5.000%, 3/01/2029      310,123  
     

 

 

  
   Rhode Island — 1.4%

 

  500,000      Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024      553,382  
     

 

 

  
   Tennessee — 5.5%

 

  185,000      Greeneville Health & Educational Facilities Board, Series A, 5.000%, 7/01/2028      233,709  
  550,000      Memphis-Shelby County Airport Authority, Revenue Bonds, Series A, AMT, 5.000%, 7/01/2026      661,759  
  500,000      Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030      604,705  
  500,000      Tennessee Energy Acquisition Corp., Commodity Project Revenue, 5.000%, 5/01/2052      662,542  
     

 

 

  
        2,162,715  
     

 

 

  
   Texas — 12.5%

 

  330,000      Central Texas Regional Mobility Authority, Revenue Bonds, Series B, 5.000%, 1/01/2031      441,737  
  500,000      Grand Parkway Transportation Corp, Series A, Prerefunded 10/01/2023@100, 5.500%, 4/01/2053      559,507  
   Texas — continued

 

$ 500,000      Harris County Toll Road Authority (The), 4.000%, 8/15/2038    $ 611,572  
  1,000,000      Houston Combined Utility System Revenue, Series A, (AGM Insured), Zero Coupon, 0.000%, 12/01/2025(a)      964,823  
  300,000      Lower Colorado River Authority, Refunding, 5.000%, 5/15/2030      385,824  
  500,000      New Braunfels Utility System Revenue, 5.000%, 7/01/2029      632,576  
  400,000      Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024      440,516  
  250,000      Texas City Independent School District, GO, (PSF-GTD), 4.000%, 8/15/2034      295,370  
  500,000      Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034      599,843  
     

 

 

  
        4,931,768  
     

 

 

  
   Utah — 5.0%

 

  500,000      Utah County Hospital Revenue, IHC Health Services, Inc., Series A, 4.000%, 5/15/2043      596,116  
  500,000      Utah Infrastructure Agency, Telecommunication Revenue, 4.000%, 10/15/2033      593,768  
  250,000      Utah Infrastructure Agency, Telecommunication Revenue, 4.000%, 10/15/2036      294,195  
  180,000      Utah Transit Authority Sales Tax Revenue, Series A, Prerefunded 06/15/2025@100, 5.000%, 6/15/2038      212,439  
  250,000      Weber Basin Water Conservancy District, Revenue Bonds, Series A, 4.000%, 4/01/2040      296,771  
     

 

 

  
        1,993,289  
     

 

 

  
   Washington — 6.0%

 

  500,000      King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032      574,470  
  500,000      Port of Seattle Revenue, AMT, 5.000%, 7/01/2029      540,602  
  360,000      Port of Seattle Revenue, Intermediate Lien Private Activity, Refunding, AMT, 5.000%, 8/01/2027      445,347  
  500,000      Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031      564,546  
  200,000      State of Washington, GO, Series 2015-C, Class R, 5.000%, 7/01/2029      231,339  
     

 

 

  
        2,356,304  
     

 

 

  
   Wisconsin — 1.9%

 

  500,000      Public Finance Authority Solid Waste Disposal Revenue, Waste Management, Inc., Series A-3-REMK, AMT, 1.100%, 7/01/2029      503,111  
  225,000      Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031      255,520  
     

 

 

  
        758,631  
     

 

 

  
   Wyoming — 0.8%

 

  275,000      Laramie County, Cheyenne Regional Medical Center Project, Hospital Revenue, Refunding, 4.000%, 5/01/2033      334,149  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $36,086,948)		      37,574,148  
     

 

 

  
     

 

See accompanying notes to financial statements.

 

|  24

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 6.3%  
$ 2,466,606      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $2,466,606 on 7/01/2021 collateralized by $2,212,700 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $2,515,982 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $2,466,606)		    $ 2,466,606  
     

 

 

  
     
   Total Investments — 101.5%
(Identified Cost $38,553,554)		      40,040,754  
   Other assets less liabilities — (1.5)%      (588,292 ) 
     

 

 

  
   Net Assets — 100.0%    $ 39,452,462  
     

 

 

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

 

  (a)      Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

  
  AGM      Assured Guaranty Municipal Corporation

 

  AMT      Alternative Minimum Tax

 

  GO      General Obligation

 

  PSF-GTD      Permanent School Fund Guarantee Program

 

Industry Summary at June 30, 2021 (Unaudited)

 

Hospitals

      16.4 % 

General Purpose Public Improvement

      14.4  

Airports

      13.1  

Higher Education

      11.3  

Water and Sewer

      7.4  

Primary Secondary Education

      7.2  

Toll Roads, Streets & Highways

      5.6  

Mass Rapid Transportation

      3.5  

Electric Public Power

      3.5  

Combined Utilities

      2.3  

Industrial Development

      2.2  

Other Transportation

      2.2  

Other Investments, less than 2% each

      6.1  

Short-Term Investments

      6.3  
  

 

 

  

Total Investments

      101.5  

Other assets less liabilities

      (1.5 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

25  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 90.6% of Net Assets  
  Non-Convertible Bonds — 89.0%  
   ABS Car Loan — 7.6%

 

$ 8,084,321      Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023(a)    $ 8,171,847  
  7,865,000      American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A      8,062,626  
  1,965,000      AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024      2,058,397  
  10,515,000      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024(a)      11,076,017  
  25,880,000      AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025      27,264,267  
  12,340,000      AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025      12,861,290  
  1,395,000      AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026      1,433,326  
  11,000,000      Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A      11,083,919  
  1,940,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A(a)      2,080,597  
  8,910,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A(a)      9,172,676  
  3,650,000      CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025      3,775,447  
  13,585,000      CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025      14,234,272  
  5,811,000      CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025      6,092,287  
  2,315,000      CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026      2,398,914  
  4,625,000      CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026      4,802,526  
  23,320,000      Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A      24,044,618  
  2,525,000      Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A      2,619,574  
  275,000      Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A      280,769  
  6,555,000      Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a)      6,842,122  
  16,395,000      Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a)      17,015,654  
  3,700,000      Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026(a)      3,844,821  
  10,760,000      DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A      11,113,963  
  3,950,000      DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A      4,089,340  
  3,400,000      DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A      3,514,665  
  7,410,000      Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026      7,367,893  
  3,790,000      First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A      3,915,614  
  4,610,000      Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A      4,784,445  
  30,600,000      Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024(a)      30,748,808  
   ABS Car Loan — continued

 

15,340,000      Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025(a)    15,356,822  
  27,290,000      Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025(a)      27,268,354  
  8,555,000      GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A      8,889,059  
  6,301,852      GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.970%, 11/16/2023(a)      6,369,480  
  6,255,000      GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024(a)      6,335,909  
  10,120,000      GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025(a)      10,125,337  
  21,335,000      GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026(a)      21,367,835  
  1,400,000      GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A      1,419,888  
  3,186,259      Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023(a)      3,224,501  
  16,245,000      Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025(a)      16,234,605  
  3,000,000      JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A      3,000,666  
  6,655,000      Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024(a)      6,737,940  
  18,955,000      Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024(a)      19,034,099  
  4,350,000      Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A      4,491,704  
  27,665,000      Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025      28,454,271  
  6,995,000      Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025      7,225,657  
  8,455,000      Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025(a)      8,661,940  
  12,815,000      Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028      13,900,597  
  2,900,000      Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026      2,968,440  
  9,480,000      Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 7/17/2023(a)      9,480,070  
  15,495,000      Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A      15,899,641  
     

 

 

  
        481,197,509  
     

 

 

  
   ABS Credit Card — 0.5%

 

  939,000      American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024      944,890  
  8,000,000      American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024(a)      8,151,489  
  3,460,000      Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A      3,482,056  
  11,730,000      Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024(a)      11,927,242  
  1,690,000      Citibank Credit Card Issuance Trust, Series 2016-A2, Class A2, 2.190%, 11/20/2023(a)      1,703,114  
  6,355,000      Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A      6,374,192  
     

 

 

  
        32,582,983  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  26

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Home Equity — 5.4%

 

$ 15,451,000      American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A    $ 16,916,356  
  441,942      Bayview Opportunity Master Fund IVb Trust, Series 2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(b)      443,526  
  1,250,000      Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class B2, 4.750%, 1/28/2055, 144A(b)      1,337,130  
  2,936,348      Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.228%, 9/25/2035, 144A(b)      2,968,101  
  2,675,884      Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 0.856%, 11/16/2066, 144A(a)(c)      2,685,728  
  408,099      Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(b)      408,474  
  4,683,728      Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(b)      4,723,261  
  1,761,873      Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(b)      1,766,988  
  5,459,679      Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(a)(b)      5,663,343  
  2,434,000      CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A      2,684,021  
  4,353,755      CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A(a)      4,556,057  
  2,929,000      CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A      3,113,949  
  1,259,000      CoreVest American Finance Trust, Series 2020-2, Class C, 4.844%, 5/15/2052, 144A(b)      1,438,126  
  4,175,084      Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b)      4,228,869  
  7,014,621      Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b)      7,036,064  
  1,515,000      FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A      1,541,316  
  11,696,000      FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A      11,647,880  
  3,083,000      FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 9/17/2025, 144A      3,110,241  
  6,629,966      GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)      6,829,701  
  386,813      Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.597%, 8/25/2060, 144A(c)      387,148  
  2,667,278      Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A      2,671,951  
  2,523,761      Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A      2,486,508  
  2,305,000      Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.153%, 6/17/2037, 144A(c)      2,310,102  
  1,130,000      Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.232%, 7/17/2037, 144A(c)      1,133,338  
  3,046,734      Invitation Homes Trust, Series 2018-SFR4, Class D, 1-month LIBOR + 1.650%, 1.732%, 1/17/2038, 144A(c)      3,052,432  
  7,020,000      Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(a)(b)      7,157,978  
  895,000      Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(b)      915,050  
   ABS Home Equity — continued

 

10,123,130      Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(b)    10,181,902  
  326,289      Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(b)      326,858  
  3,371,400      Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(b)      3,399,441  
  6,899,176      Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(b)      6,912,802  
  7,301,347      Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b)      7,353,864  
  1,893,016      Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A      1,928,696  
  1,467,786      Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(a)(b)      1,560,424  
  2,744,944      Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(b)      2,982,241  
  3,742,621      Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(a)(b)      3,947,126  
  8,805,175      Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(a)(b)      9,061,049  
  5,168,898      OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(b)      5,208,237  
  1,332,000      Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A      1,339,417  
  2,290,000      Progress Residential Trust, Series 2018-SFR3, Class D, 4.427%, 10/17/2035, 144A      2,305,155  
  2,530,000      Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A      2,559,434  
  2,830,000      Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A      2,871,831  
  4,732,000      Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A      4,805,221  
  1,690,000      Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/2036, 144A      1,725,100  
  3,860,000      Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A      3,917,364  
  155,000      Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A      159,279  
  295,000      Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A      297,829  
  1,818,000      Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A      1,819,610  
  5,780,000      Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A      5,834,667  
  2,420,000      Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A      2,440,745  
  2,015,000      Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A      2,027,609  
  3,575,000      Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A      3,574,853  
  1,795,000      Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A      1,794,734  
  14,747,807      PRPM LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(b)      14,813,563  
  1,958,555      PRPM LLC, Series 2020-2, Class A1, 3.671%, 8/25/2025, 144A(b)      1,971,818  
  6,103,281      PRPM LLC, Series 2020-3, Class A1, 2.857%, 9/25/2025, 144A(b)      6,135,688  
  5,675,858      PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(b)      5,699,859  
  11,991,600      PRPM LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(b)      12,071,113  
  9,076,075      PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(b)      9,092,472  

 

See accompanying notes to financial statements.

 

27  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Home Equity — continued

 

$ 361,003      PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b)    $ 365,414  
  3,147,991      RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(b)      3,173,206  
  1,139,558      Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(a)(b)      1,157,992  
  1,515,038      Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(a)(b)      1,527,364  
  4,930,000      Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(b)      5,227,084  
  6,390,000      Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 1.592%, 2/25/2057, 144A(c)      6,481,210  
  216,175      Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.750%, 2/25/2055, 144A(b)      216,530  
  1,775,000      Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(b)      1,876,165  
  1,943,340      Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b)      2,027,497  
  17,610,000      Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(b)      18,633,816  
  7,783,391      Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)(b)      8,049,138  
  3,325,000      Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(b)      3,477,152  
  3,950,000      Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A      3,982,746  
  2,575,000      Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A      2,663,002  
  2,536,984      VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)      2,543,638  
  3,103,139      VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)      3,103,323  
  8,327,020      VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b)      8,317,493  
  7,447,527      VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)      7,454,843  
  5,498,946      VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)      5,501,861  
  10,751,699      VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b)      10,753,742  
     

 

 

  
        339,866,855  
     

 

 

  
   ABS Other — 3.2%

 

  5,313,430      Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A      5,354,274  
  8,192,188      CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A      8,265,984  
  7,875,546      CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A      7,937,122  
  5,743,273      CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A      5,693,069  
  940,000      Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A      952,041  
  945,000      Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A      960,449  
  36,369,563      FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(d)(e)(f)      20,003,260  
  2,685,770      Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A      2,640,077  
  1,975,000      HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A(a)      2,006,827  
  3,645,000      HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A      3,722,405  
   ABS Other — continued

 

1,980,000      HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A(a)    2,026,813  
  2,795,000      HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A      2,787,045  
  7,333,108      Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A      7,297,152  
  12,558,888      MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A      12,577,490  
  3,678,169      MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A      3,687,429  
  1,186,887      Marlette Funding Trust, Series 2019-4A, Class A, 2.390%, 12/17/2029, 144A      1,192,882  
  134,889      Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A      135,164  
  1,919,631      Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)      1,843,996  
  867,546      MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A      920,208  
  508,538      MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A      520,460  
  8,040,000      OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A      8,086,377  
  4,675,000      OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A      4,917,329  
  6,585,000      OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A(a)      6,703,576  
  14,599,366      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A      14,438,583  
  530,000      SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A      527,996  
  1,712,949      Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A      1,718,806  
  640,000      SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day ARS, 3.491%, 9/15/2032(c)      639,777  
  1,000,000      SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day ARS, 3.604%, 9/15/2032(c)      999,652  
  13,765,000      SoFi Consumer Loan Program Trust, Series 2019-1, Class C, 3.730%, 2/25/2028, 144A(a)      14,052,042  
  2,481,519      SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a)      2,515,834  
  6,720,000      SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a)      6,856,371  
  6,805,000      SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A(a)      6,973,904  
  12,755,000      SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A(a)      13,067,015  
  7,370,000      SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A(a)      7,571,901  
  6,268,267      Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A      6,200,035  

 

See accompanying notes to financial statements.

 

|  28

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Other — continued

 

$ 6,599,771      TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A    $ 6,496,831  
  13,286,531      Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A      13,201,800  
     

 

 

  
        205,491,976  
     

 

 

  
   ABS Student Loan — 1.0%

 

  745,000      College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A      760,478  
  4,911,169      Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A(a)      4,906,611  
  3,010,080      EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A(a)      3,016,468  
  5,430,046      ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A(a)      5,531,733  
  8,825,000      Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A(a)      8,806,232  
  1,702,496      Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A(a)      1,713,816  
  6,038,139      Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A(a)      6,027,096  
  560,000      Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A      563,430  
  534,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.583%, 6/15/2032(c)      533,885  
  411,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day ARS, 3.600%, 6/15/2032(c)      410,912  
  803,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.596%, 3/15/2033(c)      802,691  
  544,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.486%, 3/15/2033(c)      543,791  
  2,500,000      SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A      2,605,032  
  565,000      SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A      615,509  
  1,525,000      SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A      1,624,515  
  8,701,500      SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A(a)      9,122,314  
  14,643,272      SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A(a)      15,270,713  
  1,100,000      SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A(a)      1,130,683  
     

 

 

  
        63,985,909  
     

 

 

  
   ABS Whole Business — 1.2%

 

  9,812,157      Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A      10,376,120  
  3,595,000      Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A      3,727,837  
   ABS Whole Business — continued

 

7,169,303      DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A    7,918,638  
  2,889,923      Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A      3,118,342  
  5,178,225      Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A      5,632,304  
  4,063,563      Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A      4,395,312  
  15,470,000      Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A      16,006,654  
  199,000      Hardee’s Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/2050, 144A      209,854  
  1,663,665      Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A      1,681,932  
  17,316,300      Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A      18,330,981  
  2,484,875      Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A      2,642,540  
  2,024,925      Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A      2,100,070  
     

 

 

  
        76,140,584  
     

 

 

  
   Aerospace & Defense – 3.2%

 

  13,620,000      BAE Systems PLC, 3.400%, 4/15/2030, 144A      14,803,639  
  29,500,000      Boeing Co. (The), 2.196%, 2/04/2026      29,781,968  
  3,780,000      Boeing Co. (The), 2.250%, 6/15/2026      3,859,004  
  4,874,000      Boeing Co. (The), 2.950%, 2/01/2030      4,990,481  
  655,000      Boeing Co. (The), 3.100%, 5/01/2026      692,441  
  3,225,000      Boeing Co. (The), 3.200%, 3/01/2029      3,384,632  
  9,088,000      Boeing Co. (The), 3.375%, 6/15/2046      8,754,925  
  3,564,000      Boeing Co. (The), 3.625%, 3/01/2048      3,561,019  
  14,352,000      Boeing Co. (The), 3.750%, 2/01/2050      14,804,806  
  1,932,000      Boeing Co. (The), 3.825%, 3/01/2059      1,971,393  
  3,241,000      Boeing Co. (The), 3.850%, 11/01/2048      3,325,884  
  7,330,000      Boeing Co. (The), 3.900%, 5/01/2049      7,718,833  
  1,825,000      Boeing Co. (The), 3.950%, 8/01/2059      1,909,378  
  4,740,000      Boeing Co. (The), 5.150%, 5/01/2030      5,612,894  
  32,173,000      Boeing Co. (The), 5.805%, 5/01/2050      43,325,160  
  4,465,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      4,715,710  
  4,350,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      4,635,534  
  6,885,000      Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025      7,502,730  
  4,245,000      Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030      4,848,263  
  650,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039      839,462  
  1,335,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      1,308,300  
  29,075,000      Textron, Inc., 3.000%, 6/01/2030      30,582,222  
     

 

 

  
        202,928,678  
     

 

 

  
   Airlines — 0.9%

 

  1,715,855      American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025      1,675,533  
  6,470,547      American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025      6,354,853  
  12,350,471      American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030      12,001,128  
  1,415,848      American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027      1,360,007  

 

See accompanying notes to financial statements.

 

29  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Airlines — continued

 

$ 5,314,777      American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031    $ 5,250,642  
  3,106,502      American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027      3,012,391  
  18,996,916      American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029      18,070,247  
  6,139,662      British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A      6,096,193  
  2,513,448      United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031      2,559,860  
  1,030,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      1,066,235  
  1,540,000      United Airlines, Inc., 4.625%, 4/15/2029, 144A      1,593,900  
     

 

 

  
        59,040,989  
     

 

 

  
   Automotive — 1.9%

 

  25,580,000      American Honda Finance Corp., MTN, 0.550%, 7/12/2024      25,497,125  
  5,274,000      Cummins, Inc., 6.750%, 2/15/2027      6,687,340  
  9,966,000      General Motors Co., 5.200%, 4/01/2045      12,317,669  
  27,915,000      General Motors Co., 5.400%, 4/01/2048      35,556,281  
  205,000      General Motors Co., 5.950%, 4/01/2049      279,063  
  9,600,000      General Motors Co., 6.250%, 10/02/2043      13,252,733  
  24,360,000      Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A      24,424,678  
  2,895,000      Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A      3,124,016  
     

 

 

  
        121,138,905  
     

 

 

  
   Banking — 9.2%

 

  300,000      Ally Financial, Inc., 3.875%, 5/21/2024      323,263  
  39,613,000      Ally Financial, Inc., 4.625%, 3/30/2025      44,352,973  
  2,835,000      Ally Financial, Inc., 5.750%, 11/20/2025      3,255,027  
  1,468,000      Ally Financial, Inc., 8.000%, 11/01/2031      2,062,787  
  10,155,000      Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A      11,522,269  
  5,800,000      Banco Santander S.A., 2.749%, 12/03/2030      5,745,584  
  49,304,000      Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028      53,697,450  
  100,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      112,916  
  25,627,000      Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027      28,712,423  
  4,287,000      Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030      4,996,445  
  18,255,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035      19,018,789  
  3,335,000      BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A      3,372,852  
  22,500,000      BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A      24,862,500  
  460,000      Capital One Financial Corp., 4.200%, 10/29/2025      513,675  
  1,230,000      Citigroup, Inc., 4.125%, 7/25/2028      1,385,647  
  7,155,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A      7,778,773  
  15,615,000      Credit Suisse AG, 0.495%, 2/02/2024      15,558,474  
  14,200,000      Danske Bank A/S, 5.375%, 1/12/2024, 144A      15,745,733  
  3,390,000      Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A      3,607,957  
  2,640,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      2,847,029  
  6,155,000      Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032      6,258,699  
   Banking — continued

 

9,260,000      Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024    9,510,213  
  6,235,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031      6,636,955  
  23,870,000      Goldman Sachs Group, Inc. (The), Series FXD, 0.481%, 1/27/2023      23,883,162  
  70,245,000      JPMorgan Chase & Co., 4.125%, 12/15/2026      79,455,237  
  28,715,000      JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031      34,006,501  
  12,025,000      JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027      12,087,302  
  100,000      KeyBank NA, 6.950%, 2/01/2028      127,312  
  30,210,000      Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024      30,194,686  
  1,845,000      Morgan Stanley, GMTN, 4.350%, 9/08/2026      2,089,031  
  20,695,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      22,035,812  
  25,560,000      Nationwide Building Society, 0.550%, 1/22/2024, 144A      25,451,881  
  15,160,000      Santander Holdings USA, Inc., 3.244%, 10/05/2026      16,192,707  
  20,295,000      Societe Generale S.A., 4.250%, 4/14/2025, 144A      22,049,097  
  11,950,000      Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A      12,399,320  
  16,790,000      Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A      16,841,257  
  7,090,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A      8,291,437  
  3,865,000      Synchrony Financial, 4.375%, 3/19/2024      4,206,678  
     

 

 

  
        581,189,853  
     

 

 

  
   Brokerage — 0.8%

 

  19,498,000      Jefferies Group LLC, 6.250%, 1/15/2036      26,058,197  
  8,760,000      Jefferies Group LLC, 6.450%, 6/08/2027      10,908,988  
  13,940,000      Owl Rock Technology Finance Corp., 2.500%, 1/15/2027      13,762,429  
     

 

 

  
        50,729,614  
     

 

 

  
   Building Materials — 1.5%

 

  31,375,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      31,892,687  
  16,180,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      17,791,528  
  5,955,000      Cemex SAB de CV, 5.450%, 11/19/2029, 144A      6,547,523  
  3,285,000      Ferguson Finance PLC, 3.250%, 6/02/2030, 144A      3,545,353  
  23,975,000      Owens Corning, 7.000%, 12/01/2036      34,794,011  
  2,655,000      Vulcan Materials Co., 3.500%, 6/01/2030      2,926,609  
     

 

 

  
        97,497,711  
     

 

 

  
   Cable Satellite — 1.9%

 

  9,425,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A      9,605,866  
  2,826,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      2,942,470  
  315,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032      326,419  
  550,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A      601,205  
  13,450,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061      14,451,828  
  30,810,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050      35,386,792  

 

See accompanying notes to financial statements.

 

|  30

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Cable Satellite — continued

 

$ 6,695,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048    $ 8,521,000  
  240,000      CSC Holdings LLC, 5.750%, 1/15/2030, 144A      249,300  
  2,360,000      CSC Holdings LLC, 6.500%, 2/01/2029, 144A      2,613,936  
  470,000      Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A      482,408  
  2,416,000      Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A      2,531,364  
  865,000      Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A      893,112  
  200,000      Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A      217,940  
  17,891,000      Time Warner Cable LLC, 4.500%, 9/15/2042      19,886,681  
  15,815,000      Time Warner Cable LLC, 5.500%, 9/01/2041      19,602,370  
  800,000      Videotron Ltd., 5.000%, 7/15/2022      832,080  
  2,185,000      Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A      2,253,281  
  1,421,000      Ziggo BV, 5.500%, 1/15/2027, 144A      1,476,419  
     

 

 

  
        122,874,471  
     

 

 

  
   Chemicals — 1.3%

 

  4,330,000      Alpek SAB de CV, 3.250%, 2/25/2031, 144A      4,382,003  
  9,180,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      9,564,826  
  6,060,000      Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A      6,635,761  
  27,205,000      CF Industries, Inc., 4.500%, 12/01/2026, 144A      31,226,582  
  3,740,000      FMC Corp., 3.450%, 10/01/2029      4,065,936  
  2,075,000      FMC Corp., 4.500%, 10/01/2049      2,518,718  
  8,145,000      LYB International Finance III LLC, 4.200%, 10/15/2049      9,256,753  
  12,285,000      Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A      12,361,781  
     

 

 

  
        80,012,360  
     

 

 

  
   Consumer Cyclical Services — 1.3%

 

  16,000,000      Booking Holdings, Inc., 4.625%, 4/13/2030      19,092,414  
  5,765,000      Expedia Group, Inc., 2.950%, 3/15/2031      5,841,754  
  30,201,000      Expedia Group, Inc., 3.250%, 2/15/2030      31,546,358  
  4,928,000      Expedia Group, Inc., 3.800%, 2/15/2028      5,359,648  
  3,970,000      Expedia Group, Inc., 4.625%, 8/01/2027      4,486,677  
  8,430,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      9,072,450  
  5,015,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      5,511,385  
     

 

 

  
        80,910,686  
     

 

 

  
   Consumer Products — 0.3%

 

  7,458,000      Hasbro, Inc., 6.600%, 7/15/2028      9,323,073  
  4,580,000      Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A      4,534,612  
  6,970,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      7,144,250  
     

 

 

  
        21,001,935  
     

 

 

  
   Diversified Manufacturing — 0.4%

 

  13,920,000      Carrier Global Corp., 2.722%, 2/15/2030      14,431,092  
  6,010,000      General Electric Co., 3.625%, 5/01/2030      6,701,626  
  5,305,000      General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 0.484%, 5/13/2024(c)      5,260,503  
     

 

 

  
        26,393,221  
     

 

 

  
   Electric — 2.5%

 

  7,435,000      AES Corp. (The), 2.450%, 1/15/2031, 144A      7,363,252  
  3,695,000      AES Corp. (The), 3.950%, 7/15/2030, 144A      4,040,483  
  16,043,935      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      18,185,189  
  14,855,000      Calpine Corp., 3.750%, 3/01/2031, 144A      14,147,159  
  13,025,000      Enel Finance International NV, 6.000%, 10/07/2039, 144A      18,216,273  
   Electric — continued

 

9,007,000      Enel Finance International NV, 6.800%, 9/15/2037, 144A    13,139,907  
  9,680,000      FirstEnergy Corp., Series C, 3.400%, 3/01/2050      9,462,200  
  2,355,000      IPALCO Enterprises, Inc., 4.250%, 5/01/2030      2,644,805  
  9,641,000      NRG Energy, Inc., 4.450%, 6/15/2029, 144A      10,641,535  
  1,435,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      1,526,481  
  4,437,000      NRG Energy, Inc., 5.750%, 1/15/2028      4,725,405  
  6,185,000      Pacific Gas & Electric Co., 3.250%, 6/01/2031      6,081,860  
  8,915,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      7,945,590  
  10,400,000      Pacific Gas & Electric Co., 4.300%, 3/15/2045      9,979,879  
  1,250,000      Pacific Gas & Electric Co., 4.950%, 7/01/2050      1,285,708  
  2,970,000      Southern California Edison Co., 3.650%, 2/01/2050      2,970,252  
  850,000      Southern California Edison Co., 4.000%, 4/01/2047      894,116  
  1,060,000      Southern California Edison Co., Series C, 4.125%, 3/01/2048      1,129,626  
  24,465,000      Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A      26,138,682  
     

 

 

  
        160,518,402  
     

 

 

  
   Finance Companies — 3.4%

 

  860,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027      918,723  
  23,900,000      Air Lease Corp., 3.125%, 12/01/2030      24,280,139  
  2,235,000      Air Lease Corp., 3.250%, 10/01/2029      2,329,313  
  10,270,000      Air Lease Corp., 3.375%, 7/01/2025      11,031,334  
  345,000      Air Lease Corp., 4.625%, 10/01/2028      388,680  
  8,426,000      Air Lease Corp., MTN, 3.000%, 2/01/2030      8,546,703  
  12,430,000      Aircastle Ltd., 4.125%, 5/01/2024      13,253,436  
  8,070,000      Aircastle Ltd., 4.400%, 9/25/2023      8,638,795  
  8,160,000      Aircastle Ltd., 5.000%, 4/01/2023      8,728,384  
  6,700,000      Antares Holdings LP, 6.000%, 8/15/2023, 144A      7,257,162  
  24,045,000      Ares Capital Corp., 2.875%, 6/15/2028      24,406,156  
  3,865,000      Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A      3,866,044  
  7,510,000      Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A      8,488,776  
  14,275,000      GE Capital Funding LLC, 4.400%, 5/15/2030      16,635,121  
  7,675,000      GE Capital Funding LLC, 4.550%, 5/15/2032      9,161,785  
  3,460,000      GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035      4,146,746  
  3,425,000      Navient Corp., 5.000%, 3/15/2027      3,544,019  
  50,000      Navient Corp., 5.875%, 10/25/2024      53,938  
  35,000      Navient Corp., 6.500%, 6/15/2022      36,495  
  145,000      Navient Corp., 6.750%, 6/15/2026      161,856  
  370,000      Navient Corp., 7.250%, 9/25/2023      408,387  
  20,000      Navient Corp., MTN, 6.125%, 3/25/2024      21,585  
  165,000      Navient Corp., MTN, 7.250%, 1/25/2022      171,138  
  7,855,000      Oaktree Specialty Lending Corp., 2.700%, 1/15/2027      7,858,239  
  12,150,000      Owl Rock Capital Corp., 2.625%, 1/15/2027      12,181,289  
  12,290,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      12,197,784  
  7,805,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      8,195,250  
  6,810,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      6,724,875  
  12,235,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      12,326,640  
     

 

 

  
        215,958,792  
     

 

 

  
   Financial Other — 0.1%

 

  1,860,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A      1,850,700  
  2,415,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024      2,523,675  

 

See accompanying notes to financial statements.

 

31  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Financial Other — continued

 

$ 3,182,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027    $ 3,285,399  
     

 

 

  
        7,659,774  
     

 

 

  
   Food & Beverage — 1.8%

 

  2,040,000      Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046      2,582,130  
  14,470,000      Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050      17,609,850  
  6,002,000      Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048      7,327,502  
  15,285,000      Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050      16,076,152  
  4,910,000      JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A      5,394,862  
  3,625,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A      3,709,281  
  10,660,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A      11,921,931  
  26,540,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      30,078,313  
  6,470,000      NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A      6,974,725  
  9,535,000      PepsiCo, Inc., 1.700%, 10/06/2021      9,561,050  
  1,920,000      Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A      1,935,795  
     

 

 

  
        113,171,591  
     

 

 

  
   Gaming — 0.2%

 

  14,625,000      Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A      14,558,603  
     

 

 

  
   Government Owned-No Guarantee — 0.7%

 

  4,000,000      Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A      3,452,640  
  8,080,000      Equinor ASA, 3.700%, 4/06/2050      9,285,653  
  11,710,000      Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A      11,376,733  
  20,145,000      Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A      19,540,650  
     

 

 

  
        43,655,676  
     

 

 

  
   Health Insurance — 0.4%

 

  19,320,000      Centene Corp., 2.500%, 3/01/2031      19,054,350  
  2,520,000      Centene Corp., 3.000%, 10/15/2030      2,588,746  
  565,000      Centene Corp., 4.625%, 12/15/2029      621,370  
     

 

 

  
        22,264,466  
     

 

 

  
   Healthcare — 1.6%

 

  19,420,000      Cigna Corp., 4.375%, 10/15/2028      22,586,086  
  1,261,000      Cigna Corp., 7.875%, 5/15/2027      1,691,325  
  7,210,000      CVS Health Corp., 3.250%, 8/15/2029      7,823,146  
  685,000      Encompass Health Corp., 4.750%, 2/01/2030      727,813  
  2,671,000      HCA, Inc., 3.500%, 9/01/2030      2,845,603  
  8,810,000      HCA, Inc., 4.125%, 6/15/2029      9,920,732  
  16,050,000      HCA, Inc., 4.500%, 2/15/2027      18,137,705  
  26,680,000      HCA, Inc., 5.250%, 6/15/2049      34,008,780  
     

 

 

  
        97,741,190  
     

 

 

  
   Home Construction — 0.4%

 

  2,450,000      Lennar Corp., 4.750%, 11/29/2027      2,831,876  
  560,000      Lennar Corp., 4.875%, 12/15/2023      609,554  
  55,000      Lennar Corp., 5.000%, 6/15/2027      63,824  
  12,384,000      MDC Holdings, Inc., 6.000%, 1/15/2043      15,959,261  
  6,130,000      Meritage Homes Corp., 3.875%, 4/15/2029, 144A      6,344,550  
     

 

 

  
        25,809,065  
     

 

 

  
   Independent Energy — 1.7%

 

  3,195,000      Aker BP ASA, 3.000%, 1/15/2025, 144A      3,353,560  
  9,925,000      Aker BP ASA, 3.750%, 1/15/2030, 144A      10,709,920  
   Independent Energy — continued

 

16,455,000      Aker BP ASA, 4.000%, 1/15/2031, 144A    18,073,920  
  9,310,000      Continental Resources, Inc., 3.800%, 6/01/2024      9,845,325  
  4,685,000      Diamondback Energy, Inc., 3.125%, 3/24/2031      4,855,328  
  6,910,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      7,098,090  
  9,035,000      Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A      9,301,984  
  925,000      EQT Corp., 3.125%, 5/15/2026, 144A      947,857  
  1,970,000      EQT Corp., 3.625%, 5/15/2031, 144A      2,053,725  
  10,475,000      Hess Corp., 4.300%, 4/01/2027      11,658,306  
  4,675,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      5,132,308  
  10,085,000      Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A      10,101,140  
  7,360,000      Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A      7,434,601  
  6,090,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      6,729,450  
     

 

 

  
        107,295,514  
     

 

 

  
   Leisure — 0.1%

 

  1,985,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      2,079,288  
  2,750,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      2,880,075  
     

 

 

  
        4,959,363  
     

 

 

  
   Life Insurance — 3.6%

 

  11,800,000      Athene Global Funding, 1.608%, 6/29/2026, 144A      11,801,306  
  21,550,000      Athene Global Funding, 2.550%, 11/19/2030, 144A      21,668,997  
  7,385,000      Athene Holding Ltd., 3.500%, 1/15/2031      7,873,504  
  8,255,000      CNO Financial Group, Inc., 5.250%, 5/30/2029      9,832,118  
  19,600,000      Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A      22,567,444  
  2,565,000      Massachusetts Mutual Life Insurance Co., 3.375%, 4/15/2050, 144A      2,677,440  
  30,030,000      Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A      30,530,697  
  9,063,000      Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A      12,297,498  
  26,914,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(f)      43,144,219  
  23,335,000      New York Life Global Funding, 0.850%, 1/15/2026, 144A(a)      23,061,719  
  5,760,000      New York Life Insurance Co., 3.750%, 5/15/2050, 144A      6,432,072  
  6,440,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(f)      8,508,013  
  2,872,000      Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A      3,844,028  
  14,489,000      Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A      21,291,231  
     

 

 

  
        225,530,286  
     

 

 

  
   Local Authorities — 0.2%

 

  14,455,000      Province of Quebec Canada, 0.600%, 7/23/2025(a)      14,313,862  
     

 

 

  
   Lodging — 0.2%

 

  1,795,000      Marriott International, Inc., Series FF, 4.625%, 6/15/2030      2,067,305  
  3,525,000      Marriott International, Inc., Series HH, 2.850%, 4/15/2031      3,579,605  
  975,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      988,406  
  1,610,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      1,659,427  
  205,000      Travel & Leisure Co., 6.000%, 4/01/2027      225,207  

 

See accompanying notes to financial statements.

 

|  32

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Lodging — continued

 

$ 235,000      Travel & Leisure Co., 6.625%, 7/31/2026, 144A    $ 266,255  
     

 

 

  
        8,786,205  
     

 

 

  
   Media Entertainment — 1.0%

 

  2,610,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      2,685,037  
  3,925,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      4,103,195  
  1,530,000      iHeartCommunications, Inc., 6.375%, 5/01/2026      1,627,537  
  4,640,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      4,970,600  
  2,080,000      Netflix, Inc., 4.875%, 4/15/2028      2,418,000  
  8,410,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      10,002,013  
  1,745,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      2,119,471  
  2,375,000      Netflix, Inc., 5.875%, 11/15/2028      2,915,146  
  2,795,000      Netflix, Inc., 6.375%, 5/15/2029      3,569,914  
  2,700,000      ViacomCBS, Inc., 4.200%, 6/01/2029      3,114,471  
  3,010,000      ViacomCBS, Inc., 4.200%, 5/19/2032      3,473,916  
  18,215,000      ViacomCBS, Inc., 4.950%, 1/15/2031      21,954,878  
     

 

 

  
        62,954,178  
     

 

 

  
   Metals & Mining — 3.1%

 

  550,000      Anglo American Capital PLC, 2.625%, 9/10/2030, 144A      552,080  
  1,325,000      Anglo American Capital PLC, 2.875%, 3/17/2031, 144A      1,354,507  
  6,260,000      Anglo American Capital PLC, 4.000%, 9/11/2027, 144A      6,940,303  
  34,334,000      Anglo American Capital PLC, 4.500%, 3/15/2028, 144A      39,237,747  
  8,785,000      Anglo American Capital PLC, 4.750%, 4/10/2027, 144A      10,097,775  
  3,130,000      Antofagasta PLC, 2.375%, 10/14/2030, 144A      3,015,755  
  11,405,000      ArcelorMittal S.A., 7.000%, 3/01/2041      15,840,883  
  5,890,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      6,418,333  
  6,325,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      6,766,675  
  2,930,000      Freeport-McMoRan, Inc., 4.375%, 8/01/2028      3,094,812  
  1,975,000      Freeport-McMoRan, Inc., 4.625%, 8/01/2030      2,162,625  
  6,175,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      7,458,196  
  1,770,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043      2,163,506  
  7,688,000      Glencore Funding LLC, 3.875%, 10/27/2027, 144A      8,469,331  
  39,092,000      Glencore Funding LLC, 4.000%, 3/27/2027, 144A      43,327,737  
  11,700,000      Glencore Funding LLC, 4.125%, 3/12/2024, 144A      12,613,155  
  4,280,000      Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A      4,599,409  
  1,855,000      Reliance Steel & Aluminum Co., 2.150%, 8/15/2030      1,827,542  
  395,000      Steel Dynamics, Inc., 3.250%, 1/15/2031      423,820  
  14,125,000      Steel Dynamics, Inc., 3.450%, 4/15/2030      15,365,849  
  2,010,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      1,989,900  
     

 

 

  
        193,719,940  
     

 

 

  
   Midstream — 2.1%

 

  22,495,000      Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029      24,570,886  
  650,000      DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A      760,500  
  7,000,000      Energy Transfer LP, 4.950%, 6/15/2028      8,087,651  
  6,405,000      Energy Transfer LP, 5.250%, 4/15/2029      7,565,392  
  15,380,000      Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a)      15,266,359  
  1,435,000      Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A      1,508,231  
   Midstream — continued

 

14,660,000      Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023    15,467,310  
  85,000      Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042      101,755  
  375,000      Kinder Morgan, Inc., 5.050%, 2/15/2046      454,988  
  14,040,000      MPLX LP, 4.250%, 12/01/2027      15,909,848  
  85,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      121,593  
  225,000      Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023      230,816  
  3,710,000      Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030      3,969,916  
  7,365,000      Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043      7,440,143  
  7,825,000      Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044      8,289,818  
  620,000      Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045      673,804  
  12,445,000      Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030      14,362,177  
  8,405,000      Williams Cos., Inc. (The), 3.350%, 8/15/2022      8,606,651  
     

 

 

  
        133,387,838  
     

 

 

  
   Mortgage Related — 0.0%

 

  1,011      FNMA, 6.000%, 7/01/2029      1,151  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities – 1.1%

 

  110,999      Barclays Commercial Mortgage Securities Trust, Series 2013-TYSN, Class A2, 3.756%, 9/05/2032, 144A      111,126  
  785,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      783,154  
  1,410,000      Commercial Mortgage Trust, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A      1,421,149  
  405,000      Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.718%, 12/10/2044(b)      385,906  
  3,205,000      Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.673%, 1/15/2034, 144A(c)      3,160,290  
  12,790,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A      12,268,542  
  5,095,000      DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)      5,313,133  
  9,406,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)      7,999,026  
  2,390,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)      2,493,899  
  6,079,000      GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)      5,958,227  
  6,478,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.566%, 12/15/2047, 144A(b)      6,609,616  
  340,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.566%, 12/15/2047, 144A(b)      334,612  
  1,405,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.921%, 10/15/2046(b)      1,412,251  
  5,050,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.296%, 8/15/2046(b)      5,285,698  
  3,456,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.420%, 6/15/2044, 144A(b)(d)(f)      2,625,890  

 

See accompanying notes to financial statements.

 

33  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

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

 

$ 945,000      MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A    $ 939,694  
  965,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC, 4.972%, 5/10/2063, 144A(b)      907,213  
  6,706,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.044%, 5/10/2063, 144A(b)(d)(f)      1,005,900  
  879,434      UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)      879,800  
  1,000,000      Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(b)      1,003,992  
  1,991,555      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.520%, 3/15/2044, 144A(b)      970,285  
  2,585,000      WFRBS Commercial Mortgage Trust, Series 2012-C6, Class AS, 3.835%, 4/15/2045(a)      2,618,823  
  1,746,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.957%, 6/15/2045(b)      1,345,970  
  865,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(d)(f)      352,861  
  3,620,000      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047      3,799,325  
  1,290,000      WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b)      1,308,745  
     

 

 

  
        71,295,127  
     

 

 

  
   Paper — 0.5%

 

  10,460,000      Suzano Austria GmbH, 3.750%, 1/15/2031      10,969,925  
  16,595,000      Weyerhaeuser Co., 4.000%, 4/15/2030      18,883,296  
  2,745,000      WRKCo, Inc., 3.000%, 6/15/2033      2,873,543  
     

 

 

  
        32,726,764  
     

 

 

  
   Pharmaceuticals — 0.7%

 

  2,459,000      Mylan, Inc., 5.200%, 4/15/2048      3,025,935  
  980,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      1,078,000  
  9,335,000      Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023      9,296,353  
  15,105,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      14,368,631  
  6,270,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      5,494,088  
  4,291,000      Utah Acquisition Sub, Inc., 5.250%, 6/15/2046      5,225,955  
  5,450,000      Viatris, Inc., 4.000%, 6/22/2050, 144A      5,763,533  
     

 

 

  
        44,252,495  
     

 

 

  
   Property & Casualty Insurance — 0.5%

 

  5,653,000      American International Group, Inc., 4.200%, 4/01/2028      6,498,573  
  16,635,000      Fidelity National Financial, Inc., 3.400%, 6/15/2030      17,907,113  
  2,740,000      Fidelity National Financial, Inc., 5.500%, 9/01/2022      2,892,876  
  3,159,000      Sirius International Group Ltd., 4.600%, 11/01/2026, 144A      3,213,967  
  1,605,000      Travelers Cos., Inc. (The), 2.550%, 4/27/2050      1,548,634  
     

 

 

  
        32,061,163  
     

 

 

  
   REITs – Apartments — 0.0%

 

  2,185,000      American Homes 4 Rent, 2.375%, 7/15/2031      2,152,509  
     

 

 

  
   REITs – Health Care — 0.1%

 

5,972,000      Welltower, Inc., 6.500%, 3/15/2041    8,451,103  
     

 

 

  
   REITs – Office Property — 0.0%

 

  2,085,000      Corporate Office Properties LP, 2.750%, 4/15/2031      2,100,733  
     

 

 

  
   REITs – Regional Malls — 0.2%

 

  6,815,000      Simon Property Group LP, 2.650%, 7/15/2030      7,058,612  
  4,945,000      Simon Property Group LP, 3.800%, 7/15/2050      5,463,724  
     

 

 

  
        12,522,336  
     

 

 

  
   REITs – Shopping Centers — 0.1%

 

  1,600,000      Brixmor Operating Partnership LP, 2.250%, 4/01/2028      1,598,088  
  2,280,000      Brixmor Operating Partnership LP, 4.050%, 7/01/2030      2,550,996  
     

 

 

  
        4,149,084  
     

 

 

  
   Restaurants — 0.1%

 

  2,375,000      Yum! Brands, Inc., 4.750%, 1/15/2030, 144A      2,570,961  
  1,890,000      Yum! Brands, Inc., 7.750%, 4/01/2025, 144A      2,055,375  
     

 

 

  
        4,626,336  
     

 

 

  
   Retailers — 1.4%

 

  21,520,000      7-Eleven, Inc., 0.800%, 2/10/2024, 144A      21,466,717  
  1,960,000      AutoNation, Inc., 4.750%, 6/01/2030      2,318,099  
  9,720,000      AutoZone, Inc., 3.625%, 4/15/2025      10,637,761  
  14,585,000      AutoZone, Inc., 4.000%, 4/15/2030      16,576,816  
  359,974      CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A      426,926  
  372,480      CVS Pass-Through Trust, 6.036%, 12/10/2028      429,830  
  10,884,482      CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A      12,414,078  
  1,141,617      CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A      1,256,292  
  5,620,000      Dollar General Corp., 3.500%, 4/03/2030      6,173,985  
  4,665,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      4,831,774  
  8,064,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      9,531,245  
  3,755,000      PVH Corp., 7.750%, 11/15/2023      4,312,467  
     

 

 

  
        90,375,990  
     

 

 

  
   Sovereigns — 0.8%

 

  30,040,000      Mexico Government International Bond, 3.771%, 5/24/2061      27,991,572  
  23,545,000      Mexico Government International Bond, 4.280%, 8/14/2041      24,713,774  
     

 

 

  
        52,705,346  
     

 

 

  
   Supermarkets — 0.0%

 

  325,000      Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040      441,224  
     

 

 

  
   Technology – 4.1%

 

  27,985,000      Avnet, Inc., 4.625%, 4/15/2026      31,455,302  
  17,895,000      Broadcom, Inc., 4.300%, 11/15/2032      20,377,493  
  9,915,000      Broadcom, Inc., 5.000%, 4/15/2030      11,697,436  
  1,620,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      1,658,475  
  3,900,000      CommScope, Inc., 6.000%, 3/01/2026, 144A      4,117,230  
  3,950,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      4,280,813  
  10,115,000      Equinix, Inc., 2.150%, 7/15/2030      10,050,428  
  17,195,000      Equinix, Inc., 3.200%, 11/18/2029      18,443,434  
  4,402,000      IHS Markit Ltd., 4.250%, 5/01/2029      5,093,994  
  5,320,000      Jabil, Inc., 1.700%, 4/15/2026      5,359,410  
  4,610,000      Jabil, Inc., 3.000%, 1/15/2031      4,745,290  
  7,440,000      Jabil, Inc., 4.700%, 9/15/2022      7,804,174  
  16,735,000      KLA Corp., 5.650%, 11/01/2034      21,346,154  

 

See accompanying notes to financial statements.

 

|  34

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Technology — continued

 

$ 7,480,000      Marvell Technology, Inc., 2.450%, 4/15/2028, 144A    $ 7,623,690  
  6,390,000      Marvell Technology, Inc., 2.950%, 4/15/2031, 144A      6,622,411  
  11,425,000      Microchip Technology, Inc., 0.983%, 9/01/2024, 144A      11,369,608  
  25,479,000      Micron Technology, Inc., 4.663%, 2/15/2030      29,615,528  
  10,622,000      Micron Technology, Inc., 5.327%, 2/06/2029      12,829,978  
  3,980,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A      4,257,514  
  2,225,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A      2,429,495  
  1,055,000      Open Text Corp., 3.875%, 2/15/2028, 144A      1,072,017  
  1,015,000      Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A      1,035,097  
  25,480,000      Oracle Corp., 3.600%, 4/01/2050      26,164,199  
  1,770,000      Skyworks Solutions, Inc., 1.800%, 6/01/2026      1,792,299  
  970,000      SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A      1,027,909  
  9,135,000      Verisk Analytics, Inc., 4.125%, 3/15/2029      10,361,505  
     

 

 

  
        262,630,883  
     

 

 

  
   Transportation Services — 0.2%

 

  9,670,000      Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A      10,074,008  
     

 

 

  
   Treasuries — 11.1%

 

  206,825,000      U.S. Treasury Note, 0.125%, 4/30/2022(a)      206,889,633  
  173,275,000      U.S. Treasury Note, 0.125%, 6/30/2022(a)      173,315,612  
  119,815,000      U.S. Treasury Note, 0.125%, 12/31/2022(a)(g)      119,712,033  
  79,165,000      U.S. Treasury Note, 0.125%, 4/30/2023      79,016,566  
  123,030,000      U.S. Treasury Note, 0.375%, 3/31/2022(a)      123,299,128  
     

 

 

  
        702,232,972  
     

 

 

  
   Wireless — 2.1%

 

  21,805,000      American Tower Corp., 2.100%, 6/15/2030      21,442,853  
  6,830,000      Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A      6,775,531  
  2,295,000      Crown Castle International Corp., 2.250%, 1/15/2031      2,265,230  
  3,725,000      Crown Castle International Corp., 3.300%, 7/01/2030      3,990,568  
  22,660,000      Crown Castle International Corp., 3.650%, 9/01/2027      24,984,762  
  6,615,000      Crown Castle International Corp., 4.000%, 3/01/2027      7,402,757  
  730,000      Crown Castle International Corp., 4.150%, 7/01/2050      833,156  
  610,000      Sprint Capital Corp., 6.875%, 11/15/2028      782,325  
  1,545,000      Sprint Corp., 7.250%, 9/15/2021      1,567,835  
  15,320,000      T-Mobile USA, Inc., 3.375%, 4/15/2029      15,810,142  
  7,565,000      T-Mobile USA, Inc., 3.500%, 4/15/2031      7,826,371  
  36,385,000      T-Mobile USA, Inc., 3.875%, 4/15/2030      40,671,881  
  980,000      T-Mobile USA, Inc., 4.500%, 2/01/2026      998,737  
     

 

 

  
        135,352,148  
     

 

 

  
   Wirelines — 1.3%

 

  9,487,000      AT&T, Inc., 3.500%, 9/15/2053, 144A      9,531,309  
  364,000      AT&T, Inc., 3.550%, 9/15/2055, 144A      365,220  
  20,495,000      AT&T, Inc., 3.650%, 6/01/2051      21,276,917  
  515,000      AT&T, Inc., 3.650%, 9/15/2059, 144A      522,261  
  910,000      AT&T, Inc., 3.800%, 12/01/2057, 144A      948,113  
  857,000      Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A      889,498  
  20,585,000      Telefonica Emisiones S.A., 5.520%, 3/01/2049      26,751,237  
  3,225,000      Verizon Communications, Inc., 2.875%, 11/20/2050      3,063,483  
   Wirelines — continued

 

11,880,000      Verizon Communications, Inc., 3.000%, 11/20/2060    11,088,662  
  9,275,000      Verizon Communications, Inc., 3.550%, 3/22/2051      9,909,102  
     

 

 

  
        84,345,802  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $5,301,807,962)		      5,647,766,158  
     

 

 

  
     
  Convertible Bonds — 1.5%  
   Airlines — 0.1%

 

  5,165,000      Southwest Airlines Co., 1.250%, 5/01/2025      7,821,747  
     

 

 

  
   Cable Satellite – 0.3%

 

  9,050,000      DISH Network Corp., 2.375%, 3/15/2024      8,772,843  
  13,110,000      DISH Network Corp., 3.375%, 8/15/2026      13,378,755  
     

 

 

  
        22,151,598  
     

 

 

  
   Consumer Cyclical Services — 0.2%

 

  4,300,000      Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(h)      4,644,000  
  6,370,000      Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(i)      6,158,994  
  3,845,000      Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(h)      3,898,830  
     

 

 

  
        14,701,824  
     

 

 

  
   Healthcare — 0.2%

 

  9,475,000      Teladoc Health, Inc., 1.250%, 6/01/2027      10,606,315  
     

 

 

  
   Media Entertainment – 0.1%

 

  4,520,000      Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(h)      4,310,950  
     

 

 

  
   Pharmaceuticals – 0.4%

 

  5,120,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      5,305,856  
  13,985,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027      14,011,951  
  1,410,000      Livongo Health, Inc., 0.875%, 6/01/2025      2,239,884  
  1,860,000      Neurocrine Biosciences, Inc., 2.250%, 5/15/2024      2,486,634  
     

 

 

  
        24,044,325  
     

 

 

  
   Technology — 0.2%

 

  8,000,000      Palo Alto Networks, Inc., 0.375%, 6/01/2025      10,880,000  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $92,498,179)		      94,516,759  
     

 

 

  
     
  Municipals – 0.1%  
   Virginia — 0.1%

 

  7,335,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046
(Identified Cost $7,075,507)		      7,705,274  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $5,401,381,648)		      5,749,988,191  
     

 

 

  
     
  Senior Loans – 0.1%  
   Airlines — 0.1%

 

  6,748,354     

United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)

(Identified Cost $6,715,378)

      6,830,819  
     

 

 

  
     
  Collateralized Loan Obligations – 2.6%  
  1,585,000      522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 3.100%, 4/23/2034, 144A(c)      1,572,824  

 

See accompanying notes to financial statements.

 

35  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Collateralized Loan Obligations — continued  
$ 14,785,000      Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 1.838%, 7/20/2031, 144A(a)(c)    $ 14,798,284  
  4,650,000      Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 1.854%, 7/15/2031, 144A(c)      4,642,753  
  4,075,000      Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 1.684%, 10/15/2030, 144A(c)      4,071,779  
  1,651,667      Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 3.173%, 1/23/2031, 144A(c)      1,651,754  
  2,240,000      Battalion CLO XIV Ltd., Series 2019-14A, Class B1, 3-month LIBOR + 2.100%, 2.288%, 4/20/2032, 144A(c)      2,241,613  
  2,525,000      Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 1.884%, 7/15/2031, 144A(c)      2,525,258  
  6,500,000      CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 1.990%, 10/17/2031, 144A(c)      6,500,733  
  3,335,000      Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 1.584%, 1/15/2031, 144A(c)      3,302,600  
  1,030,000      Dryden 86 CLO Ltd., Series 2020-86A, Class B, 3-month LIBOR + 2.200%, 2.390%, 7/17/2030, 144A(c)      1,030,478  
  1,250,000      Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 1.826%, 10/25/2031, 144A(c)      1,250,325  
  4,465,000      Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 1.850%, 11/22/2031, 144A(c)      4,467,333  
  9,755,000      Gallatin CLO VIII Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.650%, 1.834%, 7/15/2027, 144A(a)(c)      9,768,918  
  5,405,000      Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 1.738%, 4/20/2030, 144A(c)      5,391,251  
  7,965,694      Halcyon Loan Advisors Funding Ltd., Series 2014-3A, Class B1R, 3-month LIBOR + 1.700%, 1.884%, 10/22/2025, 144A(a)(c)      7,971,765  
  13,735,000      Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 1.668%, 4/20/2031, 144A(c)      13,477,073  
  3,545,000      Invesco CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.050%, 3.215%, 4/15/2034, 144A(c)      3,544,807  
  1,000,000      Jamestown CLO IX Ltd., Series 2016-9A, Class A2R, 3-month LIBOR + 1.850%, 2.038%, 10/20/2028, 144A(c)      1,000,437  
  4,475,000      Madison Park Funding XII Ltd., Series 2014-12A, Class CR, 3-month LIBOR + 2.350%, 2.538%, 7/20/2026, 144A(a)(c)      4,475,673  
  13,180,000      Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 1.884%, 10/22/2030, 144A(c)      13,179,953  
  2,770,000      Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, 3-month LIBOR + 1.900%, 2.088%, 4/20/2026, 144A(c)      2,770,000  
  2,105,000      Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.100%, 4/15/2034, 144A(c)      2,104,979  
  Collateralized Loan Obligations — continued  
545,455      Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 1.886%, 10/21/2030, 144A(c)    545,489  
  1,750,000      OCP CLO Ltd., Series 2015-9A, Class BR, 3-month LIBOR + 1.750%, 1.934%, 7/15/2027, 144A(c)      1,743,613  
  14,755,000      OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 1.770%, 1/17/2032, 144A(a)(c)      14,712,721  
  2,000,000      Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 1.784%, 7/15/2030, 144A(c)      1,999,195  
  1,986,282      Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 1.976%, 10/24/2030, 144A(c)      1,986,554  
  7,170,000      Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 1.654%, 4/16/2031, 144A(c)      7,103,751  
  3,605,000      OZLM XXIV Ltd., Series 2019-24A, Class A2A, 3-month LIBOR + 2.250%, 2.438%, 7/20/2032, 144A(c)      3,606,727  
  1,730,000      Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 1.588%, 4/20/2034, 144A(c)      1,705,713  
  1,015,000      Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 2.026%, 10/25/2031, 144A(c)      1,014,952  
  6,680,000      Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 3.434%, 4/20/2034, 144A(c)      6,679,908  
  3,335,000      Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 1.890%, 10/18/2031, 144A(c)      3,335,463  
  1,610,000      Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 1.940%, 10/18/2031, 144A(c)      1,610,298  
  6,235,000      Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 1.834%, 10/15/2031, 144A(c)      6,235,519  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $161,088,143)		      164,020,493  
     

 

 

  
     
Shares                
  Preferred Stocks – 1.4%  
  Convertible Preferred Stocks — 1.4%  
   Banking — 0.8%

 

  17,832      Bank of America Corp., Series L, 7.250%      25,250,112  
  18,269      Wells Fargo & Co., Class A, Series L, 7.500%      27,882,330  
     

 

 

  
        53,132,442  
     

 

 

  
   Food & Beverage — 0.2%

 

  138,542      Bunge Ltd., 4.875%      16,079,184  
     

 

 

  
   Wireless — 0.4%

 

  18,282      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(f)      23,036,783  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $87,077,725)		      92,248,409  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $87,077,725)		      92,248,409  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  36

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 4.9%  
$ 311,131,660      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $311,131,660 on 7/01/2021 collateralized by $279,099,800 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $317,354,377 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $311,131,660)		    $ 311,131,660  
     

 

 

  
     
   Total Investments – 99.6%
(Identified Cost $5,967,394,554)		      6,324,219,572  
   Other assets less liabilities – 0.4%      22,985,884  
     

 

 

  
   Net Assets – 100.0%    $ 6,347,205,456  
     

 

 

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

 

  (a)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (b)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.

 

  (c)      Variable rate security. Rate as of June 30, 2021 is disclosed.

 

  (d)      Illiquid security.
  (e)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (f)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $98,676,926 or 1.6% of net assets. See Note 2 of Notes to Financial Statements.
  (g)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
  (h)      Interest rate represents annualized yield at time of purchase; not a coupon rate.
  (i)      Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $2,298,534,218 or 36.2% of net assets.
  ABS      Asset-Backed Securities
  ARS      Auction Rate Security
  FNMA      Federal National Mortgage Association
  GMTN      Global Medium Term Note
  LIBOR      London Interbank Offered Rate
  MTN      Medium Term Note
  REITs      Real Estate Investment Trusts
  SLM      Sallie Mae

 

At June 30, 2021, open short futures contracts were as follows:

 

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

Ultra 10 Year U.S. Treasury Note

      9/21/2021        4,214      $ 611,198,767      $ 620,313,969      $ (9,115,202 )   

Ultra Long U.S. Treasury Bond

      9/21/2021        751        139,377,448        144,708,313        (5,330,865 )   
              

 

 

    

 

 

  

Total

                $ (14,446,067 )   
              

 

 

    

 

 

  

Industry Summary at June 30, 2021 (Unaudited)

 

Treasuries

      11.1 % 

Banking

      10.0  

ABS Car Loan

      7.6  

ABS Home Equity

      5.4  

Technology

      4.3  

Life Insurance

      3.6  

Finance Companies

      3.4  

ABS Other

      3.2  

Aerospace & Defense

      3.2  

Metals & Mining

      3.1  

Electric

      2.5  

Wireless

      2.5  

Cable Satellite

      2.2  

Midstream

      2.1  

Food & Beverage

      2.0  

Other Investments, less than 2% each

      25.9  

Short-Term Investments

      4.9  

Collateralized Loan Obligations

      2.6  
  

 

 

  

Total Investments

      99.6  

Other assets less liabilities (including futures contracts)

      0.4  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

37  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 79.6% of Net Assets  
  Non-Convertible Bonds — 76.1%  
   ABS Car Loan — 5.1%

 

$ 2,590,000      American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A(a)    $ 2,660,557  
  2,660,000      American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A(a)      2,699,504  
  2,805,000      AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024(a)      2,938,323  
  3,845,000      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024(a)      4,050,146  
  715,000      AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026(a)      734,644  
  1,210,000      Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a)      1,244,445  
  1,035,000      Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A      1,074,069  
  330,000      Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A(a)      350,422  
  1,165,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A      1,247,052  
  1,565,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A(a)      1,625,902  
  1,200,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a)      1,272,184  
  1,800,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A      1,961,737  
  1,785,000      California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a)      1,851,245  
  135,000      CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024(a)      137,446  
  1,435,000      CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025(a)      1,476,228  
  1,125,000      CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025(a)      1,179,337  
  2,350,000      CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a)      2,462,314  
  1,205,000      Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A(a)      1,216,005  
  4,745,000      Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A(a)      4,892,440  
  1,180,000      Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a)      1,204,756  
  159,984      Drive Auto Receivables Trust, Series 2018-3, Class D, 4.300%, 9/16/2024(a)      163,697  
  2,395,000      Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a)      2,499,906  
  1,330,000      Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a)      1,380,349  
  1,655,000      DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a)      1,713,382  
  1,110,000      DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A      1,126,083  
   ABS Car Loan — continued

 

1,265,000      Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a)    1,355,682  
  800,000      Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a)      807,854  
  635,000      First Investors Auto Owner Trust , Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A(a)      652,213  
  1,475,000      First Investors Auto Owner Trust , Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A      1,529,486  
  3,305,000      Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a)      3,455,654  
  499,764      GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a)      503,603  
  5,030,000      GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a)      5,226,413  
  4,540,000      GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a)      4,615,868  
  910,000      Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A      936,184  
  985,000      Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A      1,017,087  
  4,140,000      Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025(a)      4,276,515  
  3,210,000      Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a)      3,481,929  
  1,140,000      Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a)      1,166,904  
  1,675,000      Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A(a)      1,696,018  
     

 

 

  
        73,883,583  
     

 

 

  
   ABS Credit Card — 0.8%

 

  775,000      Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a)      779,940  
  2,845,000      Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A(a)      2,853,592  
  6,995,000      World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a)      7,162,173  
     

 

 

  
        10,795,705  
     

 

 

  
   ABS Home Equity — 7.1%

 

  185,359      Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)      190,195  
  210,390      Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)      216,019  
  317,091      Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025      320,568  
  300,000      American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)      323,246  
  2,170,000      American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)      2,382,677  
  1,200,000      American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)      1,313,637  
  3,138,000      American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a)      3,435,604  
  342,217      Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(a)      351,993  

 

See accompanying notes to financial statements.

 

|  38

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   ABS Home Equity — continued

 

$ 402,247      Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(a)    $ 434,250  
  211,449      Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034      210,325  
  1,188,522      Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.228%, 9/25/2035, 144A(a)(b)      1,201,374  
  2,935,390      CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)(b)      2,948,474  
  1,016,166      Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(a)(b)      1,017,100  
  1,834,238      Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(a)(b)      1,849,720  
  3,598,068      Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(b)      3,608,515  
  1,022,414      Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 2.142%, 1/25/2040, 144A(c)      1,026,615  
  1,830,000      CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a)      1,965,335  
  245,000      CoreVest American Finance Trust, Series 2020-2, Class C, 4.844%, 5/15/2052, 144A(a)(b)      279,858  
  1,340,000      CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A      1,313,468  
  352,562      Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)      364,108  
  537,289      Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034      557,661  
  41,059      Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.847%, 9/20/2034(a)(b)      41,304  
  2,357,919      Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.023%, 12/26/2059, 144A(a)(b)      2,373,799  
  1,679,784      Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a)(b)      1,701,424  
  2,488,138      Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)(b)      2,500,796  
  135,481      CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)      144,494  
  413,221      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.423%, 9/19/2045(c)      312,096  
  1,144,219      Dukinfield II PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 1.331%, 12/20/2052, (GBP)(a)(c)      1,584,533  
  1,075,711      Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.292%, 1/25/2030(c)      1,092,859  
  1,715,000      FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A      1,744,790  
  4,165,000      FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A(a)      4,233,744  
  110,625      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.892%, 7/25/2030(c)      111,315  
   ABS Home Equity — continued

 

3,995,844      GCAT LLC, Series 2020-4, Class A1, 2.611%, 12/25/2025, 144A(a)(b)    4,012,450  
  354,300      GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)      364,973  
  485,883      IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 1.312%, 9/25/2034(c)      466,442  
  2,066,148      IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 0.512%, 2/25/2046(c)      1,655,139  
  914,838      JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034      955,299  
  200,744      Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(a)(b)      201,094  
  2,031,736      Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)(b)      2,048,634  
  2,282,151      Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(a)(b)      2,286,658  
  1,816,738      Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)(b)      1,829,805  
  1,218,917      Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(a)      1,241,892  
  345,244      Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 0.612%, 2/25/2046(c)      317,458  
  181,107      MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.750%, 5/25/2034(a)(b)      183,998  
  231,847      MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)      237,495  
  216,016      MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)      221,401  
  229,713      MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)      236,979  
  651,630      MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034      669,082  
  35,936      Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.097%, 5/25/2036(a)(b)      36,529  
  245,000      Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)(b)      253,321  
  317,293      Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035      272,451  
  648,857      Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035      675,455  
  1,189,000      Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A      1,195,621  
  715,000      Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A      723,318  
  2,803,000      Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A(a)      2,856,987  
  1,005,000      Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A(a)      1,015,102  
  785,000      Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A      785,695  
  795,000      Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A      798,926  
  570,000      Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A(a)      574,886  
  470,000      Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A      472,941  
  930,000      Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A      922,731  
  400,000      Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A      396,887  

 

See accompanying notes to financial statements.

 

39  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   ABS Home Equity — continued

 

$ 585,000      Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A    $ 584,913  
  3,035,408      PRPM LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)(b)      3,048,942  
  5,151,480      PRPM LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(a)(b)      5,185,638  
  1,505,764      PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a)(b)      1,524,162  
  3,007,179      PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)(b)      3,039,437  
  3,927,878      PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(b)      3,967,101  
  1,288,234      RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(a)(b)      1,298,553  
  2,398,608      Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 0.402%, 7/25/2035(c)      1,771,412  
  500,000      Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)(b)      521,653  
  1,040,000      Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A      1,095,585  
  1,170,000      Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A      1,139,093  
  973,279      VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)      975,832  
  1,323,717      VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a)(b)      1,323,795  
  3,635,104      VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)(b)      3,630,945  
  1,736,937      VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a)(b)      1,738,643  
  2,382,589      VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a)(b)      2,383,852  
     

 

 

  
        102,291,101  
     

 

 

  
   ABS Other — 4.9%

 

  651,188      Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A(a)      673,099  
  995,000      Affirm Asset Securitization Trust, Series 2021-A, Class C, 1.660%, 8/15/2025, 144A      999,514  
  2,218,114      AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)      936,227  
  350,000      Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)      352,512  
  897,708      Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(b)      895,853  
  790,000      Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A(a)      791,694  
  2,125,000      Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A(a)      2,129,825  
  5,694,929      CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A(a)      5,645,147  
  233,710      Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A      238,375  
  912,107      Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A(a)      940,334  
  1,213,214      Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a)      1,253,239  
  305,000      Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A      305,109  
   ABS Other — continued

 

2,335,931      GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g)    2,102,338  
  1,059,946      GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g)      794,959  
  3,410,000      GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(d)(e)(f)(g)(h)      170,500  
  558,010      Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(f)(i)      559,584  
  399,513      Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a)      416,522  
  975,000      HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a)      995,705  
  5,900,000      HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a)      6,089,190  
  700,000      HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A(a)      698,008  
  2,047,720      Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A(a)      2,037,680  
  1,184,016      MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a)      1,185,769  
  1,556,112      MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A      1,441,007  
  399,225      MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A(a)      423,459  
  355,280      MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A(a)      363,609  
  3,120,000      OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)      3,123,146  
  3,230,000      OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a)      3,248,632  
  1,110,000      OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a)      1,167,537  
  1,020,000      OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a)      1,046,484  
  810,000      OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A      814,525  
  3,980,000      Republic Finance Issuance Trust, Series 2019-A, Class A, 3.430%, 11/22/2027, 144A(a)      4,022,499  
  3,854,156      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)      3,811,710  
  1,634,228      Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A(a)      1,687,462  
  1,080,000      SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A      1,092,816  
  393,354      SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a)      398,793  
  910,852      SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A(a)      920,958  
  1,010,000      SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a)      1,030,496  
  3,167,678      SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a)      3,208,287  
  525,862      Sprite Ltd., Series 2017-1, Class A, 4.250%, 12/15/2037, 144A(a)      522,484  

 

See accompanying notes to financial statements.

 

|  40

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   ABS Other — continued

 

$ 1,021,957      Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A    $ 900,789  
  401,851      Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a)      408,736  
  2,735,067      Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A(a)      2,705,295  
  4,185,339      TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A(a)      4,120,058  
  2,042,564      Wave LLC, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A(a)      2,001,977  
  603,129      Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)(b)      595,977  
  790,655      Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A(a)      792,263  
     

 

 

  
        70,060,182  
     

 

 

  
   ABS Student Loan — 1.1%

 

  630,000      Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A(a)      629,606  
  1,952,375      Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a)      2,002,877  
  1,035,000      Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a)      1,058,732  
  3,410,000      Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a)      3,484,240  
  695,000      Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a)      717,882  
  1,290,000      Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a)      1,344,128  
  556,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.583%, 6/15/2032(a)(c)      555,881  
  1,609,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.596%, 3/15/2033(a)(c)      1,608,381  
  173,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.486%, 3/15/2033(a)(c)      172,933  
  800,000      SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a)      833,610  
  806,027      SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 0.851%, 10/15/2035, 144A(a)(c)      809,018  
  190,000      SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a)      206,985  
  510,000      SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a)      543,280  
  448,684      SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)      454,113  
  125,000      SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(b)      126,924  
   ABS Student Loan — continued

 

1,350,000      SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a)    1,391,561  
     

 

 

  
        15,940,151  
     

 

 

  
   ABS Whole Business — 2.1%

 

  4,089,181      Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a)      4,324,211  
  977,613      Arbys Funding LLC, Series 2020-1A, Class A2, 3.237%, 7/30/2050, 144A      1,021,458  
  697,575      DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A(a)      770,485  
  2,935,395      Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a)      3,167,409  
  3,510,000      Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A(a)      3,631,762  
  2,283,525      Hardee’s Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/2050, 144A(a)      2,408,071  
  1,343,023      Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A      1,347,992  
  3,028,875      Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A      3,062,132  
  2,549,100      Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a)      2,698,469  
  4,048,175      Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a)      4,305,032  
  694,575      Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A(a)      753,600  
  1,455,000      Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A      1,467,644  
  897,750      Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A      931,065  
     

 

 

  
        29,889,330  
     

 

 

  
   Aerospace & Defense — 2.9%

 

  6,430,000      Boeing Co. (The), 2.196%, 2/04/2026(a)      6,491,459  
  1,635,000      Boeing Co. (The), 2.250%, 6/15/2026(a)      1,669,173  
  700,000      Boeing Co. (The), 2.950%, 2/01/2030(a)      716,729  
  70,000      Boeing Co. (The), 3.100%, 5/01/2026      74,001  
  1,065,000      Boeing Co. (The), 3.375%, 6/15/2046(a)      1,025,968  
  90,000      Boeing Co. (The), 3.625%, 3/01/2048      89,925  
  2,135,000      Boeing Co. (The), 3.750%, 2/01/2050(a)      2,202,359  
  375,000      Boeing Co. (The), 3.825%, 3/01/2059(a)      382,646  
  325,000      Boeing Co. (The), 3.850%, 11/01/2048(a)      333,512  
  1,420,000      Boeing Co. (The), 3.900%, 5/01/2049(a)      1,495,327  
  215,000      Boeing Co. (The), 3.950%, 8/01/2059(a)      224,940  
  1,870,000      Boeing Co. (The), 5.150%, 5/01/2030(a)      2,214,370  
  8,950,000      Boeing Co. (The), 5.805%, 5/01/2050(a)      12,052,348  
  1,220,000      Boeing Co. (The), 5.930%, 5/01/2060(a)      1,684,647  
  1,340,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      1,415,241  
  895,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      953,748  
  2,550,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(a)      3,032,281  
  305,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      298,900  
  2,580,000      Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A      2,754,150  
  3,010,000      TransDigm, Inc., 6.250%, 3/15/2026, 144A      3,175,550  
     

 

 

  
        42,287,274  
     

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Airlines — 0.7%

 

$ 640,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A    $ 677,600  
  735,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A      794,719  
  6,225,716      United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029(a)      6,148,517  
  698,760      United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027(a)      741,056  
  585,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      605,580  
  880,000      United Airlines, Inc., 4.625%, 4/15/2029, 144A      910,800  
     

 

 

  
        9,878,272  
     

 

 

  
   Automotive — 0.9%

 

  1,775,000      Allison Transmission, Inc., 3.750%, 1/30/2031, 144A      1,744,594  
  330,000      General Motors Co., 5.200%, 4/01/2045(a)      407,870  
  2,530,000      General Motors Co., 5.400%, 4/01/2048(a)      3,222,547  
  2,905,000      General Motors Co., 5.950%, 4/01/2049(a)      3,954,530  
  1,825,000      General Motors Financial Co., Inc., 1.050%, 3/08/2024(a)      1,835,466  
  1,455,000      General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(j)      1,583,608  
  470,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(j)      526,400  
     

 

 

  
        13,275,015  
     

 

 

  
   Banking — 5.0%

 

  345,000      Ally Financial, Inc., 3.875%, 5/21/2024      371,752  
  2,000,000      Ally Financial, Inc., 5.750%, 11/20/2025      2,296,316  
  3,520,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(j)      3,645,664  
  2,400,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(j)      2,430,720  
  44,570,000      Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 38.146%, 11/07/2022, 144A, (ARS)(c)      277,725  
  21,970,000      Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)      122,853  
  1,200,000      Banco Santander S.A., 2.749%, 12/03/2030(a)      1,188,741  
  6,000,000      Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter), 0.701%, 6/30/2024      6,011,981  
  7,280,000      Bank of America Corp., MTN, (fixed rate to 6/14/2023, variable rate thereafter), 0.523%, 6/14/2024      7,278,471  
  4,460,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)      4,646,606  
  685,000      BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A(a)      692,775  
  1,330,000      Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025(a)      1,333,165  
  1,430,000      Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A(a)      1,521,941  
  2,795,000      Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032      2,844,281  
  5,995,000      Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025(a)      6,031,038  
  1,270,000      Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032      1,291,397  
  1,265,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031(a)      1,346,551  
   Banking — continued

 

2,745,000      JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027(a)    2,759,222  
  7,290,000      KeyBank NA, (fixed rate to 6/14/2023, variable rate thereafter), 0.433%, 6/14/2024      7,295,513  
  6,615,000      Royal Bank of Canada, 1.200%, 4/27/2026(a)      6,610,446  
  5,195,000      Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A(a)      5,390,332  
  3,550,000      Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a)      3,560,837  
  1,100,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a)      1,286,401  
  2,255,000      UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A(a)      2,286,220  
     

 

 

  
        72,520,948  
     

 

 

  
   Brokerage — 0.1%

 

  1,415,000      Owl Rock Technology Finance Corp., 2.500%, 1/15/2027      1,396,975  
     

 

 

  
   Building Materials — 1.1%

 

  1,712,000      Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A      1,833,980  
  7,070,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      7,186,655  
  3,360,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      3,694,656  
  1,725,000      Cemex SAB de CV, 5.450%, 11/19/2029, 144A      1,896,638  
  1,720,000      Cemex SAB de CV, (fixed rate to 6/8/2026, variable rate thereafter), 5.125%, 144A(j)      1,775,384  
     

 

 

  
        16,387,313  
     

 

 

  
   Cable Satellite — 2.7%

 

  5,670,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A      5,778,807  
  1,585,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      1,650,324  
  1,050,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032      1,088,063  
  310,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A      338,861  
  14,425,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061      15,499,451  
  1,610,000      CSC Holdings LLC, 4.125%, 12/01/2030, 144A      1,599,938  
  2,710,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      2,658,808  
  1,060,000      CSC Holdings LLC, 6.500%, 2/01/2029, 144A      1,174,056  
  2,155,000      DISH DBS Corp., 5.125%, 6/01/2029, 144A      2,127,912  
  1,355,000      Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A      1,419,701  
  110,000      Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A      119,867  
  1,660,000      Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A      1,677,081  
  1,225,000      Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A      1,263,281  
  1,725,000      Ziggo BV, 4.875%, 1/15/2030, 144A      1,769,678  
  1,372,000      Ziggo BV, 5.500%, 1/15/2027, 144A      1,425,508  
     

 

 

  
        39,591,336  
     

 

 

  
   Chemicals — 0.5%

 

  1,045,000      Alpek SAB de CV, 3.250%, 2/25/2031, 144A      1,057,551  
  2,115,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      2,203,661  

 

See accompanying notes to financial statements.

 

|  42

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 1,335,000      Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A    $ 1,461,838  
  210,000      INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A      212,778  
  2,865,000      Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A(a)      2,882,906  
     

 

 

  
        7,818,734  
     

 

 

  
   Construction Machinery — 0.4%

 

  5,460,000      United Rentals North America, Inc., 4.000%, 7/15/2030      5,623,800  
     

 

 

  
   Consumer Cyclical Services — 2.0%

 

  1,205,000      Expedia Group, Inc., 2.950%, 3/15/2031      1,221,043  
  7,420,000      Expedia Group, Inc., 3.250%, 2/15/2030(a)      7,750,537  
  1,475,000      Expedia Group, Inc., 3.800%, 2/15/2028      1,604,197  
  250,000      Expedia Group, Inc., 4.625%, 8/01/2027      282,536  
  2,460,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A      2,444,010  
  2,255,000      TriNet Group, Inc., 3.500%, 3/01/2029, 144A      2,223,430  
  515,000      Uber Technologies, Inc., 7.500%, 5/15/2025, 144A      555,788  
  680,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      731,823  
  5,440,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      5,978,451  
  5,160,000      Uber Technologies, Inc., 8.000%, 11/01/2026, 144A      5,559,900  
     

 

 

  
        28,351,715  
     

 

 

  
   Consumer Products — 0.2%

 

  930,000      Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(a)      920,784  
  1,605,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      1,645,125  
     

 

 

  
        2,565,909  
     

 

 

  
   Diversified Manufacturing — 0.1%

 

  1,515,000      General Electric Co., 3.625%, 5/01/2030(a)      1,689,345  
     

 

 

  
   Electric — 1.7%

 

  5,295,000      Calpine Corp., 3.750%, 3/01/2031, 144A      5,042,693  
  1,165,000      Calpine Corp., 5.125%, 3/15/2028, 144A      1,185,388  
  5,205,000      Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(j)      5,242,997  
  480,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      510,600  
  1,075,000      NRG Energy, Inc., 5.750%, 1/15/2028      1,144,875  
  1,785,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      1,590,901  
  2,135,000      Pacific Gas & Electric Co., 4.300%, 3/15/2045      2,048,754  
  255,000      Pacific Gas & Electric Co., 4.950%, 7/01/2050      262,284  
  605,000      Southern California Edison Co., 3.650%, 2/01/2050(a)      605,051  
  170,000      Southern California Edison Co., 4.000%, 4/01/2047(a)      178,823  
  215,000      Southern California Edison Co., Series C, 4.125%, 3/01/2048(a)      229,122  
  6,485,000      Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A(a)      6,928,647  
     

 

 

  
        24,970,135  
     

 

 

  
   Finance Companies — 4.7%

 

  905,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027(a)      966,796  
  2,430,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028(a)      2,600,990  
  1,140,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025(a)      1,337,121  
   Finance Companies — continued

 

5,165,000      Air Lease Corp., 3.125%, 12/01/2030(a)    5,247,151  
  2,755,000      Air Lease Corp., 3.375%, 7/01/2025(a)      2,959,233  
  2,630,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(j)      2,725,337  
  6,000,000      Aircastle Ltd., 4.250%, 6/15/2026(a)      6,515,565  
  855,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(j)      863,550  
  5,555,000      Ares Capital Corp., 2.875%, 6/15/2028      5,638,436  
  875,000      Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A(a)      875,236  
  1,480,000      Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A(a)      1,672,888  
  5,205,000      FS KKR Capital Corp., 3.400%, 1/15/2026(a)      5,382,067  
  5,755,000      GE Capital Funding LLC, 4.400%, 5/15/2030(a)      6,706,488  
  1,170,000      General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(j)      1,310,400  
  90,000      Navient Corp., 5.875%, 10/25/2024      97,087  
  1,125,000      Oaktree Specialty Lending Corp., 2.700%, 1/15/2027      1,125,464  
  5,000      OneMain Finance Corp., 6.875%, 3/15/2025      5,643  
  1,595,000      OneMain Finance Corp., 8.875%, 6/01/2025      1,768,361  
  4,160,000      Owl Rock Capital Corp., 3.400%, 7/15/2026(a)      4,335,675  
  2,840,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      2,818,691  
  5,865,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      6,158,250  
  2,520,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      2,488,500  
  4,785,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      4,820,840  
     

 

 

  
        68,419,769  
     

 

 

  
   Financial Other — 0.5%

 

  630,000      China Evergrande Group, 8.250%, 3/23/2022      538,965  
  420,000      China Evergrande Group, 8.750%, 6/28/2025      280,087  
  270,000      China Evergrande Group, 9.500%, 4/11/2022      230,985  
  220,000      China Evergrande Group, 9.500%, 3/29/2024      154,112  
  580,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A      577,100  
  2,595,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024      2,711,775  
  2,525,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      2,607,050  
  485,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026      514,585  
     

 

 

  
        7,614,659  
     

 

 

  
   Food & Beverage — 1.6%

 

  3,256,000      Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a)      3,424,531  
  7,250,000      Hormel Foods Corp., 0.650%, 6/03/2024      7,265,772  
  1,150,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A      1,176,737  
  1,455,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      1,648,981  
  2,305,000      Kraft Heinz Foods Co., 4.875%, 10/01/2049      2,798,158  
  715,000      Kraft Heinz Foods Co., 5.000%, 6/04/2042      871,992  
  680,000      Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A      752,250  
  3,300,000      MARB BondCo. PLC, 3.950%, 1/29/2031, 144A      3,181,860  
  1,135,000      Post Holdings, Inc., 5.750%, 3/01/2027, 144A      1,187,494  
  385,000      Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A(a)      388,167  
     

 

 

  
        22,695,942  
     

 

 

  

 

See accompanying notes to financial statements.

 

43  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Gaming — 0.8%

 

$ 3,420,000      Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A(a)    $ 3,404,473  
  2,670,000      MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A      2,711,572  
  875,000      Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A      873,906  
  2,940,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      3,211,068  
  1,090,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      1,229,520  
     

 

 

  
        11,430,539  
     

 

 

  
   Government Owned – No Guarantee — 2.0%

 

  845,000      Antares Holdings LP, 3.950%, 7/15/2026, 144A      879,326  
  103,800,000      Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(a)      1,419,384  
  4,801,000,000      Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a)      1,298,934  
  2,545,000      Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A      2,472,569  
  12,050,000      Petroleos Mexicanos, 5.950%, 1/28/2031(a)      11,706,575  
  5,290,000      Petroleos Mexicanos, 6.625%, 6/15/2035(a)      5,108,818  
  4,075,000      Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a)      3,952,750  
  1,770,000      YPF S.A., 6.950%, 7/21/2027, 144A      1,246,788  
     

 

 

  
        28,085,144  
     

 

 

  
   Health Insurance — 0.9%

 

  4,830,000      Centene Corp., 2.500%, 3/01/2031(a)      4,763,587  
  1,145,000      Centene Corp., 3.000%, 10/15/2030      1,176,236  
  300,000      Centene Corp., 4.625%, 12/15/2029      329,931  
  7,210,000      UnitedHealth Group, Inc., 0.550%, 5/15/2024      7,199,633  
     

 

 

  
        13,469,387  
     

 

 

  
   Healthcare — 0.7%

 

  765,000      Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A      740,811  
  475,000      Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A      481,531  
  505,000      Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A      525,367  
  380,000      Encompass Health Corp., 4.750%, 2/01/2030      403,750  
  1,935,000      HCA, Inc., 3.500%, 9/01/2030      2,061,491  
  3,240,000      Hologic, Inc., 3.250%, 2/15/2029, 144A      3,211,650  
  735,000      IQVIA, Inc., 5.000%, 5/15/2027, 144A      769,912  
  890,000      Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A      915,988  
  340,000      Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A      352,648  
  625,000      Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A      666,025  
  255,000      Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A      266,156  
     

 

 

  
        10,395,329  
     

 

 

  
   Home Construction — 0.0%

 

  310,000      Lennar Corp., 4.875%, 12/15/2023(a)      337,432  
     

 

 

  
   Independent Energy — 1.9%

 

  4,360,000      Aker BP ASA, 3.750%, 1/15/2030, 144A(a)      4,704,811  
  1,670,000      Aker BP ASA, 4.000%, 1/15/2031, 144A      1,834,302  
  3,060,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A(a)      3,664,350  
  1,515,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      1,556,238  
   Independent Energy — continued

 

1,985,000      Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A    2,043,657  
  215,000      EQT Corp., 3.125%, 5/15/2026, 144A      220,313  
  450,000      EQT Corp., 3.625%, 5/15/2031, 144A      469,125  
  140,000      EQT Corp., 5.000%, 1/15/2029      156,096  
  1,300,000      Hess Corp., 5.600%, 2/15/2041      1,622,758  
  1,790,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      1,965,098  
  1,295,000      Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A      1,441,982  
  2,285,000      Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A      2,288,657  
  1,720,000      Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A      1,737,434  
  62,000      Occidental Petroleum Corp., 2.700%, 2/15/2023      63,376  
  885,000      Occidental Petroleum Corp., 2.900%, 8/15/2024      904,913  
  340,000      Occidental Petroleum Corp., 3.500%, 6/15/2025      347,650  
  75,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      82,875  
  320,000      Ovintiv, Inc., 6.500%, 8/15/2034      422,437  
  140,000      Ovintiv, Inc., 6.500%, 2/01/2038      186,389  
  695,000      Ovintiv, Inc., 6.625%, 8/15/2037      927,324  
  90,000      Ovintiv, Inc., 7.200%, 11/01/2031      118,428  
  85,000      Ovintiv, Inc., 7.375%, 11/01/2031      112,855  
  385,000      Ovintiv, Inc., 8.125%, 9/15/2030      524,675  
     

 

 

  
        27,395,743  
     

 

 

  
   Leisure — 0.6%

 

  2,735,000      Carnival Corp., 5.750%, 3/01/2027, 144A      2,864,912  
  1,560,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      1,634,100  
  570,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A      597,332  
  240,000      Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A      239,700  
  3,090,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      3,236,157  
     

 

 

  
        8,572,201  
     

 

 

  
   Life Insurance — 0.7%

 

  1,530,000      Athene Holding Ltd., 3.500%, 1/15/2031(a)      1,631,206  
  1,110,000      Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A(a)      1,224,933  
  6,780,000      New York Life Global Funding, 3-month LIBOR + 0.320%, 0.495%, 8/06/2021, 144A(a)(c)      6,782,648  
     

 

 

  
        9,638,787  
     

 

 

  
   Local Authorities — 0.6%

 

  7,080,000      Province of Ontario Canada, 1.050%, 4/14/2026(a)      7,098,257  
  67,000,000      Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 37.875%, 4/12/2025, 144A, (ARS)(c)      335,836  
  165,360,000      Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 37.959%, 5/31/2022, (ARS)(c)      928,374  
     

 

 

  
        8,362,467  
     

 

 

  
   Lodging — 0.8%

 

  590,000      Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A      582,625  
  2,055,000      Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A      2,075,283  
  435,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A      433,860  
  1,435,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A      1,467,288  
  360,000      Hyatt Hotels Corp., 5.375%, 4/23/2025      406,458  

 

See accompanying notes to financial statements.

 

|  44

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 665,000      Hyatt Hotels Corp., 5.750%, 4/23/2030    $ 807,230  
  440,000      Marriott International, Inc., Series EE, 5.750%, 5/01/2025      507,892  
  695,000      Marriott International, Inc., Series FF, 4.625%, 6/15/2030      800,433  
  1,125,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      1,140,469  
  1,535,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      1,582,124  
  195,000      Travel & Leisure Co., 6.000%, 4/01/2027      214,221  
  960,000      Travel & Leisure Co., 6.625%, 7/31/2026, 144A      1,087,680  
     

 

 

  
        11,105,563  
     

 

 

  
   Media Entertainment — 1.7%

 

  1,240,000      AMC Networks, Inc., 4.250%, 2/15/2029      1,250,850  
  2,745,000      Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A      2,814,229  
  2,830,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      2,911,363  
  2,400,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      2,508,960  
  750,000      iHeartCommunications, Inc., 6.375%, 5/01/2026      797,813  
  3,150,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      3,374,437  
  415,000      Lamar Media Corp., 3.750%, 2/15/2028      422,263  
  825,000      Lamar Media Corp., 4.000%, 2/15/2030      834,991  
  1,040,000      Netflix, Inc., 4.875%, 4/15/2028      1,209,000  
  3,525,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      4,192,282  
  710,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      862,363  
  665,000      Netflix, Inc., 5.875%, 11/15/2028      816,241  
  780,000      Netflix, Inc., 6.375%, 5/15/2029      996,255  
  1,075,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A      1,091,125  
  600,000      Playtika Holding Corp., 4.250%, 3/15/2029, 144A      599,586  
     

 

 

  
        24,681,758  
     

 

 

  
   Metals & Mining — 1.9%

 

  2,655,000      ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028      2,860,099  
  400,000      ABJA Investment Co. Pte Ltd., 5.950%, 7/31/2024      432,000  
  690,000      Antofagasta PLC, 2.375%, 10/14/2030, 144A(a)      664,815  
  4,515,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      4,723,187  
  425,000      First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A      433,237  
  1,755,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      1,820,812  
  2,345,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      2,508,751  
  1,270,000      Freeport-McMoRan, Inc., 4.375%, 8/01/2028      1,341,437  
  885,000      Freeport-McMoRan, Inc., 4.625%, 8/01/2030      969,075  
  2,720,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      3,285,230  
  735,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043      898,405  
  6,035,000      Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a)      6,137,202  
  625,000      Novelis Corp., 4.750%, 1/30/2030, 144A      656,250  
  435,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      430,650  
     

 

 

  
        27,161,150  
     

 

 

  
   Midstream — 1.0%

 

  5,460,000      Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029(a)      5,963,860  
  3,335,000      Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a)      3,310,358  
   Midstream — continued

 

290,000      Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A(a)    304,799  
  3,745,000      Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030(a)      4,321,925  
  795,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A      817,777  
     

 

 

  
        14,718,719  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 3.2%

 

  2,995,000      Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 2.613%, 10/15/2037, 144A(a)(c)      3,013,781  
  1,510,000      Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A      1,508,644  
  140,000      Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.718%, 12/10/2044(a)(b)      133,399  
  790,000      Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.673%, 1/15/2034, 144A(c)      778,979  
  5,680,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A      5,085,886  
  750,000      DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)      782,110  
  615,000      Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.325%, 7/15/2038, 144A(c)      617,647  
  3,195,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)      2,717,084  
  540,000      GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.428%, 8/10/2044, 144A(b)      448,276  
  3,905,000      GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.428%, 8/10/2044, 144A(b)      2,147,835  
  845,000      GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)      828,212  
  300,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(a)(b)      290,319  
  405,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class C, 4.777%, 10/15/2045, 144A(a)(b)      382,700  
  2,435,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.566%, 12/15/2047, 144A(a)(b)      2,484,473  
  1,246,483      Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.420%, 6/15/2044, 144A(b)      1,230,404  
  2,515,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.420%, 6/15/2044, 144A(b)(f)(i)      1,910,913  
  2,041,379      Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.000%, 8/15/2024, 144A(c)      1,973,716  
  1,350,000      RBS Commercial Funding, Inc., Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(a)(b)      1,430,921  
  1,060,000      Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.823%, 11/15/2027, 144A(c)(d)(f)(g)      500,809  

 

See accompanying notes to financial statements.

 

45  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 4,243,654      Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.573%, 11/15/2027, 144A(c)(d)(f)(g)    $ 1,045,994  
  3,575,000      Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.473%, 11/15/2027, 144A(c)(d)(f)(g)      340,882  
  1,370,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.044%, 5/10/2063, 144A(b)(f)(i)      205,500  
  440,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.325%, 11/15/2059(a)(b)      372,757  
  2,989,293      Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(b)      3,001,227  
  545,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)(b)      540,366  
  4,885,000      Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(b)      4,929,333  
  3,504,376      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.520%, 3/15/2044, 144A(b)      1,707,332  
  1,699,593      WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.266%, 6/15/2044, 144A(b)      1,038,789  
  2,245,000      WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.508%, 12/15/2045(b)      1,926,919  
  725,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.957%, 6/15/2045(b)      558,893  
  1,875,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.957%, 6/15/2045, 144A(b)      1,220,107  
  975,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(f)(i)      397,734  
  1,105,000      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a)      1,159,739  
     

 

 

  
        46,711,680  
     

 

 

  
   Paper — 0.2%

 

  2,235,000      Suzano Austria GmbH, 3.750%, 1/15/2031      2,343,956  
     

 

 

  
   Pharmaceuticals — 1.4%

 

  555,000      Jazz Securities DAC, 4.375%, 1/15/2029, 144A      575,424  
  1,665,000      Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR)      2,125,385  
  5,970,000      Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023      5,945,284  
  10,035,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      8,793,169  
  1,015,000      Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025      1,119,037  
  1,130,000      Viatris, Inc., 4.000%, 6/22/2050, 144A(a)      1,195,008  
     

 

 

  
        19,753,307  
     

 

 

  
   Property & Casualty Insurance — 0.4%

 

  5,240,000      American International Group, Inc., 4.375%, 6/30/2050(a)      6,369,802  
     

 

 

  
   REITs – Health Care — 0.0%

 

  455,000      National Health Investors, Inc., 3.000%, 2/01/2031      440,086  
     

 

 

  
   REITs – Mortgage — 0.1%

 

1,630,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A    1,627,694  
  390,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A      396,825  
     

 

 

  
        2,024,519  
     

 

 

  
   Restaurants — 0.9%

 

  435,000      1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A      440,438  
  5,765,000      1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A      5,844,269  
  2,100,000      Yum! Brands, Inc., 3.625%, 3/15/2031      2,089,500  
  2,680,000      Yum! Brands, Inc., 4.625%, 1/31/2032      2,814,000  
  920,000      Yum! Brands, Inc., 4.750%, 1/15/2030, 144A      995,909  
     

 

 

  
        12,184,116  
     

 

 

  
   Retailers — 0.3%

 

  1,325,000      Carvana Co., 5.625%, 10/01/2025, 144A      1,377,549  
  1,325,000      Carvana Co., 5.875%, 10/01/2028, 144A      1,393,794  
  1,070,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      1,108,253  
  420,000      Lithia Motors, Inc., 4.375%, 1/15/2031, 144A      449,866  
  570,000      Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A      563,422  
     

 

 

  
        4,892,884  
     

 

 

  
   Sovereigns — 0.8%

 

  6,270,000      Mexico Government International Bond, 3.771%, 5/24/2061(a)      5,842,449  
  5,430,000      Mexico Government International Bond, 4.280%, 8/14/2041(a)      5,699,545  
     

 

 

  
        11,541,994  
     

 

 

  
   Supermarkets — 0.0%

 

  402,000      Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025      411,045  
     

 

 

  
   Supranational — 0.1%

 

  119,540,000      International Finance Corp., 5.850%, 11/25/2022, (INR)(a)      1,629,141  
     

 

 

  
   Technology — 3.7%

 

  6,185,000      Broadcom, Inc., 4.300%, 11/15/2032(a)      7,043,017  
  370,000      Broadcom, Inc., 5.000%, 4/15/2030      436,516  
  1,615,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      1,653,356  
  3,815,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      4,134,506  
  7,180,000      Equinix, Inc., 1.450%, 5/15/2026      7,214,396  
  330,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      330,000  
  1,365,000      Gartner, Inc., 3.750%, 10/01/2030, 144A      1,396,545  
  1,375,000      Iron Mountain, Inc., 5.000%, 7/15/2028, 144A      1,427,181  
  1,375,000      Iron Mountain, Inc., 5.250%, 7/15/2030, 144A      1,455,548  
  1,450,000      Marvell Technology, Inc., 2.950%, 4/15/2031, 144A      1,502,738  
  1,315,000      Microchip Technology, Inc., 0.983%, 9/01/2024, 144A      1,308,624  
  1,585,000      Micron Technology, Inc., 4.663%, 2/15/2030      1,842,325  
  5,645,000      Micron Technology, Inc., 5.327%, 2/06/2029(a)      6,818,417  
  2,305,000      MSCI, Inc., 3.625%, 9/01/2030, 144A      2,357,231  
  1,660,000      Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR)      2,076,026  
  330,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A(a)      360,330  
  570,000      Open Text Corp., 3.875%, 2/15/2028, 144A      579,194  
  530,000      Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A      540,494  
  1,550,000      Qorvo, Inc., 3.375%, 4/01/2031, 144A      1,615,441  

 

See accompanying notes to financial statements.

 

|  46

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 240,000      Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A    $ 285,319  
  4,875,000      salesforce.com, Inc., 0.625%, 7/15/2024      4,876,996  
  1,325,000      Sensata Technologies BV, 4.000%, 4/15/2029, 144A      1,344,985  
  405,000      Skyworks Solutions, Inc., 1.800%, 6/01/2026      410,102  
  1,545,000      Square, Inc., 3.500%, 6/01/2031, 144A      1,558,519  
  535,000      SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A      566,940  
     

 

 

  
        53,134,746  
     

 

 

  
   Transportation Services — 0.5%

 

  1,855,000      Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A      1,932,501  
  425,000      GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A      412,982  
  2,650,000      GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A      2,691,737  
  1,645,000      GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024      1,702,707  
     

 

 

  
        6,739,927  
     

 

 

  
   Treasuries — 2.4%

 

  35,003(†††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)      7,423,541  
  1,346,875(††††)      Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a)      6,877,481  
  338,660,000      Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR)      20,387,650  
     

 

 

  
        34,688,672  
     

 

 

  
   Wireless — 2.3%

 

  1,480,000      Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A      1,468,197  
  4,365,000      HTA Group Ltd., 7.000%, 12/18/2025, 144A      4,643,400  
  3,769,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      4,005,354  
  225,000      Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A      232,875  
  657,000      Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A      683,280  
  3,680,000      SBA Communications Corp., 3.125%, 2/01/2029, 144A      3,547,763  
  330,000      Sprint Capital Corp., 6.875%, 11/15/2028      423,225  
  6,780,000      T-Mobile USA, Inc., 3.375%, 4/15/2029      6,996,917  
  3,350,000      T-Mobile USA, Inc., 3.500%, 4/15/2031      3,465,742  
  6,700,000      T-Mobile USA, Inc., 3.875%, 4/15/2030      7,489,394  
  550,000      T-Mobile USA, Inc., 4.500%, 2/01/2026      560,516  
     

 

 

  
        33,516,663  
     

 

 

  
   Wirelines — 0.0%

 

  470,000      Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A      487,822  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $1,086,921,029)		      1,100,171,772  
     

 

 

  
     
  Convertible Bonds — 3.5%  
   Airlines — 0.3%

 

  915,000      JetBlue Airways Corp., 0.500%, 4/01/2026, 144A      911,797  
  2,170,000      Southwest Airlines Co., 1.250%, 5/01/2025(a)      3,286,194  
     

 

 

  
        4,197,991  
     

 

 

  
   Cable Satellite — 1.0%

 

  1,635,000      DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025, 144A(k)      1,903,957  
  4,280,000      DISH Network Corp., 2.375%, 3/15/2024      4,148,925  
   Cable Satellite — continued

 

7,230,000      DISH Network Corp., 3.375%, 8/15/2026    7,378,215  
  1,195,000      Liberty Media Corp., 0.500%, 12/01/2050, 144A      1,374,848  
     

 

 

  
        14,805,945  
     

 

 

  
   Consumer Cyclical Services — 0.3%

 

  1,250,000      Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(k)      1,350,000  
  1,385,000      Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(l)      1,339,122  
  1,670,000      Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(k)      1,693,380  
     

 

 

  
        4,382,502  
     

 

 

  
   Healthcare — 0.3%

 

  4,145,000      Teladoc Health, Inc., 1.250%, 6/01/2027      4,639,913  
     

 

 

  
   Media Entertainment — 0.1%

 

  1,960,000      Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(k)      1,869,350  
     

 

 

  
   Pharmaceuticals — 0.9%

 

  1,270,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      1,316,101  
  7,130,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027      7,143,741  
  855,000      Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(k)      973,097  
  1,285,000      Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(k)      1,258,914  
  620,000      Livongo Health, Inc., 0.875%, 6/01/2025      984,913  
  715,000      Neurocrine Biosciences, Inc., 2.250%, 5/15/2024      955,884  
     

 

 

  
        12,632,650  
     

 

 

  
   Technology — 0.6%

 

  6,045,000      Palo Alto Networks, Inc., 0.375%, 6/01/2025      8,221,200  
  515,000      Splunk, Inc., 1.125%, 6/15/2027      501,803  
     

 

 

  
        8,723,003  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $49,928,950)		      51,251,354  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $1,136,849,979)		      1,151,423,126  
     

 

 

  
     
  Senior Loans — 1.0%  
   Airlines — 0.1%

 

  1,531,163      United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)      1,549,873  
     

 

 

  
   Cable Satellite — 0.2%

 

  1,930,000      Ziggo BV, 2019 EUR Term Loan H, EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(c)      2,268,679  
     

 

 

  
   Consumer Products — 0.1%

 

  1,189,025      Weber-Stephen Products LLC, Term Loan B, 1-month LIBOR + 3.250%, 4.000%, 10/30/2027(c)      1,190,511  
     

 

 

  
   Gaming — 0.2%

 

  3,216,938      Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 2.854%, 3/13/2028(c)      3,200,499  
     

 

 

  
   Lodging — 0.1%

 

  1,620,000      Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 5/19/2028(m)      1,620,502  
     

 

 

  

 

See accompanying notes to financial statements.

 

47  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Pharmaceuticals — 0.1%

 

$ 1,345,000      Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c)    $ 1,348,780  
     

 

 

  
   Property & Casualty Insurance — 0.0%

 

  621,706      AmWINS Group, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 3.000%, 2/19/2028(c)      617,559  
     

 

 

  
   Technology — 0.2%

 

  2,635,000      CoreLogic, Inc., Term Loan, 1-month LIBOR + 3.500%, 4.000%, 6/02/2028(c)      2,625,778  
     

 

 

  
   Total Senior Loans
(Identified Cost $14,243,947)		      14,422,181  
     

 

 

  
     
  Collateralized Loan Obligations — 5.0%  
  1,350,000      AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 2.334%, 1/15/2033, 144A(a)(c)      1,351,202  
  1,740,000      AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 3.484%, 1/15/2033, 144A(c)      1,740,471  
  1,155,000      AIG CLO Ltd., Series 2019-1A, Class E, 3-month LIBOR + 6.620%, 6.804%, 4/15/2032, 144A(c)      1,147,127  
  865,000      Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class DR, 3-month LIBOR + 4.000%, 4.184%, 7/15/2032, 144A(c)      865,500  
  480,000      Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.134%, 7/16/2031, 144A(a)(c)      480,018  
  3,175,000      Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 2.184%, 4/15/2033, 144A(a)(c)      3,177,609  
  500,000      Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 6.435%, 4/25/2034, 144A(c)      499,112  
  1,105,000      Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 3.843%, 1/20/2034, 144A(c)      1,108,405  
  400,000      Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 3.338%, 4/20/2031, 144A(c)      397,120  
  850,000      Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 2.984%, 1/15/2033, 144A(a)(c)      854,206  
  1,830,000      Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 2.861%, 4/20/2034, 144A(c)      1,829,921  
  2,145,000      Battalion CLO XIV Ltd., Series 2019-14A, Class E, 3-month LIBOR + 6.680%, 6.868%, 4/20/2032, 144A(c)      2,145,018  
  500,000      Battalion CLO XVI Ltd., Series 2019-16A, Class D, 3-month LIBOR + 4.360%, 4.548%, 12/19/2032, 144A(c)      502,533  
  915,000      Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.134%, 4/15/2029, 144A(a)(c)      916,587  
  455,000      Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 2.338%, 10/20/2029, 144A(a)(c)      455,147  
  400,000      Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 1.988%, 1/20/2031, 144A(a)(c)      399,236  
  970,000      CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 7/20/2034, 144A(c)(d)(n)      970,000  
  Collateralized Loan Obligations — continued  
500,000      Catamaran CLO Ltd., Series 2013-1A, Class CR, 3-month LIBOR + 1.800%, 1.981%, 1/27/2028, 144A(a)(c)    500,239  
  730,000      CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.140%, 10/18/2030, 144A(a)(c)      728,165  
  265,000      CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 2.076%, 4/24/2030, 144A(a)(c)      263,746  
  875,000      Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 6.034%, 10/15/2030, 144A(c)      857,563  
  250,000      Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 1.940%, 4/18/2031, 144A(a)(c)      247,888  
  615,000      Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3-month LIBOR + 4.100%, 4.290%, 1/17/2033, 144A(c)      619,233  
  300,000      Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 2.034%, 4/15/2029, 144A(a)(c)      299,645  
  330,000      Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, 3-month LIBOR + 2.400%, 2.556%, 11/15/2026, 144A(a)(c)      329,708  
  1,405,000      Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 6.000%, 11/22/2031, 144A(c)      1,394,035  
  650,000      Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.134%, 10/15/2030, 144A(c)      649,994  
  320,000      Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.088%, 4/20/2030, 144A(a)(c)      320,635  
  990,000      Hayfin Kingsland XI Ltd., Series 2019-2A, Class E, 3-month LIBOR + 6.900%, 7.088%, 7/20/2032, 144A(c)      993,372  
  310,000      LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.160%, 4/20/2031, 144A(c)      309,999  
  475,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 2.323%, 1/23/2031, 144A(a)(c)      475,038  
  300,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.173%, 1/23/2031, 144A(c)      300,015  
  3,300,000      Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 2.084%, 1/28/2030, 144A(a)(c)      3,292,150  
  2,100,000      Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 7.418%, 10/20/2032, 144A(c)      2,096,532  
  495,000      Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 5.938%, 10/20/2030, 144A(c)      489,943  
  1,420,000      Octagon Investment Partners 40 Ltd., Series 2019-1A, Class D, 3-month LIBOR + 3.800%, 3.988%, 4/20/2031, 144A(c)      1,421,914  
  920,000      Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 2.084%, 1/22/2030, 144A(a)(c)      918,569  
  445,000      OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.546%, 4/21/2034, 144A(c)      445,012  

 

See accompanying notes to financial statements.

 

|  48

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Collateralized Loan Obligations — continued  
$ 1,980,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class E1, 3-month LIBOR + 5.000%, 5.188%, 7/20/2032, 144A(c)    $ 1,969,422  
  1,900,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7/02/2035, 144A(c)(d)(n)      1,900,000  
  1,585,000      OHA Credit Funding 4 Ltd., Series 2019-4A, Class E, 3-month LIBOR + 6.100%, 6.322%, 10/22/2032, 144A(c)      1,585,032  
  1,745,000      OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 2.190%, 4/18/2033, 144A(a)(c)      1,744,994  
  2,245,000      OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 3.223%, 7/23/2031, 144A(c)      2,245,246  
  1,570,000      OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.138%, 1/20/2033, 144A(a)(c)      1,565,650  
  2,050,000      OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 3.934%, 4/15/2034, 144A(c)      2,059,178  
  300,000      Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 2.138%, 7/20/2030, 144A(a)(c)      300,034  
  1,870,000      Palmer Square CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 4.400%, 4.556%, 8/15/2026, 144A(c)      1,870,005  
  1,620,000      Palmer Square Loan Funding Ltd., Series 2020-3A, Class D, 3-month LIBOR + 4.230%, 4.418%, 7/20/2028, 144A(a)(c)      1,625,478  
  2,610,000      Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 2.188%, 7/20/2029, 144A(a)(c)      2,598,798  
  1,645,000      Parallel Ltd., Series 2018-2A, Class B, 3-month LIBOR + 2.150%, 2.338%, 10/20/2031, 144A(a)(c)      1,635,133  
  1,045,000      Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 3.326%, 7/24/2031, 144A(c)      1,042,419  
  3,885,000      Pikes Peak CLO 3, Series 2019-3A, Class E, 3-month LIBOR + 6.860%, 7.036%, 4/25/2030, 144A(c)      3,887,117  
  340,000      Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.438%, 4/20/2034, 144A(c)      342,148  
  920,000      Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 3.284%, 7/15/2031, 144A(c)      920,099  
  2,565,000      Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.084%, 10/15/2029, 144A(a)(c)      2,555,550  
  920,000      TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 3.086%, 4/25/2031, 144A(c)      911,646  
  1,030,000      TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 2.334%, 4/15/2033, 144A(a)(c)      1,030,470  
  610,000      TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 2.338%, 4/20/2033, 144A(a)(c)      610,281  
  895,000      TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 5.926%, 7/25/2031, 144A(c)      869,454  
  695,000      Voya CLO Ltd, Series 2019-3A, Class D, 3-month LIBOR + 3.850%, 4.040%, 10/17/2032, 144A(c)      698,443  
  Collateralized Loan Obligations — continued  
2,435,000      York CLO-7 Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 3.984%, 1/22/2033, 144A(c)    2,442,997  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $68,729,512)		      72,202,201  
     

 

 

  
     
Shares                
  Common Stocks — 4.0%  
   Air Freight & Logistics — 0.1%

 

  6,552      Expeditors International of Washington, Inc.      829,483  
  2,680      United Parcel Service, Inc., Class B      557,360  
     

 

 

  
        1,386,843  
     

 

 

  
   Banks — 0.2%

 

  7,859      Citigroup, Inc.      556,024  
  3,038      Citizens Financial Group, Inc.      139,353  
  3,531      JPMorgan Chase & Co.      549,212  
  9,474      Truist Financial Corp.      525,807  
  15,626      Umpqua Holdings Corp.      288,300  
     

 

 

  
        2,058,696  
     

 

 

  
   Beverages — 0.0%

 

  9,567      Coca-Cola Co. (The)      517,670  
     

 

 

  
   Capital Markets — 0.1%

 

  1,489      Artisan Partners Asset Management, Inc., Class A      75,671  
  5,371      Blackstone Group, Inc. (The), Class A      521,739  
  6,103      Morgan Stanley      559,584  
     

 

 

  
        1,156,994  
     

 

 

  
   Chemicals — 0.2%

 

  138,555      Hexion Holdings Corp., Class B(h)      2,563,268  
  5,144      LyondellBasell Industries NV, Class A      529,163  
     

 

 

  
        3,092,431  
     

 

 

  
   Communications Equipment — 0.0%

 

  10,937      Cisco Systems, Inc.      579,661  
     

 

 

  
   Construction Materials — 0.2%

 

  362,679      Cemex SAB de CV, Sponsored ADR(h)      3,046,504  
     

 

 

  
   Consumer Finance — 0.0%

 

  9,001      OneMain Holdings, Inc.      539,250  
     

 

 

  
   Diversified Telecommunication Services — 0.0%

 

  9,261      Verizon Communications, Inc.      518,894  
     

 

 

  
   Entertainment — 0.0%

 

  5,504      Activision Blizzard, Inc.      525,302  
     

 

 

  
   Food & Staples Retailing — 0.1%

 

  1,289      Costco Wholesale Corp.      510,019  
  3,822      Walmart, Inc.      538,978  
     

 

 

  
        1,048,997  
     

 

 

  
   Food Products — 0.0%

 

  6,817      Tyson Foods, Inc., Class A      502,822  
     

 

 

  
   Health Care Equipment & Supplies — 0.0%

 

  3,051      Abbott Laboratories      353,702  
     

 

 

  
   Health Care Providers & Services — 0.1%

 

  1,440      Anthem, Inc.      549,792  
  1,404      UnitedHealth Group, Inc.      562,218  
     

 

 

  
        1,112,010  
     

 

 

  
   Hotels, Restaurants & Leisure — 0.1%

 

  305      Booking Holdings, Inc.(h)      667,367  
  11,312      Starbucks Corp.      1,264,795  
     

 

 

  
        1,932,162  
     

 

 

  

 

See accompanying notes to financial statements.

 

49  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Household Products — 0.1%

 

  7,993      Procter & Gamble Co. (The)    $ 1,078,495  
     

 

 

  
   Independent Power & Renewable Electricity Producers — 0.0%

 

  20,255      AES Corp. (The)      528,048  
     

 

 

  
   Insurance — 0.1%

 

  4,140      Allstate Corp. (The)      540,022  
  11,600      Fidelity National Financial, Inc.      504,136  
     

 

 

  
        1,044,158  
     

 

 

  
   IT Services — 0.2%

 

  1,809      Accenture PLC, Class A      533,275  
  3,275      MasterCard, Inc., Class A      1,195,670  
  2,990      Visa, Inc., Class A      699,122  
     

 

 

  
        2,428,067  
     

 

 

  
   Life Sciences Tools & Services — 0.0%

 

  1,078      Thermo Fisher Scientific, Inc.      543,819  
     

 

 

  
   Machinery — 0.2%

 

  2,508      Caterpillar, Inc.      545,816  
  2,219      Cummins, Inc.      541,014  
  1,623      Deere & Co.      572,448  
  1,687      Parker-Hannifin Corp.      518,095  
     

 

 

  
        2,177,373  
     

 

 

  
   Media — 0.1%

 

  9,847      Comcast Corp., Class A      561,476  
  14,108      Fox Corp., Class A      523,830  
  16,177      Interpublic Group of Cos., Inc. (The)      525,591  
  1,561      Nexstar Media Group, Inc., Class A      230,840  
     

 

 

  
        1,841,737  
     

 

 

  
   Metals & Mining — 0.1%

 

  8,101      Newmont Corp.      513,441  
  1,353      Reliance Steel & Aluminum Co.      204,168  
     

 

 

  
        717,609  
     

 

 

  
   Multiline Retail — 0.0%

 

  2,268      Target Corp.      548,266  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.3%

 

  14,685      California Resources Corp.(h)      442,606  
  5,290      Chevron Corp.      554,074  
  8,334      ConocoPhillips      507,541  
  47,898      Energy Transfer LP      509,156  
  9,324      Exxon Mobil Corp.      588,158  
  32,298      Whiting Petroleum Corp.(h)      1,761,856  
     

 

 

  
        4,363,391  
     

 

 

  
   Personal Products — 0.1%

 

  2,679      Estee Lauder Cos., Inc. (The), Class A      852,136  
     

 

 

  
   Pharmaceuticals — 0.2%

 

  7,618      Bristol-Myers Squibb Co.      509,035  
  11,713      Johnson & Johnson      1,929,599  
  13,331      Pfizer, Inc.      522,042  
     

 

 

  
        2,960,676  
     

 

 

  
   REITs – Diversified — 0.0%

 

  2,069      American Tower Corp.      558,920  
     

 

 

  
   REITs – Health Care — 0.0%

 

  14,484      Omega Healthcare Investors, Inc.      525,624  
     

 

 

  
   REITs – Storage — 0.0%

 

  11,610      Iron Mountain, Inc.      491,335  
     

 

 

  
   Road & Rail — 0.1%

 

  1,974      Norfolk Southern Corp.      523,919  
  7,082      Ryder System, Inc.      526,405  
     

 

 

  
        1,050,324  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 0.3%

 

  4,049      Applied Materials, Inc.    576,577  
  1,647      KLA Corp.      533,974  
  806      Lam Research Corp.      524,464  
  701      NVIDIA Corp.      560,870  
  2,657      NXP Semiconductors NV      546,598  
  3,904      QUALCOMM, Inc.      557,999  
  2,632      Texas Instruments, Inc.      506,134  
     

 

 

  
        3,806,616  
     

 

 

  
   Software — 0.1%

 

  920      Intuit, Inc.      450,956  
  1,994      Microsoft Corp.      540,175  
  6,857      Oracle Corp.      533,749  
     

 

 

  
        1,524,880  
     

 

 

  
   Specialty Retail — 0.2%

 

  1,613      Home Depot, Inc. (The)      514,369  
  2,669      Lowe’s Cos., Inc.      517,706  
  4,492      Ross Stores, Inc.      557,008  
  8,197      TJX Cos., Inc. (The)      552,642  
     

 

 

  
        2,141,725  
     

 

 

  
   Technology Hardware, Storage & Peripherals — 0.2%

 

  13,532      Apple, Inc.      1,853,343  
  18,395      HP, Inc.      555,345  
     

 

 

  
        2,408,688  
     

 

 

  
   Textiles, Apparel & Luxury Goods — 0.1%

 

  1,234      LVMH Moet Hennessy Louis Vuitton SE      970,734  
  4,001      NIKE, Inc., Class B      618,115  
     

 

 

  
        1,588,849  
     

 

 

  
   Tobacco — 0.0%

 

  5,161      Philip Morris International, Inc.      511,507  
     

 

 

  
   Wireless Telecommunication Services — 0.5%

 

  47,102      T-Mobile US, Inc.(h)      6,821,783  
     

 

 

  
   Total Common Stocks
(Identified Cost $51,441,210)		      58,885,964  
     

 

 

  
     
  Preferred Stocks — 1.6%  
  Convertible Preferred Stocks — 1.6%  
   Banking — 0.7%

 

  2,914      Bank of America Corp., Series L, 7.250%(a)      4,126,224  
  3,705      Wells Fargo & Co., Class A, Series L, 7.500%(a)      5,654,608  
     

 

 

  
        9,780,832  
     

 

 

  
   Food & Beverage — 0.2%

 

  31,289      Bunge Ltd., 4.875%      3,631,402  
     

 

 

  
   Healthcare — 0.2%

 

  18,872      Boston Scientific Corp., Series A, 5.500%      2,190,284  
     

 

 

  
   Midstream — 0.0%

 

  2,329      El Paso Energy Capital Trust I, 4.750%      117,032  
     

 

 

  
   Technology — 0.2%

 

  30,745      Clarivate PLC, Series A, 5.250%      3,219,001  
     

 

 

  
   Wireless — 0.3%

 

  3,246      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(f)(i)      4,090,220  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $21,307,661)		      23,028,771  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $21,307,661)		      23,028,771  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  50

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

    
Shares		      Description    Value (†)  
  Other Investments — 0.1%  
   Aircraft ABS — 0.1%

 

  900      ECAF I Blocker Ltd.(d)(e)(f)(g)
(Identified Cost $9,000,000)		    $ 1,034,460  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 7.8%  
$ 72,488,211      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $72,488,211 on 7/01/2021 collateralized by $53,883,300 U.S. Treasury Bond 4.375% due 2/15/2038 valued at $73,938,017 including accrued interest (Note 2 of Notes to Financial Statements)      72,488,211  
  17,410,000      U.S. Treasury Bills, 0.056%, 3/24/2022(a)(o)(p)      17,403,825  
  17,950,000      U.S. Treasury Bills, 0.071%, 6/16/2022(o)      17,936,911  
  4,670,000      U.S. Treasury Bills, 0.105%, 11/04/2021(a)(o)      4,669,128  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $112,496,900)		      112,498,075  
     

 

 

  
     
   Total Investments — 99.1%
(Identified Cost $1,414,069,209)		      1,433,494,778  
   Other assets less liabilities — 0.9%      13,255,744  
     

 

 

  
   Net Assets — 100.0%    $ 1,446,750,522  
     

 

 

  

 

Written Options — (0.0%)

 

Description    Expiration
Date		      Exercise
Price		      Shares(††)     Notional
Amount		     Premiums
(Received)		     Value (†)  
Options on Securities – (0.0%)

 

Accenture PLC, Call

      8/20/2021        300.00        (1,200 )    $ (353,748 )    $ (4,281 )    $ (5,400 ) 

Activision Blizzard, Inc., Call

      8/20/2021        105.00        (4,400 )      (419,936 )      (4,079 )      (5,566 ) 

AES Corp. (The), Call

      8/20/2021        27.00        (8,100 )      (211,167 )      (5,161 )      (4,860 ) 

American Tower Corp., Call

      8/20/2021        280.00        (1,600 )      (432,224 )      (6,027 )      (6,720 ) 

Anthem, Inc., Call

      8/20/2021        400.00        (700 )      (267,260 )      (3,617 )      (4,165 ) 

Apple, Inc., Call

      8/20/2021        145.00        (3,100 )      (424,576 )      (3,317 )      (5,751 ) 

Applied Materials, Inc., Call

      8/20/2021        150.00        (3,200 )      (455,680 )      (6,809 )      (14,800 ) 

Bristol-Myers Squibb Co., Call

      8/20/2021        70.00        (5,300 )      (354,146 )      (4,172 )      (3,392 ) 

Chevron Corp., Call

      8/20/2021        115.00        (4,200 )      (439,908 )      (5,533 )      (3,906 ) 

Cisco Systems, Inc., Call

      8/20/2021        55.00        (7,600 )      (402,800 )      (8,262 )      (6,536 ) 

Citizens Financial Group, Inc., Call

      8/20/2021        50.00        (1,500 )      (68,805 )      (956 )      (937 ) 

Coca-Cola Co. (The), Call

      8/20/2021        57.50        (7,600 )      (411,236 )      (3,018 )      (2,052 ) 

Comcast Corp., Call

      8/20/2021        60.00        (7,800 )      (444,756 )      (6,920 )      (5,889 ) 

ConocoPhillips, Call

      8/20/2021        65.00        (6,600 )      (401,940 )      (7,904 )      (9,702 ) 

Energy Transfer LP, Call

      8/20/2021        12.00        (23,900 )      (254,057 )      (6,987 )      (5,258 ) 

Exxon Mobil Corp., Call

      8/20/2021        70.00        (6,500 )      (410,020 )      (3,509 )      (3,900 ) 

Iron Mountain, Inc., Call

      8/20/2021        47.50        (5,800 )      (601,982 )      (5,436 )      (1,305 ) 

Lam Research Corp., Call

      8/20/2021        710.00        (400 )      (260,280 )      (3,738 )      (5,650 ) 

LyondellBasell Industries NV, Call

      8/20/2021        110.00        (2,000 )      (205,740 )      (4,134 )      (4,150 ) 

MasterCard, Inc., Call

      8/20/2021        395.00        (1,100 )      (401,599 )      (7,774 )      (3,437 ) 

Microsoft Corp., Call

      8/20/2021        275.00        (900 )      (243,810 )      (3,615 )      (5,895 ) 

Morgan Stanley, Call

      8/20/2021        97.50        (4,200 )      (385,098 )      (2,803 )      (6,195 ) 

Newmont Corp., Call

      8/20/2021        72.50        (4,000 )      (253,520 )      (2,198 )      (1,900 ) 

NVIDIA Corp., Call

      8/20/2021        830.00        (300 )      (240,030 )      (4,460 )      (11,243 ) 

Pfizer, Inc., Call

      8/20/2021        41.00        (7,900 )      (309,364 )      (3,865 )      (3,239 ) 

QUALCOMM, Inc., Call

      8/20/2021        155.00        (1,900 )      (271,567 )      (1,667 )      (4,237 ) 

Starbucks Corp., Call

      8/20/2021        120.00        (2,800 )      (313,068 )      (2,883 )      (2,828 ) 

Target Corp., Call

      8/20/2021        250.00        (1,300 )      (314,262 )      (4,565 )      (7,345 ) 

Texas Instruments, Inc., Call

      8/20/2021        200.00        (1,300 )      (249,990 )      (2,869 )      (4,518 ) 

Thermo Fisher Scientific, Inc., Call

      8/20/2021        510.00        (500 )      (252,235 )      (4,337 )      (7,900 ) 
            

 

 

    

 

 

  

Total

              $ (134,896 )    $ (158,676 ) 
            

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

51  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

 

Loomis Sayles Strategic Alpha Fund – (continued)

 

 

  (‡)      Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
  (†)      See Note 2 of Notes to Financial Statements.
  (††)      Options on securities are expressed as shares.
  (†††)      Amount shown represents units. One unit represents a principal amount of 1,000.
  (††††)      Amount shown represents units. One unit represents a principal amount of 100.
  (a)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
  (b)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.
              (c)      Variable rate security. Rate as of June 30, 2021 is disclosed.
  (d)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
              (e)      Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows:

 

     Acquisition
Date		      Acquisition
Cost		      Value      % of Net
Assets		  

ECAF I Blocker Ltd.

      6/18/2015      $ 9,000,000      $ 1,034,460        0.1 % 

GCA2014 Holdings Ltd., Series 2014-1, Class C

      12/18/2014        2,341,451        2,102,338        0.1 % 

GCA2014 Holdings Ltd., Series 2014-1, Class D

      12/18/2014        1,059,946        794,959        0.1 % 

GCA2014 Holdings Ltd., Series 2014-1, Class E

      12/18/2014        2,657,606        170,500        Less than 0.1 % 

 

              (f)      Illiquid security.
  (g)      Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $5,989,942 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
  (h)      Non-income producing security.
  (i)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $7,163,951 or 0.5% of net assets. See Note 2 of Notes to Financial Statements.
  (j)      Perpetual bond with no specified maturity date.
              (k)      Interest rate represents annualized yield at time of purchase; not a coupon rate.
  (l)      Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
  (m)      Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
  (n)      New issue unsettled as of June 30, 2021. Coupon rate does not take effect until settlement date.
  (o)      Interest rate represents discount rate at time of purchase; not a coupon rate.
  (p)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $683,894,746 or 47.3% of net assets.
  ABS      Asset-Backed Securities
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
  ARS      Auction Rate Security
  EMTN      Euro Medium Term Note
  EURIBOR      Euro Interbank Offered Rate
  JIBAR      Johannesburg Interbank Agreed Rate
  LIBOR      London Interbank Offered Rate
  MTN      Medium Term Note
  REITs      Real Estate Investment Trusts
  SAFEX      South African Futures Exchange
  SLM      Sallie Mae
  ARS      Argentine Peso
  BRL      Brazilian Real
  COP      Colombian Peso
  EUR      Euro
  GBP      British Pound
  INR      Indian Rupee
  MXN      Mexican Peso
  ZAR      South African Rand

 

At June 30, 2021, the Fund had the following open bilateral credit default swap agreements:

Buy Protection

 

Counterparty    Reference Obligation    (Pay)/
Receive
Fixed  Rate1		     Expiration
Date		      Notional
Value(‡)		      Unamortized
Up Front
Premium
Paid/(Received)		      Market Value      Unrealized
Appreciation
(Depreciation)		  

Barclays Bank PLC

    United Mexican States      (1.00 %)      6/20/2026        21,525,000      $ 82,426      $ (70,624 )     $ (153,050 ) 
             

 

 

     

 

 

     

 

 

  

At June 30, 2021, the Fund had the following open centrally cleared interest rate swap agreements:

 

Notional
Value		    Currency      Expiration Date      Fund Pays1     Fund Receives1      Market
Value		     Unrealized
Appreciation
(Depreciation)2 		 

330,000,000

      ZAR        5/07/2030        7.580 %      3-month SAFEX-JIBAR      $ (847,667 )    $ (849,143 ) 
             

 

 

    

 

 

  

 

(‡)

Notional value stated in U.S. dollars unless otherwise noted.

 

1 

Payments are made quarterly.

 

2

Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

 

See accompanying notes to financial statements.

 

|  52

Portfolio of Investments – as of June 30, 2021 (Unaudited)

 

Loomis Sayles Strategic Alpha Fund – (continued)

 

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

 

Counterparty    Delivery
Date		      Currency
Bought/
Sold (B/S)		    Units of Currency      In Exchange
for		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Bank of America, N.A.

      9/02/2021      BRL      S        17,876,000      $ 3,334,639      $ 3,567,352      $ (232,713 ) 

Bank of America, N.A.

      7/26/2021      EUR      S        1,665,000        2,006,752        1,975,258        31,494  

Barclays Bank PLC

      7/26/2021      EUR      S        1,955,000        2,355,724        2,319,296        36,428  

Deutsche Bank AG

      7/30/2021      GBP      S        1,400,000        1,944,123        1,936,785        7,338  

HSBC Bank USA

      8/17/2021      EUR      S        590,000        714,496        700,247        14,249  

Morgan Stanley Capital Services, Inc.

      7/08/2021      COP      S        5,186,874,000        1,421,373        1,381,670        39,703  

Morgan Stanley Capital Services, Inc.

      7/30/2021      EUR      S        1,480,000        1,789,479        1,755,927        33,552  

Morgan Stanley Capital Services, Inc.

      7/30/2021      ZAR      S        315,790,000        21,797,411        22,037,725        (240,314 ) 
                    

 

 

  

Total

 

    $ (310,263 ) 
  

 

 

  

At June 30, 2021, open short futures contracts were as follows:

 

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

30 Year U.S. Treasury Bond

      9/21/2021        556      $ 87,234,257      $ 89,377,000      $ (2,142,743 ) 

Ultra 10 Year U.S. Treasury Note

      9/21/2021        517        75,894,233        76,104,015        (209,782 ) 

Ultra Long U.S. Treasury Bond

      9/21/2021        353        67,025,697        68,018,688        (992,991 ) 
              

 

 

  

Total

 

    $ (3,345,516 ) 
              

 

 

  

Industry Summary at June 30, 2021 (Unaudited)

 

ABS Home Equity

      7.1 % 

Banking

      5.7  

ABS Car Loan

      5.1  

ABS Other

      4.9  

Finance Companies

      4.7  

Technology

      4.7  

Cable Satellite

      3.9  

Non-Agency Commercial Mortgage-Backed Securities

      3.2  

Aerospace & Defense

      2.9  

Wireless

      2.6  

Pharmaceuticals

      2.6  

Treasuries

      2.4  

Consumer Cyclical Services

      2.3  

ABS Whole Business

      2.1  

Government Owned – No Guarantee

      2.0  

Metals & Mining

      2.0  

Other Investments, less than 2% each

      28.1  

Short-Term Investments

      7.8  

Collateralized Loan Obligations

      5.0  
  

 

 

  

Total Investments

      99.1  

Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)

      0.9  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

53  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 82.0% of Net Assets  
  Non-Convertible Bonds — 74.4%  
   ABS Car Loan — 0.2%

 

$ 7,500,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A    $ 7,542,150  
  5,000,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A      5,075,250  
     

 

 

  
        12,617,400  
     

 

 

  
   ABS Credit Card — 0.0%

 

  975,000      Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A      981,215  
     

 

 

  
   ABS Home Equity — 1.6%

 

  11,250,000      510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a)(b)      11,249,998  
  5,350,000      CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A      5,408,058  
  13,573,904      Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)      13,642,954  
  1,965,000      FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2028, 144A      1,964,984  
  1,975,000      Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.153%, 6/17/2037, 144A(c)(d)      1,979,372  
  960,000      Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.232%, 7/17/2037, 144A(c)      962,836  
  550,340      Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)      554,918  
  4,025,000      Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a)      4,069,484  
  9,252,000      Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A      9,234,877  
  2,320,000      Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A      2,302,408  
  5,465,000      Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A      5,464,016  
  2,513,000      PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a)      2,536,803  
  8,085,432      PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)      8,172,164  
  8,510,000      PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a)      8,499,048  
  8,130,000      Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a)      8,134,272  
  369,016      VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a)      369,984  
     

 

 

  
        84,546,176  
     

 

 

  
   ABS Other — 1.4%

 

  24,147,935      GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(e)(f)(g)      21,733,141  
  10,967,324      GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(e)(f)(g)      8,225,493  
  42,000,000      GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(b)(e)(f)(g)(h)      2,100,000  
  4,758,426      Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(e)(i)      4,771,849  
  15,330,000      MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A      15,364,079  
   ABS Other — continued

 

11,100,000      SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A    11,115,018  
  9,318,729      Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(d)      9,389,225  
     

 

 

  
        72,698,805  
     

 

 

  
   ABS Whole Business — 0.1%

 

  5,490,000      Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A      5,537,708  
     

 

 

  
   Aerospace & Defense — 2.4%

 

  14,845,000      Boeing Co. (The), 3.625%, 2/01/2031      15,966,215  
  1,995,000      Boeing Co. (The), 3.625%, 3/01/2048      1,993,331  
  2,660,000      Boeing Co. (The), 3.750%, 2/01/2050      2,743,923  
  4,190,000      Boeing Co. (The), 3.825%, 3/01/2059      4,275,432  
  415,000      Boeing Co. (The), 3.850%, 11/01/2048      425,869  
  6,000,000      Boeing Co. (The), 3.900%, 5/01/2049      6,318,281  
  6,209,000      Boeing Co. (The), 3.950%, 8/01/2059      6,496,069  
  2,795,000      Boeing Co. (The), 5.150%, 5/01/2030      3,309,713  
  39,862,000      Boeing Co. (The), 5.805%, 5/01/2050(d)      53,679,406  
  3,145,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      3,351,438  
  9,576,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A      11,387,109  
  8,815,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A      11,384,396  
  6,485,000      TransDigm, Inc., 5.500%, 11/15/2027      6,760,613  
  370,000      TransDigm, Inc., 7.500%, 3/15/2027      393,588  
     

 

 

  
        128,485,383  
     

 

 

  
   Airlines — 2.1%

 

  16,395,411      Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(d)      17,754,755  
  240,000      American Airlines Group, Inc., 3.750%, 3/01/2025, 144A      221,100  
  20,000,000      American Airlines Group, Inc., 5.000%, 6/01/2022, 144A      20,025,400  
  1,415,848      American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027      1,360,007  
  813,724      American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027      789,072  
  2,655,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A      2,810,981  
  3,055,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A      3,303,219  
  26,975,000      Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A      29,699,475  
  120,264      Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023(d)      121,894  
  23,872,140      United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(d)      26,554,175  
  3,081,338      United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027      3,267,851  
  2,280,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      2,360,210  
  3,415,000      United Airlines, Inc., 4.625%, 4/15/2029, 144A      3,534,525  
     

 

 

  
        111,802,664  
     

 

 

  
   Automotive — 2.3%

 

  1,210,000      Allison Transmission, Inc., 4.750%, 10/01/2027, 144A      1,256,912  
  18,505,000      Ford Motor Co., 4.750%, 1/15/2043      19,661,562  
  1,220,000      Ford Motor Co., 6.625%, 2/15/2028      1,417,823  
  1,345,000      Ford Motor Co., 7.500%, 8/01/2026      1,583,953  

 

See accompanying notes to financial statements.

 

|  54

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

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

 

$ 1,500,000      Ford Motor Credit Co. LLC, 5.113%, 5/03/2029    $ 1,679,220  
  2,845,000      General Motors Co., 5.200%, 4/01/2045      3,516,332  
  2,120,000      General Motors Co., 6.250%, 10/02/2043      2,926,645  
  29,835,000      General Motors Financial Co., Inc., 3.600%, 6/21/2030(d)      32,303,886  
  540,000      General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(j)      587,731  
  865,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(j)      968,800  
  3,870,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      4,438,387  
  53,485,000      Toyota Motor Credit Corp., MTN, 0.500%, 6/18/2024      53,249,595  
     

 

 

  
        123,590,846  
     

 

 

  
   Banking — 6.4%

 

  6,000,000      Ally Financial, Inc., 8.000%, 11/01/2031      8,622,290  
  13,515,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(j)      13,997,485  
  10,840,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(j)      10,978,752  
  13,200,000      Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A(d)      14,977,248  
  22,800,000      Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter), 0.701%, 6/30/2024      22,845,528  
  9,275,000      Bank of America Corp., (fixed rate to 10/24/2030, variable rate thereafter), MTN, 1.922%, 10/24/2031(d)      9,039,001  
  983,000      Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028(d)      1,070,595  
  8,355,000      Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031(d)      8,613,480  
  5,895,000      Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031(d)      5,731,401  
  31,380,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(d)      32,692,939  
  19,940,000      BNP Paribas S.A., 2.824%, 1/26/2041, 144A(d)      18,833,529  
  18,860,000      BNP Paribas S.A., (fixed rate to 6/30/2026, variable rate thereafter), 1.675%, 6/30/2027, 144A      18,842,531  
  9,462,000      BNP Paribas S.A., (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A(d)      9,229,235  
  26,680,000      Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031(d)      31,153,366  
  5,670,000      Credit Agricole S.A., 2.811%, 1/11/2041, 144A(d)      5,379,723  
  6,740,000      Credit Agricole S.A., 3.250%, 1/14/2030, 144A(d)      7,104,836  
  5,325,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033(d)      5,781,624  
  1,709,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      1,843,020  
  6,610,000      Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032      6,721,365  
  19,245,000      Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A      20,941,694  
   Banking — continued

 

18,750,000      JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031(d)    17,981,465  
  26,645,000      JPMorgan Chase & Co., (fixed rate to 2/04/2031, variable rate thereafter), 1.953%, 2/04/2032(d)      25,877,589  
  13,265,000      Natwest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027      13,263,340  
  14,965,000      NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035(d)      14,971,734  
  13,520,000      UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A      14,741,419  
     

 

 

  
        341,235,189  
     

 

 

  
   Brokerage — 0.5%

 

  14,755,000      Jefferies Group LLC, 6.250%, 1/15/2036      19,719,392  
  7,155,000      Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A      7,866,282  
     

 

 

  
        27,585,674  
     

 

 

  
   Building Materials — 1.3%

 

  37,210,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      37,823,965  
  2,395,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      2,633,542  
  6,090,000      Cemex SAB de CV, (fixed rate to 6/8/2026, variable rate thereafter), 5.125%, 144A(j)      6,286,098  
  3,255,000      JELD-WEN, Inc., 4.875%, 12/15/2027, 144A      3,382,661  
  1,859,000      Masco Corp., 6.500%, 8/15/2032      2,472,853  
  1,226,000      Masco Corp., 7.750%, 8/01/2029      1,681,591  
  10,800,000      Owens Corning, 7.000%, 12/01/2036      15,673,632  
     

 

 

  
        69,954,342  
     

 

 

  
   Cable Satellite — 2.9%

 

  3,905,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 2.800%, 4/01/2031      3,992,126  
  71,120,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051      70,342,415  
  9,570,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061      9,392,923  
  4,940,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.900%, 6/01/2052      5,029,940  
  3,900,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049      4,644,512  
  17,880,000      CSC Holdings LLC, 5.375%, 2/01/2028, 144A      18,916,146  
  6,470,000      DISH DBS Corp., 5.125%, 6/01/2029, 144A      6,388,672  
  6,568,000      DISH DBS Corp., 5.875%, 11/15/2024      7,052,390  
  15,865,000      DISH DBS Corp., 7.750%, 7/01/2026      17,967,113  
  4,835,000      Time Warner Cable LLC, 4.500%, 9/15/2042      5,374,328  
  135,000      Time Warner Cable LLC, 5.875%, 11/15/2040      174,629  
  4,915,000      Ziggo BV, 5.500%, 1/15/2027, 144A      5,106,685  
     

 

 

  
        154,381,879  
     

 

 

  
   Chemicals — 0.6%

 

  4,205,000      Alpek SAB de CV, 3.250%, 2/25/2031, 144A      4,255,502  
  1,320,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      1,375,334  
  6,735,000      Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A      7,374,892  
  905,000      INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A      916,973  

 

See accompanying notes to financial statements.

 

55  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

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

 

$ 6,275,000      Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A    $ 6,528,134  
  10,239,000      Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A      10,302,994  
     

 

 

  
        30,753,829  
     

 

 

  
   Construction Machinery — 0.0%

 

  1,310,000      United Rentals North America, Inc., 4.875%, 1/15/2028      1,389,255  
     

 

 

  
   Consumer Cyclical Services — 2.3%

 

  3,430,000      Expedia Group, Inc., 2.950%, 3/15/2031      3,475,667  
  28,355,000      Expedia Group, Inc., 3.250%, 2/15/2030      29,618,124  
  6,720,000      Expedia Group, Inc., 3.800%, 2/15/2028      7,308,611  
  10,550,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A      10,481,425  
  5,500,000      Terminix Co. LLC (The), 7.450%, 8/15/2027      6,435,000  
  9,620,000      TriNet Group, Inc., 3.500%, 3/01/2029, 144A      9,485,320  
  18,350,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      19,748,454  
  34,335,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      37,733,478  
     

 

 

  
        124,286,079  
     

 

 

  
   Consumer Products — 0.4%

 

  11,880,000      Avon Products, Inc., 8.450%, 3/15/2043      15,406,578  
  6,110,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      6,262,750  
     

 

 

  
        21,669,328  
     

 

 

  
   Electric — 1.0%

 

  21,956,057      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      24,886,354  
  3,570,000      Enel Generacion Chile S.A., 7.875%, 2/01/2027(d)      4,447,466  
  1,635,000      Pacific Gas & Electric Co., 3.250%, 6/01/2031      1,607,735  
  4,365,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      3,890,353  
  5,515,000      Pacific Gas & Electric Co., 4.250%, 3/15/2046      5,243,641  
  7,435,000      Pacific Gas & Electric Co., 4.300%, 3/15/2045      7,134,654  
  7,860,000      Pacific Gas & Electric Co., 4.750%, 2/15/2044      7,935,802  
     

 

 

  
        55,146,005  
     

 

 

  
   Finance Companies — 5.4%

 

  780,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027      833,260  
  6,980,000      Air Lease Corp., 3.125%, 12/01/2030      7,091,020  
  4,298,000      Air Lease Corp., 4.625%, 10/01/2028      4,842,159  
  2,645,000      Air Lease Corp., MTN, 3.000%, 2/01/2030      2,682,890  
  11,210,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(j)      11,616,362  
  3,585,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(j)      3,620,850  
  1,020,000      Antares Holdings LP, 6.000%, 8/15/2023, 144A      1,104,822  
  20,000,000      Antares Holdings LP, 8.500%, 5/18/2025, 144A      23,882,207  
  20,380,000      Ares Capital Corp., 2.875%, 6/15/2028      20,686,108  
  5,315,000      Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A      5,316,436  
  7,225,000      FS KKR Capital Corp., 3.400%, 1/15/2026      7,470,784  
  40,505,000      GE Capital Funding LLC, 4.550%, 5/15/2032(d)      48,351,547  
  11,150,000      GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035(d)      13,363,068  
  135,000      Navient Corp., 5.000%, 3/15/2027      139,691  
  3,030,000      Navient Corp., 5.875%, 10/25/2024      3,268,613  
  950,000      Navient Corp., 6.750%, 6/15/2026      1,060,438  
  32,700,000      Navient Corp., MTN, 5.625%, 8/01/2033      31,614,033  
   Finance Companies — continued

 

11,424,000      Navient Corp., MTN, 6.125%, 3/25/2024    12,329,466  
  5,355,000      OneMain Finance Corp., 6.875%, 3/15/2025      6,043,653  
  4,075,000      OneMain Finance Corp., 7.125%, 3/15/2026      4,746,193  
  8,425,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      8,361,785  
  14,750,000      Owl Rock Capital Corp., 4.250%, 1/15/2026      15,935,121  
  4,360,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      4,578,000  
  11,965,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      11,815,437  
  36,940,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      37,216,681  
     

 

 

  
        287,970,624  
     

 

 

  
   Financial Other — 0.8%

 

  1,800,000      China Evergrande Group, 8.250%, 3/23/2022      1,539,900  
  1,845,000      China Evergrande Group, 8.750%, 6/28/2025      1,230,384  
  1,405,000      China Evergrande Group, 9.500%, 4/11/2022      1,201,977  
  335,000      China Evergrande Group, 9.500%, 3/29/2024      234,670  
  25,740,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A      25,611,300  
  3,580,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      3,696,332  
  11,820,000      Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A      11,916,097  
     

 

 

  
        45,430,660  
     

 

 

  
   Food & Beverage — 1.3%

 

  4,310,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A      4,410,208  
  45,450,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      51,509,394  
  14,805,000      MARB BondCo. PLC, 3.950%, 1/29/2031, 144A      14,274,981  
     

 

 

  
        70,194,583  
     

 

 

  
   Gaming — 0.7%

 

  12,960,000      Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A      12,901,161  
  5,475,000      International Game Technology PLC, 6.250%, 1/15/2027, 144A      6,241,500  
  3,265,000      Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A      3,260,919  
  12,590,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      13,750,798  
  740,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      834,720  
     

 

 

  
        36,989,098  
     

 

 

  
   Government Owned – No Guarantee — 1.1%

 

  455,800,000      Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(d)      6,232,708  
  6,535,000      Pertamina Persero PT, 6.450%, 5/30/2044, 144A      8,514,011  
  6,586,000      Petroleos Mexicanos, 6.625%, 6/15/2035      6,360,430  
  12,239,000      Petroleos Mexicanos, 6.950%, 1/28/2060      10,830,291  
  30,245,000      Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(d)      29,337,650  
     

 

 

  
        61,275,090  
     

 

 

  
   Health Insurance — 0.5%

 

  21,450,000      Centene Corp., 2.500%, 3/01/2031      21,155,062  
  4,510,000      Centene Corp., 3.000%, 10/15/2030      4,633,033  
     

 

 

  
        25,788,095  
     

 

 

  
   Healthcare — 1.1%

 

  3,285,000      Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A      3,181,128  
  1,980,000      Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A      2,007,225  

 

See accompanying notes to financial statements.

 

|  56

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

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

 

$ 2,110,000      Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A    $ 2,195,096  
  16,025,000      HCA, Inc., 5.250%, 6/15/2049      20,426,938  
  28,194,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      32,000,190  
     

 

 

  
        59,810,577  
     

 

 

  
   Home Construction — 1.5%

 

  47,260,000      PulteGroup, Inc., 6.000%, 2/15/2035(d)      62,025,442  
  13,190,000      PulteGroup, Inc., 6.375%, 5/15/2033      17,420,824  
     

 

 

  
        79,446,266  
     

 

 

  
   Independent Energy — 3.2%

 

  9,350,000      Aker BP ASA, 3.750%, 1/15/2030, 144A      10,089,446  
  17,065,000      Aker BP ASA, 4.000%, 1/15/2031, 144A      18,743,935  
  6,638,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.000%, 11/01/2027, 144A      9,169,335  
  9,380,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A      11,232,550  
  2,678,000      Devon Energy Corp., 4.500%, 1/15/2030, 144A      2,944,185  
  3,575,000      Diamondback Energy, Inc., 3.125%, 3/24/2031      3,704,973  
  2,340,000      Diamondback Energy, Inc., 3.500%, 12/01/2029      2,505,080  
  6,210,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      6,379,036  
  8,120,000      Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A      8,359,946  
  810,000      EQT Corp., 3.125%, 5/15/2026, 144A      830,015  
  1,720,000      EQT Corp., 3.625%, 5/15/2031, 144A      1,793,100  
  12,640,000      Hess Corp., 5.600%, 2/15/2041      15,778,198  
  550,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      603,801  
  10,835,000      Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A      12,064,773  
  8,530,000      Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A      8,543,651  
  6,160,000      Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A      6,222,437  
  17,908,000      Mesquite Energy, Inc., 6.125%, 1/15/2023(b)(e)(g)(k)      327,716  
  9,520,000      Mesquite Energy, Inc., 7.750%, 6/15/2021(b)(e)(g)(k)      174,216  
  540,000      Occidental Petroleum Corp., 4.500%, 7/15/2044      522,374  
  32,720,000      Occidental Petroleum Corp., 6.625%, 9/01/2030      39,264,000  
  1,245,000      Ovintiv, Inc., 6.500%, 8/15/2034      1,643,543  
  540,000      Ovintiv, Inc., 6.500%, 2/01/2038      718,930  
  2,715,000      Ovintiv, Inc., 6.625%, 8/15/2037      3,622,569  
  360,000      Ovintiv, Inc., 7.200%, 11/01/2031      473,714  
  325,000      Ovintiv, Inc., 7.375%, 11/01/2031      431,505  
  1,495,000      Ovintiv, Inc., 8.125%, 9/15/2030      2,037,374  
  1,110,000      Southwestern Energy Co., 6.450%, 1/23/2025      1,228,770  
     

 

 

  
        169,409,172  
     

 

 

  
   Leisure — 0.7%

 

  11,785,000      Carnival Corp., 5.750%, 3/01/2027, 144A      12,344,787  
  6,575,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      6,887,313  
  2,415,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A      2,530,799  
  230,000      Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A      229,713  
  12,300,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      12,881,790  
     

 

 

  
        34,874,402  
     

 

 

  
   Life Insurance — 1.4%

 

  9,880,000      Athene Global Funding, 1.608%, 6/29/2026, 144A      9,881,093  
  3,575,000      Brighthouse Financial, Inc., 4.700%, 6/22/2047(d)      3,970,490  
   Life Insurance — continued

 

13,830,000      Brighthouse Financial, Inc., 5.625%, 5/15/2030(d)    16,827,478  
  20,000,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(e)(i)      32,060,800  
  8,920,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(e)(i)      11,784,391  
     

 

 

  
        74,524,252  
     

 

 

  
   Lodging — 0.7%

 

  7,620,000      Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A      7,524,750  
  1,745,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A      1,740,428  
  5,385,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A      5,506,163  
  7,440,000      Marriott International, Inc., Series HH, 2.850%, 4/15/2031      7,555,250  
  4,155,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      4,212,131  
  7,670,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      7,905,469  
  970,000      Travel & Leisure Co., 6.000%, 4/01/2027      1,065,613  
  1,120,000      Travel & Leisure Co., 6.625%, 7/31/2026, 144A      1,268,960  
     

 

 

  
        36,778,764  
     

 

 

  
   Media Entertainment — 1.3%

 

  5,500,000      AMC Networks, Inc., 4.250%, 2/15/2029      5,548,125  
  3,925,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      4,037,844  
  1,925,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      2,012,395  
  4,635,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      4,965,244  
  1,325,000      Netflix, Inc., 4.875%, 4/15/2028      1,540,313  
  11,680,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      13,891,024  
  1,305,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      1,585,048  
  6,520,000      Netflix, Inc., 5.875%, 11/15/2028      8,002,844  
  7,670,000      Netflix, Inc., 6.375%, 5/15/2029      9,796,507  
  3,956,000      ViacomCBS, Inc., 4.375%, 3/15/2043      4,577,318  
  4,469,000      ViacomCBS, Inc., 4.900%, 8/15/2044      5,420,560  
  4,600,000      ViacomCBS, Inc., 4.950%, 5/19/2050      5,808,419  
     

 

 

  
        67,185,641  
     

 

 

  
   Metals & Mining — 3.3%

 

  8,090,000      Anglo American Capital PLC, 2.625%, 9/10/2030, 144A      8,120,599  
  13,790,000      Anglo American Capital PLC, 2.875%, 3/17/2031, 144A      14,097,094  
  22,016,000      ArcelorMittal S.A., 7.000%, 3/01/2041      30,578,945  
  2,630,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      2,751,269  
  35,930,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      39,152,921  
  1,810,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      1,877,875  
  9,590,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      10,259,670  
  22,815,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      27,556,071  
  12,330,000      Glencore Funding LLC, 2.500%, 9/01/2030, 144A(d)      12,283,763  
  29,695,000      Glencore Funding LLC, 2.850%, 4/27/2031, 144A(d)      30,197,880  
  1,900,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      1,881,000  
     

 

 

  
        178,757,087  
     

 

 

  

 

See accompanying notes to financial statements.

 

57  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Midstream — 0.6%

 

$ 14,530,000      Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(d)    $ 14,422,640  
  505,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      722,404  
  1,425,000      Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030      1,524,833  
  185,000      Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043      186,887  
  11,340,000      Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044      12,013,614  
  1,180,000      Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045      1,282,401  
  3,515,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A      3,615,705  
     

 

 

  
        33,768,484  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 0.2%

 

  3,065,000      Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 5.038%, 9/10/2045, 144A(a)      3,077,173  
  2,005,000      Commercial Mortgage Trust, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A(d)      2,020,855  
  2,570,000      Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)      2,579,524  
  2,085,000      Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.325%, 7/15/2038, 144A(c)      2,093,974  
  290,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.566%, 12/15/2047, 144A(a)(d)      285,404  
  1,550,000      Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a)      1,556,188  
  1,725,000      WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.646%, 8/15/2046(a)      1,722,548  
     

 

 

  
        13,335,666  
     

 

 

  
   Packaging — 0.2%

 

  8,750,000      Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A      9,515,625  
     

 

 

  
   Paper — 0.8%

 

  15,225,000      Georgia-Pacific LLC, 7.750%, 11/15/2029(d)      21,944,314  
  4,865,000      WestRock MWV LLC, 7.950%, 2/15/2031      6,941,474  
  8,750,000      WestRock MWV LLC, 8.200%, 1/15/2030      12,378,884  
  2,840,000      Weyerhaeuser Co., 6.950%, 10/01/2027      3,669,724  
     

 

 

  
        44,934,396  
     

 

 

  
   Pharmaceuticals — 0.2%

 

  1,995,000      Jazz Securities DAC, 4.375%, 1/15/2029, 144A      2,068,416  
  9,700,000      Viatris, Inc., 4.000%, 6/22/2050, 144A      10,258,032  
     

 

 

  
        12,326,448  
     

 

 

  
   Property & Casualty Insurance — 0.2%

 

  12,510,000      MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.444%, 1/15/2033, 144A(b)(c)(e)(h)(i)      3,674,812  
  6,220,000      Radian Group, Inc., 6.625%, 3/15/2025      7,019,208  
     

 

 

  
        10,694,020  
     

 

 

  
   REITs – Apartments — 0.0%

 

  1,855,000      American Homes 4 Rent, 2.375%, 7/15/2031      1,827,416  
     

 

 

  
   REITs – Office Property — 0.0%

 

  1,910,000      Corporate Office Properties LP, 2.750%, 4/15/2031      1,924,412  
     

 

 

  
   Restaurants — 0.4%

 

  19,175,000      Yum! Brands, Inc., 4.625%, 1/31/2032      20,133,750  
     

 

 

  
   Retailers — 0.6%

 

3,665,000      Carvana Co., 5.500%, 4/15/2027, 144A    3,784,956  
  3,250,000      Carvana Co., 5.625%, 10/01/2025, 144A      3,378,895  
  6,245,000      Carvana Co., 5.875%, 10/01/2028, 144A      6,569,240  
  3,325,000      Dillard’s, Inc., 7.000%, 12/01/2028      3,960,009  
  1,500,000      Dillard’s, Inc., 7.750%, 7/15/2026      1,806,795  
  3,975,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      4,117,106  
  6,365,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      7,523,112  
  2,555,000      Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A      2,525,515  
     

 

 

  
        33,665,628  
     

 

 

  
   Sovereigns — 0.9%

 

  30,640,000      Mexico Government International Bond, 3.771%, 5/24/2061(d)      28,550,659  
  20,885,000      Mexico Government International Bond, 4.280%, 8/14/2041(d)      21,921,731  
     

 

 

  
        50,472,390  
     

 

 

  
   Supermarkets — 0.1%

 

  2,290,000      Safeway, Inc., 7.250%, 2/01/2031      2,673,575  
     

 

 

  
   Supranational — 0.1%

 

  525,240,000      International Finance Corp., 5.850%, 11/25/2022, (INR)(d)      7,158,188  
     

 

 

  
   Technology — 2.0%

 

  23,110,000      Broadcom, Inc., 4.300%, 11/15/2032      26,315,947  
  1,025,000      Broadcom, Inc., 5.000%, 4/15/2030      1,209,266  
  15,295,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      15,658,256  
  1,215,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      1,215,000  
  13,195,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      13,619,879  
  3,990,000      Jabil, Inc., 3.600%, 1/15/2030      4,317,388  
  6,335,000      Jabil, Inc., 3.950%, 1/12/2028      7,042,209  
  15,170,000      KLA Corp., 5.650%, 11/01/2034(d)      19,349,935  
  5,655,000      Marvell Technology, Inc., 2.950%, 4/15/2031, 144A      5,860,678  
  5,200,000      Sensata Technologies BV, 4.000%, 4/15/2029, 144A      5,278,433  
  5,770,000      Square, Inc., 3.500%, 6/01/2031, 144A      5,820,487  
     

 

 

  
        105,687,478  
     

 

 

  
   Transportation Services — 0.4%

 

  4,150,000      Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A      3,955,697  
  14,685,000      Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A      15,298,533  
  1,234,000      Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024      1,357,400  
  1,240,000      GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A      1,204,935  
  255,000      GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A      259,016  
     

 

 

  
        22,075,581  
     

 

 

  
   Treasuries — 14.7%

 

  142,342(††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)      30,188,317  
  5,454,785(†††)      Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(d)      27,853,499  
  135,835,000      U.S. Treasury Note, 0.125%, 11/30/2022(d)      135,744,797  
  109,525,000      U.S. Treasury Note, 0.125%, 12/31/2022(l)      109,430,876  
  117,000,000      U.S. Treasury Note, 0.125%, 1/31/2023(d)      116,885,743  
  250,000,000      U.S. Treasury Note, 0.125%, 2/28/2023(d)      249,687,500  
  80,985,000      U.S. Treasury Note, 0.125%, 4/30/2023      80,833,153  
  40,355,000      U.S. Treasury Note, 0.125%, 5/31/2023      40,268,300  
     

 

 

  
        790,892,185  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  58

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Wireless — 2.9%

 

$ 6,300,000      Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A    $ 6,249,758  
  16,660,000      Crown Castle International Corp., 2.500%, 7/15/2031      16,778,595  
  1,200,000      HTA Group Ltd., 7.000%, 12/18/2025, 144A      1,276,536  
  20,720,000      HTA Group Ltd., 7.000%, 12/18/2025      22,041,522  
  7,228,000      IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A      7,863,920  
  2,580,000      Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A      2,593,648  
  5,345,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      5,680,185  
  490,000      Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A      502,049  
  1,903,500      Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A      1,979,640  
  4,225,500      Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A      4,619,950  
  16,600,000      SBA Communications Corp., 3.125%, 2/01/2029, 144A      16,003,497  
  27,610,000      T-Mobile USA, Inc., 3.375%, 4/15/2029      28,493,343  
  13,640,000      T-Mobile USA, Inc., 3.500%, 4/15/2031      14,111,262  
  25,025,000      T-Mobile USA, Inc., 3.875%, 4/15/2030      27,973,446  
     

 

 

  
        156,167,351  
     

 

 

  
   Wirelines — 1.6%

 

  27,835,000      AT&T, Inc., 3.500%, 9/15/2053, 144A(d)      27,965,004  
  350,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      386,694  
  2,160,000      Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A      2,270,700  
  1,240,000      Lumen Technologies, Inc., 5.625%, 4/01/2025      1,345,400  
  30,646,000      Telecom Italia Capital S.A., 6.000%, 9/30/2034      35,357,823  
  16,440,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      19,604,700  
     

 

 

  
        86,930,321  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $3,863,934,400)		      3,999,279,002  
     

 

 

  
     
  Convertible Bonds — 6.3%  
   Airlines — 0.4%

 

  3,695,000      JetBlue Airways Corp., 0.500%, 4/01/2026, 144A      3,682,068  
  11,670,000      Southwest Airlines Co., 1.250%, 5/01/2025(d)      17,672,756  
     

 

 

  
        21,354,824  
     

 

 

  
   Cable Satellite — 3.0%

 

  14,660,000      DISH Network Corp., 2.375%, 3/15/2024      14,211,037  
  143,750,000      DISH Network Corp., 3.375%, 8/15/2026      146,696,875  
     

 

 

  
        160,907,912  
     

 

 

  
   Consumer Cyclical Services — 0.4%

 

  5,370,000      Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(m)      5,799,600  
  5,830,000      Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(n)      5,636,881  
  7,860,000      Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(m)      7,970,040  
     

 

 

  
        19,406,521  
     

 

 

  
   Healthcare — 0.5%

 

  25,010,000      Teladoc Health, Inc., 1.250%, 6/01/2027      27,996,194  
     

 

 

  
   Media Entertainment — 0.1%

 

  8,280,000      Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(m)      7,897,050  
     

 

 

  
   Oil Field Services — 0.2%

 

10,424,449      Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash, 11/15/2025, 144A(b)(e)(f)(g)(o)(p)    7,933,006  
     

 

 

  
   Pharmaceuticals — 0.9%

 

  8,280,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      8,580,564  
  27,195,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027      27,247,409  
  5,015,000      Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(m)      4,913,195  
  3,735,000      Livongo Health, Inc., 0.875%, 6/01/2025      5,933,309  
  835,000      Neurocrine Biosciences, Inc., 2.250%, 5/15/2024      1,116,312  
     

 

 

  
        47,790,789  
     

 

 

  
   Technology — 0.8%

 

  23,210,000      Palo Alto Networks, Inc., 0.375%, 6/01/2025      31,565,600  
  2,885,000      Splunk, Inc., 1.125%, 6/15/2027      2,811,072  
  9,150,000      Western Digital Corp., 1.500%, 2/01/2024      9,773,344  
     

 

 

  
        44,150,016  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $335,053,881)		      337,436,312  
     

 

 

  
     
  Municipals — 1.3%  
   Virginia — 1.3%

 

  66,375,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $66,369,205)      69,725,637  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $4,265,357,486)		      4,406,440,951  
     

 

 

  
     
  Senior Loans — 0.7%  
   Airlines — 0.1%

 

  5,898,705      United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)      5,970,787  
     

 

 

  
   Chemicals — 0.1%

 

  7,037,600      Aruba Investments, Inc., 2020 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.500%, 11/24/2028(c)      7,061,035  
     

 

 

  
   Independent Energy — 0.3%

 

  12,660,000      Ascent Resources – Utica, 2020 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.000%, 11/01/2025(c)      13,962,967  
     

 

 

  
   Lodging — 0.1%

 

  6,025,787      Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 5/19/2028(q)      6,027,655  
     

 

 

  
   Pharmaceuticals — 0.1%

 

  5,210,000      Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c)      5,224,640  
     

 

 

  
   Total Senior Loans
(Identified Cost $36,649,948)		      38,247,084  
     

 

 

  
     
  Collateralized Loan Obligations — 2.5%  
  4,475,000      AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 1.730%, 7/20/2034, 144A(c)      4,454,774  
  4,955,000      AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 2.980%, 7/20/2034, 144A(c)      4,954,921  

 

See accompanying notes to financial statements.

 

59  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Collateralized Loan Obligations — continued  
$ 1,245,000      AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 7/15/2034, 144A(b)(c)(r)    $ 1,245,000  
  9,390,000      AIG CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 3.134%, 4/22/2034, 144A(c)      9,389,449  
  6,730,000      Assurant CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 3.201%, 10/20/2031, 144A(b)(c)      6,730,000  
  3,025,000      Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 7/25/2034, 144A(b)(c)(r)      3,025,000  
  7,130,000      Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class CR, 3-month LIBOR + 2.000%, 2.000%, 1/17/2032, 144A(c)      7,092,261  
  1,505,000      Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 3.000%, 1/17/2032, 144A(c)      1,504,994  
  3,095,000      CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 7/15/2034, 144A(b)(c)(e)(i)(r)      3,095,000  
  5,230,000      Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 10/20/2034, 144A(b)(c)(r)      5,230,000  
  2,890,000      Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 2.966%, 1/20/2034, 144A(c)      2,887,344  
  2,195,000      KVK CLO Ltd., Series 2013-1A, Class DR, 3-month LIBOR + 2.950%, 3.136%, 1/14/2028, 144A(c)      2,194,982  
  5,980,000      LCM 30 Ltd., Series 30A, Class BR, 3-month LIBOR + 1.500%, 1.660%, 4/20/2031, 144A(c)      5,962,558  
  980,000      LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 2.160%, 4/20/2031, 144A(c)      970,813  
  2,965,000      LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.160%, 4/20/2031, 144A(c)      2,964,991  
  10,665,000      Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 3.355%, 7/27/2031, 144A(c)      10,664,965  
  990,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.173%, 1/23/2031, 144A(c)      990,050  
  3,480,000      Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.100%, 4/15/2034, 144A(c)      3,479,964  
  6,010,000      Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 1.850%, 7/15/2034, 144A(c)      6,016,015  
  8,055,000      OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 7/20/2032, 144A(b)(c)(e)(i)(r)      8,055,000  
  7,155,000      Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 7/15/2034, 144A(b)(c)(e)(i)(r)      7,155,000  
  8,250,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 7/02/2035, 144A(b)(c)(r)      8,250,000  
  6,450,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 7/02/2035, 144A(b)(c)(r)      6,450,000  
  9,695,000      Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 1.655%, 10/17/2031, 144A(c)(d)      9,695,466  
  Collateralized Loan Obligations — continued  
3,330,000      Palmer Square CLO Ltd., Series 2013-2A, Class CR3, 3-month LIBOR + 2.700%, 2.855%, 10/17/2031, 144A(c)    3,329,983  
  970,000      Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 2.138%, 5/21/2034, 144A(c)      969,903  
  7,615,000      Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 2.975%, 5/21/2034, 144A(c)      7,614,853  
  1,130,000      Parallel Ltd., Series 2015-1A, Class DR, 3-month LIBOR + 2.550%, 2.738%, 7/20/2027, 144A(c)      1,130,549  
  400,000      THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 3.138%, 1/20/2031, 144A(c)      397,198  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $135,981,881)		      135,901,033  
     

 

 

  
     
Shares                
  Common Stocks — 10.3%  
   Aerospace & Defense — 0.3%

 

  37,988      Lockheed Martin Corp.      14,372,760  
     

 

 

  
   Air Freight & Logistics — 0.3%

 

  68,588      United Parcel Service, Inc., Class B      14,264,246  
     

 

 

  
   Beverages — 0.3%

 

  268,690      Coca-Cola Co. (The)      14,538,816  
     

 

 

  
   Capital Markets — 0.5%

 

  16,898      BlackRock, Inc.      14,785,243  
  164,431      Morgan Stanley      15,076,678  
     

 

 

  
        29,861,921  
     

 

 

  
   Chemicals — 0.2%

 

  664,252      Hexion Holdings Corp., Class B(h)      12,288,662  
     

 

 

  
   Communications Equipment — 0.3%

 

  275,878      Cisco Systems, Inc.      14,621,534  
     

 

 

  
   Electric Utilities — 0.5%

 

  142,353      Duke Energy Corp.      14,053,088  
  198,965      NextEra Energy, Inc.      14,580,155  
     

 

 

  
        28,633,243  
     

 

 

  
   Electronic Equipment, Instruments & Components — 0.3%

 

  363,031      Corning, Inc.      14,847,968  
     

 

 

  
   Food & Staples Retailing — 0.3%

 

  103,481      Walmart, Inc.      14,592,891  
     

 

 

  
   Health Care Equipment & Supplies — 0.3%

 

  125,614      Abbott Laboratories      14,562,431  
     

 

 

  
   Health Care Providers & Services — 0.5%

 

  37,353      Anthem, Inc.      14,261,375  
  35,848      UnitedHealth Group, Inc.      14,354,973  
     

 

 

  
        28,616,348  
     

 

 

  
   Hotels, Restaurants & Leisure — 0.3%

 

  130,385      Starbucks Corp.      14,578,347  
     

 

 

  
   Household Products — 0.3%

 

  106,741      Procter & Gamble Co. (The)      14,402,563  
     

 

 

  
   Insurance — 0.3%

 

  151,146      Progressive Corp. (The)      14,844,049  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  60

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
   IT Services — 0.5%

 

  51,712      Accenture PLC, Class A    $ 15,244,181  
  74,726      Automatic Data Processing, Inc.      14,842,078  
     

 

 

  
        30,086,259  
     

 

 

  
   Machinery — 0.3%

 

  41,003      Deere & Co.      14,462,168  
     

 

 

  
   Media — 0.5%

 

  264,617      Comcast Corp., Class A      15,088,462  
  461,939      iHeartMedia, Inc., Class A(h)      12,440,017  
     

 

 

  
        27,528,479  
     

 

 

  
   Metals & Mining — 0.2%

 

  198,433      Newmont Corp.      12,576,684  
     

 

 

  
   Oil Field Services — 0.0%

 

  60,638      Pioneer Energy Services Corp.(b)(e)(f)(g)(h)(p)      —  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.8%

 

  9,229      Battalion Oil Corp.(h)      123,669  
  137,373      Chevron Corp.      14,388,448  
  500,544      Lonestar Resources U.S., Inc.(b)(e)(f)(g)(h)(p)      4,955,386  
  225,503      Paragon Offshore Ltd., Litigation Units, Class B(b)(f)(g)(h)      1,761,178  
  158,206      Whiting Petroleum Corp.(h)      8,630,137  
  554,466      Williams Cos., Inc. (The)      14,721,072  
     

 

 

  
        44,579,890  
     

 

 

  
   Pharmaceuticals — 1.3%

 

  639,907      Bristol-Myers Squibb Co.      42,758,586  
  85,748      Johnson & Johnson      14,126,126  
  186,252      Merck & Co., Inc.      14,484,818  
  18,625      Organon & Co.(h)      563,592  
     

 

 

  
        71,933,122  
     

 

 

  
   REITs – Diversified — 0.3%

 

  58,263      American Tower Corp.      15,739,167  
     

 

 

  
   Road & Rail — 0.3%

 

  65,908      Union Pacific Corp.      14,495,146  
     

 

 

  
   Software — 0.3%

 

  23,768      iQor Holdings, Inc.(e)(h)(i)      318,800  
  58,610      Microsoft Corp.      15,877,449  
     

 

 

  
        16,196,249  
     

 

 

  
   Specialty Retail — 0.3%

 

  46,793      Home Depot, Inc. (The)      14,921,820  
     

 

 

  
   Technology Hardware, Storage & Peripherals — 0.3%

 

  115,898      Apple, Inc.      15,873,390  
     

 

 

  
   Wireless Telecommunication Services — 0.5%

 

  184,918      T-Mobile US, Inc.(h)      26,781,674  
     

 

 

  
   Total Common Stocks
(Identified Cost $564,095,931)		      550,199,827  
     

 

 

  
     
  Preferred Stocks — 1.9%  
  Convertible Preferred Stocks — 1.6%  
   Banking — 0.7%

 

  19,083      Bank of America Corp., Series L, 7.250%      27,021,528  
  7,500      Wells Fargo & Co., Class A, Series L, 7.500%      11,446,575  
     

 

 

  
        38,468,103  
     

 

 

  
   Food & Beverage — 0.1%

 

  37,280      Bunge Ltd., 4.875%      4,326,717  
     

 

 

  
   Healthcare — 0.1%

 

  57,041      Boston Scientific Corp., Series A, 5.500%      6,620,178  
     

 

 

  
   Midstream — 0.2%

 

  242,297      El Paso Energy Capital Trust I, 4.750%      12,175,424  
     

 

 

  
   Technology — 0.2%

 

  115,400      Clarivate PLC, Series A, 5.250%    12,082,380  
     

 

 

  
   Wireless — 0.3%

 

  11,832      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(e)(i)      14,909,267  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $79,074,646)		      88,582,069  
     

 

 

  
     
  Non-Convertible Preferred Stocks — 0.3%  
   Finance Companies — 0.0%

 

  10,425      iStar, Inc., Series G, 7.650%      268,861  
     

 

 

  
   Home Construction — 0.1%

 

  208,246      Hovnanian Enterprises, Inc., 7.625%(h)      3,858,798  
     

 

 

  
   REITs – Office Property — 0.0%

 

  1,596      Highwoods Properties, Inc., Series A, 8.625%      1,995,000  
     

 

 

  
   REITs – Warehouse/Industrials — 0.2%

 

  116,192      Prologis, Inc., Series Q, 8.540%      8,435,539  
     

 

 

  
   Total Non-Convertible Preferred Stocks
(Identified Cost $8,540,568)		      14,558,198  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $87,615,214)		      103,140,267  
     

 

 

  
     
  Closed-End Investment Companies — 0.1%  
  170,282      NexPoint Strategic Opportunities Fund
(Identified Cost $10,230,310)		      2,343,080  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 2.5%  
  1,693,051,726      Central Bank of Iceland, 0.000%, (ISK)(c)(s)      13,685,650  
  122,806,152      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $122,806,152 on 7/01/2021 collateralized by $91,867,200 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $125,262,397 including accrued interest (Note 2 of Notes to Financial Statements)      122,806,152  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $136,586,485)		      136,491,802  
     

 

 

  
     
   Total Investments — 100.0%
(Identified Cost $5,236,517,255)		      5,372,764,044  
   Other assets less liabilities — (0.0)%      (81,148 ) 
     

 

 

  
   Net Assets — 100.0%    $ 5,372,682,896  
     

 

 

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

 

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

 

  (††)      Amount shown represents units. One unit represents a principal amount of 1,000.

 

  (†††)      Amount shown represents 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 June 30, 2021 is disclosed.

 

 

See accompanying notes to financial statements.

 

61  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

  (b)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (c)      Variable rate security. Rate as of June 30, 2021 is disclosed.
  (d)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
  (e)      Illiquid security.
  (f)      Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows:

 

     Acquisition
Date		      Acquisition
Cost		     Value      % of Net
Assets		  
GCA2014 Holdings Ltd., Series 2014-1, Class C      12/18/2014      $ 24,204,995     $ 21,733,141        0.4%  
GCA2014 Holdings Ltd., Series 2014-1, Class D      12/18/2014        10,967,324       8,225,493        0.2%  
GCA2014 Holdings Ltd., Series 2014-1, Class E      12/18/2014        32,732,982       2,100,000        Less than 0.1%  
Lonestar Resources U.S., Inc.      12/01/2020        3,473,775 *      4,955,386        0.1%  
Paragon Offshore Ltd., Litigation Units, Class B      7/18/2017        22,768,653       1,761,178        Less than 0.1%  

Pioneer Energy Services Corp.

5.000% PIK or 5.000% Cash

      5/29/2020        9,688,450       7,933,006        0.2%  
Pioneer Energy Services Corp.      5/29/2020        17,677,239 **      —        —  

 

  
  *      Represents basis assigned upon receipt in a taxable restructuring.
  **      Represents basis carried over in a non-taxable restructuring.
  (g)      Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $47,210,136 or 0.9% of net assets. See Note 2 of Notes to Financial Statements.
  (h)      Non-income producing security.
  (i)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $85,824,919 or 1.6% of net assets. See Note 2 of Notes to Financial Statements.
  (j)      Perpetual bond with no specified maturity date.
  (k)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
  (l)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
  (m)      Interest rate represents annualized yield at time of purchase; not a coupon rate.
  (n)      Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
  (o)      Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2021, interest payments were made in principal.
  (p)      Affiliated issuer. See Note 6i for a summary of transactions in securities of affiliated issuers.
  (q)      Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
  (r)      New issue unsettled as of June 30, 2021. Coupon rate does not take effect until settlement date.
  (s)      Security callable by issuer at any time. No specified maturity date.
  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $1,619,251,473 or 30.1% of net assets.
  ABS      Asset-Backed Securities
  EMTN      Euro Medium Term Note
  LIBOR      London Interbank Offered Rate
  MBIA      Municipal Bond Investors Assurance Corp.
  MTN      Medium Term Note
  PIK      Payment-in-Kind
  REITs      Real Estate Investment Trusts
  BRL      Brazilian Real
  INR      Indian Rupee
  ISK      Icelandic Krona
  MXN      Mexican Peso

 

At June 30, 2021, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

 

Reference Obligation   (Pay)/
Receive
Fixed Rate		   Expiration
Date		     Implied
Credit
Spread^		     Notional
Value(‡)		     Unamortized
Up Front
Premium
Paid/(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  

CDX.NA HY* Series 36 500, 5-Year

   5.00%     6/20/2026       2.73 %      266,000,000     $ 22,504,039     $ 27,511,552     $ 5,007,513  
         

 

 

    

 

 

    

 

 

  

 

(‡)

Notional value stated in U.S. dollars unless otherwise noted.

^

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

*

CDX.NA.HY is an index composed of North American high yield credit default swaps.

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

 

Counterparty   Delivery
Date		   Currency
Bought/
Sold (B/S)		     Units
of
Currency		     In Exchange
for		     Notional
Value		     Unrealized
Appreciation
(Depreciation)		  

Bank of America, N.A.

   9/02/2021     BRL       S75,391,000     $ 14,063,648     $ 15,045,100     $ (981,452 ) 
           

 

 

  

 

 

See accompanying notes to financial statements.

 

|  62

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

At June 30, 2021, open long futures contracts were as follows:

 

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

Ultra 10 Year U.S. Treasury Note

       9/21/2021       4,688     $ 679,947,750     $ 690,088,250     $ (10,140,500 ) 

Ultra Long U.S. Treasury Bond

       9/21/2021       68       12,620,062       13,102,750       (482,688 ) 
               

 

 

  

Total

 

   $ (10,623,188 ) 
               

 

 

  

Industry Summary at June 30, 2021 (Unaudited)

 

Treasuries

      14.7 % 

Banking

      7.1  

Cable Satellite

      5.9  

Finance Companies

      5.4  

Metals & Mining

      3.5  

Independent Energy

      3.5  

Wireless

      3.2  

Technology

      3.0  

Consumer Cyclical Services

      2.7  

Aerospace & Defense

      2.7  

Airlines

      2.6  

Pharmaceuticals

      2.5  

Automotive

      2.3  

Other Investments, less than 2% each

      35.8  

Short-Term Investments

      2.5  

Collateralized Loan Obligations

      2.5  

Closed-End Investment Companies

      0.1  
  

 

 

  

Total Investments

      100.0  

Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)

      (0.0 )* 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

*

Less than 0.1%

 

See accompanying notes to financial statements.

 

63  |

Statements of Assets and Liabilities

 

June 30, 2021 (Unaudited)

 

    High
Income
Fund		      Intermediate
Municipal
Bond Fund		      Investment
Grade Bond
Fund		      Strategic
Alpha
Fund		  

ASSETS

 

Investments at cost

   $ 112,793,204      $ 38,553,554      $ 5,967,394,554      $ 1,414,069,209  

Net unrealized appreciation

     1,861,763        1,487,200        356,825,018        19,425,569  
 

 

 

     

 

 

     

 

 

     

 

 

  

Investments at value

     114,654,967        40,040,754        6,324,219,572        1,433,494,778  

Cash

     767        —        2,883,411        7,168  

Due from brokers (Note 2)

     1,375,010        —        —        10,695,498  

Foreign currency at value (identified cost $0, $0, $0 and $4,179,463, respectively)

     —        —        —        4,022,862  

Receivable for Fund shares sold

     316,957        7,435        15,020,513        1,849,066  

Receivable from investment adviser (Note 6)

     —        1,453        —        —  

Receivable for securities sold

     411,132        —        1,471,935        575,939  

Dividends and interest receivable

     1,520,030        380,520        36,103,825        10,736,901  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     —        —        —        162,764  

Tax reclaims receivable

     —        —        11,197        673  

Receivable for variation margin on centrally cleared swap agreements (Note 2)

     —        —        —        7,348  

Unamortized upfront premiums paid on bilateral swap agreements (Note 2)

     —        —        —        82,426  

Prepaid expenses (Note 8)

     19        5        910        207  
 

 

 

     

 

 

     

 

 

     

 

 

  

TOTAL ASSETS

     118,278,882        40,430,167        6,379,711,363        1,461,635,630  
 

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

 

Options written, at value (premiums received $0, $0, $0 and $134,896, respectively) (Note 2)

     —        —        —        158,676  

Payable for securities purchased

     2,248,412        834,587        15,686,984        11,759,409  

Unrealized depreciation on bilateral swap agreements (Note 2)

     —        —        —        153,050  

Payable for Fund shares redeemed

     130,151        8,293        10,179,859        434,641  

Unrealized depreciation on forward foreign currency contracts (Note 2)

     —        —        —        473,027  

Payable for variation margin on futures contracts (Note 2)

     —        —        2,886,033        800,521  

Distributions payable

     —        15,457        —        —  

Management fees payable (Note 6)

     44,633        —        1,898,685        701,495  

Deferred Trustees’ fees (Note 6)

     230,359        77,267        1,250,216        237,563  

Administrative fees payable (Note 6)

     4,204        1,378        222,062        50,549  

Payable to distributor (Note 6d)

     1,033        163        44,047        5,921  

Audit and tax services fees payable

     34,317        28,205        38,998        44,097  

Other accounts payable and accrued expenses

     31,282        12,355        299,023        66,159  
 

 

 

     

 

 

     

 

 

     

 

 

  

TOTAL LIABILITIES

     2,724,391        977,705        32,505,907        14,885,108  
 

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS

   $ 115,554,491      $ 39,452,462      $ 6,347,205,456      $ 1,446,750,522  
 

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 122,476,935      $ 38,421,932      $ 5,919,454,318      $ 1,458,840,710  

Accumulated earnings (loss)

     (6,922,444 )       1,030,530        427,751,138        (12,090,188 ) 
 

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS

   $ 115,554,491      $ 39,452,462      $ 6,347,205,456      $ 1,446,750,522  
 

 

 

     

 

 

     

 

 

     

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 21,418,978      $ 7,765,066      $ 859,920,818      $ 41,978,896  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

     4,865,021        739,687        74,632,031        3,987,562  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value and redemption price per share

   $ 4.40      $ 10.50      $ 11.52      $ 10.53  
 

 

 

     

 

 

     

 

 

     

 

 

  

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

   $ 4.60      $ 10.82      $ 12.03      $ 11.00  
 

 

 

     

 

 

     

 

 

     

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

           

Net assets

   $ 2,129,616      $ 805,297      $ 91,086,301      $ 5,125,502  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

     481,818        76,683        8,003,918        487,952  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

   $ 4.42      $ 10.50      $ 11.38      $ 10.50  
 

 

 

     

 

 

     

 

 

     

 

 

  

Class N shares:

 

Net assets

   $ 77,164      $ —      $ 1,388,886,181      $ 576,638,973  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

     17,520        —        120,520,513        54,896,723  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

   $ 4.40      $ —      $ 11.52      $ 10.50  
 

 

 

     

 

 

     

 

 

     

 

 

  

Class Y shares:

 

Net assets

   $ 91,928,733      $ 30,882,099      $ 3,878,853,228      $ 823,007,151  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

     20,924,482        2,937,121        336,382,168        78,391,165  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

   $ 4.39      $ 10.51      $ 11.53      $ 10.50  
 

 

 

     

 

 

     

 

 

     

 

 

  

Admin Class shares:

 

Net assets

   $ —      $ —      $ 128,458,928      $ —  
 

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

     —        —        11,182,143        —  
 

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

   $ —      $ —      $ 11.49      $ —  
 

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  64

Statements of Assets and Liabilities (continued)

 

June 30, 2021 (Unaudited)

 

         
Strategic
Income Fund		  

ASSETS

 

Unaffiliated investments at cost

    $ 5,205,550,896  

Affiliated investments at cost

      30,966,359  

Net unrealized appreciation on unaffiliated investments

      154,324,756  

Net unrealized appreciation on affiliated investments

      (18,077,967 ) 
  

 

 

  

Investments at value

      5,372,764,044  

Cash

      1,146,775  

Due from brokers (Note 2)

      28,785,000  

Receivable for Fund shares sold

      4,583,033  

Receivable for securities sold

      9,405,078  

Dividends and interest receivable

      39,354,918  

Receivable for variation margin on centrally cleared swap agreements (Note 2)

      48,702  

Prepaid expenses (Note 8)

      786  
  

 

 

  

TOTAL ASSETS

      5,456,088,336  
  

 

 

  

LIABILITIES

 

Payable for securities purchased

      65,461,507  

Payable for Fund shares redeemed

      9,467,617  

Unrealized depreciation on forward foreign currency contracts (Note 2)

      981,452  

Payable for variation margin on futures contracts (Note 2)

      2,347,249  

Management fees payable (Note 6)

      2,522,813  

Deferred Trustees’ fees (Note 6)

      2,112,408  

Administrative fees payable (Note 6)

      188,775  

Payable to distributor (Note 6d)

      48,062  

Audit and tax services fees payable

      39,849  

Other accounts payable and accrued expenses

      235,708  
  

 

 

  

TOTAL LIABILITIES

      83,405,440  
  

 

 

  

NET ASSETS

    $ 5,372,682,896  
  

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

    $ 5,480,622,249  

Accumulated loss

      (107,939,353 ) 
  

 

 

  

NET ASSETS

    $ 5,372,682,896  
  

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

    $ 1,613,943,541  
  

 

 

  

Shares of beneficial interest

      112,774,050  
  

 

 

  

Net asset value and redemption price per share

    $ 14.31  
  

 

 

  

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

    $ 14.95  
  

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

   

Net assets

    $ 150,540,980  
  

 

 

  

Shares of beneficial interest

      10,401,726  
  

 

 

  

Net asset value and offering price per share

    $ 14.47  
  

 

 

  

Class N shares:

 

Net assets

    $ 247,817,229  
  

 

 

  

Shares of beneficial interest

      17,335,924  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 14.30  
  

 

 

  

Class Y shares:

 

Net assets

    $ 3,263,858,322  
  

 

 

  

Shares of beneficial interest

      228,363,262  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 14.29  
  

 

 

  

Admin Class shares:

 

Net assets

    $ 96,522,824  
  

 

 

  

Shares of beneficial interest

      6,769,812  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 14.26  
  

 

 

  

 

See accompanying notes to financial statements.

 

65  |

Statements of Operations

 

For the Six Months Ended June 30, 2021 (Unaudited)

 

     High
Income
Fund		      Intermediate
Municipal
Bond Fund		      Investment
Grade Bond
Fund		      Strategic
Alpha
Fund		  

INVESTMENT INCOME

            

Interest

    $ 2,823,289      $ 367,088      $ 93,296,618      $ 23,926,508  

Dividends

      79,096        —        2,032,844        985,946  

Less net foreign taxes withheld

      (427 )       —        —        (3,263 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
     2,901,958        367,088        95,329,462        24,909,191  
  

 

 

     

 

 

     

 

 

     

 

 

  

Expenses

 

Management fees (Note 6)

      361,288        77,190        12,292,653        4,089,926  

Service and distribution fees (Note 6)

      44,542        15,310        1,938,558        83,435  

Administrative fees (Note 6)

      25,748        8,285        1,326,542        293,866  

Trustees’ fees and expenses (Note 6)

      31,489        14,978        222,457        50,165  

Transfer agent fees and expenses (Notes 6 and 7)

      47,114        14,247        1,856,718        237,560  

Audit and tax services fees

      26,103        26,177        31,539        41,667  

Custodian fees and expenses

      9,006        2,971        80,176        33,167  

Legal fees (Note 8)

      2,048        683        116,068        25,011  

Registration fees

      51,256        25,089        152,816        54,131  

Shareholder reporting expenses

      22,150        2,813        178,908        17,813  

Miscellaneous expenses (Note 8)

      17,862        14,930        96,672        33,634  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses

      638,606        202,673        18,293,107        4,960,375  

Less waiver and/or expense reimbursement (Note 6)

      (145,550 )       (100,514 )       (1,309,981 )       —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net expenses

      493,056        102,159        16,983,126        4,960,375  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

      2,408,902        264,929        78,346,336        19,948,816  
  

 

 

     

 

 

     

 

 

     

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

            

Net realized gain (loss) on:

 

Investments

      2,051,285        (46,990 )       56,498,358        13,017,088  

Futures contracts

      —        —        31,143,427        (2,257,537 ) 

Options written

      —        —        —        (132,499 ) 

Swap agreements

      199,712        —        —        5,065,649  

Forward foreign currency contracts (Note 2d)

      —        —        —        (3,894,601 ) 

Foreign currency transactions (Note 2c)

      —        —        —        494,725  

Net change in unrealized appreciation (depreciation) on:

 

Investments

      (661,798 )       (115,050 )       (137,621,733 )       (2,308,587 ) 

Futures contracts

      —        —        (14,446,067 )       (3,323,082 ) 

Options written

      —        —        —        (32,112 ) 

Swap agreements

      —        —        —        (3,220,922 ) 

Forward foreign currency contracts (Note 2d)

      —        —        —        2,751,304  

Foreign currency translations (Note 2c)

      —        —        —        (400,001 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions

      1,589,199        (162,040 )       (64,426,015 )       5,759,425  
  

 

 

     

 

 

     

 

 

     

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 3,998,101      $ 102,889      $ 13,920,321      $ 25,708,241  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  66

Statements of Operations (continued)

 

For the Six Months Ended June 30, 2021 (Unaudited)

 

         
Strategic
Income Fund		  

INVESTMENT INCOME

 

Interest from unaffiliated investments

    $ 79,317,192  

Interest from affiliated investments (Note 6)

      314,867  

Dividends

      11,732,228  

Less net foreign taxes withheld

      (13,856 ) 
  

 

 

  
     91,350,431  
  

 

 

  

Expenses

 

Management fees (Note 6)

      15,802,434  

Service and distribution fees (Note 6)

      3,311,400  

Administrative fees (Note 6)

      1,184,509  

Trustees’ fees and expenses (Note 6)

      296,415  

Transfer agent fees and expenses (Notes 6 and 7)

      2,054,188  

Audit and tax services fees

      31,698  

Custodian fees and expenses

      111,212  

Legal fees (Note 8)

      114,756  

Registration fees

      54,036  

Shareholder reporting expenses

      208,872  

Miscellaneous expenses (Note 8)

      99,063  
  

 

 

  

Total expenses

      23,268,583  
  

 

 

  

Net investment income

      68,081,848  
  

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

   

Net realized gain (loss) on:

 

Unaffiliated investments

      (23,276,994 ) 

Futures contracts

      11,522,672  

Swap agreements

      2,472,346  

Forward foreign currency contracts (Note 2d)

      (936,517 ) 

Foreign currency transactions (Note 2c)

      184,799  

Net change in unrealized appreciation (depreciation) on:

 

Unaffiliated investments

      128,047,612  

Affiliated investments

      2,770,426  

Futures contracts

      (10,623,188 ) 

Swap agreements

      5,007,513  

Forward foreign currency contracts (Note 2d)

      (981,452 ) 

Foreign currency translations (Note 2c)

      (306 ) 
  

 

 

  

Net realized and unrealized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions

      114,186,911  
  

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 182,268,759  
  

 

 

  

 

See accompanying notes to financial statements.

 

67  |

Statements of Changes in Net Assets

 

 

     High Income Fund      Intermediate Municipal
Bond Fund		  
     Six Months
Ended
June 30, 2021
(Unaudited)		      Year Ended
December 31,
2020		      Six Months
Ended
June 30, 2021
(Unaudited)		      Year Ended
December 31,
2020		  

FROM OPERATIONS:

 

Net investment income

    $ 2,408,902      $ 5,806,947      $ 264,929      $ 414,488  

Net realized gain (loss) on investments and swap agreements

      2,250,997        (4,673,658 )       (46,990 )       184,411  

Net change in unrealized appreciation (depreciation) on investments

      (661,798 )       2,338,998        (115,050 )       430,359  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase in net assets resulting from operations

      3,998,101        3,472,287        102,889        1,029,258  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (471,349 )       (1,244,423 )       (55,062 )       (151,821 ) 

Class C

      (37,807 )       (131,410 )       (2,638 )       (13,774 ) 

Class N

      (273,540 )       (739,980 )       —        —  

Class Y

      (1,697,858 )       (4,149,317 )       (224,001 )       (249,452 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (2,480,554 )       (6,265,130 )       (281,701 )       (415,047 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      1,318,917        (31,816,114 )       2,439,811        17,552,248  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets

      2,836,464        (34,608,957 )       2,260,999        18,166,459  

NET ASSETS

 

Beginning of the period

      112,718,027        147,326,984        37,191,463        19,025,004  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 115,554,491      $ 112,718,027      $ 39,452,462      $ 37,191,463  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  68

Statements of Changes in Net Assets (continued)

 

 

     Investment Grade Bond Fund          
Strategic Alpha Fund		  
     Six Months
Ended
June 30, 2021
(Unaudited)		      Year Ended
December 31,
2020		      Six Months
Ended
June 30, 2021
(Unaudited)		      Year Ended
December 31,
2020		  

FROM OPERATIONS:

 

Net investment income

    $ 78,346,336      $ 164,483,540      $ 19,948,816      $ 36,177,393  

Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions

      87,641,785        275,303,966        12,292,825        (1,064,890 ) 

Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations

      (152,067,800 )       176,877,424        (6,533,400 )       71,358,169  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase in net assets resulting from operations

      13,920,321        616,664,930        25,708,241        106,470,672  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (10,247,094 )       (66,337,702 )       (312,908 )       (708,457 ) 

Class C

      (934,022 )       (10,552,630 )       (20,481 )       (158,470 ) 

Class N

      (17,773,907 )       (96,560,712 )       (5,202,634 )       (11,490,422 ) 

Class Y

      (50,203,392 )       (284,270,221 )       (6,945,926 )       (15,871,781 ) 

Admin Class

      (1,367,196 )       (8,996,534 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (80,525,611 )       (466,717,799 )       (12,481,949 )       (28,229,130 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      389,048,702        300,818,816        118,507,881        (63,947,948 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase in net assets

      322,443,412        450,765,947        131,734,173        14,293,594  

NET ASSETS

 

Beginning of the period

      6,024,762,044        5,573,996,097        1,315,016,349        1,300,722,755  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 6,347,205,456      $ 6,024,762,044      $ 1,446,750,522      $ 1,315,016,349  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

69  |

Statements of Changes in Net Assets (continued)

 

 

         
Strategic Income Fund		  
     Six Months
Ended
June 30, 2021
(Unaudited)		      Period Ended
December 31,
2020(a)		      Year Ended
September 30,
2020		  

FROM OPERATIONS:

 

Net investment income

    $ 68,081,848      $ 44,046,477      $ 229,871,606  

Net realized loss on investments, futures contracts, swap agreements, forward currency contracts and foreign currency transactions

      (10,033,694 )       (327,238,965 )       (100,631,884 ) 

Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency translations

      124,220,605        595,874,403        (199,460,920 ) 
  

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      182,268,759        312,681,915        (70,221,198 ) 
  

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (20,715,770 )       (33,250,024 )       (60,755,051 ) 

Class C

      (1,821,270 )       (4,600,466 )       (12,091,933 ) 

Class N

      (3,492,026 )       (4,334,379 )       (7,404,708 ) 

Class Y

      (47,704,214 )       (75,910,796 )       (150,040,710 ) 

Admin Class

      (1,168,398 )       (1,932,234 )       (3,669,167 ) 
  

 

 

     

 

 

     

 

 

  

Total distributions

      (74,901,678 )       (120,027,899 )       (233,961,569 ) 
  

 

 

     

 

 

     

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (723,848,976 )       (255,047,276 )       (797,576,770 ) 
  

 

 

     

 

 

     

 

 

  

Net decrease in net assets

      (616,481,895 )       (62,393,260 )       (1,101,759,537 ) 

NET ASSETS

 

Beginning of the period

      5,989,164,791        6,051,558,051        7,153,317,588  
  

 

 

     

 

 

     

 

 

  

End of the period

    $ 5,372,682,896      $ 5,989,164,791      $ 6,051,558,051  
  

 

 

     

 

 

     

 

 

  

 

(a)

For the three month period ended December 31, 2020.

 

See accompanying notes to financial statements.

 

|  70

Financial Highlights

 

For a share outstanding throughout each period.

 

    High Income Fund—Class A  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 4.35     $ 4.25     $ 3.99     $ 4.25     $ 4.37     $ 4.23     $ 3.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.08       0.20       0.20       0.05       0.20       0.22       0.20  

Net realized and unrealized gain (loss)

     0.05       0.12 (b)      0.27       (0.24 )      (0.14 )      0.12       0.21  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.13       0.32       0.47       (0.19 )      0.06       0.34       0.41  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.08 )      (0.22 )      (0.21 )      (0.06 )      (0.18 )      (0.20 )      (0.16 ) 

Net realized capital gains

     —       —       —       (0.01 )      —       —       (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.08 )      (0.22 )      (0.21 )      (0.07 )      (0.18 )      (0.20 )      (0.17 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.40     $ 4.35     $ 4.25     $ 3.99     $ 4.25     $ 4.37     $ 4.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     3.14 %(e)      8.16 %      11.94 %      (4.54 )%(e)      1.41 %      8.17 %      10.66 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 21,419     $ 41,547     $ 23,199     $ 23,125     $ 26,175     $ 34,039     $ 34,820  

Net expenses(f)

     1.00 %(g)      1.00 %      1.03 %(h)      1.05 %(g)      1.05 %      1.09 %(i)      1.10 % 

Gross expenses

     1.24 %(g)      1.22 %      1.18 %      1.27 %(g)      1.16 %      1.15 %      1.14 % 

Net investment income

     3.72 %(g)      4.91 %      4.84 %      5.13 %(g)      4.73 %      5.03 %      5.16 % 

Portfolio turnover rate

     52 %      99 %(j)      48 %      17 %      55 %      46 %      38 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

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

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

(i)

Effective July 1, 2017, the expense limit decreased to 1.05%.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

 

See accompanying notes to financial statements.

 

71  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class C  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 4.37     $ 4.27     $ 4.00     $ 4.27     $ 4.38     $ 4.24     $ 4.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.07       0.17       0.17       0.05       0.17       0.18       0.18  

Net realized and unrealized gain (loss)

     0.05       0.12 (b)      0.28       (0.26 )      (0.13 )      0.12       0.20  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.12       0.29       0.45       (0.21 )      0.04       0.30       0.38  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.07 )      (0.19 )      (0.18 )      (0.05 )      (0.15 )      (0.16 )      (0.13 ) 

Net realized capital gains

     —       —       —       (0.01 )      —       —       (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.07 )      (0.19 )      (0.18 )      (0.06 )      (0.15 )      (0.16 )      (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.42     $ 4.37     $ 4.27     $ 4.00     $ 4.27     $ 4.38     $ 4.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     2.75 %(e)      7.30 %      11.32 %      (4.95 )%(e)      0.86 %      7.33 %      9.81 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 2,130     $ 2,933     $ 3,836     $ 5,351     $ 6,248     $ 11,227     $ 12,288  

Net expenses(f)

     1.75 %(g)      1.75 %      1.78 %(h)      1.80 %(g)      1.80 %      1.84 %(i)      1.85 % 

Gross expenses

     1.99 %(g)      1.97 %      1.93 %      2.02 %(g)      1.91 %      1.90 %      1.89 % 

Net investment income

     3.08 %(g)      4.24 %      4.11 %      4.38 %(g)      3.99 %      4.29 %      4.43 % 

Portfolio turnover rate

     52 %      99 %(j)      48 %      17 %      55 %      46 %      38 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

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

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

(i)

Effective July 1, 2017, the expense limit decreased to 1.80%.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

 

See accompanying notes to financial statements.

 

|  72

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     High Income Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		      Period Ended
September 30,
2017**		  

Net asset value, beginning of the period

    $ 4.36     $ 4.25     $ 3.99     $ 4.25     $ 4.36      $ 4.16  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.09       0.21       0.22       0.06       0.20        0.19  

Net realized and unrealized gain (loss)

      0.04       0.14 (b)      0.26       (0.25 )      (0.12 )       0.18  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      0.13       0.35       0.48       (0.19 )      0.08        0.37  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.09 )      (0.24 )      (0.22 )      (0.06 )      (0.19 )       (0.17 ) 

Net realized capital gains

      —       —       —       (0.01 )      —        —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.09 )      (0.24 )      (0.22 )      (0.07 )      (0.19 )       (0.17 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 4.40     $ 4.36     $ 4.25     $ 3.99     $ 4.25      $ 4.36  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(c)

      3.05 %(d)(e)      8.73 %      12.28 %      (4.47 )%(d)      1.96 %       8.99 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 77     $ 14,783     $ 11,977     $ 10,417     $ 10,338      $ 1  

Net expenses(f)

      0.70 %(g)      0.70 %      0.72 %(h)      0.75 %(g)      0.75 %       0.75 %(g)(i) 

Gross expenses

      0.92 %(g)      0.88 %      0.82 %      0.89 %(g)      0.79 %       31.73 %(g) 

Net investment income

      4.06 %(g)      5.28 %      5.13 %      5.45 %(g)      4.65 %       5.19 %(g) 

Portfolio turnover rate

      52 %      99 %(j)      48 %      17 %      55 %       46 %(k) 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

**

From commencement of Class operations on November 30, 2016 through September 30, 2017.

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.

(f)

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

(g)

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

(h)

Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

(i)

Effective July 1, 2017, the expense limit decreased to 0.75%.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

 

See accompanying notes to financial statements.

 

73  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class Y  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 4.34     $ 4.25     $ 3.98     $ 4.24     $ 4.36     $ 4.22     $ 3.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.09       0.22       0.21       0.06       0.21       0.23       0.21  

Net realized and unrealized gain (loss)

     0.05       0.10 (b)      0.28       (0.25 )      (0.14 )      0.12       0.21  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.14       0.32       0.49       (0.19 )      0.07       0.35       0.42  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.09 )      (0.23 )      (0.22 )      (0.06 )      (0.19 )      (0.21 )      (0.17 ) 

Net realized capital gains

     —       —       —       (0.01 )      —       —       (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.23 )      (0.22 )      (0.07 )      (0.19 )      (0.21 )      (0.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.39     $ 4.34     $ 4.25     $ 3.98     $ 4.24     $ 4.36     $ 4.22  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     3.28 %(d)      8.19 %      12.52 %      (4.49 )%(d)      1.68 %      8.47 %      10.98 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 91,929     $ 53,456     $ 108,315     $ 97,585     $ 127,699     $ 133,940     $ 129,169  

Net expenses(e)

     0.75 %(f)      0.75 %      0.77 %(g)      0.80 %(f)      0.80 %      0.84 %(h)      0.85 % 

Gross expenses

     1.00 %(f)      0.98 %      0.93 %      1.02 %(f)      0.91 %      0.90 %      0.89 % 

Net investment income

     4.11 %(f)      5.32 %      5.07 %      5.39 %(f)      4.98 %      5.28 %      5.43 % 

Portfolio turnover rate

     52 %      99 %(i)      48 %      17 %      55 %      46 %      38 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%.

(h)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(i)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

 

See accompanying notes to financial statements.

 

|  74

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Intermediate Municipal Bond Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		      Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 10.55     $ 10.38      $ 9.97      $ 10.17      $ 9.89      $ 10.09  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.06       0.19        0.24        0.22        0.19        0.12  

Net realized and unrealized gain (loss)

      (0.04 )      0.17        0.41        (0.19 )       0.28        (0.20 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      0.02       0.36        0.65        0.03        0.47        (0.08 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.07 )      (0.19 )       (0.24 )       (0.23 )       (0.19 )       (0.12 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 10.50     $ 10.55      $ 10.38      $ 9.97      $ 10.17      $ 9.89  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total return(b)(c)

      0.17 %(d)      3.48 %       6.54 %       0.33 %       4.77 %       (0.79 )% 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 7,765     $ 8,941      $ 7,567      $ 6,019      $ 6,004      $ 5,474  

Net expenses(e)

      0.70 %(f)      0.70 %       0.70 %       0.70 %       0.70 %       0.70 % 

Gross expenses

      1.22 %(f)      1.42 %       1.84 %       1.30 %       1.10 %       0.88 % 

Net investment income

      1.20 %(f)      1.78 %       2.31 %       2.24 %       1.87 %       1.19 % 

Portfolio turnover rate

      28 %      41 %       11 %       65 %       34 %       48 % 

 

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

 

See accompanying notes to financial statements.

 

75  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Intermediate Municipal Bond Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		      Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 10.55     $ 10.38      $ 9.98      $ 10.18      $ 9.90      $ 10.09  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.02       0.11        0.16        0.15        0.11        0.04  

Net realized and unrealized gain (loss)

      (0.04 )      0.17        0.40        (0.19 )       0.28        (0.18 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      (0.02 )      0.28        0.56        (0.04 )       0.39        (0.14 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.03 )      (0.11 )       (0.16 )       (0.16 )       (0.11 )       (0.05 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 10.50     $ 10.55      $ 10.38      $ 9.98      $ 10.18      $ 9.90  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total return(b)(c)

      (0.20 )%(d)      2.71 %       5.64 %       (0.42 )%       3.98 %       (1.44 )% 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 805     $ 1,050      $ 1,420      $ 1,675      $ 2,395      $ 4,015  

Net expenses(e)

      1.45 %(f)      1.45 %       1.45 %       1.45 %       1.45 %       1.45 % 

Gross expenses

      1.97 %(f)      2.18 %       2.60 %       2.05 %       1.83 %       1.63 % 

Net investment income

      0.45 %(f)      1.08 %       1.57 %       1.49 %       1.10 %       0.44 % 

Portfolio turnover rate

      28 %      41 %       11 %       65 %       34 %       48 % 

 

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

 

See accompanying notes to financial statements.

 

|  76

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Intermediate Municipal Bond Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		      Year Ended
December 31,
2018		      Year Ended
December 31,
2017		      Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 10.56     $ 10.40      $ 9.99      $ 10.19      $ 9.90      $ 10.10  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.08       0.19        0.26        0.25        0.21        0.15  

Net realized and unrealized gain (loss)

      (0.05 )      0.18        0.41        (0.20 )       0.29        (0.20 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      0.03       0.37        0.67        0.05        0.50        (0.05 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.08 )      (0.21 )       (0.26 )       (0.25 )       (0.21 )       (0.15 ) 
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 10.51     $ 10.56      $ 10.40      $ 9.99      $ 10.19      $ 9.90  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total return(b)

      0.30 %(c)      3.63 %       6.80 %       0.58 %       5.13 %       (0.55 )% 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 30,882     $ 27,200      $ 10,039      $ 14,510      $ 28,960      $ 49,179  

Net expenses(d)

      0.45 %(e)      0.45 %       0.45 %       0.45 %       0.45 %       0.45 % 

Gross expenses

      0.97 %(e)      1.16 %       1.60 %       1.04 %       0.83 %       0.63 % 

Net investment income

      1.45 %(e)      1.86 %       2.57 %       2.47 %       2.09 %       1.44 % 

Portfolio turnover rate

      28 %      41 %       11 %       65 %       34 %       48 % 

 

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

 

See accompanying notes to financial statements.

 

77  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class A  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 11.65     $ 11.33     $ 10.77     $ 10.98     $ 11.30     $ 11.59     $ 11.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.13       0.32       0.35       0.08       0.30       0.36       0.39  

Net realized and unrealized gain (loss)

     (0.12 )      0.94       0.58       (0.16 )      (0.28 )      0.05       0.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.01       1.26       0.93       (0.08 )      0.02       0.41       0.87  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.13 )      (0.32 )      (0.36 )      (0.08 )      (0.21 )      (0.26 )      (0.23 ) 

Net realized capital gains

     (0.01 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.14 )      (0.94 )      (0.37 )      (0.13 )      (0.34 )      (0.70 )      (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.52     $ 11.65     $ 11.33     $ 10.77     $ 10.98     $ 11.30     $ 11.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     0.08 %(c)(d)      11.41 %(c)      8.78 %(c)      (0.66 )%(c)(d)      0.19 %(c)      3.88 %      8.06 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 859,921     $ 872,976     $ 772,485     $ 721,110     $ 777,391     $ 902,955     $ 1,130,260  

Net expenses

     0.75 %(e)(f)      0.76 %(f)(g)      0.77 %(f)(h)      0.78 %(e)(f)      0.80 %(f)(i)      0.82 %(j)      0.85 % 

Gross expenses

     0.80 %(e)      0.80 %      0.81 %      0.82 %(e)      0.82 %      0.82 %      0.85 % 

Net investment income

     2.35 %(e)      2.73 %      3.10 %      3.09 %(e)      2.73 %      3.23 %      3.49 % 

Portfolio turnover rate

     17 %      70 %(k)      44 %(l)      39 %(l)      3 %      10 %      11 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%.

(h)

Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

(i)

Effective July 1, 2018, the expense limit decreased to 0.78%.

(j)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(k)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

|  78

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class C  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
  

Net asset value, beginning of the period

   $ 11.51     $ 11.20     $ 10.65     $ 10.86     $ 11.19     $ 11.48     $ 11.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.09       0.23       0.26       0.06       0.22       0.27       0.30  

Net realized and unrealized gain (loss)

     (0.12 )      0.93       0.58       (0.16 )      (0.28 )      0.06       0.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.03 )      1.16       0.84       (0.10 )      (0.06 )      0.33       0.77  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.09 )      (0.23 )      (0.28 )      (0.06 )      (0.14 )      (0.18 )      (0.14 ) 

Net realized capital gains

     (0.01 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.10 )      (0.85 )      (0.29 )      (0.11 )      (0.27 )      (0.62 )      (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.38     $ 11.51     $ 11.20     $ 10.65     $ 10.86     $ 11.19     $ 11.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (0.30 )%(c)(d)      10.61 %(c)      7.94 %(c)      (0.86 )%(c)(d)      (0.53 )%(c)      3.12 %      7.18 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 91,086     $ 132,606     $ 204,395     $ 366,068     $ 412,788     $ 689,798     $ 1,001,522  

Net expenses

     1.50 %(e)(f)      1.51 %(f)(g)      1.52 %(f)(h)      1.53 %(e)(f)      1.55 %(f)(i)      1.57 %(j)      1.60 % 

Gross expenses

     1.55 %(e)      1.55 %      1.56 %      1.57 %(e)      1.57 %      1.57 %      1.60 % 

Net investment income

     1.60 %(e)      2.01 %      2.35 %      2.34 %(e)      1.96 %      2.49 %      2.74 % 

Portfolio turnover rate

     17 %      70 %(k)      44 %(l)      39 %(l)      3 %      10 %      11 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%.

(h)

Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

(i)

Effective July 1, 2018, the expense limit decreased to 1.53%.

(j)

Effective July 1, 2017, the expense limit decreased to 1.55%.

(k)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

79  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class N  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
  

Net asset value, beginning of the period

   $ 11.65     $ 11.33     $ 10.78     $ 10.98     $ 11.30     $ 11.58     $ 11.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

            

Net investment income(a)

     0.15       0.35       0.38       0.09       0.34       0.39       0.43  

Net realized and unrealized gain (loss)

     (0.12 )      0.94       0.58       (0.15 )      (0.28 )      0.07       0.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.03       1.29       0.96       (0.06 )      0.06       0.46       0.90  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.15 )      (0.35 )      (0.40 )      (0.09 )      (0.25 )      (0.30 )      (0.28 ) 

Net realized capital gains

     (0.01 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.16 )      (0.97 )      (0.41 )      (0.14 )      (0.38 )      (0.74 )      (0.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.52     $ 11.65     $ 11.33     $ 10.78     $ 10.98     $ 11.30     $ 11.58  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     0.22 %(b)(c)      11.74 %(b)      9.11 %      (0.58 )%(c)      0.50 %      4.34 %      8.31 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 1,388,886     $ 1,188,772     $ 1,367,172     $ 1,216,690     $ 1,251,189     $ 1,203,169     $ 47,343  

Net expenses

     0.45 %(d)(e)      0.46 %(e)(f)      0.47 %(g)      0.48 %(d)      0.47 %(h)      0.48 %(i)      0.47 % 

Gross expenses

     0.47 %(d)      0.47 %      0.47 %      0.48 %(d)      0.47 %      0.48 %      0.47 % 

Net investment income

     2.65 %(d)      3.04 %      3.40 %      3.40 %(d)      3.05 %      3.51 %      3.88 % 

Portfolio turnover rate

     17 %      70 %(j)      44 %(k)      39 %(k)      3 %      10 %      11 % 

 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

(f)

Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%.

(g)

Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

(h)

Effective July 1, 2018, the expense limit decreased to 0.48%.

(i)

Effective July 1, 2017, the expense limit decreased to 0.50%.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

|  80

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class Y  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 11.66     $ 11.34     $ 10.78     $ 10.99     $ 11.31     $ 11.59     $ 11.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

          

Net investment income(a)

     0.15       0.35       0.37       0.09       0.33       0.39       0.42  

Net realized and unrealized gain (loss)

     (0.12 )      0.94       0.59       (0.16 )      (0.28 )      0.06       0.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.03       1.29       0.96       (0.07 )      0.05       0.45       0.89  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.15 )      (0.35 )      (0.39 )      (0.09 )      (0.24 )      (0.29 )      (0.26 ) 

Net realized capital gains

     (0.01 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.16 )      (0.97 )      (0.40 )      (0.14 )      (0.37 )      (0.73 )      (0.41 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.53     $ 11.66     $ 11.34     $ 10.78     $ 10.99     $ 11.31     $ 11.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     0.20 %(b)(c)      11.68 %(b)      9.04 %(b)      (0.59 )%(b)(c)      0.43 %(b)      4.24 %      8.25 % 

RATIOS TO AVERAGE NET ASSETS:

 

            

Net assets, end of the period (000’s)

   $ 3,878,853     $ 3,704,948     $ 3,118,505     $ 2,912,537     $ 3,001,906     $ 3,453,137     $ 4,571,167  

Net expenses

     0.50 %(d)(e)      0.51 %(e)(f)      0.52 %(e)(g)      0.53 %(d)(e)      0.55 %(e)(h)      0.57 %(i)      0.60 % 

Gross expenses

     0.55 %(d)      0.55 %      0.56 %      0.57 %(d)      0.57 %      0.57 %      0.60 % 

Net investment income

     2.60 %(d)      2.98 %      3.35 %      3.35 %(d)      2.98 %      3.48 %      3.74 % 

Portfolio turnover rate

     17 %      70 %(j)      44 %(k)      39 %(k)      3 %      10 %      11 % 

 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

(f)

Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%.

(g)

Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

(h)

Effective July 1, 2018, the expense limit decreased to 0.53%.

(i)

Effective July 1, 2017, the expense limit decreased to 0.55%.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

81  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Admin Class  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 11.62     $ 11.30     $ 10.75     $ 10.95     $ 11.28     $ 11.56     $ 11.08  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

            

Net investment income(a)

     0.12       0.29       0.32       0.08       0.28       0.34       0.37  

Net realized and unrealized gain (loss)

     (0.12 )      0.94       0.58       (0.15 )      (0.28 )      0.06       0.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.00 (b)      1.23       0.90       (0.07 )      0.00 (b)      0.40       0.84  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.12 )      (0.29 )      (0.34 )      (0.08 )      (0.20 )      (0.24 )      (0.21 ) 

Net realized capital gains

     (0.01 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.13 )      (0.91 )      (0.35 )      (0.13 )      (0.33 )      (0.68 )      (0.36 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.49     $ 11.62     $ 11.30     $ 10.75     $ 10.95     $ 11.28     $ 11.56  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (0.04 )%(c)(d)      11.17 %(c)      8.43 %(c)      (0.63 )%(c)(d)      (0.07 )%(c)      3.76 %(c)      7.73 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 128,459     $ 125,460     $ 111,439     $ 111,864     $ 115,301     $ 25,521     $ 35,294  

Net expenses

     1.00 %(e)(f)      1.01 %(f)(g)      1.02 %(f)(h)      1.03 %(e)(f)      1.02 %(f)(i)(j)      1.02 %(f)(k)(l)      1.07 %(m) 

Gross expenses

     1.05 %(e)      1.05 %      1.06 %      1.07 %(e)      1.05 %(j)      1.03 %(l)      1.07 %(m) 

Net investment income

     2.10 %(e)      2.48 %      2.85 %      2.85 %(e)      2.56 %      3.03 %      3.27 % 

Portfolio turnover rate

     17 %      70 %(n)      44 %(o)      39 %(o)      3 %      10 %      11 % 

 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%.

(h)

Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

(i)

Effective July 1, 2018, the expense limit decreased to 1.03%.

(j)

Includes refund of prior year service fee of 0.02%.

(k)

Effective July 1, 2017, the expense limit decreased to 1.05%.

(l)

Includes refund of prior year service fee of 0.05%.

(m)

Includes refund of prior year service fee of 0.03%.

(n)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(o)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

|  82

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class A  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 10.43     $ 9.69      $ 9.62     $ 9.92     $ 9.86     $ 9.45  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.14       0.28        0.30       0.33       0.32       0.30  

Net realized and unrealized gain (loss)

      0.04       0.67        0.04       (0.30 )      (0.01 )      0.31  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      0.18       0.95        0.34       0.03       0.31       0.61  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.08 )      (0.21 )       (0.27 )      (0.33 )      (0.25 )      (0.20 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.53     $ 10.43      $ 9.69     $ 9.62     $ 9.92     $ 9.86  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

      1.74 %(c)      9.97 %       3.58 %      0.39 %      3.22 %(d)      6.57 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 41,979     $ 36,067      $ 48,815     $ 36,528     $ 28,020     $ 67,746  

Net expenses

      0.98 %(e)      0.99 %       0.99 %      1.00 %(f)      1.05 %(g)(h)      1.10 % 

Gross expenses

      0.98 %(e)      0.99 %       0.99 %      1.00 %(f)      1.06 %      1.10 % 

Net investment income

      2.64 %(e)      2.81 %       3.10 %      3.29 %      3.26 %      3.14 % 

Portfolio turnover rate

      200 %      498 %       414 %(i)      379 %(i)      178 %(j)      72 % 

 

 

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

(f)

Includes fee/expense recovery of less than 0.01%.

(g)

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

(h)

Effective July 1, 2017, the expense limit decreased from 1.30% to 1.00%.

(i)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(j)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

83  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class C  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		  

Net asset value, beginning of the period

    $ 10.40     $ 9.66      $ 9.58     $ 9.88     $ 9.82     $ 9.42  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.10       0.21        0.23       0.26       0.25       0.23  

Net realized and unrealized gain (loss)

      0.03       0.66        0.04       (0.31 )      0.00 (b)(c)      0.30  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      0.13       0.87        0.27       (0.05 )      0.25       0.53  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.03 )      (0.13 )       (0.19 )      (0.25 )      (0.19 )      (0.13 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.50     $ 10.40      $ 9.66     $ 9.58     $ 9.88     $ 9.82  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

      1.29 %(e)      9.12 %       2.87 %(f)      (0.42 )%      2.53 %      5.70 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 5,126     $ 8,962      $ 16,337     $ 26,883     $ 33,759     $ 45,674  

Net expenses

      1.73 %(g)      1.74 %       1.73 %(h)      1.75 %(i)      1.81 %(j)      1.85 % 

Gross expenses

      1.73 %(g)      1.74 %       1.74 %      1.75 %(i)      1.81 %      1.85 % 

Net investment income

      1.85 %(g)      2.14 %       2.33 %      2.61 %      2.52 %      2.40 % 

Portfolio turnover rate

      200 %      498 %       414 %(k)      379 %(k)      178 %(l)      72 % 

 

 

(a)

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

(b)

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

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

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

(i)

Includes fee/expense recovery of less than 0.01%.

(j)

Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%.

(k)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(l)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

|  84

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class N  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

    $ 10.41     $ 9.67      $ 9.60     $ 9.90     $ 9.90  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.15       0.31        0.33       0.34       0.25  

Net realized and unrealized gain (loss)

      0.04       0.67        0.04       (0.28 )      (0.04 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      0.19       0.98        0.37       0.06       0.21  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.10 )      (0.24 )       (0.30 )      (0.36 )      (0.21 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.50     $ 10.41      $ 9.67     $ 9.60     $ 9.90  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total return

      1.79 %(b)      10.36 %       3.92 %      0.68 %      2.11 %(b)(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 576,639     $ 527,494      $ 297,300     $ 255,226     $ 59,282  

Net expenses

      0.68 %(d)      0.68 %       0.67 %      0.70 %(e)      0.70 %(d)(f)(g) 

Gross expenses

      0.68 %(d)      0.68 %       0.67 %      0.70 %(e)      0.72 %(d) 

Net investment income

      2.95 %(d)      3.13 %       3.39 %      3.44 %      3.83 %(d) 

Portfolio turnover rate

      200 %      498 %       414 %(h)      379 %(h)      178 %(i) 

 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

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

(e)

Includes fee/expense recovery of 0.01%.

(f)

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

(g)

Effective July 1, 2017, the expense limit decreased from 1.00% to 0.70%.

(h)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(i)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

See accompanying notes to financial statements.

 

85  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class Y  
     Six Months
Ended
June 30, 2021
(Unaudited)		     Year Ended
December 31,
2020
      Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
  

Net asset value, beginning of the period

    $ 10.41     $ 9.67      $ 9.59     $ 9.90     $ 9.85     $ 9.44  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.15       0.30        0.32       0.35       0.35       0.32  

Net realized and unrealized gain (loss)

      0.03       0.68        0.06       (0.31 )      (0.01 )      0.32  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      0.18       0.98        0.38       0.04       0.34       0.64  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.09 )      (0.24 )       (0.30 )      (0.35 )      (0.29 )      (0.23 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.50     $ 10.41      $ 9.67     $ 9.59     $ 9.90     $ 9.85  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return

      1.86 %(b)      10.19 %       3.96 %      0.53 %      3.48 %(c)      6.86 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 823,007     $ 742,493      $ 938,271     $ 1,186,322     $ 1,031,537     $ 1,083,527  

Net expenses

      0.73 %(d)      0.74 %       0.74 %      0.75 %(e)      0.80 %(f)(g)      0.85 % 

Gross expenses

      0.73 %(d)      0.74 %       0.74 %      0.75 %(e)      0.81 %      0.85 % 

Net investment income

      2.89 %(d)      3.05 %       3.33 %      3.51 %      3.53 %      3.39 % 

Portfolio turnover rate

      200 %      498 %       414 %(h)      379 %(h)      178 %(i)      72 % 

 

 

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

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

(e)

Includes fee/expense recovery of less than 0.01%.

(f)

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

(g)

Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%.

(h)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(i)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

|  86

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class A  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*
     Year Ended
September 30,
2020
     Year Ended
September 30,
2019
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
  

Net asset value, beginning of the period

   $ 14.03     $ 13.58     $ 14.25     $ 14.39     $ 14.84     $ 14.70     $ 14.70  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.16       0.10       0.47       0.57       0.52       0.56       0.57  

Net realized and unrealized gain (loss)

     0.30       0.63       (0.66 )      (0.16 )      (0.33 )      0.42       0.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.46       0.73       (0.19 )      0.41       0.19       0.98       1.18  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.18 )      (0.16 )      (0.45 )      (0.48 )      (0.57 )      (0.52 )      (0.36 ) 

Net realized capital gains

     —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 )      (0.82 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.18 )      (0.28 )      (0.48 )      (0.55 )      (0.64 )      (0.84 )      (1.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.31     $ 14.03     $ 13.58     $ 14.25     $ 14.39     $ 14.84     $ 14.70  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     3.39 %(c)      5.37 %(c)      (1.39 )%      3.02 %      1.34 %      7.01 %      8.72 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 1,613,944     $ 1,682,562     $ 1,683,547     $ 1,835,813     $ 1,986,300     $ 1,999,385     $ 2,514,770  

Net expenses

     0.97 %(d)      0.97 %(d)      0.97 %(e)      0.96 %      0.96 %      0.96 %      0.96 % 

Gross expenses

     0.97 %(d)      0.97 %(d)      0.97 %      0.96 %      0.96 %      0.96 %      0.96 % 

Net investment income

     2.31 %(d)      2.78 %(d)      3.42 %      4.03 %      3.57 %      3.82 %      4.01 % 

Portfolio turnover rate

     61 %(g)      30 %(f)      30 %      13 %      6 %      11 %      17 % 

 

 

*

For the three month period ended December 31, 2020.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(f)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(g)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

87  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class C  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 14.18     $ 13.72     $ 14.39     $ 14.52     $ 14.97     $ 14.81     $ 14.80  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.11       0.07       0.38       0.47       0.41       0.45       0.47  

Net realized and unrealized gain (loss)

     0.30       0.64       (0.68 )      (0.16 )      (0.33 )      0.44       0.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.41       0.71       (0.30 )      0.31       0.08       0.89       1.08  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.12 )      (0.13 )      (0.34 )      (0.37 )      (0.46 )      (0.41 )      (0.25 ) 

Net realized capital gains

     —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 )      (0.82 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.12 )      (0.25 )      (0.37 )      (0.44 )      (0.53 )      (0.73 )      (1.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.47     $ 14.18     $ 13.72     $ 14.39     $ 14.52     $ 14.97     $ 14.81  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     3.08 %(c)      5.17 %(c)      (2.18 )%      2.27 %      0.60 %      6.20 %      7.91 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 150,541     $ 259,780     $ 277,896     $ 676,602     $ 1,153,853     $ 2,248,939     $ 3,433,204  

Net expenses

     1.72 %(d)      1.72 %(d)      1.72 %(e)      1.71 %      1.71 %      1.71 %      1.71 % 

Gross expenses

     1.72 %(d)      1.72 %(d)      1.72 %      1.71 %      1.71 %      1.71 %      1.71 % 

Net investment income

     1.61 %(d)      2.04 %(d)      2.75 %      3.30 %      2.79 %      3.08 %      3.26 % 

Portfolio turnover rate

     61 %(g)      30 %(f)      30 %      13 %      6 %      11 %      17 % 

 

 

*

For the three month period ended December 31, 2020.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(f)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(g)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

|  88

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class N  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 14.01     $ 13.57     $ 14.24     $ 14.38     $ 14.83     $ 14.69     $ 14.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

            

Net investment income(a)

     0.18       0.11       0.52       0.61       0.56       0.60       0.61  

Net realized and unrealized gain (loss)

     0.31       0.62       (0.66 )      (0.16 )      (0.32 )      0.43       0.62  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.49       0.73       (0.14 )      0.45       0.24       1.03       1.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.20 )      (0.17 )      (0.50 )      (0.52 )      (0.62 )      (0.57 )      (0.41 ) 

Net realized capital gains

     —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 )      (0.82 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.20 )      (0.29 )      (0.53 )      (0.59 )      (0.69 )      (0.89 )      (1.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.30     $ 14.01     $ 13.57     $ 14.24     $ 14.38     $ 14.83     $ 14.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     3.63 %(b)      5.39 %(b)      (1.06 )%      3.37 %      1.67 %      7.38 %      9.09 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 247,817     $ 247,697     $ 212,804     $ 202,989     $ 176,456     $ 141,695     $ 130,637  

Net expenses

     0.65 %(c)      0.65 %(c)      0.64 %(d)      0.63 %      0.63 %      0.63 %      0.63 % 

Gross expenses

     0.65 %(c)      0.65 %(c)      0.64 %      0.63 %      0.63 %      0.63 %      0.63 % 

Net investment income

     2.64 %(c)      3.13 %(c)      3.77 %      4.36 %      3.91 %      4.13 %      4.34 % 

Portfolio turnover rate

     61 %(f)      30 %(e)      30 %      13 %      6 %      11 %      17 % 

 

 

*

For the three month period ended December 31, 2020.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(e)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(f)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

89  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class Y  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 14.01     $ 13.56     $ 14.23     $ 14.38     $ 14.83     $ 14.69     $ 14.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

            

Net investment income(a)

     0.18       0.11       0.51       0.60       0.55       0.59       0.61  

Net realized and unrealized gain (loss)

     0.30       0.62       (0.66 )      (0.17 )      (0.32 )      0.43       0.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.48       0.73       (0.15 )      0.43       0.23       1.02       1.22  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.20 )      (0.16 )      (0.49 )      (0.51 )      (0.61 )      (0.56 )      (0.40 ) 

Net realized capital gains

     —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 )      (0.82 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.20 )      (0.28 )      (0.52 )      (0.58 )      (0.68 )      (0.88 )      (1.22 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.29     $ 14.01     $ 13.56     $ 14.23     $ 14.38     $ 14.83     $ 14.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     3.59 %(b)      5.44 %(b)      (1.14 )%      3.22 %      1.66 %      7.22 %      9.00 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 3,263,858     $ 3,693,954     $ 3,774,113     $ 4,316,010     $ 5,118,016     $ 5,702,607     $ 5,350,759  

Net expenses

     0.72 %(c)      0.72 %(c)      0.72 %(d)      0.71 %      0.71 %      0.71 %      0.71 % 

Gross expenses

     0.72 %(c)      0.72 %(c)      0.72 %      0.71 %      0.71 %      0.71 %      0.71 % 

Net investment income

     2.57 %(c)      3.03 %(c)      3.68 %      4.28 %      3.82 %      4.04 %      4.26 % 

Portfolio turnover rate

     61 %(f)      30 %(e)      30 %      13 %      6 %      11 %      17 % 

 

 

*

For the three month period ended December 31, 2020.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(e)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(f)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

|  90

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Admin Class  
    Six Months
Ended
June 30, 2021
(Unaudited)		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		  

Net asset value, beginning of the period

   $ 13.97     $ 13.53     $ 14.20     $ 14.34     $ 14.79     $ 14.65     $ 14.66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.14       0.09       0.44       0.53       0.48       0.52       0.53  

Net realized and unrealized gain (loss)

     0.31       0.62       (0.66 )      (0.16 )      (0.33 )      0.43       0.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.45       0.71       (0.22 )      0.37       0.15       0.95       1.14  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.16 )      (0.15 )      (0.42 )      (0.44 )      (0.53 )      (0.49 )      (0.33 ) 

Net realized capital gains

     —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 )      (0.82 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.16 )      (0.27 )      (0.45 )      (0.51 )      (0.60 )      (0.81 )      (1.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.26     $ 13.97     $ 13.53     $ 14.20     $ 14.34     $ 14.79     $ 14.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     3.35 %(b)      5.24 %(b)      (1.64 )%      2.78 %      1.09 %      6.79 %      8.42 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 96,523     $ 105,172     $ 103,197     $ 121,903     $ 133,220     $ 142,871     $ 143,275  

Net expenses

     1.22 %(c)      1.22 %(c)      1.22 %(d)      1.20 %(e)      1.20 %(e)      1.19 %(f)      1.20 %(e) 

Gross expenses

     1.22 %(c)      1.22 %(c)      1.22 %      1.20 %(e)      1.20 %(e)      1.19 %(f)      1.20 %(e) 

Net investment income

     2.07 %(c)      2.53 %(c)      3.19 %      3.80 %      3.33 %      3.57 %      3.76 % 

Portfolio turnover rate

     61 %(h)      30 %(g)      30 %      13 %      6 %      11 %      17 % 

 

 

*

For the three month period ended December 31, 2020.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

(e)

Includes refund of prior year service fee of 0.01%.

(f)

Includes refund of prior year service fee of 0.02%.

(g)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(h)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

 

See accompanying notes to financial statements.

 

91  |

Notes to Financial Statements

 

June 30, 2021 (Unaudited)

 

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

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)

Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)

Natixis Funds Trust II:

Loomis Sayles Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares, except for Intermediate Municipal Bond Fund, which does not offer Class N shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund, except Intermediate Municipal Bond Fund, which are sold with a maximum front-end sales charge of 3.00%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee applicable to Class A, Class C and Admin Class) and transfer agent fees are borne collectively for Class A, Class C, Class Y and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are

 

|  92

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Equity linked notes are valued using broker-dealer bid prices. Broker-dealer bid prices may be used to value debt, unlisted equity securities, senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source. Domestic exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers. Shares of open-end investment companies are valued at net asset value per share.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.

As of June 30, 2021, securities and other investments of the funds included in net assets were fair valued as follows:

 

Fund

  

Equity

Securities1

    

Percentage of

Net Assets

    

Securities
classified as
fair valued

    

Percentage of

Net Assets

    

Securities fair
valued by the
Fund’s adviser

    

Percentage of

Net Assets

  

High Income Fund

   $   —       —     $ 1,506,842       1.3 %    $ 250,752       0.2 % 

Investment Grade Bond Fund

     —       —       98,676,926       1.6 %      —       —  

Strategic Alpha Fund

     970,734       0.1 %      7,163,951       0.5 %      5,989,942       0.4 % 

Strategic Income Fund

     —       —       85,824,919       1.6 %      47,210,136       0.9 % 

 

1 

Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statement of

 

93  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

For the six months ended June 30, 2021, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

 

Strategic Alpha Fund

    $ 6,485,730  

Strategic Income Fund

      1,484,377  

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

d.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e.  Futures Contracts.  The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

 

|  94

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Option Contracts.  Intermediate Municipal Bond Fund and Strategic Alpha Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

g.  Swap Agreements.  The Funds may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

95  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

h.  Swaptions.  The Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

There were no swaptions held by the Funds as of June 30, 2021.

i.  Due from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund represents cash pledged as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts and options, and as initial margin for futures contracts and centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Income Fund represents cash pledged as collateral for forward foreign currency contracts, and as initial

 

|  96

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

margin for centrally cleared swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2021 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

k. Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, defaulted and/or non-income producing securities, swap adjustments, foreign currency gains and losses, distribution re-designations, deferred Trustees’ fees, non-deductible expenses, distributions in excess of income and/or capital gains, forward foreign currency contract mark-to-market, futures contract mark-to-market, net operating losses, return of capital distributions received, partnership basis adjustments, capital gain distributions received, trust preferred securities, convertible bond adjustments, corporate actions, contingent payment debt instruments and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted and/or non-income producing securities, swap adjustments, wash sales, foreign currency gains and losses, paydown gains and losses, distributions in excess of income and/or capital gains, forward foreign currency contract mark-to-market, futures contract mark-to-market, return of capital distributions received, net operating losses, partnership basis adjustments, capital gain distributions received, trust preferred securities, convertible bond adjustments, corporate actions, contingent payment debt instruments and straddle loss deferral adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2020 (period ended for Strategic Income Fund) was as follows:

 

    

2020 Distributions

  

Fund

   

Ordinary

Income

     

Tax

Exempt

Income

     

Long-Term
Capital
Gains

     

Total

  

High Income Fund

    $ 6,265,130      $ —      $ —      $ 6,265,130  

Intermediate Municipal Bond Fund

      791        414,256        —        415,047  

Investment Grade Bond Fund

      312,629,628        —        154,088,171        466,717,799  

Strategic Alpha Fund

      28,229,130        —        —        28,229,130  

Strategic Income Fund

      77,888,540        —        42,139,359        120,027,899  

 

97  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2020, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

 

    

High Income
Fund

     

Intermediate

Municipal
Bond Fund

     

Investment

Grade
Bond Fund

     

Strategic
Alpha Fund

     

Strategic

Income Fund

  

Capital loss carryforward:

               

Short-term:

               

No expiration date

    $ —      $ (343,372 )     $   —      $ —      $ —  

Long-term:

               

No expiration date

      (10,466,344 )       —        —        (45,069,017 )       —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total capital loss carryforward

    $ (10,466,344 )     $ (343,372 )     $ —      $ (45,069,017 )     $ —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Late-year ordinary and post-October capital loss deferrals*

    $ —      $ —      $ —      $ (3,300,526 )     $ (189,804,643 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

*

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring capital and foreign currency losses. Strategic Income Fund is deferring capital losses. Strategic Income Fund elected not to defer foreign currency losses in the amount of $382,266,817.

As of June 30, 2021, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

    

High Income
Fund

     

Intermediate
Municipal
Bond Fund

     

Investment
Grade Bond
Fund

     

Strategic
Alpha Fund

     

Strategic

Income Fund

  

Unrealized appreciation (depreciation)

               

Investments

    $ 1,722,528      $ 1,486,203      $ 339,450,584      $ 35,365,471      $ 123,096,310  

Foreign currency

translations

      —        —        —        (21,281,104 )       1,558,621  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total unrealized appreciation

    $ 1,722,528      $ 1,486,203      $ 339,450,584      $ 14,084,367      $ 124,654,931  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

As of June 30, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

High Income
Fund

     

Intermediate
Municipal
Bond Fund

     

Investment
Grade Bond
Fund

     

Strategic
Alpha Fund

     

Strategic
Income Fund

  

Federal tax cost

    $ 112,932,439      $ 38,554,551      $ 5,970,322,921      $ 1,414,550,549      $ 5,241,510,971  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Gross tax appreciation

    $ 6,081,354      $ 1,503,400      $ 394,018,385      $ 70,185,067      $ 329,374,956  

Gross tax depreciation

      (4,358,826 )       (17,197 )       (54,567,801 )       (55,922,590 )       (204,719,010 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net tax appreciation

    $ 1,722,528      $ 1,486,203      $ 339,450,584      $ 14,262,477      $ 124,655,946  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currency mark-to-market.

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

l.  Senior Loans.  Each Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the

 

|  98

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m.  Loan Participations.  A Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

The Funds did not hold any loan participations as of June 30, 2021.

n.  Collateralized Loan Obligations.  Each Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. The intent of the Funds when investing in CLOs is to purchase only higher level, investment grade level select tranches. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

o.  Equity Linked Notes.  Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

The Fund did not hold any equity linked notes as of June 30, 2021.

p.  Repurchase Agreements.  Each Fund, except International Growth Fund, may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2021, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

q.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

 

99  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2021.

r.  Stripped Securities.  Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

The Funds did not hold any stripped securities as of June 30, 2021.

s.  Securities Lending.  High Income Fund, Investment Grade Bond Fund and Strategic Income Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2021, the Funds did not loan securities under this agreement.

t.  Unfunded Loan Commitments.  The Funds may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments.

As of June 30, 2021, the Funds did not have any unfunded loan commitments.

u.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

v.  New Accounting Pronouncement.  In March 2020, the Financial Accounting Standards Board issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than June 30, 2023, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

 

|  100

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

 

101  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2021, at value:

High Income Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

Home Construction

    $ —      $ 1,064,433      $ — (b)    $ 1,064,433  

Non-Agency Commercial Mortgage-Backed Securities

      —        1,659,747        133,712 (c)      1,793,459  

All Other Non-Convertible Bonds(a)

      —        92,747,427        —       92,747,427  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        95,471,607        133,712       95,605,319  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        6,395,161        —       6,395,161  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        101,866,768        133,712       102,000,480  
  

 

 

     

 

 

     

 

 

    

 

 

  

Collateralized Loan Obligations

      —        1,647,032        310,000 (d)      1,957,032  

Senior Loans(a)

      —        408,403        —       408,403  

Preferred Stocks

           

Food & Beverage

      —        731,990        —       731,990  

Wireless

      —        1,262,600        —       1,262,600  

All Other Preferred Stocks(a)

      397,254        —        —       397,254  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      397,254        1,994,590        —       2,391,844  
  

 

 

     

 

 

     

 

 

    

 

 

  

Common Stocks

           

Chemicals

      —        225,275        —       225,275  

All Other Common Stocks(a)

      522,964        —        —       522,964  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      522,964        225,275        —       748,239  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Investments(a)

      —        —        114,940 (c)      114,940  

Warrants

      —        —        2,100 (c)      2,100  

Exchange-Traded Funds

      1,144,520        —        —       1,144,520  

Short-Term Investments

      —        5,887,409        —       5,887,409  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 2,064,738      $ 112,029,477      $ 560,752     $ 114,654,967  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a)

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

(b)

Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

(c)

Fair valued by the Fund’s adviser.

(d)

Valued using broker-dealer bid prices.

Intermediate Municipal Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Bonds and Notes(a)

    $ —      $ 37,574,148      $ —      $ 37,574,148  

Short-Term Investments

      —        2,466,606        —        2,466,606  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $   —      $ 40,040,754      $   —      $ 40,040,754  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

 

|  102

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Investment Grade Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Other

    $ —      $ 185,488,716      $ 20,003,260 (b)    $ 205,491,976  

All Other Non-Convertible Bonds(a)

      —        5,442,274,182        —       5,442,274,182  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        5,627,762,898        20,003,260       5,647,766,158  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        94,516,759        —       94,516,759  

Municipals(a)

      —        7,705,274        —       7,705,274  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        5,729,984,931        20,003,260       5,749,988,191  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans(a)

      —        6,830,819        —       6,830,819  

Collateralized Loan Obligations

      —        164,020,493        —       164,020,493  

Preferred Stocks

           

Banking

      53,132,442        —        —       53,132,442  

Food & Beverage

      —        16,079,184        —       16,079,184  

Wireless

      —        23,036,783        —       23,036,783  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      53,132,442        39,115,967        —       92,248,409  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —        311,131,660        —       311,131,660  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 53,132,442      $ 6,251,083,870      $ 20,003,260     $ 6,324,219,572  
  

 

 

     

 

 

     

 

 

    

 

 

  
Liability Valuation Inputs           

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Futures Contracts (unrealized depreciation)

    $ (14,446,067 )     $ —      $ —     $ (14,446,067 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a)

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

(b)

Valued using broker-dealer bid prices.

Strategic Alpha Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Other

    $ —      $ 66,992,385      $ 3,067,797 (b)    $ 70,060,182  

Non-Agency Commercial Mortgage-Backed Securities

      —        44,823,995        1,887,685 (b)      46,711,680  

All Other Non-Convertible
Bonds(a)

      —        983,399,910        —       983,399,910  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        1,095,216,290        4,955,482       1,100,171,772  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        51,251,354        —       51,251,354  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        1,146,467,644        4,955,482       1,151,423,126  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans(a)

      —        14,422,181        —       14,422,181  

Collateralized Loan Obligations

      —        69,332,201        2,870,000 (c)      72,202,201  

Common Stocks

           

Chemicals

      529,163        2,563,268        —       3,092,431  

Textiles, Apparel & Luxury Goods

      618,115        970,734        —       1,588,849  

All Other Common Stocks(a)

      54,204,684        —        —       54,204,684  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      55,351,962        3,534,002        —       58,885,964  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

103  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Preferred Stocks

           

Food & Beverage

    $ —      $ 3,631,402      $ —     $ 3,631,402  

Wireless

      —        4,090,220        —       4,090,220  

All Other Preferred Stocks(a)

      15,307,149        —        —       15,307,149  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      15,307,149        7,721,622        —       23,028,771  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Investments(a)

      —        —        1,034,460 (b)      1,034,460  

Short-Term Investments

      —        112,498,075        —       112,498,075  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investments

      70,659,111        1,353,975,725        8,859,942       1,433,494,778  
  

 

 

     

 

 

     

 

 

    

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —        162,764        —       162,764  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 70,659,111      $ 1,354,138,489      $ 8,859,942     $ 1,433,657,542  
  

 

 

     

 

 

     

 

 

    

 

 

  
Liability Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Written Options(a)

    $ (158,676 )     $ —      $ —     $ (158,676 ) 

Bilateral Credit Default Swap Agreements (unrealized depreciation)

      —        (153,050 )       —       (153,050 ) 

Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)

      —        (849,143 )       —       (849,143 ) 

Forward Foreign Currency Contracts (unrealized depreciation)

      —        (473,027 )       —       (473,027 ) 

Futures Contracts (unrealized depreciation)

      (3,345,516 )       —        —       (3,345,516 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ (3,504,192 )     $ (1,475,220 )     $ —     $ (4,979,412 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a)

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

(b)

Fair valued by the Fund’s adviser.

(c)

Valued using broker-dealer bid prices.

Strategic Income Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Home Equity

    $ —      $ 73,296,178      $ 11,249,998 (b)    $ 84,546,176  

ABS Other

      —        40,640,171        32,058,634 (c)      72,698,805  

Independent Energy

      —        168,907,240        501,932 (c)      169,409,172  

Property & Casualty Insurance

      —        7,019,208        3,674,812 (b)      10,694,020  

All Other Non-Convertible Bonds(a)

      —        3,661,930,829        —       3,661,930,829  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        3,951,793,626        47,485,376       3,999,279,002  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds

           

Oil Field Services

      —        —        7,933,006 (c)      7,933,006  

All Other Convertible Bonds(a)

      —        329,503,306        —       329,503,306  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Convertible Bonds

      —        329,503,306        7,933,006       337,436,312  
  

 

 

     

 

 

     

 

 

    

 

 

  

Municipals(a)

      —        69,725,637        —       69,725,637  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        4,351,022,569        55,418,382       4,406,440,951  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans(a)

      —        38,247,084        —       38,247,084  

Collateralized Loan Obligations

      —        86,666,033        49,235,000 (b)      135,901,033  

Common Stocks

           

Chemicals

      —        12,288,662        —       12,288,662  

Oil Field Services

      —        —        — (d)      —  

Oil, Gas & Consumable Fuels

      37,863,326        —        6,716,564 (c)      44,579,890  

Software

      15,877,449        318,800        —       16,196,249  

All Other Common Stocks(a)

      477,135,026        —        —       477,135,026  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      530,875,801        12,607,462        6,716,564       550,199,827  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

|  104

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Preferred Stocks

            

Convertible Preferred Stocks

            

Food & Beverage

    $ —      $ 4,326,717      $ —      $ 4,326,717  

Wireless

      —        14,909,267        —        14,909,267  

All Other Convertible Preferred Stocks(a)

      69,346,085        —        —        69,346,085  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Convertible Preferred Stocks

      69,346,085        19,235,984        —        88,582,069  
  

 

 

     

 

 

     

 

 

     

 

 

  

Non-Convertible Preferred Stocks

            

REITs – Office Property

      —        1,995,000        —        1,995,000  

REITs – Warehouse/Industrials

      —        8,435,539        —        8,435,539  

All Other Non-Convertible Preferred Stocks(a)

      4,127,659        —        —        4,127,659  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Non-Convertible Preferred Stocks

      4,127,659        10,430,539        —        14,558,198  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      73,473,744        29,666,523        —        103,140,267  
  

 

 

     

 

 

     

 

 

     

 

 

  

Closed-End Investment Companies

      2,343,080        —        —        2,343,080  

Short-Term Investments

      —        136,491,802        —        136,491,802  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      606,692,625        4,654,701,473        111,369,946        5,372,764,044  
  

 

 

     

 

 

     

 

 

     

 

 

  

Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)

      —        5,007,513        —        5,007,513  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 606,692,625      $ 4,659,708,986      $ 111,369,946      $ 5,377,771,557  
  

 

 

     

 

 

     

 

 

     

 

 

  
Liability Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —      $ (981,452 )     $ —      $ (981,452 ) 

Futures Contracts (unrealized depreciation)

      (10,623,188 )       —        —        (10,623,188 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (10,623,188 )     $ (981,452 )     $ —      $ (11,604,640 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

(b)

Valued using broker-dealer bid prices.

(c)

Fair valued by the Fund’s adviser.

(d)

Includes a security fair valued at zero by the Fund’s adviser using level 3 inputs

 

105  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or June 30, 2021:

High Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2020

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,
2021

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2021

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Home Construction

   $ — (a)    $ 22,744     $ —     $ (22,744 )    $ —     $ —     $   —     $   —     $ — (a)    $ (22,744 ) 

Non-Agency Commercial Mortgage-Backed Securities

     390,104       —       —       (256,392 )      —       —       —       —       133,712       (256,392 ) 

Collateralized Loan Obligations

     —       —       —       —       310,000       —       —       —       310,000       —  

Loan Participations

                    

ABS Other

     161,345       3       (114,111 )      132,886       9,535       (189,658 )      —       —       —       —  

Preferred Stocks

                    

Energy

     — (a)      —       (752,373 )      752,373       —       —       —       —       —       —  

Other Investments

                    

Aircraft ABS

     125,600       —       —       (10,660 )      —       —       —       —       114,940       (10,660 ) 

Warrants

     37,995       —       —       (28,497 )      —       (7,398 )      —       —       2,100       (29,847 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 715,044     $ 22,747     $ (866,484 )    $ 566,966     $ 319,535     $ (197,056 )    $   —     $   —     $ 560,752     $ (319,643 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

Investment Grade Bond Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2020

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,
2021

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2021

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

ABS Other

   $ 21,594,566     $ —     $ 2,599     $ 1,299,380     $ —     $ (2,893,285 )    $   —     $ —     $ 20,003,260     $ 1  

Collateralized Loan Obligations

     14,755,000       —       —       —       —       —       —       (14,755,000 )      —       —  

Preferred Stocks

                    

Energy

     — (a)      —       (3,487,753 )      3,487,753       —       —       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 36,349,566     $   —     $ (3,485,154 )    $ 4,787,133     $   —     $ (2,893,285 )    $ —     $ (14,755,000 )    $ 20,003,260     $ 1  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $14,755,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2021 this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

 

|  106

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Strategic Alpha Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2020

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into

Level 3

    

Transfers
out of
Level 3

    

Balance

as of

June 30,

2021

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2021

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

ABS Other

   $ 1,475,243 (a)    $   —     $ —     $ 2,062,741     $ 100,953     $ —     $ —     $ (571,140 )    $ 3,067,797     $ 2,062,741  

Non-Agency Commercial Mortgage-Backed Securities

     4,742,511       —       —       (2,854,826 )      —       —       —       —       1,887,685       (2,854,826 ) 

Collateralized Loan Obligations

     —       —       —       —       2,870,000       —       —       —       2,870,000       —  

Loan Participations

                    

ABS Other

     580,841       46       (410,923 )      478,390       34,327       (682,681 )      —       —       —       —  

Preferred Stocks

                    

Energy

     — (a)      —       (1,062,020 )      1,062,020       —       —       —       —       —       —  

Other Investments

                    

Aircraft ABS

     1,130,400       —       —       (95,940 )      —       —       —       —       1,034,460       (95,940 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 7,928,995     $ 46     $ (1,472,943 )    $ 652,385     $ 3,005,280     $ (682,681 )    $   —     $ (571,140 )    $ 8,859,942     $ (888,025 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $571,140 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2021, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

 

107  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Strategic Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2020

    

Accrued
Discounts
(Premiums)

    

Realized
Gain (Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance

as of
June 30,
2021

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2021

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

ABS Home Equity

   $ —     $ —     $ —     $ —     $ 11,249,998     $ —     $ —     $ —     $ 11,249,998     $ —  

ABS Other

     14,217,962 (a)      —       —       21,667,146       1,043,916       —       —       (4,870,390 )      32,058,634       21,667,146  

Independent Energy

     —       162,771       —       247,699       —       —       91,462       —       501,932       247,699  

Property & Casualty Insurance

     —       27,163       —       (730,851 )      —       —       4,378,500       —       3,674,812       (730,851 ) 

Convertible Bonds

                    

Oil Field Services

     6,330,947       58,987       —       1,288,817       254,255       —       —       —       7,933,006       1,288,817  

Senior Loans

                    

Construction Machinery

     9,862,216       436,973       (6,497,335 )      6,069,631       —       (9,871,485 )      —       —       —       —  

Collateralized Loan Obligations

     —       —       —       —       49,235,000       —       —       —       49,235,000       —  

Common Stocks

                    

Oil Field Services

     — (a)      —       —       —       —       —       —       —       — (a)      —  

Oil, Gas & Consumable Fuels

     3,473,775 (a)      —       (1,167,146 )      2,944,165       —       —       1,465,770       —       6,716,564       1,777,019  

Specialty Retail

     — (a)      —       —       —       —       —       —       —       —       —  

Preferred Stocks

                    

Convertible Preferred Stocks

                    

Energy

     — (a)      —       (122,532,800 )      122,532,800       —       —       —       —       —       —  

Warrants

     9,760,259       —       —       8,285,057       —       (18,045,316 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 43,645,159     $ 685,894     $ (130,197,281 )    $ 162,304,464     $ 61,783,169     $ (27,916,801 )    $ 5,935,732     $ (4,870,390 )    $ 111,369,946     $ 24,249,830  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using Level 3 inputs.

A debt security valued at $4,870,390 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2021, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $91,462 were transferred from Level 2 to Level 3 during the period ended June 30, 2021. At December 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the securities.

A debt security valued at $4,378,500 was transferred from Level 2 to Level 3 during the period ended June 30, 2021. At December 31, 2020, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

A common stock valued at $1,465,770 was transferred from Level 2 to Level 3 during the period ended June 30, 2021. At December 31, 2020, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2021, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

 

|  108

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

High Income Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the six months ended June 30, 2021, High Income Fund, Strategic Alpha Fund and Strategic Income Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure. Strategic Alpha Fund also engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2021, the Funds engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.

Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2021, Strategic Alpha Fund engaged in futures contracts and interest rate swap agreements for hedging purposes and to manage duration and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2021, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the six months ended June 30, 2021, the Fund engaged in option contracts for hedging purposes.

Transactions in derivative instruments for High Income Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Swap
Agreements

  

Credit contracts

    $ 199,712  

The following is a summary of derivative instruments for Investment Grade Bond Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

   

Unrealized
depreciation on
futures
contracts1

  

Exchange-traded liability derivatives

 

Interest rate contracts

    $ (14,446,067 ) 

 

1 

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Investment Grade Bond Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
Contracts

  

Interest rate contracts

    $ 31,143,427  

 

109  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures
Contracts

  

Interest rate contracts

    $ (14,446,067 ) 

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation
on forward
foreign
currency
contracts

  

Over-the-counter asset derivatives

 

Foreign exchange contracts

    $ 162,764  

 

Liabilities

   

Options
written
at value

     

Unrealized
depreciation
on forward
foreign
currency
contracts

     

Unrealized
depreciation
on futures
contracts1

     

Swap
agreements
at value2

     

Total

  

Over-the-counter liability derivatives

 

Foreign exchange contracts

    $ —      $ (473,027 )     $ —      $ —      $ (473,027 ) 

Credit contracts

      —        —        —        (70,624 )       (70,624 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total over-the counter liability derivatives

    $ —      $ (473,027 )     $ —      $ (70,624 )     $ (543,651 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Exchange-traded/cleared liability derivatives

 

   

Interest rate contracts

    $ —      $ —      $ (3,345,516 )     $ (847,667 )     $ (4,193,183 ) 

Equity contracts

      (158,676 )       —        —        —        (158,676 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total exchange-traded/cleared liability derivatives

    $ (158,676 )     $ —      $ (3,345,516 )     $ (847,667 )     $ (4,351,859 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total liability derivatives

    $ (158,676 )     $ (473,027 )     $ (3,345,516 )     $ (918,291 )     $ (4,895,510 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

1  

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

2 

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
contracts

     

Options
written

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ (2,257,537 )     $ —      $ (473,046 )     $ —  

Foreign exchange contracts

      —        —        —        (3,894,601 ) 

Credit contracts

      —        —        5,538,695        —  

Equity contracts

      —        (132,499 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (2,257,537 )     $ (132,499 )     $ 5,065,649      $ (3,894,601 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  110

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures
contracts

     

Options
written

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ (3,323,082 )     $ —      $ 331      $ —  

Foreign exchange contracts

      —        —        —        2,751,304  

Credit contracts

      —        —        (3,221,253 )       —  

Equity contracts

      —        (32,112 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (3,323,082 )     $ (32,112 )     $ (3,220,922 )     $ 2,751,304  
  

 

 

     

 

 

     

 

 

     

 

 

  

The following is a summary of derivative instruments for Strategic Income Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Swap
agreements
at value1

  

Exchange-traded/cleared asset derivatives

 

Credit contracts

    $ 27,511,552  

 

Liabilities

   

Unrealized
depreciation
on forward
foreign
currency
contracts

     

Unrealized
depreciation
on futures
contracts2

  

Over-the-counter liability derivatives

 

Foreign exchange contracts

    $ (981,452 )     $ —  

Exchange-traded liability derivatives

 

Interest rate contracts

    $ —      $ (10,623,188 ) 
  

 

 

     

 

 

  

Total liability derivatives

    $ (981,452 )     $ (10,623,188 ) 
  

 

 

     

 

 

  

 

1  

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

2 

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Income Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
contracts

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ 11,522,672      $ —      $ —  

Foreign exchange contracts

      —        —        (936,517 ) 

Credit contracts

      —        2,472,346        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 11,522,672      $ 2,472,346      $ (936,517 ) 
  

 

 

     

 

 

     

 

 

  

 

111  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures
contracts

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ (10,623,188 )     $ —      $ —  

Foreign exchange contracts

      —        —        (981,452 ) 

Credit contracts

      —        5,007,513        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ (10,623,188 )     $ 5,007,513      $ (981,452 ) 
  

 

 

     

 

 

     

 

 

  

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2021:

 

High Income Fund

   

Credit
Default
Swaps

  

Average Notional Amount Outstanding

      3.68 % 

Highest Notional Amount Outstanding

      10.24 % 

Lowest Notional Amount Outstanding

      0.00 % 

Notional Amount Outstanding as of June 30, 2021

      0.00 % 

 

Investment Grade Bond Fund

   

Futures

  

Average Notional Amount Outstanding

      9.64 % 

Highest Notional Amount Outstanding

      13.27 % 

Lowest Notional Amount Outstanding

      5.55 % 

Notional Amount Outstanding as of June 30, 2021

      12.05 % 

 

Strategic Alpha Fund

   

Forwards

     

Futures

     

Credit
Default
Swaps

     

Interest
Rate
Swaps

  

Average Notional Amount Outstanding

      3.08 %       13.25 %       4.89 %       1.63 % 

Highest Notional Amount Outstanding

      3.52 %       22.02 %       8.18 %       1.65 % 

Lowest Notional Amount Outstanding

      2.43 %       8.55 %       1.48 %       1.58 % 

Notional Amount Outstanding as of June 30, 2021

   

 

2.47

% 

      16.14 %       1.49 %       1.60 % 

 

Strategic Income Fund

   

Forwards

     

Futures

     

Credit
Default
Swaps

  

Average Notional Amount Outstanding

      0.22 %       8.12 %       3.39 % 

Highest Notional Amount Outstanding

      0.80 %       15.87 %       4.95 % 

Lowest Notional Amount Outstanding

      0.00 %       3.35 %       0.00 % 

Notional Amount Outstanding as of June 30, 2021

      0.28 %       13.09 %       4.95 % 

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in net assets.

 

|  112

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2021:

 

Strategic Alpha Fund

   

Call
Options
Written*

  

Average Market Value of Underlying Instruments

      0.80 % 

Highest Market Value of Underlying Instruments

      1.05 % 

Lowest Market Value of Underlying Instruments

      0.66 % 

Market Value of Underlying Instruments as of June 30, 2021

      0.67 % 

 

*

Market value of underlying instruments is determined by multiplying option shares by the price of the option’s underlying security.

Amounts outstanding at the end of the prior period, if applicable, are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2021, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

 

Strategic Alpha Fund

 

Counterparty

   

Gross
Amounts of
Assets

     

Offset
Amount

     

Net
Asset
Balance

     

Collateral
(Received)/
Pledged

     

Net
Amount

  

Bank of America, N.A.

    $ 31,494      $ (31,494 )     $ —      $ —      $ —  

Barclays Bank PLC

      36,428        (36,428 )       —        —        —  

Deutsche Bank AG

      7,338        —        7,338        —        7,338  

HSBC Bank USA

      14,249        —        14,249        —        14,249  

Morgan Stanley Capital Services, Inc.

      73,255        (73,255 )       —        —        —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 162,764      $ (141,177 )     $ 21,587      $ —      $ 21,587  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Counterparty

   

Gross
Amounts of
Liabilities

     

Offset
Amount

     

Net
Liability
Balance

     

Collateral
(Received)/
Pledged

     

Net
Amount

  

Bank of America, N.A.

    $ (232,713 )     $ 31,494      $ (201,219 )     $ 201,219      $ —  

Barclays Bank PLC

      (70,624 )       36,428        (34,196 )       —        (34,196 ) 

Morgan Stanley Capital Services, Inc.

      (240,314 )       73,255        (167,059 )       130,498        (36,561 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ (543,651 )     $ 141,177      $ (402,474 )     $ 331,717      $ (70,757 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

Strategic Income Fund

 

Counterparty

   

Gross
Amounts of
Liabilities

     

Offset
Amount

     

Net
Liability
Balance

     

Collateral
(Received)/
Pledged

     

Net
Amount

  

Bank of America, N.A.

    $ (981,452 )     $   —      $ (981,452 )     $ 981,452      $   —  

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The

 

113  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2021:

 

Fund

   

Maximum Amount

of Loss - Gross

     

Maximum Amount

of Loss - Net

  

High Income Fund

    $ 1,375,010      $ 1,375,010  

Investment Grade Bond Fund

      24,718,739        24,718,739  

Strategic Alpha Fund

      18,997,725        18,524,831  

Strategic Income Fund

      50,050,453        49,069,001  

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2021, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:

 

    

U.S. Government/Agency
Securities

     

Other Securities

  

Fund

   

Purchases

     

Sales

     

Purchases

     

Sales

  

High Income Fund

    $ 2,475,487      $ —      $ 59,736,303      $ 57,233,136  

Intermediate Municipal Bond Fund

      —        —        11,669,539        9,952,498  

Investment Grade Bond Fund

      79,138,888        147,926,173        1,205,292,120        864,247,571  

Strategic Alpha Fund

      2,094,360,522        2,095,102,670        543,877,484        301,854,619  

Strategic Income Fund

      763,186,242        763,180,407        2,690,255,732        2,380,997,279  

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

     Percentage of Average Daily Net Assets  

Fund

   

First

$200 million

     

Next

$1.05 billion

     

Next

$750 million

     

Next
$13 billion

     

Next
$10 billion

     

Over
$25 billion

  

High Income Fund

      0.60 %       0.60 %       0.60 %       0.60 %       0.60 %       0.60 % 

Investment Grade Bond Fund

      0.40 %       0.40 %       0.40 %       0.40 %       0.38 %       0.38 % 

Strategic Alpha Fund

      0.60 %       0.60 %       0.55 %       0.55 %       0.55 %       0.55 % 

Strategic Income Fund

      0.65 %       0.60 %       0.60 %       0.55 %       0.54 %       0.53 % 

 

|  114

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Intermediate Municipal Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC.

Under the terms of the management agreement, Intermediate Municipal Bond Fund pays a management fee at the annual rate of 0.40% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into a subadvisory agreement for the Fund with Loomis Sayles. Under the terms of the subadvisory agreement, the Fund has agreed to pay Loomis Sayles a subadvisory fee at the annual rate of 0.20% of the Fund’s average daily net assets, calculated daily and payable monthly.

Payments to Natixis Advisors are reduced by the amounts of payments to Loomis Sayles, as calculated based on the above.

Natixis Advisors and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

High Income Fund

      1.00 %       1.75 %       0.70 %       0.75 %       —  

Intermediate Municipal Bond Fund

      0.70 %       1.45 %       —        0.45 %       —  

Investment Grade Bond Fund

      0.75 %       1.50 %       0.45 %       0.50 %       1.00 % 

Strategic Alpha Fund

      1.00 %       1.75 %       0.70 %       0.75 %       —  

Strategic Income Fund

      1.00 %       1.75 %       0.70 %       0.75 %       1.25 % 

Effective July 1, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Strategic Income Fund are as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

Strategic Income Fund

      0.95 %       1.70 %       0.65 %       0.70 %       1.20 % 

This new undertaking is in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For six months ended June 30, 2021, the management fees and waivers of management fees for each Fund were as follows:

 

    

Gross
Management Fees

     

Contractual
Waivers of
Management Fees1

     

Net
Management Fees

     

Percentage of
Average
Daily Net Assets

  

Fund

    Gross      Net  

High Income Fund

    $ 361,288      $ 144,649      $ 216,639        0.60 %       0.36 % 

Intermediate Municipal Bond Fund

      77,190        77,190        —        0.40 %       — % 

Investment Grade Bond Fund

      12,292,653        1,309,981        10,982,672        0.40 %       0.36 % 

Strategic Alpha Fund

      4,089,926        —        4,089,926        0.60 %       0.60 % 

Strategic Income Fund

      15,802,434        —        15,802,434        0.57 %       0.57 % 

 

1 

Management fee waivers are subject to possible recovery until December 31, 2022.

 

115  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

For the six months ended June 30, 2021, expenses have been reimbursed as follows:

 

Fund

   

Reimbursement2

  

Intermediate Municipal Bond Fund

    $ 23,324  

 

2  

Expense reimbursements are subject to possible recovery until December 31, 2022.

No expenses were recovered for any of the Funds during the six months ended June 30, 2021 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, LLC (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Investment Grade Bond Fund and Strategic Income Fund have adopted a Distribution Plan relating to their Admin Class shares (the “Admin Class Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

Under the Admin Class Plans, Investment Grade Bond Fund and Strategic Income Fund pay Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Admin Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Investment Grade Bond Fund and Strategic Income Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For six months ended June 30, 2021, the service and distribution fees for each Fund were as follows:

 

    

Service Fees

     

Distribution Fees

  

Fund

   

Class A

     

Class C

     

Admin Class

     

Class C

     

Admin Class

  

High Income Fund

    $ 32,171      $ 3,093      $ —      $ 9,278      $ —  

Intermediate Municipal Bond Fund

      10,507        1,201        —        3,602        —  

Investment Grade Bond Fund

      1,060,915        141,269        156,283        423,808        156,283  

Strategic Alpha Fund

      48,642        8,698        —        26,095        —  

Strategic Income Fund

      2,004,999        264,252        124,697        792,755        124,697  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

 

|  116

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

For the six months ended June 30, 2021, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

High Income Fund

    $ 25,748  

Intermediate Municipal Bond Fund

      8,285  

Investment Grade Bond Fund

      1,326,542  

Strategic Alpha Fund

      293,866  

Strategic Income Fund

      1,184,509  

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2021, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

High Income Fund

    $ 33,430  

Intermediate Municipal Bond Fund

      6,877  

Investment Grade Bond Fund

      1,763,658  

Strategic Alpha Fund

      220,776  

Strategic Income Fund

      1,930,727  

As of June 30, 2021, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

High Income Fund

    $ 1,033  

Intermediate Municipal Bond Fund

      163  

Investment Grade Bond Fund

      44,047  

Strategic Alpha Fund

      5,921  

Strategic Income Fund

      48,062  

Sub-transfer agent fees attributable to Class A, Class C, Class Y, and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2021 were as follows:

 

Fund

   

Commissions

  

High Income Fund

    $ 465  

Intermediate Municipal Bond Fund

      7,500  

Investment Grade Bond Fund

      16,612  

Strategic Alpha Fund

      866  

Strategic Income Fund

      12,904  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance

 

117  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2022 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2021, Natixis Advisors reimbursed the Fund $901 for transfer agency expenses related to Class N shares.

h.  Affiliated Ownership.  As of June 30, 2021, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.13% and 0.21%, respectively, of the Funds’ net assets.

i.   Affiliated Transactions.  As a result of business restructurings, Strategic Income Fund received common shares of Pioneer Energy Services Corp. (the “Company”) and Lonestar Resources U.S., Inc. (the “Company”) constituting more than 5% of the voting securities of the Company. As such, the Company is considered to be an affiliate at June 30, 2021. A summary of affiliated transactions for the six months ended June 30, 2021, is as follows:

 

   

Beginning
Value

    

Purchase
Cost

    

Sales
Proceeds

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Gain
(Loss)

    

Ending
Value

    

Investment
Income

  

Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash

   $ 6,330,947     $ 254,256 *    $   —     $ 58,988     $   —     $ 1,288,815     $ 7,933,006     $ 255,879  

Pioneer Energy Services Corp.

     —       —       —       —       —       —       —       —  

Lonestar Resources U.S., Inc.

     3,473,775       —       —       —       —       1,481,611       4,955,386       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 9,804,722     $ 254,256     $ —     $ 58,988     $ —     $ 2,770,426     $ 12,888,392     $ 255,879  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

*

Represents interest paid in additional principal.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses for High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

Intermediate Municipal Bond Fund allocates transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

 

|  118

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

For the six months ended June 30, 2021, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

    

Transfer Agent Fees and Expenses

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin
Class

  

High Income Fund

    $ 10,732      $ 1,034      $ 901      $ 34,447      $ —  

Investment Grade Bond Fund

      324,315        43,195        2,964        1,438,479        47,765  

Strategic Alpha Fund

      11,299        2,038        1,720        222,503        —  

Strategic Income Fund

      619,484        82,350        2,156        1,311,614        38,584  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 8, 2021, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit.

For the six months ended June 30, 2021, none of the Funds had borrowings under this agreement.

9.  Risk.  The Fund’s investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

10.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2021, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

High Income Fund

      3        32.29 % 

Intermediate Municipal Bond Fund

      4        70.55 % 

Investment Grade Bond Fund

      1        9.98 % 

Strategic Alpha Fund

      4        50.47 % 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

 

119  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

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

High Income Fund

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  
    

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      367,875      $ 1,606,561        5,472,929      $ 23,366,332  

Issued in connection with the reinvestment of distributions

      93,974        408,680        265,043        1,081,552  

Redeemed

      (5,143,119 )       (22,529,101 )       (1,646,663 )       (6,698,230 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (4,681,270 )     $ (20,513,860 )       4,091,309      $ 17,749,654  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      43,107      $ 188,626        204,929      $ 851,367  

Issued in connection with the reinvestment of distributions

      7,161        31,297        27,930        113,438  

Redeemed

      (239,439 )       (1,050,064 )       (460,672 )       (1,851,801 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (189,171 )     $ (830,141 )       (227,813 )     $ (886,996 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      713,447      $ 3,093,487        636,909      $ 2,492,319  

Issued in connection with the reinvestment of distributions

      62,883        273,540        182,577        739,980  

Redeemed

      (4,152,897 )       (18,269,333 )       (240,181 )       (982,234 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (3,376,567 )     $ (14,902,306 )       579,305      $ 2,250,065  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      11,222,231      $ 48,886,885        8,276,302      $ 32,427,807  

Issued in connection with the reinvestment of distributions

      328,818        1,427,793        953,466        3,824,624  

Redeemed

      (2,931,754 )       (12,749,454 )       (22,428,758 )       (87,181,268 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      8,619,295      $ 37,565,224        (13,198,990 )     $ (50,928,837 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) from capital share transactions

      372,287      $ 1,318,917        (8,756,189 )     $ (31,816,114 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Intermediate Municipal Bond Fund

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  
    

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      62,308      $ 653,232        269,748      $ 2,831,550  

Issued in connection with the reinvestment of distributions

      4,433        46,403        11,723        121,983  

Redeemed

      (174,657 )       (1,828,510 )       (162,733 )       (1,679,297 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (107,916 )     $ (1,128,875 )       118,738      $ 1,274,236  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      12      $ 122        47,897      $ 494,485  

Issued in connection with the reinvestment of distributions

      231        2,420        777        8,083  

Redeemed

      (23,035 )       (241,767 )       (85,913 )       (898,719 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (22,792 )     $ (239,225 )       (37,239 )     $ (396,151 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      779,778      $ 8,202,345        2,146,197      $ 22,275,909  

Issued in connection with the reinvestment of distributions

      13,820        144,926        19,854        207,580  

Redeemed

      (431,230 )       (4,539,360 )       (556,921 )       (5,809,326 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      362,368      $ 3,807,911        1,609,130      $ 16,674,163  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      231,660      $ 2,439,811        1,690,629      $ 17,552,248  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  120

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

11.  Capital Shares (continued).

Investment Grade Bond Fund

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  
    

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      8,384,927      $ 96,429,891        20,934,113      $ 243,643,227  

Issued in connection with the reinvestment of distributions

      691,112        7,928,386        4,472,710        51,487,111  

Redeemed

      (9,370,290 )       (107,661,014 )       (18,660,738 )       (215,501,248 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (294,251 )     $ (3,302,737 )       6,746,085      $ 79,629,090  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      539,503      $ 6,121,176        1,837,724      $ 21,073,918  

Issued in connection with the reinvestment of distributions

      76,755        869,372        812,986        9,217,940  

Redeemed

      (4,134,473 )       (46,904,758 )       (9,377,842 )       (108,032,709 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (3,518,215 )     $ (39,914,210 )       (6,727,132 )     $ (77,740,851 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class N

  

Issued from the sale of shares

      34,500,974      $ 397,703,374        35,059,681      $ 407,348,565  

Issued in connection with the reinvestment of distributions

      1,430,045        16,410,172        8,107,642        93,301,449  

Redeemed

      (17,431,568 )       (200,606,457 )       (61,802,905 )       (713,421,603 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      18,499,451      $ 213,507,089        (18,635,582 )     $ (212,771,589 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      67,144,759      $ 773,265,694        116,069,530      $ 1,338,576,662  

Issued in connection with the reinvestment of distributions

      3,760,431        43,172,128        21,359,279        246,149,320  

Redeemed

      (52,279,659 )       (602,041,020 )       (94,728,720 )       (1,084,178,153 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      18,625,531      $ 214,396,802        42,700,089      $ 500,547,829  
  

 

 

     

 

 

     

 

 

     

 

 

  
Admin Class

 

Issued from the sale of shares

      1,349,757      $ 15,493,810        2,273,836      $ 26,516,127  

Issued in connection with the reinvestment of distributions

      117,924        1,348,640        764,671        8,774,511  

Redeemed

      (1,084,756 )       (12,480,692 )       (2,101,154 )       (24,136,301 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      382,925      $ 4,361,758        937,353      $ 11,154,337  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      33,695,441      $ 389,048,702        25,020,813      $ 300,818,816  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

121  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

11.  Capital Shares (continued).

Strategic Alpha Fund

 

    

Six Months Ended
June 30, 2021

     

Year Ended
December 31, 2020

  
    

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      910,365      $ 9,511,491        1,023,731      $ 10,060,502  

Issued in connection with the reinvestment of distributions

      24,560        256,320        62,078        605,195  

Redeemed

      (403,857 )       (4,218,446 )       (2,666,522 )       (25,934,557 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      531,068      $ 5,549,365        (1,580,713 )     $ (15,268,860 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      51,260      $ 533,938        126,434      $ 1,222,512  

Issued in connection with the reinvestment of distributions

      1,575        16,357        10,648        103,121  

Redeemed

      (426,256 )       (4,442,929 )       (966,909 )       (9,480,056 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (373,421 )     $ (3,892,634 )       (829,827 )     $ (8,154,423 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      10,309,033      $ 107,567,677        29,423,113      $ 288,816,017  

Issued in connection with the reinvestment of distributions

      315,465        3,281,576        814,373        7,933,168  

Redeemed

      (6,396,873 )       (67,044,022 )       (10,308,071 )       (98,238,299 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      4,227,625      $ 43,805,231        19,929,415      $ 198,510,886  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      17,460,729      $ 181,967,203        25,133,973      $ 249,260,831  

Issued in connection with the reinvestment of distributions

      584,971        6,087,252        1,488,360        14,469,017  

Redeemed

      (11,011,229 )       (115,008,536 )       (52,322,387 )       (502,765,399 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      7,034,471      $ 73,045,919        (25,700,054 )     $ (239,035,551 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) from capital share transactions

      11,419,743      $ 118,507,881        (8,181,179 )     $ (63,947,948 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  122

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

11.  Capital Shares (continued).

Strategic Income Fund

 

    

Six Months Ended
June 30, 2021

     

Period Ended
December 31, 2020(a)

  
    

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      8,805,434      $ 123,996,403        3,166,668      $ 43,973,781  

Issued in connection with the reinvestment of distributions

      1,021,390        14,339,194        1,651,138        22,982,383  

Redeemed

      (17,018,180 )       (238,637,661 )       (8,809,951 )       (122,112,304 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (7,191,356 )     $ (100,302,064 )       (3,992,145 )     $ (55,156,140 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      303,003      $ 4,292,453        264,507      $ 3,697,602  

Issued in connection with the reinvestment of distributions

      115,554        1,636,912        294,227        4,142,720  

Redeemed

      (8,340,118 )       (118,671,857 )       (2,483,699 )       (34,767,841 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (7,921,561 )     $ (112,742,492 )       (1,924,965 )     $ (26,927,519 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      1,641,717      $ 23,068,735        3,263,554      $ 45,457,643  

Issued in connection with the reinvestment of distributions

      222,403        3,118,652        271,195        3,768,709  

Redeemed

      (2,209,137 )       (30,882,384 )       (1,539,785 )       (21,376,606 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (345,017 )     $ (4,694,997 )       1,994,964      $ 27,849,746  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      32,634,347      $ 454,046,320        10,433,588      $ 144,445,628  

Issued in connection with the reinvestment of distributions

      2,399,049        33,629,271        3,910,477        54,349,355  

Redeemed

      (70,393,522 )       (983,173,104 )       (28,856,379 )       (398,330,570 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (35,360,126 )     $ (495,497,513 )       (14,512,314 )     $ (199,535,587 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Admin Class

 

Issued from the sale of shares

      207,489      $ 2,889,385        315,634      $ 4,401,178  

Issued in connection with the reinvestment of distributions

      81,977        1,146,217        136,204        1,889,249  

Redeemed

      (1,046,002 )       (14,647,512 )       (551,434 )       (7,568,203 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (756,536 )     $ (10,611,910 )       (99,596 )     $ (1,277,776 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Decrease from capital share transactions

      (51,574,596 )     $ (723,848,976 )       (18,534,056 )     $ (255,047,276 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

For the period October 1, 2020 through December 31, 2020.

 

123  |

Notes to Financial Statements (continued)

 

June 30, 2021 (Unaudited)

 

11.  Capital Shares (continued).

Strategic Income Fund

 

    

Year Ended
September 30, 2020

  
    

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      32,299,438      $ 444,080,248  

Issued in connection with the reinvestment of distributions

      3,167,184        43,610,276  

Redeemed

      (40,330,246 )       (554,003,991 ) 
  

 

 

     

 

 

  

Net change

      (4,863,624 )     $ (66,313,467 ) 
  

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      1,902,282      $ 26,312,714  

Issued in connection with the reinvestment of distributions

      600,408        8,382,443  

Redeemed

      (29,280,757 )       (408,234,280 ) 
  

 

 

     

 

 

  

Net change

      (26,778,067 )     $ (373,539,123 ) 
  

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      8,682,262      $ 119,974,137  

Issued in connection with the reinvestment of distributions

      464,321        6,391,355  

Redeemed

      (7,719,864 )       (106,340,515 ) 
  

 

 

     

 

 

  

Net change

      1,426,719      $ 20,024,977  
  

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      85,620,721      $ 1,132,582,915  

Issued in connection with the reinvestment of distributions

      8,028,339        110,319,204  

Redeemed

      (118,624,705 )       (1,608,285,687 ) 
  

 

 

     

 

 

  

Net change

      (24,975,645 )     $ (365,383,568 ) 
  

 

 

     

 

 

  
Admin Class

 

Issued from the sale of shares

      1,076,312      $ 15,079,460  

Issued in connection with the reinvestment of distributions

      252,576        3,465,330  

Redeemed

      (2,287,176 )       (30,910,379 ) 
  

 

 

     

 

 

  

Net change

      (958,288 )     $ (12,365,589 ) 
  

 

 

     

 

 

  

Decrease from capital share transactions

      (56,148,905 )     $ (797,576,770 ) 
  

 

 

     

 

 

  

 

|  124

(b) Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There was no change in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

(a)

   (1)    Not applicable.

(a)

   (2)    Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(b)      Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

    Loomis Sayles Funds II
    By:  

/s/ David L. Giunta

    Name:   David L. Giunta
    Title:   President and Chief Executive Officer
    Date:   August 23, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

    By:  

/s/ David L. Giunta

    Name:   David L. Giunta
    Title:   President and Chief Executive Officer
    Date:   August 23, 2021
    By:  

/s/ Michael C. Kardok

    Name:   Michael C. Kardok
    Title:   Treasurer and Principal Financial and Accounting Officer
    Date:   August 23, 2021