N-CSRS 1 d395231dncsrs.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)

 

 

Susan McWhan Tobin, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2022

 

 

 

 

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, 2022

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     17  
Financial Statements     28  
Notes to Financial Statements     59  

 

LOGO

LOOMIS SAYLES INTERNATIONAL GROWTH FUND

 

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

 

 

Investment Goal

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

 

 

Average Annual Total Returns — June 30, 20223

 

         
    

6 Months

    

1 Year

    

Life of

Fund

     Expense Ratios4  
  Gross     Net  
     
Class Y (Inception 12/15/20)            
NAV     -21.09 %      -27.88 %      -15.64 %      2.46 %      0.95 % 
     
Class A (Inception 12/15/20)            
NAV     -21.11       -28.03       -15.81       2.71       1.20  
With 5.75% Maximum Sales Charge     -25.62       -32.17       -18.99        
     
Class C (Inception 12/15/20)            
NAV     -21.45       -28.54       -16.48       3.46       1.95  
With CDSC1     -22.24       -29.25       -16.48        
     
Class N (Inception 12/15/20)            
NAV     -21.09       -27.85       -15.62       1.58       0.90  
   
Comparative Performance            
MSCI ACWI ex USA Index (Net)2     -18.42       -19.42       -6.54                  

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

 

1

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

 

2

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

 

3

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

 

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

1  |

NATIXIS OAKMARK FUND

 

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

 

*

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

**

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

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20223

 

             
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Expense Ratios4  
  Gross     Net  
     
Class Y                
NAV     -19.43 %      -14.03 %      8.76 %      11.99 %      — %      0.89 %      0.80 % 
     
Class A                
NAV     -19.52       -14.27       8.49       11.71       —       1.14       1.05  
With 5.75% Maximum Sales Charge     -24.15       -19.21       7.21       11.05       —        
     
Class C                
NAV     -19.83       -14.90       7.67       11.04       —       1.89       1.80  
With CDSC1     -20.62       -15.67       7.67       11.04       —        
     
Class N (Inception 5/1/17)                
NAV     -19.40       -13.99       8.90       —       9.24       1.55       0.75  
   
Comparative Performance                
S&P 500® Index2     -19.96       -10.62       11.31       12.96       11.28                  

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 and includes automatic conversion to Class A shares after eight years.

 

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 4/30/23. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  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, 20224

 

             
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Expense Ratios5  
  Gross     Net  
     
Class Y (Inception 5/1/17)                
NAV1     -19.18 %      -22.60 %      -0.65 %      5.45 %      — %      1.10 %      0.90 % 
     
Class A                
NAV     -19.27       -22.76       -0.89       5.32       —       1.35       1.15  
With 5.75% Maximum Sales Charge     -23.90       -27.20       -2.06       4.70       —        
     
Class C                
NAV     -19.58       -23.35       -1.64       4.68       —       2.10       1.90  
With CDSC2     -20.39       -24.11       -1.64       4.68       —        
     
Class N (Inception 5/1/17)                
NAV     -19.10       -22.48       -0.55       —       -0.25       1.25       0.85  
   
Comparative Performance                
MSCI World ex USA Index (Net)3     -18.76       -16.76       2.66       5.37       3.18                  

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

 

1

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

 

2

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

 

3

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

 

4

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

 

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 4/30/23. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations.

 

3  |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

 

Managers   Symbols
William C. Nygren, CFA®   Class A    NEFSX
Robert F. Bierig*   Class C    NECCX
M. Colin Hudson, CFA®**   Class N    NESNX
Michael J. Mangan, CFA®, CPA   Class Y    NESYX
Michael A. Nicolas, CFA®     
Harris Associates L.P.     
  
Aziz V. Hamzaogullari, CFA®     
Loomis, Sayles & Company, L.P.     

 

*

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

**

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

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

 

Average Annual Total Returns — June 30, 20224

 

             
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Expense Ratios5  
  Gross     Net  
     
Class Y                
NAV     -24.67 %      -21.69 %      9.39 %      13.43 %      — %      0.89 %      0.89 % 
     
Class A                
NAV     -24.77       -21.89       9.12       13.15       —       1.14       1.14  
With 5.75% Maximum Sales Charge     -29.10       -26.38       7.84       12.48       —        
     
Class C                
NAV     -25.04       -22.44       8.32       12.47       —       1.89       1.89  
With CDSC1     -25.73       -23.07       8.32       12.47       —        
     
Class N (Inception 5/1/17)                
NAV     -24.64       -21.64       9.50       —       10.09       1.38       0.83  
   
Comparative Performance                
S&P 500® Index2     -19.96       -10.62       11.31       12.96       11.28        
Russell 1000® Index3     -20.94       -13.04       11.00       12.82       10.97                  

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

 

1

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

 

2

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  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, 20223

 

             
     

6 Months

     

1 Year

      5 Years     

10 Years

     

Life of
Class N

      Expense Ratios4  
   Gross      Net  
     
Class Y                       
NAV      -14.40 %       -11.26 %       6.64 %       9.69 %       — %       0.96 %       0.90 % 
     
Class A                       
NAV      -14.47        -11.49        6.37        9.42        —        1.21        1.15  
With 5.75% Maximum Sales Charge      -19.37        -16.58        5.12        8.77        —          
     
Class C                       
NAV      -14.80        -12.15        5.58        8.77        —        1.96        1.90  
With CDSC1      -15.63        -12.88        5.58        8.77        —          
     
Class N (Inception 5/1/13)                       
NAV      -14.38        -11.23        6.72        —        8.15        0.87        0.85  
   
Comparative Performance                       
Russell Midcap® Value Index2      -16.23        -10.00        6.27        10.62        8.89                    

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

 

1

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

 

2

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

 

3

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

 

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

5  |

VAUGHAN NELSON SMALL CAP VALUE FUND

 

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

Class Y    NEJYX

 

*

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

 

 

Investment Goal

The Fund seeks capital appreciation.

 

 

Average Annual Total Returns — June 30, 20223

 

             
     

6 Months

     

1 Year

      5 Years     

10 Years

     

Life of
Class N

      Expense Ratios4  
   Gross      Net  
     
Class Y                       
NAV      -12.89 %       -5.59 %       7.41 %       10.84 %       — %       1.16 %       1.00 % 
     
Class A                       
NAV      -13.00        -5.87        7.14        10.56        —        1.41        1.25  
With 5.75% Maximum Sales Charge      -18.00        -11.30        5.88        9.91        —          
     
Class C

 

                    
NAV      -13.47        -6.67        6.31        9.90        —        2.17        2.00  
With CDSC1      -14.28        -7.24        6.31        9.90        —          
     
Class N (Inception 5/1/17)                       
NAV      -12.89        -5.59        7.52        —        7.11        1.17        0.95  
   
Comparative Performance                       
Russell 2000® Value Index2      -17.31        -16.28        4.89        9.05        4.68                    

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

 

1

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

 

2

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

 

3

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

 

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  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, 2022 through June 30, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) 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
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $788.90        $5.32  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.84        $6.01  
Class C           
Actual      $1,000.00        $785.50        $8.63  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.13        $9.74  
Class N           
Actual      $1,000.00        $789.10        $3.99  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  
Class Y           
Actual      $1,000.00        $789.10        $4.21  
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
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $804.80        $4.70  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.59        $5.26  
Class C           
Actual      $1,000.00        $801.70        $8.04  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.87        $9.00  
Class N           
Actual      $1,000.00        $806.00        $3.36  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.08        $3.76  
Class Y           
Actual      $1,000.00        $805.70        $3.58  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.83        $4.01  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

NATIXIS OAKMARK INTERNATIONAL FUND    BEGINNING
ACCOUNT VALUE
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $807.30        $5.15  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.09        $5.76  
Class C           
Actual      $1,000.00        $804.20        $8.50  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.37        $9.49  
Class N           
Actual      $1,000.00        $809.00        $3.81  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.58        $4.26  
Class Y           
Actual      $1,000.00        $808.20        $4.04  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

9  |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND    BEGINNING
ACCOUNT VALUE
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $752.30        $4.95  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.14        $5.71  
Class C           
Actual      $1,000.00        $749.60        $8.20  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.42        $9.44  
Class N           
Actual      $1,000.00        $753.60        $3.61  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.68        $4.16  
Class Y           
Actual      $1,000.00        $753.30        $3.87  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.38        $4.46  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.14%, 1.89%, 0.83% and 0.89% 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
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $855.30        $5.29  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.09        $5.76  
Class C           
Actual      $1,000.00        $852.00        $8.72  
Hypothetical (5% return before expenses)      $1,000.00        $1,015.37        $9.49  
Class N           
Actual      $1,000.00        $856.20        $3.91  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.58        $4.26  
Class Y           
Actual      $1,000.00        $856.00        $4.14  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

|  10

VAUGHAN NELSON SMALL CAP VALUE FUND    BEGINNING
ACCOUNT VALUE
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $870.00        $5.80  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.60        $6.26  
Class C           
Actual      $1,000.00        $865.30        $9.25  
Hypothetical (5% return before expenses)      $1,000.00        $1,014.88        $9.99  
Class N           
Actual      $1,000.00        $871.10        $4.41  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.08        $4.76  
Class Y           
Actual      $1,000.00        $871.10        $4.64  
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): 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

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, with respect to 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, 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 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, including how profitability is determined for the Funds, 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, allocations to brokers affiliated with the Advisers and 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, where available, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category of funds, total return information for various periods, third-party performance rankings for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2022. In the case of Natixis U.S. Equity Opportunities Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective July 1, 2022. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates. The Trustees also considered their experience with other funds advised or sub-advised by the 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, such as new rules relating to the fair valuation of investments and the use of derivatives.

 

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

The Board noted that, through December 31, 2021, each 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  
Loomis Sayles International Growth Fund      96 %       N/A        N/A  
Natixis Oakmark Fund      4 %       2 %       4 % 
Natixis Oakmark International Fund      82 %       25 %       47 % 
Natixis U.S. Equity Opportunities Fund      81 %       31 %       17 % 
Vaughan Nelson Mid Cap Fund      74 %       62 %       83 % 
Vaughan Nelson Small Cap Value Fund      14 %       30 %       68 % 

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 relative performance (i.e., for periods ending March 31, 2022) had improved; (3) that the Fund’s long-term (10-year) performance was stronger relative to its category; (4) the Adviser’s deep value investment strategy was expected to result in cyclical underperformance from time to time; (5) that effective August 31, 2021, the Fund had been assigned to a different category by the independent third-party data provider, which has resulted in significantly improved relative performance and is expected to result in more relevant performance comparisons; and (6) that the Fund outperformed its relevant benchmark for the 3-year period. 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

 

13  |

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 U.S. Equity Opportunities Fund on all share classes, effective as of July 1, 2022. The Trustees also noted that management had proposed to reduce the advisory fee rate for Natixis U.S. Equity Opportunities Fund. The Trustees further noted that the Loomis Sayles International Growth Fund had a total advisory fee rate that was below the median of its peer group of funds.

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 rate of the Fund had been reduced effective July 1, 2021 and the comparison against the peer group did not reflect the full impact of that; (2) that management had proposed to reduce the expense limitations of the Fund; (3) that management had proposed to reduce the advisory fee of the Fund; (4) that the advisory fee was only one basis point higher than the median of a peer group of funds; and (5) the quality of the services and the reputation and performance of the portfolio management team.

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 U.S. Equity Opportunities 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, as well as more recent market volatility, on the performance, asset levels and expense ratios of each Fund.

 

•  

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

 

•  

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the 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.

 

|  14

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, including the reduction in the advisory fee for Natixis U.S. Equity Opportunities Fund described above, should be continued through June 30, 2023.

 

15  |

LIQUIDITY RISK MANAGEMENT PROGRAM

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

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

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.

During the period from January 1, 2021 to December 31, 2021, 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, 2022 through June 30, 2022, 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.

 

|  16

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles International Growth Fund

 

Shares

      Description    Value (†)  
  Common Stocks — 97.5% of Net Assets  
   Australia — 4.5%

 

  36,354      WiseTech Global Ltd.    $ 953,283  
     

 

 

  
   Belgium — 2.2%

 

  8,851      Anheuser-Busch InBev S.A.      476,644  
     

 

 

  
   Brazil — 7.6%

 

  345,114      Ambev S.A., ADR      866,236  
  1,163      MercadoLibre, Inc.(a)      740,680  
     

 

 

  
        1,606,916  
     

 

 

  
   Canada — 1.6%

 

  11,000      Shopify, Inc., Class A(a)      343,640  
     

 

 

  
   China — 28.9%

 

  3,739      Alibaba Group Holding Ltd., Sponsored ADR(a)(b)      425,049  
  4,601      Baidu, Inc., Sponsored ADR(a)(b)      684,307  
  64,400      Budweiser Brewing Co. APAC Ltd., 144A      193,245  
  507,500      Dali Foods Group Co. Ltd., 144A      269,927  
  3,400      Kweichow Moutai Co. Ltd., Class A      1,040,169  
  3,961      NXP Semiconductors NV      586,347  
  24,100      Tencent Holdings Ltd.(b)      1,090,890  
  26,757      Trip.com Group Ltd., ADR(a)(b)      734,480  
  45,796      Vipshop Holdings Ltd., ADR(a)(b)      452,922  
  13,499      Yum China Holdings, Inc.      654,701  
     

 

 

  
        6,132,037  
     

 

 

  
   Denmark — 4.8%

 

  9,100      Novo Nordisk A/S, Class B      1,009,211  
     

 

 

  
   France — 4.7%

 

  2,735      EssilorLuxottica S.A.      414,661  
  8,124      Sodexo S.A.      574,645  
     

 

 

  
        989,306  
     

 

 

  
   Germany — 2.6%

 

  6,108      SAP SE      556,747  
     

 

 

  
   Japan — 4.9%

 

  5,400      FANUC Corp.      846,392  
  5,600      Unicharm Corp.      187,920  
     

 

 

  
        1,034,312  
     

 

 

  
   Macau — 1.2%

 

  41,000      Galaxy Entertainment Group Ltd.      245,613  
     

 

 

  
   Netherlands — 3.9%

 

  567      Adyen NV, 144A(a)      818,256  
     

 

 

  
   Switzerland — 7.8%

 

  7,615      CRISPR Therapeutics AG(a)      462,764  
  14,030      Novartis AG, (Registered)      1,189,471  
     

 

 

  
        1,652,235  
     

 

 

  
   United Kingdom — 9.8%

 

  7,109      Diageo PLC      307,057  
  19,599      Experian PLC      575,442  
  9,262      Reckitt Benckiser Group PLC      696,616  
  11,140      Unilever PLC      505,983  
     

 

 

  
        2,085,098  
     

 

 

  
   United States — 13.0%

 

  5,601      Block, Inc.(a)      344,237  
  11,908      Doximity, Inc., Class A(a)      414,637  
  7,515      Nestle S.A., (Registered)      878,298  
  3,318      Roche Holding AG      1,109,207  
     

 

 

  
        2,746,379  
     

 

 

  
  

Total Common Stocks

(Identified Cost $27,194,320)

      20,649,677  
     

 

 

  
     

Principal

Amount

      Description    Value (†)  
  Short-Term Investments — 2.3%  
$ 495,628     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $495,633 on 7/01/2022 collateralized by $503,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $505,581 including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $495,628)

    $ 495,628  
     

 

 

  
     
  

Total Investments — 99.8%

(Identified Cost $27,689,948)

      21,145,305  
   Other assets less liabilities — 0.2%      41,806  
     

 

 

  
   Net Assets — 100.0%    $ 21,187,111  
     

 

 

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

 

  (a)      Non-income producing security.

 

  (b)      Security invests in variable interest entities based in China.

 

     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $1,281,428 or 6.0% of net assets.

 

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

 

Industry Summary at June 30, 2022 (Unaudited)

 

Pharmaceuticals

      15.6 % 

Beverages

      13.5  

Hotels, Restaurants & Leisure

      10.5  

Interactive Media & Services

      8.3  

Internet & Direct Marketing Retail

      7.6  

Software

      7.1  

IT Services

      7.1  

Food Products

      5.5  

Household Products

      4.2  

Machinery

      4.0  

Semiconductors & Semiconductor Equipment

      2.8  

Professional Services

      2.7  

Personal Products

      2.4  

Biotechnology

      2.2  

Textiles, Apparel & Luxury Goods

      2.0  

Health Care Technology

      2.0  

Short-Term Investments

      2.3  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities

      0.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at June 30, 2022 (Unaudited)

 

United States Dollar

      34.0 % 

Euro

      15.8  

Swiss Franc

      15.0  

Hong Kong Dollar

      8.5  

British Pound

      7.4  

Yuan Renminbi

      4.9  

Japanese Yen

      4.9  

Danish Krone

      4.8  

Australian Dollar

      4.5  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities

      0.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

17  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark Fund

 

Shares      Description    Value (†)  
  Common Stocks — 94.0% of Net Assets  
   Auto Components — 1.5%

 

  185,367      BorgWarner, Inc.    $ 6,185,697  
     

 

 

  
   Automobiles — 2.2%

 

  281,560      General Motors Co.(a)      8,942,346  
     

 

 

  
   Banks — 5.9%

 

  198,236      Bank of America Corp.      6,171,087  
  220,418      Citigroup, Inc.      10,137,024  
  212,404      Wells Fargo & Co.      8,319,864  
     

 

 

  
        24,627,975  
     

 

 

  
   Biotechnology — 1.0%

 

  6,947      Regeneron Pharmaceuticals, Inc.(a)      4,106,580  
     

 

 

  
   Building Products — 1.1%

 

  92,600      Masco Corp.      4,685,560  
     

 

 

  
   Capital Markets — 13.1%

 

  169,082      Bank of New York Mellon Corp. (The)      7,052,410  
  168,339      Charles Schwab Corp. (The)      10,635,658  
  28,298      Goldman Sachs Group, Inc. (The)      8,405,072  
  70,810      Intercontinental Exchange, Inc.      6,658,973  
  211,810      KKR & Co., Inc.      9,804,685  
  12,221      Moody’s Corp.      3,323,745  
  138,666      State Street Corp.      8,548,759  
     

 

 

  
        54,429,302  
     

 

 

  
   Consumer Finance — 6.9%

 

  390,354      Ally Financial, Inc.      13,080,763  
  43,473      American Express Co.      6,026,227  
  89,906      Capital One Financial Corp.      9,367,306  
     

 

 

  
        28,474,296  
     

 

 

  
   Electronic Equipment, Instruments & Components — 0.7%

 

  26,565      TE Connectivity Ltd.      3,005,830  
     

 

 

  
   Entertainment — 4.5%

 

  48,826      Netflix, Inc.(a)      8,538,203  
  50,097      Take-Two Interactive Software, Inc.(a)      6,138,385  
  42,200      Walt Disney Co. (The)(a)      3,983,680  
     

 

 

  
        18,660,268  
     

 

 

  
   Health Care Providers & Services — 2.5%

 

  44,219      HCA Healthcare, Inc.      7,431,445  
  6,298      Humana, Inc.      2,947,905  
     

 

 

  
        10,379,350  
     

 

 

  
   Hotels, Restaurants & Leisure — 2.5%

 

  3,583      Booking Holdings, Inc.(a)      6,266,631  
  38,528      Hilton Worldwide Holdings, Inc.      4,293,560  
     

 

 

  
        10,560,191  
     

 

 

  
   Household Durables — 1.3%

 

  131,000      PulteGroup, Inc.      5,191,530  
     

 

 

  
   Industrial Conglomerates — 1.1%

 

  69,124      General Electric Co.      4,401,125  
     

 

 

  
   Insurance — 5.2%

 

  163,435      American International Group, Inc.      8,356,431  
  43,537      Reinsurance Group of America, Inc.      5,106,455  
  41,363      Willis Towers Watson PLC      8,164,643  
     

 

 

  
        21,627,529  
     

 

 

  
   Interactive Media & Services — 7.7%

 

  6,056      Alphabet, Inc., Class A(a)      13,197,599  
  65,566      Meta Platforms, Inc., Class A(a)      10,572,517  
  442,200      Pinterest, Inc., Class A(a)      8,030,352  
     

 

 

  
        31,800,468  
     

 

 

  
   Internet & Direct Marketing Retail — 4.1%

 

  74,600      Amazon.com, Inc.(a)    $ 7,923,266  
  135,565      eBay, Inc.      5,648,993  
  44,200      Etsy, Inc.(a)      3,235,882  
     

 

 

  
        16,808,141  
     

 

 

  
   IT Services — 5.5%

 

  112,069      Fiserv, Inc.(a)      9,970,779  
  31,166      Gartner, Inc.(a)      7,536,874  
  48,500      Global Payments, Inc.      5,366,040  
     

 

 

  
        22,873,693  
     

 

 

  
   Machinery — 3.1%

 

  17,771      Cummins, Inc.      3,439,222  
  58,966      PACCAR, Inc.      4,855,260  
  18,200      Parker-Hannifin Corp.      4,478,110  
     

 

 

  
        12,772,592  
     

 

 

  
   Media — 4.4%

 

  22,664      Charter Communications, Inc., Class A(a)      10,618,764  
  195,542      Comcast Corp., Class A      7,673,068  
     

 

 

  
        18,291,832  
     

 

 

  
   Oil, Gas & Consumable Fuels — 9.5%

 

  325,372      APA Corp.      11,355,483  
  93,177      ConocoPhillips      8,368,226  
  42,212      Diamondback Energy, Inc.      5,113,984  
  132,477      EOG Resources, Inc.      14,630,760  
     

 

 

  
        39,468,453  
     

 

 

  
   Professional Services — 1.6%

 

  36,800      Equifax, Inc.      6,726,304  
     

 

 

  
   Real Estate Management & Development — 1.8%

 

  98,818      CBRE Group, Inc., Class A(a)      7,273,993  
     

 

 

  
   Software — 4.1%

 

  65,600      Oracle Corp.      4,583,472  
  46,200      Salesforce, Inc.(a)      7,624,848  
  34,880      Workday, Inc., Class A(a)      4,868,550  
     

 

 

  
        17,076,870  
     

 

 

  
   Tobacco — 1.7%

 

  165,214      Altria Group, Inc.      6,900,989  
     

 

 

  
   Wireless Telecommunication Services — 1.0%

 

  29,458      T-Mobile US, Inc.(a)      3,963,279  
     

 

 

  
  

Total Common Stocks

(Identified Cost $409,469,610)

      389,234,193  
     

 

 

  
     

Principal

Amount

          
  Short-Term Investments — 2.1%  
$ 8,774,149     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $8,774,234 on 7/01/2022 collateralized by $8,909,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at 8,949,668 including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $8,774,149)

      8,774,149  
     

 

 

  
     
  

Total Investments — 96.1%

(Identified Cost $418,243,759)

      398,008,342  
   Other assets less liabilities — 3.9%      16,197,560  
     

 

 

  
   Net Assets — 100.0%    $ 414,205,902  
     

 

 

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

 

  (a)      Non-income producing security.

 

 

See accompanying notes to financial statements.

 

|  18

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark Fund – (continued)

 

Industry Summary at June 30, 2022 (Unaudited)

 

Capital Markets

      13.1 % 

Oil, Gas & Consumable Fuels

      9.5  

Interactive Media & Services

      7.7  

Consumer Finance

      6.9  

Banks

      5.9  

IT Services

      5.5  

Insurance

      5.2  

Entertainment

      4.5  

Media

      4.4  

Software

      4.1  

Internet & Direct Marketing Retail

      4.1  

Machinery

      3.1  

Hotels, Restaurants & Leisure

      2.5  

Health Care Providers & Services

      2.5  

Automobiles

      2.2  

Other Investments, less than 2% each

      12.8  

Short-Term Investments

      2.1  
  

 

 

  

Total Investments

      96.1  

Other assets less liabilities

      3.9  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

    

 

See accompanying notes to financial statements.

 

19  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark International Fund

 

Shares      Description    Value (†)  
  Common Stocks — 95.1% of Net Assets  
   Australia — 1.6%

 

  398,700      Brambles Ltd.    $ 2,948,105  
  291,820      Orica Ltd.      3,192,711  
     

 

 

  
        6,140,816  
     

 

 

  
   Belgium — 1.8%

 

  127,600      Anheuser-Busch InBev S.A.      6,871,507  
     

 

 

  
   Canada — 2.3%

 

  140,000      Open Text Corp.      5,295,680  
  73,499      Restaurant Brands International, Inc.      3,685,975  
     

 

 

  
        8,981,655  
     

 

 

  
   China — 7.9%

 

  667,300      Alibaba Group Holding Ltd.(a)      9,519,289  
  222,775      Prosus NV      14,425,480  
  81,896      Trip.com Group Ltd.(a)      2,266,098  
  464,296      Vipshop Holdings Ltd., ADR(a)      4,591,887  
     

 

 

  
        30,802,754  
     

 

 

  
   Finland — 0.6%

 

  80,100      UPM-Kymmene OYJ      2,456,130  
     

 

 

  
   France — 13.7%

 

  235,305      Accor S.A.(a)      6,419,485  
  243,491      BNP Paribas S.A.      11,646,651  
  22,000      Capgemini SE      3,794,122  
  88,300      Danone S.A.      4,944,993  
  68,800      Edenred      3,259,098  
  7,170      Kering S.A.      3,715,686  
  132,698      Publicis Groupe S.A.      6,526,156  
  264,612      Valeo S.A.      5,156,219  
  210,900      Worldline S.A., 144A(a)      7,866,438  
     

 

 

  
        53,328,848  
     

 

 

  
   Germany — 25.2%

 

  36,900      Adidas AG      6,554,580  
  54,010      Allianz SE, (Registered)      10,354,265  
  166,030      Bayer AG, (Registered)      9,914,707  
  133,600      Bayerische Motoren Werke AG      10,356,751  
  135,659      Continental AG      9,521,737  
  243,907      Daimler Truck Holding AG(a)      6,423,505  
  109,200      Fresenius Medical Care AG & Co. KGaA      5,471,039  
  230,400      Fresenius SE & Co. KGaA      7,006,859  
  92,600      Henkel AG & Co. KGaA      5,689,372  
  167,914      Mercedes-Benz Group AG, (Registered)      9,752,163  
  77,900      SAP SE      7,100,616  
  55,600      Siemens AG, (Registered)      5,715,485  
  814,100      thyssenkrupp AG(a)      4,642,240  
     

 

 

  
        98,503,319  
     

 

 

  
   Hong Kong — 1.6%

 

  504,000      Prudential PLC      6,269,373  
     

 

 

  
   India — 0.9%

 

  448,175      Axis Bank Ltd.(a)      3,630,249  
     

 

 

  
   Ireland — 1.4%

 

  79,238      Ryanair Holdings PLC, Sponsored ADR(a)      5,328,756  
     

 

 

  
   Italy — 3.1%

 

  6,412,300      Intesa Sanpaolo SpA      12,000,420  
  70,000      Intesa Sanpaolo SpA      131,505  
     

 

 

  
        12,131,925  
     

 

 

  
   Japan — 1.4%

 

  126,200      Komatsu Ltd.      2,810,116  
  182,200      Toyota Motor Corp.      2,811,219  
     

 

 

  
        5,621,335  
     

 

 

  
   Korea — 1.3%

 

  26,950      NAVER Corp.    $ 5,026,892  
     

 

 

  
   Mexico — 0.9%

 

  449,200      Grupo Televisa SAB, Sponsored ADR      3,674,456  
     

 

 

  
   Netherlands — 3.2%

 

  124,244      EXOR NV      7,764,002  
  228,038      Koninklijke Philips NV      4,891,079  
     

 

 

  
        12,655,081  
     

 

 

  
   Spain — 1.3%

 

  88,230      Amadeus IT Group S.A.(a)      4,940,363  
     

 

 

  
   Sweden — 4.5%

 

  567,704      H & M Hennes & Mauritz AB, B Shares      6,813,946  
  400,203      SKF AB, B Shares      5,937,523  
  312,300      Volvo AB, B Shares      4,859,195  
     

 

 

  
        17,610,664  
     

 

 

  
   Switzerland — 9.8%

 

  25,600      Cie Financiere Richemont S.A., (Registered)      2,753,615  
  1,588,739      Credit Suisse Group AG, (Registered)      9,068,280  
  1,476,080      Glencore PLC      7,995,093  
  173,121      Holcim AG, (Registered)      7,425,078  
  68,200      Novartis AG, (Registered)      5,782,036  
  6,000      Roche Holding AG      2,005,799  
  14,099      Swatch Group AG (The)      3,349,055  
     

 

 

  
        38,378,956  
     

 

 

  
   United Kingdom — 12.6%

 

  597,462      CNH Industrial NV      6,909,857  
  108,400      Compass Group PLC      2,225,602  
  529,177      Informa PLC(a)      3,418,807  
  248,532      Liberty Global PLC, Class A(a)      5,231,599  
  23,485,300      Lloyds Banking Group PLC      12,083,341  
  995,600      NatWest Group PLC      2,650,049  
  35,900      Reckitt Benckiser Group PLC      2,700,121  
  1,456,200      Rolls-Royce Holdings PLC(a)      1,481,917  
  198,489      Schroders PLC      6,484,093  
  127,700      Smiths Group PLC      2,183,781  
  398,200      WPP PLC      4,022,316  
     

 

 

  
        49,391,483  
     

 

 

  
  

Total Common Stocks

(Identified Cost $442,781,109)

      371,744,562  
     

 

 

  
     
  Preferred Stocks — 1.3%  
   Korea — 1.3%

 

  126,900     

Samsung Electronics Co. Ltd.,

2.085%, (KRW)

(Identified Cost $7,214,653)

      5,100,795  
     

 

 

  
     

Principal

Amount

                
  Short-Term Investments — 2.5%  
$ 9,684,913     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $9,685,007 on 7/01/2022 collateralized by $11,409,700 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $9,878,694 including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $9,684,913)

      9,684,913  
     

 

 

  
     
  

Total Investments — 98.9%

(Identified Cost $459,680,675)

      386,530,270  
   Other assets less liabilities — 1.1%      4,443,182  
     

 

 

  
   Net Assets — 100.0%    $ 390,973,452  
     

 

 

  
     

 

See accompanying notes to financial statements.

 

|  20

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark International Fund – (continued)

 

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

 

  (a)      Non-income producing security.

 

     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $7,866,438 or 2.0% of net assets.

 

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

 

  
  KRW      South Korean Won

 

Industry Summary at June 30, 2022 (Unaudited)

 

Banks

      10.8 % 

Internet & Direct Marketing Retail

      7.3  

Machinery

      6.8  

Automobiles

      5.9  

IT Services

      5.1  

Pharmaceuticals

      4.5  

Media

      4.5  

Textiles, Apparel & Luxury Goods

      4.3  

Insurance

      4.2  

Capital Markets

      3.9  

Auto Components

      3.7  

Hotels, Restaurants & Leisure

      3.7  

Metals & Mining

      3.2  

Health Care Providers & Services

      3.2  

Software

      3.2  

Household Products

      2.2  

Industrial Conglomerates

      2.0  

Diversified Financial Services

      2.0  

Other Investments, less than 2% each

      15.9  

Short-Term Investments

      2.5  
  

 

 

  

Total Investments

      98.9  

Other assets less liabilities

      1.1  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at June 30, 2022 (Unaudited)

 

Euro

      54.4 % 

British Pound

      13.1  

United States Dollar

      8.2  

Swiss Franc

      7.8  

Swedish Krona

      4.5  

Hong Kong Dollar

      3.0  

South Korean Won

      2.6  

Other, less than 2% each

      5.3  
  

 

 

  

Total Investments

      98.9  

Other assets less liabilities

      1.1  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

21  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis U.S. Equity Opportunities Fund

 

Shares      Description    Value (†)  
  Common Stocks — 96.7% of Net Assets  
   Aerospace & Defense — 2.0%

 

  113,693      Boeing Co. (The)(a)    $ 15,544,107  
     

 

 

  
   Air Freight & Logistics — 0.6%

 

  48,825      Expeditors International of Washington, Inc.      4,758,484  
     

 

 

  
   Automobiles — 2.2%

 

  220,000      General Motors Co.(a)      6,987,200  
  15,649      Tesla, Inc.(a)      10,538,350  
     

 

 

  
        17,525,550  
     

 

 

  
   Banks — 3.3%

 

  318,705      Citigroup, Inc.      14,657,243  
  304,400      Wells Fargo & Co.      11,923,348  
     

 

 

  
        26,580,591  
     

 

 

  
   Beverages — 2.7%

 

  12,987      Boston Beer Co., Inc. (The), Class A(a)      3,934,671  
  190,167      Monster Beverage Corp.(a)      17,628,481  
     

 

 

  
        21,563,152  
     

 

 

  
   Biotechnology — 5.0%

 

  64,166      Alnylam Pharmaceuticals, Inc.(a)      9,358,611  
  45,511      BioMarin Pharmaceutical, Inc.(a)      3,771,497  
  77,642      CRISPR Therapeutics AG(a)      4,718,304  
  36,541      Regeneron Pharmaceuticals, Inc.(a)      21,600,481  
     

 

 

  
        39,448,893  
     

 

 

  
   Capital Markets — 8.5%

 

  248,245      Charles Schwab Corp. (The)      15,684,119  
  16,158      FactSet Research Systems, Inc.      6,213,882  
  104,300      Intercontinental Exchange, Inc.      9,808,372  
  316,800      KKR & Co., Inc.      14,664,672  
  13,500      MSCI, Inc.      5,564,025  
  101,206      SEI Investments Co.      5,467,148  
  163,700      State Street Corp.      10,092,105  
     

 

 

  
        67,494,323  
     

 

 

  
   Consumer Finance — 5.9%

 

  543,800      Ally Financial, Inc.      18,222,738  
  88,500      American Express Co.      12,267,870  
  155,885      Capital One Financial Corp.      16,241,658  
     

 

 

  
        46,732,266  
     

 

 

  
   Entertainment — 3.5%

 

  101,543      Netflix, Inc.(a)      17,756,825  
  103,486      Walt Disney Co. (The)(a)      9,769,078  
     

 

 

  
        27,525,903  
     

 

 

  
   Health Care Equipment & Supplies — 0.4%

 

  15,276      Intuitive Surgical, Inc.(a)      3,066,046  
     

 

 

  
   Health Care Providers & Services — 1.4%

 

  68,700      HCA Healthcare, Inc.      11,545,722  
     

 

 

  
   Health Care Technology — 1.9%

 

  233,702      Doximity, Inc., Class A(a)      8,137,504  
  37,149      Veeva Systems, Inc., Class A(a)      7,356,988  
     

 

 

  
        15,494,492  
     

 

 

  
   Hotels, Restaurants & Leisure — 3.7%

 

  7,245      Booking Holdings, Inc.(a)      12,671,432  
  98,751      Starbucks Corp.      7,543,589  
  105,858      Yum China Holdings, Inc.      5,134,113  
  34,976      Yum! Brands, Inc.      3,970,126  
     

 

 

  
        29,319,260  
     

 

 

  
   Industrial Conglomerates — 0.9%

 

  109,793      General Electric Co.      6,990,520  
     

 

 

  
   Insurance — 4.8%

 

  273,555      American International Group, Inc.    $ 13,986,867  
  104,781      Reinsurance Group of America, Inc.      12,289,764  
  59,100      Willis Towers Watson PLC      11,665,749  
     

 

 

  
        37,942,380  
     

 

 

  
   Interactive Media & Services — 9.3%

 

  15,497      Alphabet, Inc., Class A(a)      33,771,992  
  4,081      Alphabet, Inc., Class C(a)      8,926,983  
  193,615      Meta Platforms, Inc., Class A(a)      31,220,419  
     

 

 

  
        73,919,394  
     

 

 

  
   Internet & Direct Marketing Retail — 5.0%

 

  57,666      Alibaba Group Holding Ltd., Sponsored ADR(a)      6,555,471  
  314,087      Amazon.com, Inc.(a)      33,359,180  
     

 

 

  
        39,914,651  
     

 

 

  
   IT Services — 7.1%

 

  66,496      Block, Inc.(a)      4,086,844  
  165,200      Fiserv, Inc.(a)      14,697,844  
  51,200      Gartner, Inc.(a)      12,381,696  
  68,485      PayPal Holdings, Inc.(a)      4,782,992  
  107,760      Shopify, Inc., Class A(a)      3,366,422  
  86,160      Visa, Inc., Class A      16,964,043  
     

 

 

  
        56,279,841  
     

 

 

  
   Life Sciences Tools & Services — 0.8%

 

  36,506      Illumina, Inc.(a)      6,730,246  
     

 

 

  
   Machinery — 0.6%

 

  15,255      Deere & Co.      4,568,415  
     

 

 

  
   Media — 2.8%

 

  24,495      Charter Communications, Inc., Class A(a)      11,476,643  
  271,880      Comcast Corp., Class A      10,668,571  
     

 

 

  
        22,145,214  
     

 

 

  
   Oil, Gas & Consumable Fuels — 8.5%

 

  554,341      APA Corp.      19,346,501  
  224,200      ConocoPhillips      20,135,402  
  257,238      EOG Resources, Inc.      28,409,365  
     

 

 

  
        67,891,268  
     

 

 

  
   Pharmaceuticals — 2.9%

 

  128,847      Novartis AG, Sponsored ADR      10,891,437  
  41,564      Novo Nordisk A/S, Sponsored ADR      4,631,477  
  187,202      Roche Holding AG, Sponsored ADR      7,808,195  
     

 

 

  
        23,331,109  
     

 

 

  
   Real Estate Management & Development — 1.3%

 

  145,800      CBRE Group, Inc., Class A(a)      10,732,338  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 3.1%

 

  109,483      NVIDIA Corp.      16,596,528  
  62,363      QUALCOMM, Inc.      7,966,250  
     

 

 

  
        24,562,778  
     

 

 

  
   Software — 6.4%

 

  67,729      Autodesk, Inc.(a)      11,646,679  
  43,197      Microsoft Corp.      11,094,286  
  189,454      Oracle Corp.      13,237,151  
  49,450      Salesforce, Inc.(a)      8,161,228  
  45,806      Workday, Inc., Class A(a)      6,393,601  
     

 

 

  
        50,532,945  
     

 

 

  
   Textiles, Apparel & Luxury Goods — 0.5%

 

  449,610      Under Armour, Inc., Class A(a)      3,745,251  
     

 

 

  
   Tobacco — 1.6%

 

  305,600      Altria Group, Inc.      12,764,912  
     

 

 

  
  

Total Common Stocks

(Identified Cost $684,578,623)

      768,650,051  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Portfolio of Investments – as of June 30, 2022 (Unaudited)

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

 

Principal

Amount

      Description    Value (†)  
  Short-Term Investments — 3.3%  
$ 26,700,813     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $26,701,073 on 7/01/2022 collateralized by $11,000,000 U.S. Treasury Note, 2.875% due 8/15/2028 valued at $10,918,135; $13,548,600 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $13,609,989; $3,126,300 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $2,706,799 including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $26,700,813)

    $ 26,700,813  
     

 

 

  
     
  

Total Investments — 100.0%

(Identified Cost $711,279,436)

      795,350,864  
   Other assets less liabilities — (0.0)%      (356,218 ) 
     

 

 

  
   Net Assets — 100.0%    $ 794,994,646  
     

 

 

  
  (†)      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, 2022 (Unaudited)

 

Interactive Media & Services

      9.3 % 

Oil, Gas & Consumable Fuels

      8.5  

Capital Markets

      8.5  

IT Services

      7.1  

Software

      6.4  

Consumer Finance

      5.9  

Internet & Direct Marketing Retail

      5.0  

Biotechnology

      5.0  

Insurance

      4.8  

Hotels, Restaurants & Leisure

      3.7  

Entertainment

      3.5  

Banks

      3.3  

Semiconductors & Semiconductor Equipment

      3.1  

Pharmaceuticals

      2.9  

Media

      2.8  

Beverages

      2.7  

Automobiles

      2.2  

Aerospace & Defense

      2.0  

Other Investments, less than 2% each

      10.0  

Short-Term Investments

      3.3  
  

 

 

  

Total Investments

      100.0  

Other assets less liabilities

      (0.0 )* 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

*

Less than 0.1%

 

See accompanying notes to financial statements.

 

23  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Mid Cap Fund

 

Shares      Description    Value (†)  
  Common Stocks — 92.3% of Net Assets  
   Aerospace & Defense — 0.5%

 

  15,545      Axon Enterprise, Inc.(a)    $ 1,448,328  
     

 

 

  
   Banks — 1.2%

 

  65,580      Bank of N.T. Butterfield & Son Ltd. (The)      2,045,440  
  56,676      Huntington Bancshares, Inc.      681,812  
  24,145      PacWest Bancorp      643,706  
     

 

 

  
        3,370,958  
     

 

 

  
   Building Products — 0.8%

 

  13,150      Allegion PLC      1,287,385  
  62,700      AZEK Co., Inc. (The)(a)      1,049,598  
     

 

 

  
        2,336,983  
     

 

 

  
   Capital Markets — 4.7%

 

  20,575      Ares Management Corp., Class A      1,169,894  
  118,192      Brightsphere Investment Group, Inc.      2,128,638  
  8,010      FactSet Research Systems, Inc.      3,080,406  
  36,945      Nasdaq, Inc.      5,635,590  
  15,722      Raymond James Financial, Inc.      1,405,704  
     

 

 

  
        13,420,232  
     

 

 

  
   Chemicals — 2.9%

 

  57,345      Axalta Coating Systems Ltd.(a)      1,267,898  
  43,180      FMC Corp.      4,620,691  
  28,530      LyondellBasell Industries NV, Class A      2,495,234  
     

 

 

  
        8,383,823  
     

 

 

  
   Commercial Services & Supplies — 2.8%

 

  62,445      Republic Services, Inc.      8,172,177  
     

 

 

  
   Communications Equipment — 4.5%

 

  61,740      Motorola Solutions, Inc.      12,940,704  
     

 

 

  
   Construction & Engineering — 2.8%

 

  246,205      WillScot Mobile Mini Holdings Corp.(a)      7,981,966  
     

 

 

  
   Containers & Packaging — 2.9%

 

  9,255      Avery Dennison Corp.      1,498,107  
  76,050      Crown Holdings, Inc.      7,009,528  
     

 

 

  
        8,507,635  
     

 

 

  
   Diversified Consumer Services — 0.8%

 

  23,860      Grand Canyon Education, Inc.(a)      2,247,373  
     

 

 

  
   Diversified Financial Services — 0.7%

 

  43,462      Apollo Global Management, Inc.      2,107,038  
     

 

 

  
   Electric Utilities — 6.7%

 

  162,695      Alliant Energy Corp.      9,535,554  
  149,710      Evergy, Inc.      9,768,577  
     

 

 

  
        19,304,131  
     

 

 

  
   Electrical Equipment — 2.7%

 

  37,255      AMETEK, Inc.      4,093,952  
  11,565      Hubbell, Inc.      2,065,278  
  48,335      nVent Electric PLC      1,514,335  
     

 

 

  
        7,673,565  
     

 

 

  
   Electronic Equipment, Instruments & Components — 1.0%

 

  8,200      CDW Corp.      1,291,992  
  10,835      Keysight Technologies, Inc.(a)      1,493,605  
     

 

 

  
        2,785,597  
     

 

 

  
   Food & Staples Retailing — 0.5%

 

  31,370      Performance Food Group Co.(a)      1,442,393  
     

 

 

  
   Health Care Equipment & Supplies — 2.6%

 

  12,095      Cooper Cos., Inc. (The)      3,787,186  
  51,620      Hologic, Inc.(a)      3,577,266  
     

 

 

  
        7,364,452  
     

 

 

  
   Health Care Providers & Services — 0.7%

 

  873,980      Aveanna Healthcare Holdings, Inc.(a)    $ 1,975,195  
     

 

 

  
   Hotels, Restaurants & Leisure — 0.9%

 

  88,430      Aramark      2,708,611  
     

 

 

  
   Household Products — 2.9%

 

  89,095      Church & Dwight Co., Inc.      8,255,543  
     

 

 

  
   Independent Power & Renewable Electricity Producers — 3.3%

 

  417,480      Vistra Corp.      9,539,418  
     

 

 

  
   Insurance — 5.2%

 

  51,700      Allstate Corp. (The)      6,551,941  
  28,855      Arthur J. Gallagher & Co.      4,704,519  
  30,800      Reinsurance Group of America, Inc.      3,612,532  
     

 

 

  
        14,868,992  
     

 

 

  
   IT Services — 4.6%

 

  98,615      MAXIMUS, Inc.      6,164,424  
  122,600      SS&C Technologies Holdings, Inc.      7,119,382  
     

 

 

  
        13,283,806  
     

 

 

  
   Life Sciences Tools & Services — 6.2%

 

  12,620      Agilent Technologies, Inc.      1,498,877  
  195,970      Avantor, Inc.(a)      6,094,667  
  17,907      IQVIA Holdings, Inc.(a)      3,885,640  
  329,850      Sotera Health Co.(a)      6,461,762  
     

 

 

  
        17,940,946  
     

 

 

  
   Machinery — 2.2%

 

  22,970      Crane Holdings Co.      2,011,253  
  61,265      Otis Worldwide Corp.      4,329,598  
     

 

 

  
        6,340,851  
     

 

 

  
   Media — 4.2%

 

  74,995      Nexstar Media Group, Inc., Class A      12,215,186  
     

 

 

  
   Metals & Mining — 0.4%

 

  78,405      Constellium SE(a)      1,035,730  
     

 

 

  
   Multi-Utilities — 6.9%

 

  110,020      Ameren Corp.      9,941,407  
  145,445      CMS Energy Corp.      9,817,538  
     

 

 

  
        19,758,945  
     

 

 

  
   Oil, Gas & Consumable Fuels — 6.3%

 

  50,635      Diamondback Energy, Inc.      6,134,430  
  27,905      Pioneer Natural Resources Co.      6,225,047  
  924,955      Southwestern Energy Co.(a)      5,780,969  
     

 

 

  
        18,140,446  
     

 

 

  
   Pharmaceuticals — 2.7%

 

  401,155      Elanco Animal Health, Inc.(a)      7,874,673  
     

 

 

  
   Professional Services — 2.6%

 

  22,035      CACI International, Inc., Class A(a)      6,209,022  
  6,940      Equifax, Inc.      1,268,493  
     

 

 

  
        7,477,515  
     

 

 

  
   REITs – Diversified — 1.4%

 

  425,990      New Residential Investment Corp.      3,970,227  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 0.7%

 

  9,780      Analog Devices, Inc.      1,428,760  
  6,980      Entegris, Inc.      643,068  
     

 

 

  
        2,071,828  
     

 

 

  
   Software — 1.1%

 

  343,727      N-Able, Inc.(a)      3,093,543  
     

 

 

  
   Specialty Retail — 1.4%

 

  275,755      Leslie’s, Inc.(a)      4,185,961  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  24

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Mid Cap Fund – (continued)

 

Shares      Description    Value (†)  
   Textiles, Apparel & Luxury Goods — 0.5%

 

  41,110      Skechers U.S.A., Inc., Class A(a)    $ 1,462,694  
     

 

 

  
  

Total Common Stocks

(Identified Cost $264,862,148)

      265,687,465  
     

 

 

  
     

Principal

Amount

                
  Short-Term Investments — 7.9%  
$ 22,770,147     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $22,770,368 on 7/01/2022 collateralized by $1,048,700 U.S. Treasury Note, 1.875% due 2/28/2027 valued at $990,611; $22,903,300 U.S. Treasury Note, 2.500% due 3/31/2027 valued at $22,234,982 including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $22,770,147)

      22,770,147  
     

 

 

  
     
   Total Investments — 100.2%
(Identified Cost $287,632,295)		      288,457,612  
   Other assets less liabilities — (0.2)%      (456,728 ) 
     

 

 

  
   Net Assets — 100.0%    $ 288,000,884  
     

 

 

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

 

     
  REITs      Real Estate Investment Trusts   

Industry Summary at June 30, 2022 (Unaudited)

 

Multi-Utilities

      6.9 % 

Electric Utilities

      6.7  

Oil, Gas & Consumable Fuels

      6.3  

Life Sciences Tools & Services

      6.2  

Insurance

      5.2  

Capital Markets

      4.7  

IT Services

      4.6  

Communications Equipment

      4.5  

Media

      4.2  

Independent Power & Renewable Electricity Producers

      3.3  

Containers & Packaging

      2.9  

Chemicals

      2.9  

Household Products

      2.9  

Commercial Services & Supplies

      2.8  

Construction & Engineering

      2.8  

Pharmaceuticals

      2.7  

Electrical Equipment

      2.7  

Professional Services

      2.6  

Health Care Equipment & Supplies

      2.6  

Machinery

      2.2  

Other Investments, less than 2% each

      12.6  

Short-Term Investments

      7.9  
  

 

 

  

Total Investments

      100.2  

Other assets less liabilities

      (0.2 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

25  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Small Cap Value Fund

 

Shares

      Description    Value (†)  
  Common Stocks — 93.3% of Net Assets  
   Banks — 5.6%

 

  76,700      Cadence Bank    $ 1,800,916  
  116,220      Old National Bancorp      1,718,894  
  16,280      SouthState Corp.      1,256,002  
  35,520      United Bankshares, Inc.      1,245,686  
  43,300      United Community Banks, Inc.      1,307,227  
     

 

 

  
        7,328,725  
     

 

 

  
   Capital Markets — 3.4%

 

  27,175      Artisan Partners Asset Management, Inc., Class A      966,615  
  20,195      Cboe Global Markets, Inc.      2,285,872  
  29,475      Moelis & Co., Class A      1,159,841  
     

 

 

  
        4,412,328  
     

 

 

  
   Chemicals — 6.3%

 

  68,970      Chemours Co. (The)      2,208,420  
  220,050      Element Solutions, Inc.      3,916,890  
  20,030      FMC Corp.      2,143,410  
     

 

 

  
        8,268,720  
     

 

 

  
   Commercial Services & Supplies — 1.7%

 

  34,580      Ritchie Bros. Auctioneers, Inc.      2,249,775  
     

 

 

  
   Electronic Equipment, Instruments & Components — 7.3%

 

  20,665      Advanced Energy Industries, Inc.      1,508,132  
  21,225      Fabrinet(a)      1,721,347  
  42,625      II-VI, Inc.(a)      2,171,744  
  48,915      Insight Enterprises, Inc.(a)      4,220,386  
     

 

 

  
        9,621,609  
     

 

 

  
   Energy Equipment & Services — 0.8%

 

  148,275      TechnipFMC PLC(a)      997,891  
     

 

 

  
   Food & Staples Retailing — 1.2%

 

  35,340      Performance Food Group Co.(a)      1,624,933  
     

 

 

  
   Gas Utilities — 4.2%

 

  33,380      Southwest Gas Holdings, Inc.(a)      2,906,730  
  34,815      Spire, Inc.      2,589,192  
     

 

 

  
        5,495,922  
     

 

 

  
   Health Care Providers & Services — 1.0%

 

  4,885      Molina Healthcare, Inc.(a)      1,365,895  
     

 

 

  
   Hotels, Restaurants & Leisure — 3.8%

 

  73,130      Bally’s Corp.(a)      1,446,511  
  95,570      Everi Holdings, Inc.(a)      1,558,747  
  109,559      International Game Technology PLC      2,033,415  
     

 

 

  
        5,038,673  
     

 

 

  
   Household Durables — 1.6%

 

  24,585      Installed Building Products, Inc.      2,044,489  
     

 

 

  
   Insurance — 4.9%

 

  28,085      Brown & Brown, Inc.      1,638,479  
  37,805      First American Financial Corp.      2,000,640  
  25,920      Selective Insurance Group, Inc.      2,253,485  
  84,960      Trean Insurance Group, Inc.(a)      529,301  
     

 

 

  
        6,421,905  
     

 

 

  
   IT Services — 6.0%

 

  33,855      ExlService Holdings, Inc.(a)      4,987,857  
  25,740      Thoughtworks Holding, Inc.(a)      363,191  
  33,185      WNS Holdings Ltd., ADR(a)      2,476,929  
     

 

 

  
        7,827,977  
     

 

 

  
   Life Sciences Tools & Services — 5.2%

 

  57,465      Avantor, Inc.(a)    $ 1,787,162  
  60,135      Maravai LifeSciences Holdings, Inc., Class A(a)      1,708,435  
  47,115      Syneos Health, Inc.(a)      3,377,203  
     

 

 

  
        6,872,800  
     

 

 

  
   Machinery — 7.8%

 

  15,035      Alamo Group, Inc.      1,750,525  
  69,115      Federal Signal Corp.      2,460,494  
  31,255      Franklin Electric Co., Inc.      2,289,741  
  32,380      SPX Corp.(a)      1,710,959  
  16,135      Watts Water Technologies, Inc., Series A      1,982,024  
     

 

 

  
        10,193,743  
     

 

 

  
   Marine — 1.3%

 

  27,655      Kirby Corp.(a)      1,682,530  
     

 

 

  
   Media — 1.9%

 

  120,335      TEGNA, Inc.      2,523,425  
     

 

 

  
   Oil, Gas & Consumable Fuels — 5.0%

 

  41,090      Antero Resources Corp.(a)      1,259,409  
  88,230      Comstock Resources, Inc.(a)      1,065,818  
  32,585      Ovintiv, Inc.      1,439,931  
  25,125      PDC Energy, Inc.      1,547,951  
  202,375      Southwestern Energy Co.(a)      1,264,844  
     

 

 

  
        6,577,953  
     

 

 

  
   Personal Products — 2.0%

 

  325,335      Coty, Inc., Class A(a)      2,605,933  
     

 

 

  
   Professional Services — 6.2%

 

  32,790      ASGN, Inc.(a)      2,959,298  
  5,185      CACI International, Inc., Class A(a)      1,461,029  
  20,185      FTI Consulting, Inc.(a)      3,650,457  
     

 

 

  
        8,070,784  
     

 

 

  
   Road & Rail — 2.7%

 

  14,055      Landstar System, Inc.      2,043,878  
  7,820      Saia, Inc.(a)      1,470,160  
     

 

 

  
        3,514,038  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 4.8%

 

  48,880      Ichor Holdings Ltd.(a)      1,269,902  
  20,515      MKS Instruments, Inc.      2,105,455  
  85,265      Rambus, Inc.(a)      1,832,345  
  36,800      Ultra Clean Holdings, Inc.(a)      1,095,536  
     

 

 

  
        6,303,238  
     

 

 

  
   Specialty Retail — 0.5%

 

  3,275      RH(a)      695,151  
     

 

 

  
   Textiles, Apparel & Luxury Goods — 1.0%

 

  30,830      Capri Holdings Ltd.(a)      1,264,338  
     

 

 

  
   Trading Companies & Distributors — 7.1%

 

  35,305      Beacon Roofing Supply, Inc.(a)      1,813,265  
  77,420      Core & Main, Inc., Class A(a)      1,726,466  
  31,310      GATX Corp.      2,948,150  
  24,740      Rush Enterprises, Inc., Class A      1,192,468  
  6,710      Watsco, Inc.      1,602,482  
     

 

 

  
        9,282,831  
     

 

 

  
  

Total Common Stocks

(Identified Cost $121,002,792)

      122,285,606  
     

 

 

  
     

 

See accompanying notes to financial statements.

 

|  26

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

 

Principal

Amount

      Description    Value (†)  
  Short-Term Investments — 6.6%  
$ 8,660,671     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $8,660,755 on 7/01/2022 collateralized by $9,351,900 U.S. Treasury Note, 1.875% due 2/28/2027 valued at $8,833,889 including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $8,660,671)

    $ 8,660,671  
     

 

 

  
     
  

Total Investments — 99.9%

(Identified Cost $129,663,463)

      130,946,277  
   Other assets less liabilities — 0.1%      121,929  
     

 

 

  
   Net Assets — 100.0%    $ 131,068,206  
     

 

 

  
     
  (†)      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, 2022 (Unaudited)

 

Machinery

      7.8 % 

Electronic Equipment, Instruments & Components

      7.3  

Trading Companies & Distributors

      7.1  

Chemicals

      6.3  

Professional Services

      6.2  

IT Services

      6.0  

Banks

      5.6  

Life Sciences Tools & Services

      5.2  

Oil, Gas & Consumable Fuels

      5.0  

Insurance

      4.9  

Semiconductors & Semiconductor Equipment

      4.8  

Gas Utilities

      4.2  

Hotels, Restaurants & Leisure

      3.8  

Capital Markets

      3.4  

Road & Rail

      2.7  

Personal Products

      2.0  

Other Investments, less than 2% each

      11.0  

Short-Term Investments

      6.6  
  

 

 

  

Total Investments

      99.9  

Other assets less liabilities

      0.1  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

27  |

Statements of Assets and Liabilities

 

June 30, 2022 (Unaudited)

 

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

ASSETS

            

Investments at cost

    $ 27,689,948      $ 418,243,759      $ 459,680,675      $ 711,279,436  

Net unrealized appreciation (depreciation)

      (6,544,643 )       (20,235,417 )       (73,150,405 )       84,071,428  
  

 

 

     

 

 

     

 

 

     

 

 

  

Investments at value

      21,145,305        398,008,342        386,530,270        795,350,864  

Cash

      —        —        —        5,217  

Foreign currency at value (identified cost $31,546, $0, $0 and $0, respectively)

      31,537        —        —        —  

Receivable for Fund shares sold

      340        132,583        403,720        128,131  

Receivable for securities sold

      —        18,472,854        603,814        —  

Dividends and interest receivable

      15,458        409,380        166,343        650,431  

Tax reclaims receivable

      47,809        —        4,547,772        502,713  

Prepaid expenses (Note 9)

      2        66        63        131  
  

 

 

     

 

 

     

 

 

     

 

 

  

TOTAL ASSETS

      21,240,451        417,023,225        392,251,982        796,637,487  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

            

Payable for securities purchased

      —        1,686,707        299,625        155,014  

Payable for Fund shares redeemed

      —        146,088        346,465        284,777  

Foreign taxes payable (Note 2)

      —        —        83,966        —  

Management fees payable (Note 6)

      11,918        230,334        214,605        523,910  

Deferred Trustees’ fees (Note 6)

      4,188        663,890        124,149        506,607  

Administrative fees payable (Note 6)

      799        16,805        15,852        31,832  

Payable to distributor (Note 6d)

      10        2,177        6,220        2,622  

Audit and tax services fees payable

      25,032        23,876        25,188        24,932  

Other accounts payable and accrued expenses

      11,393        47,446        162,460        113,147  
  

 

 

     

 

 

     

 

 

     

 

 

  

TOTAL LIABILITIES

      53,340        2,817,323        1,278,530        1,642,841  
  

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 21,187,111      $ 414,205,902      $ 390,973,452      $ 794,994,646  
  

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS CONSIST OF:

            

Paid-in capital

    $ 28,041,160      $ 415,033,899      $ 571,049,467      $ 652,424,691  

Accumulated earnings (loss)

      (6,854,049 )       (827,997 )       (180,076,015 )       142,569,955  
  

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 21,187,111      $ 414,205,902      $ 390,973,452      $ 794,994,646  
  

 

 

     

 

 

     

 

 

     

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

            

Class A shares:

            

Net assets

    $ 114,734      $ 186,192,668      $ 121,284,417      $ 529,334,519  
  

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      15,203        8,069,110        9,917,125        16,974,830  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 7.55      $ 23.07      $ 12.23      $ 31.18  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

    $ 8.01      $ 24.48      $ 12.98      $ 33.08  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

            

Net assets

    $ 758      $ 50,765,419      $ 45,884,836      $ 36,164,093  
  

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      101        2,737,712        3,838,345        2,395,694  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

    $ 7.47 *     $ 18.54      $ 11.95      $ 15.10  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class N shares:

            

Net assets

    $ 18,119,377      $ 478,051      $ 1,940,779      $ 162,036  
  

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      2,395,482        19,284        159,103        4,098  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 7.56      $ 24.79      $ 12.20      $ 39.54  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class Y shares:

            

Net assets

    $ 2,952,242      $ 176,769,764      $ 221,863,420      $ 229,333,998  
  

 

 

     

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      390,344        7,153,182        18,209,970        5,819,063  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 7.56      $ 24.71      $ 12.18      $ 39.41  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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

 

See accompanying notes to financial statements.

 

|  28

Statements of Assets and Liabilities (continued)

 

June 30, 2022 (Unaudited)

 

     Vaughan
Nelson Mid
Cap Fund		      Vaughan
Nelson
Small Cap
Value Fund		  

ASSETS

      

Investments at cost

    $ 287,632,295      $ 129,663,463  

Net unrealized appreciation

      825,317        1,282,814  
  

 

 

     

 

 

  

Investments at value

      288,457,612        130,946,277  

Cash

      5,426        —  

Receivable for Fund shares sold

      143,601        477,903  

Dividends and interest receivable

      264,148        81,211  

Prepaid expenses (Note 9)

      45        19  
  

 

 

     

 

 

  

TOTAL ASSETS

      288,870,832        131,505,410  
  

 

 

     

 

 

  

LIABILITIES

      

Payable for securities purchased

      339,560        6,800  

Payable for Fund shares redeemed

      82,196        62,687  

Management fees payable (Note 6)

      176,951        83,558  

Deferred Trustees’ fees (Note 6)

      196,123        221,372  

Administrative fees payable (Note 6)

      11,261        5,089  

Payable to distributor (Note 6d)

      1,854        761  

Audit and tax services fees payable

      24,742        23,851  

Other accounts payable and accrued expenses

      37,261        33,086  
  

 

 

     

 

 

  

TOTAL LIABILITIES

      869,948        437,204  
  

 

 

     

 

 

  

NET ASSETS

    $ 288,000,884      $ 131,068,206  
  

 

 

     

 

 

  

NET ASSETS CONSIST OF:

      

Paid-in capital

    $ 287,086,437      $ 126,780,582  

Accumulated earnings

      914,447        4,287,624  
  

 

 

     

 

 

  

NET ASSETS

    $ 288,000,884      $ 131,068,206  
  

 

 

     

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

      

Class A shares:

      

Net assets

    $ 32,689,722      $ 69,042,222  
  

 

 

     

 

 

  

Shares of beneficial interest

      1,724,525        4,538,389  
  

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 18.96      $ 15.21  
  

 

 

     

 

 

  

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

    $ 20.12      $ 16.14  
  

 

 

     

 

 

  

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

      

Net assets

    $ 8,424,656      $ 838,007  
  

 

 

     

 

 

  

Shares of beneficial interest

      493,330        147,677  
  

 

 

     

 

 

  

Net asset value and offering price per share

    $ 17.08      $ 5.67  
  

 

 

     

 

 

  

Class N shares:

      

Net assets

    $ 73,156,761      $ 1,207,148  
  

 

 

     

 

 

  

Shares of beneficial interest

      3,794,793        74,592  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 19.28      $ 16.18  
  

 

 

     

 

 

  

Class Y shares:

      

Net assets

    $ 173,729,745      $ 59,980,829  
  

 

 

     

 

 

  

Shares of beneficial interest

      8,997,189        3,710,456  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 19.31      $ 16.17  
  

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Statements of Operations

 

For the Six Months Ended June 30, 2022 (Unaudited)

 

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

INVESTMENT INCOME

            

Dividends

    $ 220,191      $ 3,739,093      $ 10,022,852      $ 6,157,317  

Non-cash dividends (Note 2b)

      37,296 (a)       —        —        —  

Interest

      127        3,799        3,365        5,487  

Less net foreign taxes withheld

      (24,026 )       —        (1,189,049 )       (117,992 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
     233,588        3,742,892        8,837,168        6,044,812  
  

 

 

     

 

 

     

 

 

     

 

 

  

Expenses

            

Management fees (Note 6)

      82,245        1,558,312        1,816,250        3,569,168  

Service and distribution fees (Note 6)

      224        559,529        462,356        1,042,020  

Administrative fees (Note 6)

      4,852        102,769        102,604        210,352  

Trustees’ fees and expenses (Note 6)

      6,602        13,276        13,242        19,890  

Trustees’ fees deferred compensation (Note 6)

      1,171        (93,831 )       (15,238 )       (71,292 ) 

Transfer agent fees and expenses (Notes 6 and 7)

      3,863        196,446        402,355        282,599  

Audit and tax services fees

      20,970        20,384        43,062        22,692  

Custodian fees and expenses

      7,325        9,155        75,618        23,809  

Legal fees (Note 9)

      319        4,561        6,240        12,334  

Registration fees

      15,946        75,820        46,215        58,989  

Shareholder reporting expenses

      7,041        29,109        48,442        59,325  

Miscellaneous expenses

      21,510        20,191        50,611        29,416  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses

      172,068        2,495,721        3,051,757        5,259,302  

Less waiver and/or expense reimbursement (Note 6)

      (72,643 )       (79,455 )       (499,000 )       (883 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net expenses

      99,425        2,416,266        2,552,757        5,258,419  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

      134,163        1,326,626        6,284,411        786,393  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

            

Net realized gain (loss) on:

            

Investments

      93,523        26,531,933        (2,411,934 )       61,565,106  

Forward foreign currency contracts (Note 2d)

      —        —        473,946        —  

Foreign currency transactions (Note 2c)

      (3,773 )       —        (29,179 )       —  

Net change in unrealized appreciation (depreciation) on:

            

Investments

      (5,486,634 )       (130,344,165 )       (101,616,809 )       (324,961,803 ) 

Forward foreign currency contracts (Note 2d)

      —        —        94,327        —  

Foreign currency translations (Note 2c)

      (1,959 )       —        (344,012 )       (7,378 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

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

      (5,398,843 )       (103,812,232 )       (103,833,661 )       (263,404,075 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ (5,264,680 )     $ (102,485,606 )     $ (97,549,250 )     $ (262,617,682 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Represents a non-recurring stock dividend.

 

See accompanying notes to financial statements.

 

|  30

Statements of Operations (continued)

 

For the Six Months Ended June 30, 2022 (Unaudited)

 

     Vaughan Nelson
Mid Cap Fund		      Vaughan Nelson
Small Cap
Value Fund		  

INVESTMENT INCOME

 

Dividends

    $ 2,895,603      $ 807,277  

Interest

      4,402        1,547  

Less net foreign taxes withheld

      —        (2,781 ) 
  

 

 

     

 

 

  
     2,900,005        806,043  
  

 

 

     

 

 

  

Expenses

 

Management fees (Note 6)

      1,214,547        612,499  

Service and distribution fees (Note 6)

      93,494        98,472  

Administrative fees (Note 6)

      71,615        31,883  

Trustees’ fees and expenses (Note 6)

      10,979        8,406  

Trustees’ fees deferred compensation (Note 6)

      (25,832 )       (31,160 ) 

Transfer agent fees and expenses (Notes 6 and 7)

      110,334        73,719  

Audit and tax services fees

      20,817        20,386  

Custodian fees and expenses

      8,311        4,721  

Legal fees (Note 9)

      4,175        1,729  

Registration fees

      34,661        30,465  

Shareholder reporting expenses

      17,821        15,570  

Miscellaneous expenses

      21,157        17,494  
  

 

 

     

 

 

  

Total expenses

      1,582,079        884,184  

Less waiver and/or expense reimbursement (Note 6)

      (50,688 )       (65,421 ) 
  

 

 

     

 

 

  

Net expenses

      1,531,391        818,763  
  

 

 

     

 

 

  

Net investment income (loss)

      1,368,614        (12,720 ) 
  

 

 

     

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

      

Net realized gain on:

      

Investments

      2,510,289        3,754,607  

Class action settlements (Note 8)

      238,726        —  

Net change in unrealized appreciation (depreciation) on: Investments

      (54,238,182 )       (23,288,460 ) 
  

 

 

     

 

 

  

Net realized and unrealized loss on investments

      (51,489,167 )       (19,533,853 ) 
  

 

 

     

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ (50,120,553 )     $ (19,546,573 ) 
  

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

31  |

Statements of Changes in Net Assets

 

 

     International Growth Fund      Natixis Oakmark Fund  
     Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		      Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		  

FROM OPERATIONS:

            

Net investment income

    $ 134,163      $ 68,456      $ 1,326,626      $ 633,264  

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

      89,750        (203,613 )       26,531,933        28,561,069  

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

      (5,488,593 )       (1,246,367 )       (130,344,165 )       53,375,247  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      (5,264,680 )       (1,381,524 )       (102,485,606 )       82,569,580  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

            

Class A

      —        (1,712 )       (2,809,096 )       (14,668,177 ) 

Class C

      —        (540 )       (991,606 )       (3,860,638 ) 

Class N

      —        (404,221 )       (7,860 )       (42,243 ) 

Class Y

      —        (3,739 )       (2,619,716 )       (6,180,207 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      —        (410,212 )       (6,428,278 )       (24,751,265 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

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

      3,126,100        9,897,595        150,953,361        69,746,167  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets

      (2,138,580 )       8,105,859        42,039,477        127,564,482  

NET ASSETS

 

Beginning of the period

      23,325,691        15,219,832        372,166,425        244,601,943  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 21,187,111      $ 23,325,691      $ 414,205,902      $ 372,166,425  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  32

Statements of Changes in Net Assets (continued)

 

 

     Natixis Oakmark International Fund      Natixis U.S. Equity Opportunities Fund  
     Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		      Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		  

FROM OPERATIONS:

            

Net investment income (loss)

    $ 6,284,411      $ 9,327,403      $ 786,393      $ (2,363,534 ) 

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

      (1,967,167 )       37,081,829        61,565,106        116,863,738  

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

      (101,866,494 )       (4,477,434 )       (324,969,181 )       97,061,972  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      (97,549,250 )       41,931,798        (262,617,682 )       211,562,176  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

            

Class A

      —        (2,330,358 )       (26,539,784 )       (76,697,366 ) 

Class C

      —        (418,451 )       (3,948,324 )       (11,757,176 ) 

Class N

      —        (12,581 )       (5,180 )       (15,616 ) 

Class Y

      —        (5,540,267 )       (8,682,775 )       (23,677,132 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      —        (8,301,657 )       (39,176,063 )       (112,147,290 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

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

      (47,346,246 )       (1,920,547 )       20,957,595        20,061,764  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets

      (144,895,496 )       31,709,594        (280,836,150 )       119,476,650  

NET ASSETS

            

Beginning of the period

      535,868,948        504,159,354        1,075,830,796        956,354,146  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 390,973,452      $ 535,868,948      $ 794,994,646      $ 1,075,830,796  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

33  |

Statements of Changes in Net Assets (continued)

 

 

     Vaughan Nelson Mid Cap Fund      Vaughan Nelson Small Cap Value Fund  
     Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		      Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		  

FROM OPERATIONS:

            

Net investment income (loss)

    $ 1,368,614      $ 1,331,082      $ (12,720 )     $ 174,435  

Net realized gain on investments and class action settlements

      2,749,015        56,422,377        3,754,607        33,988,295  

Net change in unrealized appreciation (depreciation) on investments

      (54,238,182 )       4,168,218        (23,288,460 )       828,120  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      (50,120,553 )       61,921,677        (19,546,573 )       34,990,850  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

            

Class A

      (859,450 )       (5,329,869 )       (1,681,175 )       (14,352,433 ) 

Class C

      (262,976 )       (1,799,416 )       (52,754 )       (339,165 ) 

Class N

      (1,948,714 )       (12,164,843 )       (27,118 )       (233,321 ) 

Class Y

      (4,634,572 )       (33,148,269 )       (1,450,459 )       (11,433,578 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (7,705,712 )       (52,442,397 )       (3,211,506 )       (26,358,497 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

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

      (21,711,504 )       68,004,051        3,930,271        29,370,496  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets

      (79,537,769 )       77,483,331        (18,827,808 )       38,002,849  

NET ASSETS

            

Beginning of the period

      367,538,653        290,055,322        149,896,014        111,893,165  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 288,000,884      $ 367,538,653      $ 131,068,206      $ 149,896,014  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  34

Financial Highlights

 

For a share outstanding throughout each period.

 

     International Growth Fund—Class A  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		      Period Ended
December 31,
2020* 		 

Net asset value, beginning of the period

    $ 9.57     $ 10.13      $ 10.00  
  

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

   

Net investment income (loss)(a)

      0.04 (b)      (0.01 )       0.01  

Net realized and unrealized gain (loss)

      (2.06 )      (0.41 )       0.13  
  

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.02 )      (0.42 )       0.14  
  

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

      —       (0.01 )       (0.01 ) 

Net realized capital gains

      —       (0.13 )       —  
  

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.14 )       (0.01 ) 
  

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 7.55     $ 9.57      $ 10.13  
  

 

 

    

 

 

     

 

 

  

Total return(c)(d)

      (21.11 )%(b)(e)      (4.07 )%       1.37 %(e) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

    $ 115     $ 113      $ 1  

Net expenses(f)

      1.20 %(g)      1.20 %       1.20 %(g) 

Gross expenses

      2.07 %(g)      2.71 %       13.05 %(g) 

Net investment income (loss)

      0.94 %(b)(g)      (0.07 )%       1.28 %(g) 

Portfolio turnover rate

      7 %      9 %       1 % 

 

 

*

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

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.03, total return would have been (21.32)% and the ratio of net investment income to average net assets would have been 0.61%.

(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.

 

35  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     International Growth Fund—Class C  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Period Ended
December 31,
2020* 		 

Net asset value, beginning of the period

    $ 9.51     $ 10.13     $ 10.00  
  

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

  

Net investment income (loss)(a)

      0.02 (b)      (0.09 )      0.00 (c) 

Net realized and unrealized gain (loss)

      (2.06 )      (0.40 )      0.13  
  

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (2.04 )      (0.49 )      0.13  
  

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

       

Net investment income

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

Net realized capital gains

      —       (0.13 )      —  
  

 

 

    

 

 

    

 

 

  

Total Distributions

      —       (0.13 )      (0.00 ) 
  

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 7.47     $ 9.51     $ 10.13  
  

 

 

    

 

 

    

 

 

  

Total return(d)(e)

      (21.45 )%(b)(f)      (4.79 )%      1.33 %(f) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

    $ 1     $ 38     $ 1  

Net expenses(g)

      1.95 %(h)      1.95 %      1.95 %(h) 

Gross expenses

      2.82 %(h)      3.46 %      13.78 %(h) 

Net investment income (loss)

      0.43 %(b)(h)      (0.90 )%      0.55 %(h) 

Portfolio turnover rate

      7 %      9 %      1 % 

 

 

*

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

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been (21.56)% and the ratio of net investment loss to average net assets would have been (0.27)%.

(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)

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.

 

See accompanying notes to financial statements.

 

|  36

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     International Growth Fund—Class N
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		      Period Ended
December 31,
2020*		  

Net asset value, beginning of the period

    $ 9.58     $ 10.13      $ 10.00  
  

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

   

Net investment income(a)

      0.05 (b)      0.03        0.01  

Net realized and unrealized gain (loss)

      (2.07 )      (0.42 )       0.13  
  

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.02 )      (0.39 )       0.14  
  

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

      —       (0.03 )       (0.01 ) 

Net realized capital gains

      —       (0.13 )       —  
  

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.16 )       (0.01 ) 
  

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 7.56     $ 9.58      $ 10.13  
  

 

 

    

 

 

     

 

 

  

Total return(c)

      (21.09 )%(b)(d)      (3.77 )%       1.38 %(d) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

    $ 18,119     $ 22,953      $ 15,206  

Net expenses(e)

      0.90 %(f)      0.90 %       0.90 %(f) 

Gross expenses

      1.54 %(f)      1.58 %       6.48 %(f) 

Net investment income

      1.22 %(b)(f)      0.29 %       1.43 %(f) 

Portfolio turnover rate

      7 %      9 %       1 % 

 

 

*

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

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.04, total return would have been (21.19)% and the ratio of net investment income to average net assets would have been 0.85%.

(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.

 

     International Growth Fund—Class Y
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		      Period Ended
December 31,
2020*		  

Net asset value, beginning of the period

    $ 9.58     $ 10.13      $ 10.00  
  

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

Net investment income(a)

      0.05 (b)      0.02        0.01  

Net realized and unrealized gain (loss)

      (2.07 )      (0.41 )       0.13  
  

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.02 )      (0.39 )       0.14  
  

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

      —       (0.03 )       (0.01 ) 

Net realized capital gains

      —       (0.13 )       —  
  

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.16 )       (0.01 ) 
  

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 7.56     $ 9.58      $ 10.13  
  

 

 

    

 

 

     

 

 

  

Total return(c)

      (21.09 )%(b)(d)      (3.81 )%       1.38 %(d) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

    $ 2,952     $ 222      $ 12  

Net expenses(e)

      0.95 %(f)      0.95 %       0.95 %(f) 

Gross expenses

      1.82 %(f)      2.46 %       12.58 %(f) 

Net investment income

      1.29 %(b)(f)      0.19 %       1.63 %(f) 

Portfolio turnover rate

      7 %      9 %       1 % 

 

 

*

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

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been (21.19)% and the ratio of net investment income to average net assets would have been 1.25%.

(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.

 

|  38

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class A  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 29.04     $ 23.20     $ 22.45     $ 19.44     $ 24.72      $ 21.37  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

       

Net investment income(a)

      0.07       0.07       0.11 (b)      0.18 (c)      0.10        0.11  

Net realized and unrealized gain (loss)

      (5.68 )      7.81       2.78       4.93       (3.28 )       4.28  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (5.61 )      7.88       2.89       5.11       (3.18 )       4.39  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

      —       (0.05 )      (0.12 )      (0.21 )      (0.08 )       (0.10 ) 

Net realized capital gains

      (0.36 )      (1.99 )      (2.02 )      (1.89 )      (2.02 )       (0.94 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.36 )      (2.04 )      (2.14 )      (2.10 )      (2.10 )       (1.04 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 23.07     $ 29.04     $ 23.20     $ 22.45     $ 19.44      $ 24.72  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(d)

      (19.52 )%(e)(f)      33.97 %(e)      13.01 %(b)      26.77 %(c)      (13.01 )%       20.75 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

    $ 186,193     $ 222,435     $ 170,702     $ 181,417     $ 164,748      $ 203,792  

Net expenses

      1.05 %(g)(h)      1.12 %(g)(i)      1.20 %(j)      1.17 %      1.13 %       1.18 % 

Gross expenses

      1.08 %(h)      1.14 %      1.20 %(j)      1.17 %      1.13 %       1.18 % 

Net investment income

      0.55 %(h)      0.25 %      0.53 %(b)      0.85 %(c)      0.41 %       0.48 % 

Portfolio turnover rate

      26 %      23 %      22 %      15 %      39 %       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 $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%.

(c)

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

(d)

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

(e)

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

(f)

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, 2021, the expense limit decreased from 1.30% to 1.05%.

(j)

Includes refund of prior year service fee of 0.01%.

 

See accompanying notes to financial statements.

 

39  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class C  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 23.50     $ 19.17     $ 18.92     $ 16.66     $ 21.58      $ 18.83  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

       

Net investment income (loss)(a)

      (0.02 )      (0.12 )      (0.04 )(b)      0.02 (c)      (0.07 )       (0.05 ) 

Net realized and unrealized gain (loss)

      (4.58 )      6.44       2.31       4.20       (2.83 )       3.74  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (4.60 )      6.32       2.27       4.22       (2.90 )       3.69  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

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

Net realized capital gains

      (0.36 )      (1.99 )      (2.02 )      (1.89 )      (2.02 )       (0.94 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.36 )      (1.99 )      (2.02 )      (1.96 )      (2.02 )       (0.94 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 18.54     $ 23.50     $ 19.17     $ 18.92     $ 16.66      $ 21.58  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(e)

      (19.83 )%(f)(g)      32.99 %(f)      12.15 %(b)      25.82 %(c)      (13.63 )%       19.85 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

    $ 50,765     $ 50,042     $ 35,940     $ 54,384     $ 53,606      $ 62,272  

Net expenses

      1.80 %(h)(i)      1.87 %(h)(j)      1.95 %      1.92 %      1.88 %       1.93 % 

Gross expenses

      1.83 %(i)      1.89 %      1.95 %      1.92 %      1.88 %       1.93 % 

Net investment income (loss)

      (0.20 )%(i)      (0.49 )%      (0.23 )%(b)      0.12 %(c)      (0.33 )%       (0.27 )% 

Portfolio turnover rate

      26 %      23 %      22 %      15 %      39 %       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)

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, 2021, the expense limit decreased from 2.05% to 1.80%.

 

See accompanying notes to financial statements.

 

|  40

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class N  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     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

    $ 31.13     $ 24.72     $ 23.78     $ 20.49     $ 25.91      $ 23.13  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

       

Net investment income(a)

      0.12       0.23       0.18 (b)      0.22 (c)      0.22        0.14  

Net realized and unrealized gain (loss)

      (6.10 )      8.31       2.98       5.25       (3.45 )       3.44  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (5.98 )      8.54       3.16       5.47       (3.23 )       3.58  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

      —       (0.14 )      (0.20 )      (0.29 )      (0.17 )       (0.17 ) 

Net realized capital gains

      (0.36 )      (1.99 )      (2.02 )      (1.89 )      (2.02 )       (0.63 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.36 )      (2.13 )      (2.22 )      (2.18 )      (2.19 )       (0.80 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 24.79     $ 31.13     $ 24.72     $ 23.78     $ 20.49      $ 25.91  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(d)

      (19.40 )%(e)      34.54 %      13.41 %(b)      27.16 %(c)      (12.60 )%       15.46 %(e) 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

    $ 478     $ 682     $ 364     $ 801     $ 10      $ 1  

Net expenses(f)

      0.75 %(g)      0.80 %(h)      0.86 %      0.83 %      0.75 %       0.75 %(g) 

Gross expenses

      1.04 %(g)      1.55 %      1.05 %      1.25 %      3.79 %       13.79 %(g) 

Net investment income

      0.81 %(g)      0.79 %      0.85 %(b)      0.93 %(c)      0.88 %       0.84 %(g) 

Portfolio turnover rate

      26 %      23 %      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)

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, 2021, the expense limit decreased from 1.00% to 0.75%.

(i)

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

 

See accompanying notes to financial statements.

 

41  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark Fund—Class Y  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 31.04     $ 24.68     $ 23.75     $ 20.46     $ 25.90      $ 22.34  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.12       0.17       0.17 (b)      0.27 (c)      0.17        0.17  

Net realized and unrealized gain (loss)

      (6.09 )      8.31       2.95       5.17       (3.44 )       4.48  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (5.97 )      8.48       3.12       5.44       (3.27 )       4.65  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.13 )      (0.17 )      (0.26 )      (0.15 )       (0.15 ) 

Net realized capital gains

      (0.36 )      (1.99 )      (2.02 )      (1.89 )      (2.02 )       (0.94 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.36 )      (2.12 )      (2.19 )      (2.15 )      (2.17 )       (1.09 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 24.71     $ 31.04     $ 24.68     $ 23.75     $ 20.46      $ 25.90  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return

      (19.43 )%(d)(e)      34.35 %(d)      13.28 %(b)      27.06 %(c)(d)      (12.76 )%       21.05 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 176,770     $ 99,008     $ 37,595     $ 46,836     $ 53,829      $ 49,955  

Net expenses

      0.80 %(f)(g)      0.86 %(f)(h)      0.95 %      0.91 %(f)      0.88 %       0.93 % 

Gross expenses

      0.83 %(g)      0.89 %      0.95 %      0.92 %      0.88 %       0.93 % 

Net investment income

      0.83 %(g)      0.56 %      0.79 %(b)      1.16 %(c)      0.68 %       0.71 % 

Portfolio turnover rate

      26 %      23 %      22 %      15 %      39 %       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)

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, 2021, the expense limit decreased from 1.05% to 0.80%.

 

See accompanying notes to financial statements.

 

|  42

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class A  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 15.15     $ 14.15     $ 13.63     $ 11.29     $ 15.58      $ 12.15  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      0.19       0.27 (b)      (0.00 )(c)      0.37 (d)      0.25        0.18  

Net realized and unrealized gain (loss)

      (3.11 )      0.96       0.55 (e)      2.38       (4.02 )       3.41  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.92 )      1.23       0.55       2.75       (3.77 )       3.59  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.23 )      (0.03 )      (0.41 )      (0.29 )       (0.16 ) 

Net realized capital gains

      —       —       —       —       (0.23 )       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.23 )      (0.03 )      (0.41 )      (0.52 )       (0.16 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 12.23     $ 15.15     $ 14.15     $ 13.63     $ 11.29      $ 15.58  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(f)

      (19.27 )%(g)(h)      8.73 %(b)(g)      4.06 %(g)      24.35 %(d)      (24.15 )%       29.56 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 121,284     $ 152,900     $ 131,630     $ 172,906     $ 257,551      $ 603,988  

Net expenses

      1.15 %(i)(j)      1.17 %(i)(k)      1.29 %(i)(l)      1.29 %      1.31 %       1.32 % 

Gross expenses

      1.37 %(j)      1.34 %      1.36 %      1.29 %      1.31 %       1.32 % 

Net investment income (loss)

      2.79 %(j)      1.73 %(b)      (0.03 )%      2.91 %(d)      1.72 %       1.28 % 

Portfolio turnover rate

      20 %      37 %      63 %      28 %      50 %       40 % 

 

(a)

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

(b)

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

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

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

(g)

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

(h)

Periods less than one year are not annualized.

(i)

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.

(j)

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

(k)

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

(l)

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

 

See accompanying notes to financial statements.

 

43  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class C  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 14.86     $ 13.85     $ 13.41     $ 11.11     $ 15.30      $ 11.96  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      0.13       0.13 (b)      (0.08 )      0.26 (c)      0.13        0.06  

Net realized and unrealized gain (loss)

      (3.04 )      0.97       0.52 (d)      2.34       (3.92 )       3.35  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.91 )      1.10       0.44       2.60       (3.79 )       3.41  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.09 )      —       (0.30 )      (0.17 )       (0.07 ) 

Net realized capital gains

      —       —       —       —       (0.23 )       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.09 )      —       (0.30 )      (0.40 )       (0.07 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 11.95     $ 14.86     $ 13.85     $ 13.41     $ 11.11      $ 15.30  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(e)

      (19.58 )%(f)(g)      7.92 %(b)(f)      3.28 %(f)      23.44 %(c)      (24.74 )%       28.55 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 45,885     $ 69,335     $ 96,772     $ 179,533     $ 212,618      $ 363,018  

Net expenses

      1.90 %(h)(i)      1.93 %(h)(j)      2.05 %(h)(k)      2.04 %      2.07 %       2.07 % 

Gross expenses

      2.12 %(i)      2.09 %      2.11 %      2.04 %      2.07 %       2.07 % 

Net investment income (loss)

      1.91 %(i)      0.85 %(b)      (0.76 )%      2.09 %(c)      0.94 %       0.42 % 

Portfolio turnover rate

      20 %      37 %      63 %      28 %      50 %       40 % 

 

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

(f)

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

(g)

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, 2021, the expense limit decreased from 1.95% to 1.90%.

(k)

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

 

See accompanying notes to financial statements.

 

|  44

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Oakmark International Fund—Class N  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     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

    $ 15.08     $ 14.09     $ 13.56     $ 11.25     $ 15.58      $ 13.98  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.30       0.38 (b)      0.04       0.33 (c)      0.28        0.15  

Net realized and unrealized gain (loss)

      (3.18 )      0.89       0.56 (d)      2.45       (4.02 )       1.66  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.88 )      1.27       0.60       2.78       (3.74 )       1.81  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.28 )      (0.07 )      (0.47 )      (0.36 )       (0.21 ) 

Net realized capital gains

      —       —       —       —       (0.23 )       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.28 )      (0.07 )      (0.47 )      (0.59 )       (0.21 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 12.20     $ 15.08     $ 14.09     $ 13.56     $ 11.25      $ 15.58  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(e)

      (19.10 )%(f)      9.01 %(b)      4.44 %      24.75 %(c)      (23.94 )%       12.96 %(f) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 1,941     $ 704     $ 290     $ 811     $ 758      $ 1  

Net expenses(g)

      0.85 %(h)      0.87 %(i)      0.92 %(j)      0.94 %      0.99 %       0.92 %(h) 

Gross expenses

      1.05 %(h)      1.25 %      1.17 %      1.08 %      1.02 %       25.21 %(h) 

Net investment income

      4.54 %(h)      2.49 %(b)      0.37 %      2.56 %(c)      2.04 %       1.54 %(h) 

Portfolio turnover rate

      20 %      37 %      63 %      28 %      50 %       40 %(k) 

 

*

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 and tax reclaims. Without these, net investment income per share would have been $0.11, total return would have been 8.09% and the ratio of net investment income to average net assets would have been 0.70%.

(c)

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

(d)

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

(e)

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

(f)

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, 2021, the expense limit decreased from 0.90% to 0.85%.

(j)

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

(k)

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 Oakmark International Fund—Class Y  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     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

    $ 15.07     $ 14.08     $ 13.56     $ 11.25     $ 15.56      $ 13.98  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.20       0.30 (b)      0.04       0.37 (c)      0.26        0.00 (d) 

Net realized and unrealized gain (loss)

      (3.09 )      0.96       0.55 (e)      2.40       (3.99 )       1.79  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.89 )      1.26       0.59       2.77       (3.73 )       1.79  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.27 )      (0.07 )      (0.46 )      (0.35 )       (0.21 ) 

Net realized capital gains

      —       —       —       —       (0.23 )       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      —       (0.27 )      (0.07 )      (0.46 )      (0.58 )       (0.21 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 12.18     $ 15.07     $ 14.08     $ 13.56     $ 11.25      $ 15.56  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return

      (19.18 )%(f)(g)      8.97 %(b)(f)      4.32 %(f)      24.64 %(c)      (23.93 )%       12.79 %(g) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 221,863     $ 312,930     $ 275,468     $ 244,586     $ 215,123      $ 172,978  

Net expenses

      0.90 %(h)(i)      0.92 %(h)(j)      1.03 %(h)(k)      1.04 %      1.07 %       1.07 %(i) 

Gross expenses

      1.11 %(i)      1.09 %      1.11 %      1.04 %      1.07 %       1.07 %(i) 

Net investment income

      2.82 %(i)      1.96 %(b)      0.41 %      2.91 %(c)      1.85 %       0.03 %(i) 

Portfolio turnover rate

      20 %      37 %      63 %      28 %      50 %       40 %(l) 

 

*

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 and tax reclaims. Without these, net investment income per share would have been $0.17, total return would have been 8.04% and the ratio of net investment income to average net assets would have been 1.07%.

(c)

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

(d)

Amount rounds to less than $0.01 per share.

(e)

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

(f)

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, 2021, the expense limit decreased from 0.95% to 0.90%.

(k)

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

(l)

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

 

See accompanying notes to financial statements.

 

|  46

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class A  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		      Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 43.12     $ 39.04      $ 36.53      $ 31.00     $ 36.90      $ 30.27  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      0.02       (0.11 )       (0.05 )       0.15 (b)      0.08        0.06  

Net realized and unrealized gain (loss)

      (10.38 )      8.99        7.66        9.34       (2.51 )       7.88  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (10.36 )      8.88        7.61        9.49       (2.43 )       7.94  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (1.58 )      (4.80 )       (5.10 )       (3.79 )      (3.42 )       (1.25 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total Distributions

      (1.58 )      (4.80 )       (5.10 )       (3.96 )      (3.47 )       (1.31 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 31.18     $ 43.12      $ 39.04      $ 36.53     $ 31.00      $ 36.90  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total return(c)

      (24.77 )%(d)      23.14 %       22.09 %       31.03 %(b)      (6.48 )%       26.28 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 529,335     $ 733,423      $ 649,754      $ 616,922     $ 523,665      $ 604,330  

Net expenses

      1.14 %(e)      1.14 %       1.17 %       1.17 %      1.16 %       1.21 %(f) 

Gross expenses

      1.14 %(e)      1.14 %       1.17 %       1.17 %      1.16 %       1.21 % 

Net investment income (loss)

      0.13 %(e)      (0.25 )%       (0.14 )%       0.42 %(b)      0.20 %       0.16 % 

Portfolio turnover rate

      22 %      18 %       26 %       12 %      23 %       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%.

 

See accompanying notes to financial statements.

 

47  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class C  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		      Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 21.82     $ 21.89      $ 22.65      $ 20.42     $ 25.73      $ 21.54  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment loss(a)

      (0.06 )      (0.24 )       (0.19 )       (0.07 )(b)      (0.14 )       (0.14 ) 

Net realized and unrealized gain (loss)

      (5.08 )      4.97        4.53        6.10       (1.75 )       5.58  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (5.14 )      4.73        4.34        6.03       (1.89 )       5.44  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (1.58 )      (4.80 )       (5.10 )       (3.79 )      (3.42 )       (1.25 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total Distributions

      (1.58 )      (4.80 )       (5.10 )       (3.80 )      (3.42 )       (1.25 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 15.10     $ 21.82      $ 21.89      $ 22.65     $ 20.42      $ 25.73  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total return(d)

      (25.04 )%(e)      22.27 %       21.15 %       30.06 %(b)      (7.18 )%       25.35 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 36,164     $ 57,492      $ 63,126      $ 77,924     $ 78,783      $ 112,615  

Net expenses

      1.89 %(f)      1.89 %       1.92 %       1.92 %      1.91 %       1.96 %(g) 

Gross expenses

      1.89 %(f)      1.89 %       1.92 %       1.92 %      1.91 %       1.96 % 

Net investment loss

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

Portfolio turnover rate

      22 %      18 %       26 %       12 %      23 %       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%.

 

See accompanying notes to financial statements.

 

|  48

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class N  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		      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

    $ 54.14     $ 47.84      $ 43.61      $ 36.37     $ 42.63      $ 37.62  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.11       0.03        0.13        0.19 (b)      0.25        0.12  

Net realized and unrealized gain (loss)

      (13.13 )      11.07        9.20        11.14       (2.91 )       6.20  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (13.02 )      11.10        9.33        11.33       (2.66 )       6.32  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       —        —        (0.30 )      (0.18 )       (0.16 ) 

Net realized capital gains

      (1.58 )      (4.80 )       (5.10 )       (3.79 )      (3.42 )       (1.15 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total Distributions

      (1.58 )      (4.80 )       (5.10 )       (4.09 )      (3.60 )       (1.31 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 39.54     $ 54.14      $ 47.84      $ 43.61     $ 36.37      $ 42.63  
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total return(c)

      (24.64 )%(d)      23.53 %       22.48 %       31.44 %(b)      (6.11 )%       16.78 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 162     $ 177      $ 172      $ 654     $ 1      $ 1  

Net expenses(e)

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

Gross expenses

      1.90 %(f)      1.38 %       1.13 %       1.42 %      13.35 %       13.41 %(f) 

Net investment income

      0.46 %(f)      0.06 %       0.31 %       0.44 %(b)      0.56 %       0.44 %(f) 

Portfolio turnover rate

      22 %      18 %       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.

 

49  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities Fund—Class Y  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 53.99     $ 47.74     $ 43.56      $ 36.33     $ 42.61      $ 34.77  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.09       0.00 (b)      0.05        0.29 (c)      0.20        0.16  

Net realized and unrealized gain (loss)

      (13.09 )      11.05       9.23        10.99       (2.92 )       9.07  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (13.00 )      11.05       9.28        11.28       (2.72 )       9.23  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (1.58 )      (4.80 )      (5.10 )       (3.79 )      (3.42 )       (1.25 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total Distributions

      (1.58 )      (4.80 )      (5.10 )       (4.05 )      (3.56 )       (1.39 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 39.41     $ 53.99     $ 47.74      $ 43.56     $ 36.33      $ 42.61  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total return

      (24.67 )%(d)      23.48 %      22.36 %       31.36 %(c)(e)      (6.24 )%       26.60 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 229,334     $ 284,738     $ 243,302      $ 283,864     $ 296,255      $ 285,008  

Net expenses

      0.89 %(f)      0.89 %      0.92 %       0.91 %(g)      0.91 %       0.95 %(h) 

Gross expenses

      0.89 %(f)      0.89 %      0.92 %       0.92 %      0.91 %       0.95 % 

Net investment income

      0.39 %(f)      0.00 %(i)      0.13 %       0.69 %(c)      0.45 %       0.40 % 

Portfolio turnover rate

      22 %      18 %      26 %       12 %      23 %       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)

Amount rounds to less than 0.01%.

 

See accompanying notes to financial statements.

 

|  50

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class A  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 22.70     $ 21.79     $ 22.42     $ 17.37     $ 22.65      $ 20.55  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.07       0.05       0.07       0.03       0.09        0.17 (b) 

Net realized and unrealized gain (loss)

      (3.30 )(c)      4.52       1.96       5.21       (3.71 )       2.48  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (3.23 )      4.57       2.03       5.24       (3.62 )       2.65  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.04 )      (0.04 )      (0.02 )      (0.15 )       (0.18 ) 

Net realized capital gains

      (0.51 )      (3.62 )      (2.62 )      (0.17 )      (1.51 )       (0.37 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.51 )      (3.66 )      (2.66 )      (0.19 )      (1.66 )       (0.55 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 18.96     $ 22.70     $ 21.79     $ 22.42     $ 17.37      $ 22.65  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(d)

      (14.47 )%(e)(f)      21.32 %(e)      10.46 %(e)      30.21 %(e)      (16.10 )%       12.93 %(b) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 32,690     $ 37,849     $ 30,567     $ 33,434     $ 43,769      $ 67,186  

Net expenses

      1.15 %(g)(h)      1.17 %(g)(i)      1.20 %(g)      1.25 %(g)(j)(k)      1.24 %       1.22 % 

Gross expenses

      1.19 %(h)      1.23 %      1.29 %      1.28 %(j)      1.24 %       1.22 % 

Net investment income

      0.66 %(h)      0.22 %      0.35 %      0.16 %      0.42 %       0.77 %(b) 

Portfolio turnover rate

      23 %      71 %      52 %      52 %      44 %       42 % 

 

(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)

Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(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, 2021, the expense limit decreased from 1.20% to 1.15%.

(j)

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%.

(k)

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

 

See accompanying notes to financial statements.

 

51  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class C  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 20.58     $ 20.15     $ 21.06     $ 16.43     $ 21.50      $ 19.51  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

      (0.01 )      (0.13 )      (0.08 )      (0.10 )      (0.08 )       0.00 (b)(c) 

Net realized and unrealized gain (loss)

      (2.98 )(d)      4.18       1.79       4.90       (3.48 )       2.36  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.99 )      4.05       1.71       4.80       (3.56 )       2.36  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (0.51 )      (3.62 )      (2.62 )      (0.17 )      (1.51 )       (0.37 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.51 )      (3.62 )      (2.62 )      (0.17 )      (1.51 )       (0.37 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 17.08     $ 20.58     $ 20.15     $ 21.06     $ 16.43      $ 21.50  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(e)

      (14.80 )%(f)(g)      20.44 %(f)      9.60 %(f)      29.25 %(f)      (16.71 )%       12.11 %(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 8,425     $ 11,436     $ 14,023     $ 21,932     $ 23,967      $ 47,559  

Net expenses

      1.90 %(h)(i)      1.93 %(h)(j)      1.95 %(h)      1.99 %(h)(k)(l)      1.98 %       1.97 % 

Gross expenses

      1.94 %(i)      1.98 %      2.04 %      2.02 %(k)      1.98 %       1.97 % 

Net investment income (loss)

      (0.12 )%(i)      (0.56 )%      (0.42 )%      (0.50 )%      (0.36 )%       0.00 %(c)(m) 

Portfolio turnover rate

      23 %      71 %      52 %      52 %      44 %       42 % 

 

(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)

Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(e)

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

(f)

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

(g)

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, 2021, the expense limit decreased from 1.95% to 1.90%.

(k)

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%.

(l)

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

(m)

Amount rounds to less than 0.01%.

 

See accompanying notes to financial statements.

 

|  52

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class N  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 23.05     $ 22.07     $ 22.66     $ 17.54     $ 22.87      $ 20.75  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.10       0.14       0.13       0.11       0.17        0.25 (b) 

Net realized and unrealized gain (loss)

      (3.36 )(c)      4.58       2.00       5.27       (3.75 )       2.51  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (3.26 )      4.72       2.13       5.38       (3.58 )       2.76  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.12 )      (0.10 )      (0.09 )      (0.24 )       (0.27 ) 

Net realized capital gains

      (0.51 )      (3.62 )      (2.62 )      (0.17 )      (1.51 )       (0.37 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.51 )      (3.74 )      (2.72 )      (0.26 )      (1.75 )       (0.64 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 19.28     $ 23.05     $ 22.07     $ 22.66     $ 17.54      $ 22.87  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return

      (14.38 )%(d)      21.70 %(e)      10.83 %(e)      30.67 %(e)      (15.78 )%       13.31 %(b) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 73,157     $ 91,416     $ 17,965     $ 18,262     $ 70,902      $ 134,205  

Net expenses

      0.85 %(f)      0.86 %(g)(h)      0.90 %(g)      0.92 %(g)(i)(j)      0.88 %       0.88 % 

Gross expenses

      0.85 %(f)      0.89 %      0.94 %      0.93 %(i)      0.88 %       0.88 % 

Net investment income

      0.95 %(f)      0.55 %      0.65 %      0.51 %      0.76 %       1.16 %(b) 

Portfolio turnover rate

      23 %      71 %      52 %      52 %      44 %       42 % 

 

(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)

Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

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

(h)

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

(i)

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%.

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

 

See accompanying notes to financial statements.

 

53  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Mid Cap Fund—Class Y  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		      Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 23.09     $ 22.10     $ 22.69     $ 17.57     $ 22.89      $ 20.77  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.09       0.11       0.12       0.10       0.15        0.23 (b) 

Net realized and unrealized gain (loss)

      (3.36 )(c)      4.60       2.00       5.26       (3.75 )       2.51  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (3.27 )      4.71       2.12       5.36       (3.60 )       2.74  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.10 )      (0.09 )      (0.07 )      (0.21 )       (0.25 ) 

Net realized capital gains

      (0.51 )      (3.62 )      (2.62 )      (0.17 )      (1.51 )       (0.37 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.51 )      (3.72 )      (2.71 )      (0.24 )      (1.72 )       (0.62 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 19.31     $ 23.09     $ 22.10     $ 22.69     $ 17.57      $ 22.89  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return

      (14.40 )%(d)(e)      21.65 %(d)      10.76 %(d)      30.52 %(d)      (15.85 )%       13.19 %(b) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 173,730     $ 226,838     $ 227,501     $ 298,705     $ 453,085      $ 774,304  

Net expenses

      0.90 %(f)(g)      0.93 %(f)(h)      0.95 %(f)      1.00 %(f)(i)(j)      0.99 %       0.97 % 

Gross expenses

      0.94 %(g)      0.98 %      1.04 %      1.02 %(i)      0.99 %       0.97 % 

Net investment income

      0.88 %(g)      0.45 %      0.60 %      0.48 %      0.66 %       1.04 %(b) 

Portfolio turnover rate

      23 %      71 %      52 %      52 %      44 %       42 % 

 

(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)

Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(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, 2021, the expense limit decreased from 0.95% to 0.90%.

(i)

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%.

(j)

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

 

See accompanying notes to financial statements.

 

|  54

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class A  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 17.87     $ 16.69     $ 15.45     $ 12.48     $ 18.71     $ 19.79  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

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

Net realized and unrealized gain (loss)

      (2.28 )      4.98       1.33       3.06       (2.76 )      1.21  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (2.29 )      4.98       1.33       3.08       (2.75 )      1.20  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (0.37 )      (3.79 )      (0.09 )      (0.08 )      (3.48 )      (2.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      (0.37 )      (3.80 )      (0.09 )      (0.11 )      (3.48 )      (2.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 15.21     $ 17.87     $ 16.69     $ 15.45     $ 12.48     $ 18.71  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

      (13.00 )%(e)(f)      30.24 %(b)(e)      8.91 %(e)      24.66 %(e)      (14.84 )%      6.28 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 69,042     $ 81,493     $ 61,571     $ 67,525     $ 66,376     $ 93,751  

Net expenses

      1.25 %(g)(h)      1.27 %(g)(i)      1.32 %(g)(j)      1.40 %(g)(k)      1.38 %      1.36 % 

Gross expenses

      1.34 %(h)      1.43 %      1.53 %      1.47 %      1.38 %      1.36 % 

Net investment income (loss)

      (0.13 )%(h)      0.01 %(b)      0.02 %      0.12 %      0.03 %      (0.03 )% 

Portfolio turnover rate

      30 %      92 %      105 %      61 %      70 %      92 % 

 

(a)

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

(b)

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

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

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, 2021, the expense limit decreased from 1.30% to 1.25%.

(j)

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

(k)

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

 

See accompanying notes to financial statements.

 

55  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class C  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 6.94     $ 8.34     $ 7.84     $ 6.41     $ 11.67     $ 13.26  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment loss(a)

      (0.03 )      (0.06 )(b)      (0.05 )      (0.05 )      (0.09 )      (0.10 ) 

Net realized and unrealized gain (loss)

      (0.87 )      2.45       0.64       1.57       (1.69 )      0.79  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (0.90 )      2.39       0.59       1.52       (1.78 )      0.69  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (0.37 )      (3.79 )      (0.09 )      (0.08 )      (3.48 )      (2.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      (0.37 )      (3.79 )      (0.09 )      (0.09 )      (3.48 )      (2.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 5.67     $ 6.94     $ 8.34     $ 7.84     $ 6.41     $ 11.67  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

      (13.47 )%(e)(f)      29.45 %(b)(e)      8.08 %(e)      23.69 %(e)      (15.51 )%      5.50 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 838     $ 966     $ 983     $ 1,450     $ 3,480     $ 15,756  

Net expenses

      2.00 %(g)(h)      2.03 %(g)(i)      2.07 %(g)(j)      2.16 %(g)(k)      2.12 %      2.11 % 

Gross expenses

      2.09 %(h)      2.19 %      2.28 %      2.23 %      2.12 %      2.11 % 

Net investment loss

      (0.88 )%(h)      (0.67 )%(b)      (0.71 )%      (0.68 )%      (0.83 )%      (0.79 )% 

Portfolio turnover rate

      30 %      92 %      105 %      61 %      70 %      92 % 

 

(a)

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

(b)

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

(c)

Amount rounds to less than $0.01 per share.

(d)

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

(e)

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

(f)

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, 2021, the expense limit decreased from 2.05% to 2.00%.

(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.

 

|  56

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class N  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended
December 31,
2021		     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

    $ 18.96     $ 17.52     $ 16.20     $ 13.08     $ 19.37      $ 19.55  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.01       0.01 (b)      0.04       0.08       0.08        0.07  

Net realized and unrealized gain (loss)

      (2.42 )      5.29       1.42       3.20       (2.86 )       1.35  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.41 )      5.30       1.46       3.28       (2.78 )       1.42  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      —       (0.07 )      (0.05 )      (0.08 )      (0.03 )       (0.02 ) 

Net realized capital gains

      (0.37 )      (3.79 )      (0.09 )      (0.08 )      (3.48 )       (1.58 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.37 )      (3.86 )      (0.14 )      (0.16 )      (3.51 )       (1.60 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 16.18     $ 18.96     $ 17.52     $ 16.20     $ 13.08      $ 19.37  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return(c)

      (12.89 )%(d)      30.64 %(b)      9.27 %      25.08 %      (14.48 )%       7.17 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 1,207     $ 1,383     $ 23     $ 21     $ 1      $ 1  

Net expenses(e)

      0.95 %(f)      0.97 %(g)      1.02 %(h)      1.03 %(i)      0.96 %       0.96 %(f) 

Gross expenses

      1.13 %(f)      1.19 %      6.54 %      11.80 %      15.17 %       14.68 %(f) 

Net investment income

      0.17 %(f)      0.03 %(b)      0.31 %      0.52 %      0.43 %       0.56 %(f) 

Portfolio turnover rate

      30 %      92 %      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 income per share would have been $0.01, total return would have been 30.37% and the ratio of net investment income to average net assets would have been 0.03%.

(c)

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

(d)

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, 2021, the expense limit decreased from 1.00% to 0.95%.

(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.

 

57  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Vaughan Nelson Small Cap Value Fund—Class Y  
     Six Months
Ended
June 30,
2022
(Unaudited)		     Year Ended

December 31,

2021		     Year Ended

December 31,

2020		     Year Ended

December 31,

2019		     Year Ended

December 31,

2018		      Year Ended

December 31,

2017		  

Net asset value, beginning of the period

    $ 18.95     $ 17.51     $ 16.19     $ 13.08     $ 19.37      $ 20.36  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.01       0.06 (b)      0.04       0.05       0.04        0.05  

Net realized and unrealized gain (loss)

      (2.42 )      5.23       1.41       3.21       (2.84 )       1.25  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total from Investment Operations

      (2.41 )      5.29       1.45       3.26       (2.80 )       1.30  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

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

Net realized capital gains

      (0.37 )      (3.79 )      (0.09 )      (0.08 )      (3.48 )       (2.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total Distributions

      (0.37 )      (3.85 )      (0.13 )      (0.15 )      (3.49 )       (2.29 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Net asset value, end of the period

    $ 16.17     $ 18.95     $ 17.51     $ 16.19     $ 13.08      $ 19.37  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

Total return

      (12.89 )%(c)(d)      30.61 %(b)(c)      9.23 %(c)      24.88 %(c)      (14.61 )%       6.60 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 59,981     $ 66,054     $ 49,315     $ 44,482     $ 58,538      $ 176,940  

Net expenses

      1.00 %(e)(f)      1.02 %(e)(g)      1.07 %(e)(h)      1.15 %(e)(i)      1.12 %       1.11 % 

Gross expenses

      1.09 %(f)      1.18 %      1.28 %      1.23 %      1.12 %       1.11 % 

Net investment income

      0.12 %(f)      0.28 %(b)      0.26 %      0.35 %      0.22 %       0.23 % 

Portfolio turnover rate

      30 %      92 %      105 %      61 %      70 %       92 % 

 

 

(a)

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

(b)

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

(c)

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

(d)

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, 2021, the expense limit decreased from 1.05% to 1.00%.

(h)

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

(i)

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

 

See accompanying notes to financial statements.

 

|  58

Notes to Financial Statements

 

June 30, 2022 (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, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available,

 

59  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, securities held by the Funds were fair valued as follows:

 

Fund

   

Equity securities1

     

Percentage of
Net Assets

  

International Growth Fund

    $ 13,939,677        65.8 % 

Natixis Oakmark International Fund

      349,037,004        89.3 % 

 

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, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Dividends reinvested and stock dividends are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded 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.

 

|  60

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Forward Foreign Currency Contracts.  A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

e.  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, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next 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.

Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries (EU reclaims) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as a reduction of foreign taxes withheld in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service (IRS), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as deferred Trustees’ fees, distributions in excess of income and/or

 

61  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

capital gain, forward foreign currency contract mark-to-market, 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 deferral of EU reclaims. 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, forward foreign currency contract mark-to-market, return of capital distributions received, net operating losses, deferral of EU reclaims, 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, 2021 was as follows:

 

     

2021 Distributions

  

Fund

   

Ordinary
Income

     

Long-Term
Capital
Gains

     

Total

  

International Growth Fund

    $ 410,212      $ —      $ 410,212  

Natixis Oakmark Fund

      1,954,068        22,797,197        24,751,265  

Natixis Oakmark International Fund

      8,301,657        —        8,301,657  

U.S. Equity Opportunities Fund

      7,131,636        105,015,654        112,147,290  

Mid Cap Fund

      11,228,135        41,214,262        52,442,397  

Small Cap Value Fund

      20,173,469        6,185,028        26,358,497  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2021, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals 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

    $ —      $   —      $ (88,513,660 )     $   —      $ —      $   —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Late-year ordinary and post-October capital loss deferrals*

    $ (462,102 )     $ —      $ (37,409 )     $ —      $ (747,693 )     $ —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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. Loomis Sayles International Growth Fund, Natixis Oakmark International Fund and Mid Cap Fund are deferring capital and foreign currency losses.

As of June 30, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

International
Growth Fund

    

Natixis
Oakmark
Fund

    

Natixis
Oakmark
International
Fund

    

U.S. Equity
Opportunities
Fund

    

Mid Cap
Fund

    

Small Cap
Value Fund

  

Federal tax cost

   $ 27,689,948     $ 418,243,759     $ 459,680,675     $ 711,279,436     $ 287,632,295     $ 129,663,463  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Gross tax appreciation

   $ 363,254     $ 26,922,218     $ 18,961,094     $ 168,485,511     $ 26,471,544     $ 12,296,049  

Gross tax depreciation

     (6,907,897 )      (47,157,635 )      (92,111,499 )      (84,414,083 )      (25,646,227 )      (11,013,235 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net tax appreciation (depreciation)

   $ (6,544,643 )    $ (20,235,417 )    $ (73,150,405 )    $ 84,071,428     $ 825,317     $ 1,282,814  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

|  62

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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.

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, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  Securities Lending.  Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2022, 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.

 

63  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2022, at value:

International Growth Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —      $ 953,283      $   —      $ 953,283  

Belgium

      —        476,644        —        476,644  

China

      3,537,806        2,594,231        —        6,132,037  

Denmark

      —        1,009,211        —        1,009,211  

France

      —        989,306        —        989,306  

Germany

      —        556,747        —        556,747  

Japan

      —        1,034,312        —        1,034,312  

Macau

      —        245,613        —        245,613  

Netherlands

      —        818,256        —        818,256  

Switzerland

      462,764        1,189,471        —        1,652,235  

United Kingdom

      —        2,085,098        —        2,085,098  

United States

      758,874        1,987,505        —        2,746,379  

All Other Common Stocks(a)

      1,950,556        —        —        1,950,556  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      6,710,000        13,939,677        —        20,649,677  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

      —        495,628        —        495,628  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 6,710,000      $ 14,435,305      $ —      $ 21,145,305  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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)

    $ 389,234,193      $ —      $   —      $ 389,234,193  

Short-Term Investments

      —        8,774,149        —        8,774,149  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 389,234,193      $ 8,774,149      $ —      $ 398,008,342  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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, 2022 (Unaudited)

 

Natixis Oakmark International Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —      $ 6,140,816      $   —      $ 6,140,816  

Belgium

      —        6,871,507        —        6,871,507  

China

      4,591,887        26,210,867        —        30,802,754  

Finland

      —        2,456,130        —        2,456,130  

France

      —        53,328,848        —        53,328,848  

Germany

      —        98,503,319        —        98,503,319  

Hong Kong

      —        6,269,373        —        6,269,373  

India

      —        3,630,249        —        3,630,249  

Italy

      —        12,131,925        —        12,131,925  

Japan

      —        5,621,335        —        5,621,335  

Korea

      —        5,026,892        —        5,026,892  

Netherlands

      —        12,655,081        —        12,655,081  

Spain

      —        4,940,363        —        4,940,363  

Sweden

      —        17,610,664        —        17,610,664  

Switzerland

      —        38,378,956        —        38,378,956  

United Kingdom

      5,231,599        44,159,884        —        49,391,483  

All Other Common Stocks(a)

      17,984,867        —        —        17,984,867  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      27,808,353        343,936,209        —        371,744,562  
  

 

 

     

 

 

     

 

 

     

 

 

  

Preferred Stocks(a)

      —        5,100,795        —        5,100,795  

Short-Term Investments

      —        9,684,913        —        9,684,913  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 27,808,353      $ 358,721,917      $ —      $ 386,530,270  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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)

    $ 768,650,051      $ —      $   —      $ 768,650,051  

Short-Term Investments

      —        26,700,813        —        26,700,813  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 768,650,051      $ 26,700,813      $ —      $ 795,350,864  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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)

    $ 265,687,465      $ —      $   —      $ 265,687,465  

Short-Term Investments

      —        22,770,147        —        22,770,147  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 265,687,465      $ 22,770,147      $ —      $ 288,457,612  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

 

65  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Small Cap Value Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 122,285,606      $ —      $ —      $ 122,285,606  

Short-Term Investments

      —        8,660,671        —        8,660,671  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 122,285,606      $ 8,660,671      $   —      $ 130,946,277  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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, 2022, Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Forward foreign
currency

contracts

  

Foreign exchange contracts

    $ 473,946  

Net Change in Unrealized

Appreciation (Depreciation) on:

   

Forward foreign
currency

contracts

  

Foreign exchange contracts

    $ 94,327  

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2022:

 

Natixis Oakmark International Fund

   

Forwards

  

Average Notional Amount Outstanding

      1.49 % 

Highest Notional Amount Outstanding

      2.03 % 

Lowest Notional Amount Outstanding

      0.00 % 

Notional Amount Outstanding as of June 30, 2022

      0.00 % 

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2022, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   

Purchases

     

Sales

  

International Growth Fund

    $ 4,783,125      $ 1,523,329  

Natixis Oakmark Fund

      257,872,080        114,315,527  

Natixis Oakmark International Fund

      88,099,159        133,135,132  

U.S. Equity Opportunities Fund

      205,950,314        210,073,390  

Mid Cap Fund

      72,060,273        115,210,106  

Small Cap Value Fund

      41,200,382        47,294,217  

 

|  66

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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.

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

      0.75 %       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 % 

Effective July 1, 2022, U.S. Equity Opportunities Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

 

Natixis Oakmark Fund

    Harris Associates L.P. (“Harris”)

Natixis Oakmark International Fund

    Harris

U.S. Equity Opportunities Fund

   

Harris

Loomis Sayles

Mid Cap Fund

    Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)

Small Cap Value Fund

    Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

           Percentage of Average Daily Net Assets  

Fund

   

Subadviser

   

First

$150 million

    

Next

$50 million

    

Next

$800 million

    

Next

$500 million

    

Over

$1.5 billion

  

Natixis Oakmark Fund

    Harris      0.52 %      0.52 %      0.50 %      0.50 %      0.50 % 

Natixis Oakmark International Fund

    Harris      0.60 %      0.50 %      0.50 %      0.45 %      0.45 % 

U.S. Equity Opportunities Fund

              

Large Cap Value Segment

    Harris      0.52 %      0.52 %      0.52 %      0.52 %      0.52 % 

All Cap Growth Segment

    Loomis Sayles      0.35 %      0.35 %      0.35 %      0.35 %      0.35 % 

Mid Cap Fund

    Vaughan Nelson      0.47 %      0.47 %      0.47 %      0.47 %      0.44 % 

Small Cap Value Fund

    Vaughan Nelson      0.52 %      0.52 %      0.52 %      0.52 %      0.52 % 

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Loomis Sayles and Natixis Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, 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.

 

67  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

For the six months ended June 30, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

      Expense Limit as a Percentage of Average
Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

International Growth Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Natixis Oakmark Fund

      1.05 %      1.80 %      0.75 %      0.80 % 

Natixis Oakmark International Fund

      1.15 %      1.90 %      0.85 %      0.90 % 

U.S. Equity Opportunities Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Mid Cap Fund

      1.15 %      1.90 %      0.85 %      0.90 % 

Small Cap Value Fund

      1.25 %      2.00 %      0.95 %      1.00 % 

Effective July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for U.S. Equity Opportunities Fund are as follows:

 

      Expense Limit as a Percentage of Average
Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

U.S. Equity Opportunities Fund

      1.15 %      1.90 %      0.85 %      0.90 % 

This new undertaking is in effect until April 30, 2024, 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.

For the six months ended June 30, 2022, the management fees and waiver of management fees for each Fund were as follows:

 

Fund

    Gross
Management Fees		      Contractual
Waivers of
Management Fees1		      Net
Management Fees		      Percentage
of Average
Daily Net Assets		  
   Gross      Net  

International Growth Fund

    $ 82,245      $ 71,730      $ 10,515        0.75 %       0.10 % 

Natixis Oakmark Fund

      1,558,312        78,556        1,479,756        0.67 %       0.64 % 

Natixis Oakmark International Fund

      1,816,250        498,099        1,318,151        0.78 %       0.57 % 

U.S. Equity Opportunities Fund

      3,569,168        —        3,569,168        0.75 %       0.75 % 

Mid Cap Fund

      1,214,547        49,737        1,164,810        0.75 %       0.72 % 

Small Cap Value Fund

      612,499        64,521        547,978        0.85 %       0.76 % 

 

1 

Management fee waivers are subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the six months ended June 30, 2022 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

 

|  68

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, the service and distribution fees for each Fund were as follows:

 

      Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Class C

  

International Growth Fund

    $ 137      $ 22      $ 65  

Natixis Oakmark Fund

      266,237        73,323        219,969  

Natixis Oakmark International Fund

      174,366        71,997        215,993  

U.S. Equity Opportunities Fund

      802,552        59,867        179,601  

Mid Cap Fund

      44,509        12,246        36,739  

Small Cap Value Fund

      93,934        1,135        3,403  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2022, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

International Growth Fund

    $ 4,852  

Natixis Oakmark Fund

      102,769  

Natixis Oakmark International Fund

      102,604  

U.S. Equity Opportunities Fund

      210,352  

Mid Cap Fund

      71,615  

Small Cap Value Fund

      31,883  

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, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

International Growth Fund

    $ 62  

Natixis Oakmark Fund

      127,274  

Natixis Oakmark International Fund

      382,206  

U.S. Equity Opportunities Fund

      137,154  

Mid Cap Fund

      98,362  

Small Cap Value Fund

      42,392  

 

69  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

As of June 30, 2022, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

International Growth Fund

    $ 10  

Natixis Oakmark Fund

      2,177  

Natixis Oakmark International Fund

      6,220  

U.S. Equity Opportunities Fund

      2,622  

Mid Cap Fund

      1,854  

Small Cap Value Fund

      761  

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, 2022 was as follows:

 

Fund

   

Commissions

  

Natixis Oakmark Fund

    $ 44,887  

Natixis Oakmark International Fund

      11,221  

U.S. Equity Opportunities Fund

      12,366  

Mid Cap Fund

      492  

Small Cap Value Fund

      641  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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.

For the six months ended June 30, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:

 

Fund

   

Amount

  

Natixis Oakmark Fund

    $ (93,831 ) 

Natixis Oakmark International Fund

      (15,238 ) 

U.S. Equity Opportunities Fund

      (71,292 ) 

Mid Cap Fund

      (25,832 ) 

Small Cap Value Fund

      (31,160 ) 

 

|  70

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, Natixis and affiliates held shares of International Growth Fund representing 98% of the Fund’s net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2022, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

 

     

Reimbursement of
Transfer Agency
Expenses

  

Fund

   

Class N

  

International Growth Fund

    $ 913  

Natixis Oakmark Fund

      899  

Natixis Oakmark International Fund

      901  

U.S. Equity Opportunities Fund

      883  

Mid Cap Fund

      951  

Small Cap Value Fund

      900  

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the six months ended June 30, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     

Transfer Agent Fees and Expenses

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

  

International Growth Fund

    $ 159      $ 26      $ 913      $ 2,765  

Natixis Oakmark Fund

      89,050        24,574        899        81,923  

Natixis Oakmark International Fund

      120,918        50,278        901        230,258  

U.S. Equity Opportunities Fund

      189,922        14,130        883        77,664  

Mid Cap Fund

      16,071        4,421        951        88,891  

Small Cap Value Fund

      38,321        461        900        34,037  

8.  Class Action Settlements.  During the six months ended June 30, 2022, Mid Cap Fund received a payment of $238,726 as part of a class action settlement related to a security previously held in the Fund’s portfolio of investments. The payment has been included in “Class Action Settlements” on the Statements of Operations.

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 certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2022, none of the Funds had borrowings under this agreement.

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.

 

71  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

The International Growth Fund may invest to a significant extent in variable interest entity (“VIE”) structures. VIE structures can vary, but generally consist of a U.S.-listed company with contractual arrangements, through one or more wholly-owned special purpose vehicles, with a Chinese company that ultimately provides the U.S.-listed company with contractual rights to obtain economic benefits from the Chinese company. The VIE structure enables foreign investors, such as the Fund, to obtain investment exposure similar to that of an equity owner in a Chinese company in situations in which the Chinese government has restricted or prohibited the ownership of such company by foreign investors. The Fund’s exposure to VIE structures may pose additional risks because the VIE structure is not formally recognized under Chinese law. The Chinese government may cease to tolerate VIE structures at any time or impose new restrictions. In addition, Chinese companies using the VIE structure, and listed on stock exchanges in the U.S., could also face delisting or other ramifications for failure to meet the expectations and/or requirements of the U.S. Securities and Exchange Commission, the Public Company Accounting Oversight Board, or other U.S. regulators. Any of these risks could reduce the liquidity and value of these investments or render them valueless.

International Growth Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

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.

Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region and around the world are impossible to predict, but could be significant and have a severe adverse effect on the region and around the world, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

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, 2022, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

     

Number of 5%
Account Holders

     

Percentage of
Ownership

  

Fund

              

Natixis Oakmark Fund

      1        5.85 % 

Natixis Oakmark International Fund

      1        26.48 % 

U.S. Equity Opportunities Fund

      1        6.83 % 

Mid Cap Fund

      1        24.65 % 

Small Cap Value Fund

      1        7.43 % 

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, 2022

     

Year Ended

December 31, 2021

  

International Growth Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      3,439      $ 27,999        11,486      $ 119,493  

Issued in connection with the reinvestment of distributions

      —        —        178        1,712  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      3,439      $ 27,999        11,664      $ 121,205  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  72

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

12.  Capital Shares (continued).

 

    

Six Months Ended

June 30, 2022

     

Year Ended

December 31, 2021

  

International Growth Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class C

 

Issued from the sale of shares

      —      $ —        5,141      $ 52,756  

Issued in connection with the reinvestment of distributions

      —        —        56        540  

Redeemed

      (3,928 )       (33,853 )       (1,268 )       (12,908 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (3,928 )     $ (33,853 )       3,929      $ 40,388  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      —      $ —        940,733      $ 10,000,000  

Issued in connection with the reinvestment of distributions

      —        —        517        5,372  

Redeemed

      —        —        (46,992 )       (500,000 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      —      $ —        894,258      $ 9,505,372  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      369,884      $ 3,151,576        24,598      $ 256,782  

Issued in connection with the reinvestment of distributions

      —        —        388        3,739  

Redeemed

      (2,737 )       (19,622 )       (2,953 )       (29,891 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      367,147      $ 3,131,954        22,033      $ 230,630  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      366,658      $ 3,126,100        931,884      $ 9,897,595  
  

 

 

     

 

 

     

 

 

     

 

 

  
    

Six Months Ended

June 30, 2022

     

Year Ended

December 31, 2021

  

Natixis Oakmark Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      671,204      $ 18,451,114        691,558      $ 20,206,685  

Issued in connection with the reinvestment of distributions

      93,063        2,562,005        463,894        13,477,187  

Redeemed

      (354,549 )       (9,529,571 )       (855,457 )       (24,491,426 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      409,718      $ 11,483,548        299,995      $ 9,192,446  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      837,911      $ 19,505,341        546,929      $ 13,338,620  

Issued in connection with the reinvestment of distributions

      41,394        917,292        147,029        3,458,822  

Redeemed

      (271,279 )       (5,846,640 )       (439,521 )       (10,138,945 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      608,026      $ 14,575,993        254,437      $ 6,658,497  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      —      $ —        20,230      $ 668,794  

Issued in connection with the reinvestment of distributions

      266        7,860        1,354        42,243  

Redeemed

      (2,888 )       (81,793 )       (14,413 )       (395,951 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (2,622 )     $ (73,933 )       7,171      $ 315,086  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      5,521,761      $ 169,041,222        2,239,599      $ 69,629,845  

Issued in connection with the reinvestment of distributions

      82,881        2,442,504        194,941        6,059,178  

Redeemed

      (1,641,417 )       (46,515,973 )       (767,848 )       (22,108,885 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      3,963,225      $ 124,967,753        1,666,692      $ 53,580,138  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      4,978,347      $ 150,953,361        2,228,295      $ 69,746,167  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

73  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

12.  Capital Shares (continued).

 

    

Six Months Ended

June 30, 2022

     

Year Ended

December 31, 2021

  

Natixis Oakmark International Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      956,520      $ 13,457,109        2,335,450      $ 36,472,444  

Issued in connection with the reinvestment of distributions

      —        —        105,442        1,593,676  

Redeemed

      (1,135,057 )       (15,555,728 )       (1,647,832 )       (25,699,049 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (178,537 )     $ (2,098,619 )       793,060      $ 12,367,071  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      63,166      $ 876,433        335,969      $ 5,138,230  

Issued in connection with the reinvestment of distributions

      —        —        25,276        376,368  

Redeemed

      (890,781 )       (12,139,584 )       (2,680,195 )       (40,587,344 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (827,615 )     $ (11,263,151 )       (2,318,950 )     $ (35,072,746 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      130,830      $ 1,841,030        27,769      $ 415,638  

Issued in connection with the reinvestment of distributions

      —        —        837        12,581  

Redeemed

      (18,374 )       (235,062 )       (2,541 )       (37,341 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      112,456      $ 1,605,968        26,065      $ 390,878  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      6,307,757      $ 88,072,235        5,468,533      $ 86,311,348  

Issued in connection with the reinvestment of distributions

      —        —        353,698        5,316,490  

Redeemed

      (8,863,932 )       (123,662,679 )       (4,621,536 )       (71,233,588 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (2,556,175 )     $ (35,590,444 )       1,200,695      $ 20,394,250  
  

 

 

     

 

 

     

 

 

     

 

 

  

Decrease from capital share transactions

      (3,449,871 )     $ (47,346,246 )       (299,130 )     $ (1,920,547 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
    

Six Months Ended

June 30, 2022

     

Year Ended

December 31, 2021

  

U.S. Equity Opportunities Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      251,285      $ 9,733,203        706,028      $ 30,893,730  

Issued in connection with the reinvestment of distributions

      609,502        23,904,684        1,609,947        68,881,940  

Redeemed

      (893,744 )       (33,480,035 )       (1,953,593 )       (84,776,070 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (32,957 )     $ 157,852        362,382      $ 14,999,600  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      101,681      $ 1,965,407        226,043      $ 5,356,200  

Issued in connection with the reinvestment of distributions

      189,235        3,599,203        475,273        10,545,794  

Redeemed

      (530,488 )       (9,715,198 )       (949,764 )       (22,561,088 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (239,572 )     $ (4,150,588 )       (248,448 )     $ (6,659,094 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      721      $ 30,208        —      $ —  

Issued in connection with the reinvestment of distributions

      104        5,180        293        15,616  

Redeemed

      —        —        (620 )       (35,725 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      825      $ 35,388        (327 )     $ (20,109 ) 
  

 

 

     

 

 

     

 

 

     
Class Y

 

Issued from the sale of shares

      1,233,638      $ 56,817,956        1,490,330      $ 81,108,161  

Issued in connection with the reinvestment of distributions

      152,703        7,564,885        370,262        19,743,173  

Redeemed

      (840,966 )       (39,467,898 )       (1,682,880 )       (89,109,967 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      545,375      $ 24,914,943        177,712      $ 11,741,367  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      273,671      $ 20,957,595        291,319      $ 20,061,764  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  74

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

12.  Capital Shares (continued).

 

    

Six Months Ended

June 30, 2022

     

Year Ended

December 31, 2021

  

Mid Cap Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      128,744      $ 2,722,984        261,646      $ 6,416,364  

Issued in connection with the reinvestment of distributions

      37,332        792,941        216,292        4,872,528  

Redeemed

      (108,725 )       (2,260,989 )       (213,572 )       (5,159,634 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      57,351      $ 1,254,936        264,366      $ 6,129,258  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      9,726      $ 180,754        16,158      $ 374,819  

Issued in connection with the reinvestment of distributions

      13,437        257,591        85,496        1,752,803  

Redeemed

      (85,464 )       (1,623,439 )       (241,770 )       (5,500,556 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (62,301 )     $ (1,185,094 )       (140,116 )     $ (3,372,934 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      126,558      $ 2,691,632        2,826,157      $ 72,192,384  

Issued in connection with the reinvestment of distributions

      89,965        1,942,339        531,924        12,118,098  

Redeemed

      (388,449 )       (8,384,460 )       (205,461 )       (5,123,004 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (171,926 )     $ (3,750,489 )       3,152,620      $ 79,187,478  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      648,814      $ 13,964,887        1,675,522      $ 41,044,197  

Issued in connection with the reinvestment of distributions

      206,663        4,470,118        1,387,574        31,819,928  

Redeemed

      (1,683,374 )       (36,465,862 )       (3,531,602 )       (86,803,876 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (827,897 )     $ (18,030,857 )       (468,506 )     $ (13,939,751 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) from capital share transactions

      (1,004,773 )     $ (21,711,504 )       2,808,364      $ 68,004,051  
  

 

 

     

 

 

     

 

 

     

 

 

  
    

Six Months Ended

June 30, 2022

     

Year Ended

December 31, 2021

  

Small Cap Value Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      190,513      $ 3,276,875        642,790      $ 12,042,869  

Issued in connection with the reinvestment of distributions

      96,328        1,617,322        782,913        13,763,408  

Redeemed

      (307,524 )       (5,223,825 )       (555,154 )       (10,594,338 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (20,683 )     $ (329,628 )       870,549      $ 15,211,939  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      21,522      $ 137,660        6,936      $ 66,135  

Issued in connection with the reinvestment of distributions

      8,400        52,754        49,731        339,165  

Redeemed

      (21,571 )       (136,763 )       (35,173 )       (333,625 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      8,351      $ 53,651        21,494      $ 71,675  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      314      $ 5,482        59,076      $ 1,134,239  

Issued in connection with the reinvestment of distributions

      1,519        27,118        12,510        233,321  

Redeemed

      (152 )       (2,674 )       (1 )       (27 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      1,681      $ 29,926        71,585      $ 1,367,533  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      1,153,819      $ 20,328,302        793,405      $ 16,230,504  

Issued in connection with the reinvestment of distributions

      79,249        1,413,017        591,535        11,020,292  

Redeemed

      (1,008,901 )       (17,564,997 )       (714,903 )       (14,531,447 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      224,167      $ 4,176,322        670,037      $ 12,719,349  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      213,516      $ 3,930,271        1,633,665      $ 29,370,496  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

75  |

LOGO

 

LOGO

 

Semiannual Report

June 30, 2022

Loomis Sayles High Income Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     13  
Financial Statements     61  
Notes to Financial Statements     83  

 

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, 20223

 

             
                                   Expense Ratios4  
   
     6 Months     1 Year     5 Years     10 Years     Life of Class N     Gross     Net  
     
Class Y                  
NAV     -16.57 %      -16.68 %      0.78 %      3.68 %      — %      0.95 %      0.76 % 
     
Class A                  
NAV     -16.63       -16.85       0.52       3.40       —       1.20       1.01  
With 4.25% Maximum Sales Charge     -20.17       -20.46       -0.34       2.95       —        
     
Class C                  
NAV     -17.11       -17.65       -0.26       2.77       —       1.95       1.76  
With CDSC1     -17.92       -18.44       -0.26       2.77       —        
     
Class N (Inception 11/30/16)                  
NAV     -16.51       -16.60       0.87       —       1.95       0.87       0.71  
   
Comparative Performance                
Bloomberg U.S. Corporate High-Yield Bond Index2     -14.19       -12.81       2.10       4.47       3.09                  

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

 

1

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

 

2

Bloomberg U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. Bloomberg U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices.

 

3

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

 

4

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

 

1  |

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, 20224

 

             
                                   Expense Ratios5  
   
     6 Months     1 Year     5 Years     10 Years     Life of Class N     Gross     Net  
     
Class Y                  
NAV     -10.08 %      -10.04 %      2.19 %      2.93 %      — %      0.54 %      0.50 % 
     
Class A                  
NAV     -10.19       -10.20       1.94       2.67       —       0.79       0.75  
With 4.25% Maximum Sales Charge     -14.02       -14.00       1.05       2.22       —        
     
Class C                  
NAV     -10.56       -10.92       1.17       2.05       —       1.54       1.50  
With CDSC1     -11.45       -11.78       1.17       2.05       —        
     
Class N (Inception 2/1/13)                  
NAV     -10.06       -9.92       2.25       —       2.43       0.47       0.45  
     
Admin Class                  
NAV     -10.25       -10.45       1.71       2.43       —       1.04       1.00  
   
Comparative Performance                
Bloomberg U.S. Government/Credit Bond Index2     -11.05       -10.85       1.05       1.67       1.64        
Bloomberg U.S. Aggregate Bond Index3     -10.35       -10.29       0.88       1.54       1.53                  

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

 

1

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

 

2

Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg U.S. Aggregate Index.

 

3

Bloomberg U.S. Aggregate Bond Index is a broad based index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

4

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

 

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2

LOOMIS SAYLES STRATEGIC ALPHA FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    LABAX

Brian P. Kennedy

   Class C    LABCX

Elaine M. Stokes

   Class N    LASNX

Todd P. Vandam, CFA®

   Class Y    LASYX

Loomis, Sayles & Company, L.P.

  

 

 

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

 

 

Average Annual Total Returns — June 30, 20223

 

             
                                    Expense Ratios4  
   
     6 Months     1 Year     5 Years     10 Years     Life of Class N     Gross     Net  
     
Class Y                
NAV     -9.39 %      -9.87 %      1.53 %      2.36 %      — %      0.72 %      0.72 % 
     
Class A                
NAV     -9.48       -10.07       1.29       2.11       —       0.97       0.97  
With 4.25% Maximum Sales Charge     -13.33       -13.91       0.41       1.66       —        
     
Class C                
NAV     -9.84       -10.72       0.52       1.51       —       1.73       1.73  
With CDSC1     -10.73       -11.60       0.52       1.51       —        
     
Class N (Inception 5/1/17)                
NAV     -9.35       -9.72       1.61       —       1.54       0.67       0.67  
   
Comparative Performance                

ICE BofA U.S. 3-Month Treasury Bill Index2

     0.14       0.17       1.11       0.64       1.10        
ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points2     1.63       3.17       3.62       4.11       3.55                  

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

 

1

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

 

2

Effective May 1, 2022, the ICE BofA U.S. 3-Month Treasury Bill Index replaced the 3-Month LIBOR as the Fund’s primary benchmark and the ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points was added as the Fund’s secondary benchmark. The ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index that is comprised of a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month. The Fund believes, given the discontinuation of LIBOR, it is appropriate and necessary to transition to new benchmarks for the Fund.

 

3

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

 

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

3  |

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
     

 

 

Investment Goal

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

 

 

Average Annual Total Returns — June 30, 20224

 

             
                                    Expense Ratios5  
   
     6 Months     1 Year     5 Years     10 Years     Life of Class N     Gross     Net  
     
Class Y                  
NAV     -13.47 %      -13.02 %      0.03 %      3.03 %      — %      0.72 %      0.70 % 
     
Class A                  
NAV     -13.63       -13.23       -0.23       2.76       —       0.97       0.95  
With 4.25% Maximum Sales Charge     -17.30       -16.95       -1.09       2.32       —        
     
Class C                  
NAV     -13.94       -13.90       -0.97       2.14       —       1.72       1.70  
With CDSC1     -14.79       -14.74       -0.97       2.14       —        
     
Class N (Inception 2/1/13)                  
NAV     -13.44       -12.97       0.11       —       2.26       0.65       0.65  
     
Admin Class                  
NAV     -13.71       -13.43       -0.45       2.52       —       1.22       1.20  
   
Comparative Performance                
Bloomberg U.S. Aggregate Bond Index2     -10.35       -10.29       0.88       1.54       1.53        
Bloomberg U.S. Universal Bond Index3     -10.93       -10.89       0.94       1.83       1.73                  

 

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

 

1

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

 

2

Bloomberg U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

3

Bloomberg U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.

 

4

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

 

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 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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

 

 

5  |

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, 2022 through June 30, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) 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
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $833.70        $4.55  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.84        $5.01  
Class C           
Actual      $1,000.00        $828.90        $7.94  
Hypothetical (5% return before expenses)      $1,000.00        $1,016.12        $8.75  
Class N           
Actual      $1,000.00        $834.90        $3.18  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.32        $3.51  
Class Y           
Actual      $1,000.00        $834.30        $3.41  
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).

 

|  6

LOOMIS SAYLES INVESTMENT GRADE BOND FUND    BEGINNING
ACCOUNT VALUE
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $898.10        $3.53  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.08        $3.76  
Class C           
Actual      $1,000.00        $894.40        $7.05  
Hypothetical (5% return before expenses)      $1,000.00        $1,017.36        $7.50  
Class N           
Actual      $1,000.00        $899.40        $2.12  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.56        $2.26  
Class Y           
Actual      $1,000.00        $899.20        $2.35  
Hypothetical (5% return before expenses)      $1,000.00        $1,022.32        $2.51  
Admin Class           
Actual      $1,000.00        $897.50        $4.70  
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).

 

LOOMIS SAYLES STRATEGIC ALPHA FUND    BEGINNING
ACCOUNT VALUE
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $905.20        $4.68  
Hypothetical (5% return before expenses)      $1,000.00        $1,019.89        $4.96  
Class C           
Actual      $1,000.00        $901.60        $8.20  
Hypothetical (5% return before expenses)      $1,000.00        $1,016.17        $8.70  
Class N           
Actual      $1,000.00        $906.50        $3.21  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.42        $3.41  
Class Y           
Actual      $1,000.00        $906.10        $3.50  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.13        $3.71  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.99%, 1.74%, 0.68% and 0.74% 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).

 

 

7  |

LOOMIS SAYLES STRATEGIC INCOME FUND    BEGINNING
ACCOUNT VALUE
1/1/2022		      ENDING
ACCOUNT VALUE
6/30/2022		      EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022		  
Class A           
Actual      $1,000.00        $863.70        $4.39  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.08        $4.76  
Class C           
Actual      $1,000.00        $860.60        $7.84  
Hypothetical (5% return before expenses)      $1,000.00        $1,016.36        $8.50  
Class N           
Actual      $1,000.00        $865.60        $2.91  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.67        $3.16  
Class Y           
Actual      $1,000.00        $865.30        $3.24  
Hypothetical (5% return before expenses)      $1,000.00        $1,021.32        $3.51  
Admin Class           
Actual      $1,000.00        $862.90        $5.54  
Hypothetical (5% return before expenses)      $1,000.00        $1,018.84        $6.01  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.63%, 0.70% and 1.20% 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

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

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

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

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

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements, such as new rules relating to the fair valuation of investments and the use of derivatives.

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

 

9  |

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

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

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

 

      One-Year      Three-Year      Five-Year  
Loomis Sayles High Income Fund      92 %       65 %       56 % 
Loomis Sayles Investment Grade Bond Fund      21 %       15 %       6 % 
Loomis Sayles Strategic Alpha Fund      59 %       40 %       49 % 
Loomis Sayles Strategic Income Fund      24 %       72 %       78 % 

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 shorter-term performance has been strong relative to its category; (3) that the Fund had outperformed its relevant performance benchmark for the one-year period ended December 31, 2021; and (4) 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 the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Strategic Alpha Fund were below the Fund’s expense limitation. They further noted that management had proposed to reduce the expense cap for Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund on all share classes, effective as of July 1, 2022.

The Trustees noted that each of Loomis Sayles Investment Grade Bond Fund, Loomis Sayles High Income 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

 

|  10

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 the Loomis Sayles Investment Grade Bond Fund; (2) the advisory fee was only two basis points higher than the median of a peer group of funds for each of the Loomis Sayles High Income Fund and Loomis Sayles Strategic Income Fund and; (3) management had proposed to reduce the expense limitation of the Loomis Sayles Investment Grade Bond Fund and 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 Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available.

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 Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. 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 Investment Grade Bond Fund and 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 Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment 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, as well as more recent market volatility, on the performance, asset levels and expense ratios of each Fund.

 

•  

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

 

•  

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees 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, 2023.

 

11  |

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2021 and ending December 31, 2021

(including updates through June 30, 2022)

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

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

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

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles 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, 2021 to December 31, 2021, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

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

Annual Program Assessment and Conclusion

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

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

 

|  12

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 90.2% of Net Assets  
  Non-Convertible Bonds — 85.4%  
   ABS Home Equity — 0.1%

 

$ 111,478      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 2.272%, 9/19/2045(a)    $ 75,341  
  100,000      VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.826%, 3/27/2051, 144A(b)      94,618  
     

 

 

  
        169,959  
     

 

 

  
   Aerospace & Defense — 2.3%

 

  100,000      Bombardier, Inc., 6.000%, 2/15/2028, 144A      74,940  
  850,000      Bombardier, Inc., 7.125%, 6/15/2026, 144A      700,808  
  95,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      91,913  
  140,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      132,619  
  263,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(c)(d)      266,432  
  60,000      Moog, Inc., 4.250%, 12/15/2027, 144A      51,989  
  615,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      454,054  
  190,000      Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A      176,462  
  235,000      TransDigm, Inc., 4.625%, 1/15/2029      189,180  
  460,000      TransDigm, Inc., 4.875%, 5/01/2029      374,458  
  100,000      TransDigm, Inc., 5.500%, 11/15/2027      84,838  
  130,000      TransDigm, Inc., 6.250%, 3/15/2026, 144A      125,288  
     

 

 

  
        2,722,981  
     

 

 

  
   Airlines — 1.3%

 

  1,810,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A      1,545,306  
     

 

 

  
   Automotive — 2.2%

 

  75,000      Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A      71,614  
  710,000      Ford Motor Co., 3.250%, 2/12/2032      531,009  
  70,000      Ford Motor Co., 4.750%, 1/15/2043      49,863  
  560,000      Ford Motor Co., 9.000%, 4/22/2025      600,533  
  820,000      Ford Motor Credit Co. LLC, 2.300%, 2/10/2025      736,278  
  275,000      Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027      245,919  
  55,000      Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029      45,548  
  300,000      Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028      225,224  
  40,000      Meritor, Inc., 4.500%, 12/15/2028, 144A      38,513  
  65,000      Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A      49,295  
  40,000      Tenneco, Inc., 7.875%, 1/15/2029, 144A      38,657  
  85,000      Wheel Pros, Inc., 6.500%, 5/15/2029, 144A      60,018  
     

 

 

  
        2,692,471  
     

 

 

  
   Banking — 1.2%

 

  410,000      Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033      298,441  
  600,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      515,967  
  800,000      UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A      646,547  
     

 

 

  
        1,460,955  
     

 

 

  
   Brokerage — 0.2%

 

  60,000      Coinbase Global, Inc., 3.625%, 10/01/2031, 144A      33,696  
  200,000      Jefferies Finance LLC/JFIN Co-Issuer Corp.,
5.000%, 8/15/2028, 144A		      164,500  
     

 

 

  
        198,196  
     

 

 

  
   Building Materials — 2.2%

 

  90,000      Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A      68,505  
   Building Materials — continued

 

$ 265,000      Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A    $ 224,574  
  1,060,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      795,000  
  285,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      244,008  
  205,000      Cornerstone Building Brands, Inc.,
6.125%, 1/15/2029, 144A		      131,701  
  50,000      CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A      36,109  
  375,000      Foundation Building Materials, Inc.,
6.000%, 3/01/2029, 144A		      274,688  
  120,000      JELD-WEN, Inc., 4.625%, 12/15/2025, 144A      102,000  
  235,000      LBM Acquisition LLC, 6.250%, 1/15/2029, 144A      151,296  
  130,000      MIWD Holdco II LLC/MIWD Finance Corp.,
5.500%, 2/01/2030, 144A		      104,619  
  250,000      Park River Holdings, Inc., 5.625%, 2/01/2029, 144A      155,802  
  125,000      Patrick Industries, Inc., 4.750%, 5/01/2029, 144A      93,029  
  105,000      Standard Industries, Inc., 4.375%, 7/15/2030, 144A      82,819  
  45,000      Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A      39,263  
  165,000      Victors Merger Corp., 6.375%, 5/15/2029, 144A      100,650  
     

 

 

  
        2,604,063  
     

 

 

  
   Cable Satellite — 9.0%

 

  410,000      Altice Financing S.A., 5.000%, 1/15/2028, 144A      330,394  
  80,000      Block Communications, Inc., 4.875%, 3/01/2028, 144A      67,600  
  550,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A      451,654  
  610,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A      471,225  
  305,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      253,235  
  75,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032      60,728  
  1,355,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A      1,158,864  
  600,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A      491,280  
  205,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028, 144A      189,153  
  60,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A      58,543  
  205,000      Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A      184,219  
  435,000      CSC Holdings LLC, 4.500%, 11/15/2031, 144A      335,450  
  2,920,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      1,952,721  
  555,000      CSC Holdings LLC, 4.625%, 12/01/2030      371,151  
  205,000      CSC Holdings LLC, 5.000%, 11/15/2031, 144A      138,178  
  250,000      CSC Holdings LLC, 5.750%, 1/15/2030      181,883  
  730,000      DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A      622,741  
  925,000      DISH DBS Corp., 5.125%, 6/01/2029      562,067  
  150,000      DISH DBS Corp., 7.375%, 7/01/2028      102,030  
  980,000      DISH DBS Corp., 7.750%, 7/01/2026      763,910  
  305,694      Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(e)      165,839  
  100,350      Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(e)      29,785  
  300,000      Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A      231,862  
  400,000      Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A      347,592  
  125,000      Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A      78,991  
  310,000      UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A      252,650  
  110,000      ViaSat, Inc., 6.500%, 7/15/2028, 144A      75,770  

 

See accompanying notes to financial statements.

 

13  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Cable Satellite — continued

 

$ 445,000      Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A    $ 397,852  
  565,000      Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A      500,025  
     

 

 

  
        10,827,392  
     

 

 

  
   Chemicals — 1.1%

 

  150,000      ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A      119,684  
  55,000      Chemours Co. (The), 5.375%, 5/15/2027      48,392  
  150,000      Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A      120,669  
  150,000      Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A      138,216  
  330,000      Hercules LLC, 6.500%, 6/30/2029      321,338  
  80,000      Methanex Corp., 5.125%, 10/15/2027      70,600  
  20,000      Methanex Corp., 5.250%, 12/15/2029      16,908  
  65,000      Olin Corp., 5.125%, 9/15/2027      59,747  
  465,000      Olympus Water U.S. Holding Corp., 4.250%, 10/01/2028, 144A      364,211  
     

 

 

  
        1,259,765  
     

 

 

  
   Construction Machinery — 0.1%

 

  125,000      Titan International, Inc., 7.000%, 4/30/2028      117,425  
     

 

 

  
   Consumer Cyclical Services — 3.2%

 

  640,000      ADT Security Corp. (The), 4.125%, 8/01/2029, 144A      519,402  
  200,000      Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.000%, 6/01/2029, 144A      145,234  
  95,000      ANGI Group LLC, 3.875%, 8/15/2028, 144A      72,333  
  35,000      Arches Buyer, Inc., 6.125%, 12/01/2028, 144A      28,546  
  45,000      Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A      35,437  
  125,000      Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A      115,872  
  440,000      Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030, 144A      325,600  
  330,000      Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A      250,246  
  240,000      Terminix Co. LLC (The), 7.450%, 8/15/2027      267,600  
  1,560,000      Uber Technologies, Inc., 4.500%, 8/15/2029, 144A      1,283,100  
  760,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      702,878  
  115,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      111,410  
  30,000      Uber Technologies, Inc., 8.000%, 11/01/2026, 144A      29,865  
     

 

 

  
        3,887,523  
     

 

 

  
   Consumer Products — 0.6%

 

  145,000      Coty, Inc., 5.000%, 4/15/2026, 144A      132,856  
  20,000      Coty, Inc., 6.500%, 4/15/2026, 144A      18,439  
  305,000      Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A      261,791  
  250,000      Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A      191,932  
  135,000      Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A      101,250  
     

 

 

  
        706,268  
     

 

 

  
   Diversified Manufacturing — 0.3%

 

  120,000      Madison IAQ LLC, 5.875%, 6/30/2029, 144A      91,958  
  120,000      Resideo Funding, Inc., 4.000%, 9/01/2029, 144A      93,652  
  200,000      TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A      178,313  
     

 

 

  
        363,923  
     

 

 

  
   Electric — 1.1%

 

  1,060,000      Calpine Corp., 5.125%, 3/15/2028, 144A      933,118  
  315,000      NRG Energy, Inc., 3.625%, 2/15/2031, 144A      246,957  
  40,000      NRG Energy, Inc., 3.875%, 2/15/2032, 144A      31,771  
  140,000      PG&E Corp., 5.000%, 7/01/2028      118,143  
  25,000      PG&E Corp., 5.250%, 7/01/2030      20,567  
     

 

 

  
        1,350,556  
     

 

 

  
   Environmental — 0.2%   
$ 315,000      GFL Environmental, Inc., 4.000%, 8/01/2028, 144A    $ 259,875  
     

 

 

  
   Finance Companies — 4.7%

 

  455,000      Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A      341,250  
  105,000      Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A      86,669  
  295,000      Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A      230,084  
  150,000      Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(f)      113,625  
  115,000      LFS Topco LLC, 5.875%, 10/15/2026, 144A      90,850  
  655,000      Navient Corp., 4.875%, 3/15/2028      511,719  
  170,000      Navient Corp., 5.000%, 3/15/2027      139,830  
  840,000      Navient Corp., 5.500%, 3/15/2029      647,565  
  95,000      Navient Corp., 6.750%, 6/25/2025      85,713  
  385,000      OneMain Finance Corp., 3.500%, 1/15/2027      308,000  
  800,000      OneMain Finance Corp., 7.125%, 3/15/2026      739,384  
  220,000      Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/01/2027, 144A      210,650  
  275,000      Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A      247,500  
  285,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A      235,527  
  25,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      19,658  
  380,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029      298,802  
  905,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      678,107  
  995,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A      706,450  
     

 

 

  
        5,691,383  
     

 

 

  
   Financial Other — 1.9%

 

  210,000      Agile Group Holdings Ltd., 6.050%, 10/13/2025      67,603  
  200,000      CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(c)(d)(g)      17,088  
  200,000      CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(g)      17,720  
  200,000      China Aoyuan Group Ltd., 6.200%, 3/24/2026(c)(d)(g)      19,052  
  200,000      China Evergrande Group, 8.750%, 6/28/2025(g)      16,456  
  200,000      Easy Tactic Ltd., 8.125%, 2/27/2023      44,466  
  220,000      Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(c)(d)(g)      18,612  
  85,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029      68,694  
  1,535,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      1,359,764  
  200,000      Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(g)      27,500  
  200,000      Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(g)      27,082  
  400,000      Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(g)      54,496  
  335,000      Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A      256,510  
  120,000      Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A      104,093  
  200,000      Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c)(d)      22,064  
  200,000      Sunac China Holdings Ltd., 6.500%, 1/26/2026(g)      29,486  
  200,000      Sunac China Holdings Ltd., 6.650%, 8/03/2024(g)      30,394  
  200,000      Times China Holdings Ltd., 6.200%, 3/22/2026(c)(d)      28,970  
  400,000      Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c)(d)(g)      26,000  
  400,000      Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c)(d)(g)      26,804  
  200,000      Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c)(d)(g)      13,428  
     

 

 

  
        2,276,282  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  14

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Food & Beverage — 1.8%

 

$ 65,000      Aramark Services, Inc., 5.000%, 2/01/2028, 144A    $ 58,904  
  165,000      Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A      143,962  
  40,000      Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A      39,866  
  305,000      MARB BondCo. PLC, 3.950%, 1/29/2031, 144A      234,170  
  140,000      Performance Food Group, Inc., 4.250%, 8/01/2029, 144A      116,900  
  230,000      Performance Food Group, Inc., 5.500%, 10/15/2027, 144A      212,921  
  370,000      Post Holdings, Inc., 4.500%, 9/15/2031, 144A      302,604  
  645,000      Post Holdings, Inc., 4.625%, 4/15/2030, 144A      544,232  
  125,000      Post Holdings, Inc., 5.750%, 3/01/2027, 144A      121,094  
  105,000      Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A      88,767  
  120,000      TreeHouse Foods, Inc., 4.000%, 9/01/2028      97,769  
  205,000      US Foods, Inc., 4.750%, 2/15/2029, 144A      179,209  
     

 

 

  
        2,140,398  
     

 

 

  
   Gaming — 3.5%

 

  520,000      Boyd Gaming Corp., 4.750%, 12/01/2027      470,600  
  165,000      Boyd Gaming Corp., 4.750%, 6/15/2031, 144A      139,428  
  220,000      Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A      212,021  
  400,000      Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A      240,214  
  200,000      MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A      141,320  
  225,000      MGM Resorts International, 5.500%, 4/15/2027      201,941  
  60,000      Mohegan Gaming & Entertainment, 8.000%, 2/01/2026, 144A      51,000  
  200,000      Sands China Ltd., 3.100%, 3/08/2029, 144A      141,500  
  605,000      Sands China Ltd., 4.875%, 6/18/2030      442,074  
  575,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      539,597  
  415,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      389,191  
  200,000      Studio City Finance Ltd., 5.000%, 1/15/2029, 144A      100,598  
  230,000      Studio City Finance Ltd., 6.500%, 1/15/2028, 144A      129,017  
  135,000      VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A      123,297  
  140,000      VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A      128,800  
  205,000      VICI Properties LP/VICI Note Co., Inc., 4.500%, 1/15/2028, 144A      186,815  
  125,000      VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A      118,906  
  105,000      VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A      103,688  
  450,000      Wynn Macau Ltd., 5.125%, 12/15/2029, 144A      278,793  
  165,000      Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A      129,954  
     

 

 

  
        4,268,754  
     

 

 

  
   Government Owned – No Guarantee — 0.4%

 

  135,000      EcoPetrol S.A., 4.625%, 11/02/2031      102,261  
  340,000      Petroleos Mexicanos, 5.950%, 1/28/2031(h)      248,669  
  280,000      YPF S.A., 6.950%, 7/21/2027, 144A      158,900  
     

 

 

  
        509,830  
     

 

 

  
   Health Insurance — 0.3%

 

  420,000      Centene Corp., 2.450%, 7/15/2028      350,297  
  70,000      Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A      58,701  
     

 

 

  
        408,998  
     

 

 

  
   Healthcare — 4.0%

 

$ 100,000      AdaptHealth LLC, 5.125%, 3/01/2030, 144A    $ 84,291  
  110,000      AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A      80,817  
  710,000      CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A      539,529  
  270,000      CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A      164,700  
  65,000      CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A      41,925  
  235,000      CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A      214,012  
  400,000      DaVita, Inc., 3.750%, 2/15/2031, 144A      286,796  
  180,000      DaVita, Inc., 4.625%, 6/01/2030, 144A      140,375  
  155,000      Encompass Health Corp., 4.500%, 2/01/2028      132,695  
  300,000      Encompass Health Corp., 4.750%, 2/01/2030      251,412  
  230,000      HCA, Inc., 7.050%, 12/01/2027      239,517  
  470,000      LifePoint Health, Inc., 5.375%, 1/15/2029, 144A      345,450  
  210,000      Medline Borrower LP, 5.250%, 10/01/2029, 144A      172,473  
  75,000      ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A      60,581  
  40,000      ModivCare, Inc., 5.875%, 11/15/2025, 144A      36,800  
  150,000      MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A      124,305  
  75,000      RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A      64,825  
  615,000      Tenet Healthcare Corp., 4.375%, 1/15/2030, 144A      522,492  
  100,000      Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A      87,078  
  135,000      Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A      121,500  
  95,000      Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A      81,299  
  505,000      Tenet Healthcare Corp., 6.125%, 6/15/2030, 144A      465,903  
  490,000      Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A      451,003  
  95,000      U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A      85,074  
     

 

 

  
        4,794,852  
     

 

 

  
   Home Construction — 0.4%

 

  215,000      Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A      156,209  
  1,200,000      Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(g)(i)(j)      —  
  100,000      Empire Communities Corp., 7.000%, 12/15/2025, 144A      79,000  
  230,000      KB Home, 4.800%, 11/15/2029      191,815  
     

 

 

  
        427,024  
     

 

 

  
   Independent Energy — 6.6%

 

  75,000      Antero Resources Corp., 8.375%, 7/15/2026, 144A      79,313  
  140,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A      123,200  
  215,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A      199,950  
  390,000      Baytex Energy Corp., 8.750%, 4/01/2027, 144A      390,975  
  45,000      California Resources Corp., 7.125%, 2/01/2026, 144A      44,002  
  435,000      Callon Petroleum Co., 8.000%, 8/01/2028, 144A      417,861  
  115,000      Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A      109,208  
  580,000      Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A      552,322  
  120,000      Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A      116,044  
  255,000      CNX Resources Corp., 7.250%, 3/14/2027, 144A      249,824  
  135,000      Colgate Energy Partners III LLC, 5.875%, 7/01/2029, 144A      118,294  
  105,000      Comstock Resources, Inc., 6.750%, 3/01/2029, 144A      94,020  
  150,000      Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A      136,500  
  165,000      Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A      145,629  

 

See accompanying notes to financial statements.

 

15  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Independent Energy — continued

 

$ 85,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A    $ 71,936  
  125,000      Gulfport Energy Corp., 8.000%, 5/17/2026, 144A      122,966  
  60,000      Laredo Petroleum, Inc., 7.750%, 7/31/2029, 144A      54,131  
  285,000      Matador Resources Co., 5.875%, 9/15/2026      273,965  
  185,000      MEG Energy Corp., 5.875%, 2/01/2029, 144A      168,973  
  130,000      Murphy Oil Corp., 6.125%, 12/01/2042      97,175  
  425,000      Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A      400,562  
  65,000      Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A      60,125  
  145,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      143,989  
  260,000      Occidental Petroleum Corp., 6.125%, 1/01/2031      263,490  
  345,000      Occidental Petroleum Corp., 6.625%, 9/01/2030      355,350  
  85,000      Occidental Petroleum Corp., 7.500%, 5/01/2031      91,375  
  40,000      Occidental Petroleum Corp., 7.875%, 9/15/2031      43,900  
  110,000      Occidental Petroleum Corp., 8.500%, 7/15/2027      121,046  
  780,000      Occidental Petroleum Corp., 8.875%, 7/15/2030      895,500  
  470,000      PDC Energy, Inc., 5.750%, 5/15/2026      438,430  
  120,000      Penn Virginia Holdings LLC, 9.250%, 8/15/2026, 144A      115,169  
  85,000      Range Resources Corp., 8.250%, 1/15/2029      86,659  
  110,000      SM Energy Co., 5.625%, 6/01/2025      103,950  
  285,000      SM Energy Co., 6.500%, 7/15/2028      262,116  
  165,000      SM Energy Co., 6.750%, 9/15/2026      155,655  
  25,000      Southwestern Energy Co., 4.750%, 2/01/2032      21,363  
  290,000      Southwestern Energy Co., 5.375%, 2/01/2029      269,004  
  140,000      Southwestern Energy Co., 5.375%, 3/15/2030      128,800  
  20,000      Southwestern Energy Co., 7.750%, 10/01/2027      20,400  
  250,000      Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A      227,500  
  125,000      Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A      118,027  
     

 

 

  
        7,888,698  
     

 

 

  
   Industrial Other — 0.3%

 

  220,000      Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A      186,301  
  130,000      Installed Building Products, Inc., 5.750%, 2/01/2028, 144A      115,497  
     

 

 

  
        301,798  
     

 

 

  
   Leisure — 3.0%

 

  650,000      Carnival Corp., 5.750%, 3/01/2027, 144A      469,482  
  125,000      Cinemark USA, Inc., 5.250%, 7/15/2028, 144A      100,456  
  110,000      Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A      94,875  
  370,000      Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A      328,012  
  740,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      580,819  
  10,000      NCL Corp. Ltd., 5.875%, 3/15/2026      7,849  
  200,000      NCL Corp. Ltd., 7.750%, 2/15/2029, 144A      152,150  
  70,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A      50,925  
  125,000      Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028      79,375  
  325,000      Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A      230,867  
  1,065,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      740,175  
  120,000      SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A      101,543  
  180,000      Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A      159,043  
  115,000      Viking Cruises Ltd., 5.875%, 9/15/2027, 144A      85,914  
  375,000      Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A      295,689  
  110,000      VOC Escrow Ltd., 5.000%, 2/15/2028, 144A      88,386  
     

 

 

  
        3,565,560  
     

 

 

  
   Lodging — 1.5%

 

$ 370,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A    $ 299,700  
  100,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      83,168  
  605,000      Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028      524,775  
  1,195,000      Travel & Leisure Co., 4.500%, 12/01/2029, 144A      924,440  
  20,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      15,500  
  15,000      Travel & Leisure Co., 6.000%, 4/01/2027      13,586  
     

 

 

  
        1,861,169  
     

 

 

  
   Media Entertainment — 2.8%

 

  200,000      Audacy Capital Corp., 6.750%, 3/31/2029, 144A      106,924  
  170,000      CMG Media Corp., 8.875%, 12/15/2027, 144A      134,302  
  130,000      Deluxe Corp., 8.000%, 6/01/2029, 144A      105,950  
  310,000      Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A      77,500  
  140,000      Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A      16,800  
  170,000      Gray Escrow II, Inc., 5.375%, 11/15/2031, 144A      136,209  
  355,000      Gray Television, Inc., 4.750%, 10/15/2030, 144A      277,787  
  395,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      325,512  
  165,000      iHeartCommunications, Inc., 6.375%, 5/01/2026      152,831  
  430,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      341,712  
  160,000      Lamar Media Corp., 3.750%, 2/15/2028      142,037  
  55,000      Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A      42,900  
  310,000      McGraw-Hill Education, Inc., 5.750%, 8/01/2028, 144A      265,447  
  175,000      McGraw-Hill Education, Inc., 8.000%, 8/01/2029, 144A      141,750  
  205,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      187,625  
  20,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      18,900  
  185,000      Netflix, Inc., 5.875%, 2/15/2025      187,775  
  35,000      Netflix, Inc., 6.375%, 5/15/2029      35,348  
  105,000      Nexstar Media, Inc., 5.625%, 7/15/2027, 144A      95,813  
  110,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A      96,113  
  35,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A      33,213  
  65,000      Playtika Holding Corp., 4.250%, 3/15/2029, 144A      53,625  
  120,000      Scripps Escrow II, Inc., 5.375%, 1/15/2031, 144A      95,706  
  185,000      Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A      155,978  
  120,000      Stagwell Global LLC, 5.625%, 8/15/2029, 144A      96,254  
     

 

 

  
        3,324,011  
     

 

 

  
   Metals & Mining — 3.7%

 

  200,000      Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A      189,500  
  120,000      Allegheny Technologies, Inc., 4.875%, 10/01/2029      95,699  
  205,000      Allegheny Technologies, Inc., 5.875%, 12/01/2027      181,526  
  200,000      Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A      180,001  
  280,000      Cleveland-Cliffs, Inc., 5.875%, 6/01/2027      261,108  
  175,000      Commercial Metals Co., 4.125%, 1/15/2030      147,350  
  845,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      778,245  
  1,245,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      1,113,105  
  60,000      GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A      48,570  
  210,000      Mineral Resources Ltd., 8.000%, 11/01/2027, 144A      205,143  
  575,000      Mineral Resources Ltd., 8.125%, 5/01/2027, 144A      560,251  

 

See accompanying notes to financial statements.

 

|  16

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Metals & Mining — continued

 

$ 525,000      Novelis Corp., 4.750%, 1/30/2030, 144A    $ 436,369  
  50,000      SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A      39,955  
  210,000      United States Steel Corp., 6.875%, 3/01/2029      183,244  
  40,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      34,820  
     

 

 

  
        4,454,886  
     

 

 

  
   Midstream — 3.2%

 

  85,000      Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A      76,123  
  195,000      Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A      194,784  
  250,000      Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A      236,292  
  185,000      Buckeye Partners LP, 4.500%, 3/01/2028, 144A      155,793  
  80,000      Buckeye Partners LP, 5.600%, 10/15/2044      55,709  
  55,000      Buckeye Partners LP, 5.850%, 11/15/2043      39,050  
  170,000      Cheniere Energy Partners LP, 4.000%, 3/01/2031      144,551  
  115,000      Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A      100,347  
  30,000      DCP Midstream Operating LP, 3.250%, 2/15/2032      23,531  
  175,000      DCP Midstream Operating LP, 5.375%, 7/15/2025      170,187  
  230,000      DCP Midstream Operating LP, 5.625%, 7/15/2027      223,045  
  130,000      EnLink Midstream Partners LP, 5.600%, 4/01/2044      92,068  
  41,000      EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A      39,306  
  200,000      EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A      185,960  
  50,000      EQM Midstream Partners LP, 6.500%, 7/15/2048      38,125  
  470,000      EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A      453,338  
  80,000      EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A      76,852  
  160,000      EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028      138,139  
  115,000      Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A      99,841  
  300,000      Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028      259,515  
  150,000      Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A      125,620  
  250,000      Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A      238,125  
  150,000      Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A      141,189  
  215,000      New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A      203,175  
  145,000      NuStar Logistics LP, 5.750%, 10/01/2025      135,575  
  125,000      Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A      106,297  
  40,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031      36,464  
  50,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030      47,709  
  50,000      Western Midstream Operating LP, 4.500%, 3/01/2028      45,250  
  30,000      Western Midstream Operating LP, 4.750%, 8/15/2028      27,409  
     

 

 

  
        3,909,369  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 2.1%

 

  97,268      CG-CCRE Commercial Mortgage Trust,
Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 4.824%, 11/15/2031, 144A(a)(c)(i)(j)		      84,623  
  218,852      CG-CCRE Commercial Mortgage Trust,
Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 5.824%, 11/15/2031, 144A(a)(c)(d)		      169,676  
   Non-Agency Commercial Mortgage-Backed Securities — continued

 

$ 260,000      Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.108%, 5/10/2047, 144A(b)    $ 237,050  
  100,000      Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A      95,350  
  1,020,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A      799,232  
  45,000      GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.302%, 8/10/2044, 144A(b)      37,350  
  100,000      GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.843%, 6/10/2047, 144A(b)      89,283  
  245,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b)(h)      232,959  
  250,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.982%, 10/15/2045, 144A(b)(h)      248,230  
  100,000      MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.424%, 10/15/2030, 144A(b)      89,057  
  380,000      Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 4.825%, 11/15/2027, 144A(a)(c)(i)(j)      106,163  
  420,000      Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 5.725%, 11/15/2027, 144A(a)(c)(i)(j)      42,492  
  145,000      Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class C, 4.458%, 8/15/2050		      90,176  
  60,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.305%, 11/15/2059(b)      50,936  
  100,338      WFRBS Commercial Mortgage Trust,
Series 2011-C3, Class D, 5.415%, 3/15/2044, 144A(b)		      42,744  
  80,000      WFRBS Commercial Mortgage Trust,
Series 2012-C10, Class C, 4.491%, 12/15/2045(b)		      74,592  
  125,000      WFRBS Commercial Mortgage Trust,
Series 2012-C7, Class E, 4.689%, 6/15/2045, 144A(b)(c)(d)		      11,250  
     

 

 

  
        2,501,163  
     

 

 

  
   Oil Field Services — 1.0%

 

  125,000      Nabors Industries, Inc., 7.375%, 5/15/2027, 144A      117,750  
  90,000      Precision Drilling Corp., 6.875%, 1/15/2029, 144A      80,550  
  10,000      Precision Drilling Corp., 7.125%, 1/15/2026, 144A      9,400  
  55,000      Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A      52,012  
  147,600      Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A      135,054  
  703,125      Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A      618,750  
  42,750      Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A      39,864  
  180,000      Weatherford International Ltd., 8.625%, 4/30/2030, 144A      149,362  
  20,000      Weatherford International Ltd., 11.000%, 12/01/2024, 144A      20,150  
     

 

 

  
        1,222,892  
     

 

 

  
   Packaging — 0.6%

 

  370,000      ARD Finance S.A., 7.250% PIK or
6.500% Cash, 6/30/2027, 144A(f)		      274,451  
  500,000      Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A      356,530  
  75,000      Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A      60,188  
  80,000      Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A      66,224  
     

 

 

  
        757,393  
     

 

 

  

 

See accompanying notes to financial statements.

 

17  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Pharmaceuticals — 3.6%

 

$ 1,170,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A    $ 623,025  
  10,000      Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A      5,200  
  785,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      405,593  
  785,000      Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A      401,743  
  15,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      7,983  
  45,000      Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A      25,763  
  200,000      Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A      169,428  
  240,000      Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(c)(d)      18,600  
  70,000      Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A      52,908  
  200,000      Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A      173,456  
  335,000      Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A      289,048  
  107,000      Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A      81,320  
  325,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      271,703  
  370,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      303,400  
  2,360,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      1,469,690  
     

 

 

  
        4,298,860  
     

 

 

  
   Property & Casualty Insurance — 0.7%

 

  240,000      Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A      187,870  
  240,000      AmWINS Group, Inc., 4.875%, 6/30/2029, 144A      196,541  
  160,000      AssuredPartners, Inc., 5.625%, 1/15/2029, 144A      128,085  
  125,000      BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A      97,801  
  275,000      USI, Inc., 6.875%, 5/01/2025, 144A      265,375  
     

 

 

  
        875,672  
     

 

 

  
   Refining — 0.4%

 

  55,000      Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A      52,348  
  370,000      CVR Energy, Inc., 5.250%, 2/15/2025, 144A      340,182  
  80,000      PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A      83,700  
     

 

 

  
        476,230  
     

 

 

  
   REITs – Hotels — 0.3%

 

  395,000      Service Properties Trust, 4.750%, 10/01/2026      287,833  
  70,000      Service Properties Trust, 7.500%, 9/15/2025      64,137  
     

 

 

  
        351,970  
     

 

 

  
   REITs – Mortgage — 0.2%

 

  45,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      36,329  
  215,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A      194,575  
  75,000      Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A      63,563  
     

 

 

  
        294,467  
     

 

 

  
   Restaurants — 0.8%

 

  770,000      1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A      668,298  
  100,000      Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A      84,845  
  180,000      KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A      173,106  
  90,000      Papa John’s International, Inc., 3.875%, 9/15/2029, 144A      74,241  
     

 

 

  
        1,000,490  
     

 

 

  
   Retailers — 1.9%

 

$ 160,000      Asbury Automotive Group, Inc., 4.500%, 3/01/2028    $ 138,800  
  225,000      Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A      185,906  
  83,000      Asbury Automotive Group, Inc., 4.750%, 3/01/2030      68,247  
  70,000      At Home Group, Inc., 4.875%, 7/15/2028, 144A      50,750  
  190,000      At Home Group, Inc., 7.125%, 7/15/2029, 144A      107,825  
  140,000      Bath & Body Works, Inc., 5.250%, 2/01/2028      118,118  
  235,000      Bath & Body Works, Inc., 6.625%, 10/01/2030, 144A      202,979  
  100,000      Bath & Body Works, Inc., 6.750%, 7/01/2036      79,990  
  55,000      Bath & Body Works, Inc., 6.875%, 11/01/2035      44,687  
  195,000      Carvana Co., 4.875%, 9/01/2029, 144A      110,878  
  255,000      Carvana Co., 5.500%, 4/15/2027, 144A      164,561  
  135,000      Carvana Co., 5.625%, 10/01/2025, 144A      103,656  
  35,000      Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A      29,252  
  50,000      Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A      40,765  
  85,000      Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A      56,017  
  115,000      NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A      105,982  
  250,000      PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A      225,127  
  87,000      Rite Aid Corp., 7.500%, 7/01/2025, 144A      70,470  
  240,000      Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A      185,954  
  245,000      Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A      184,291  
     

 

 

  
        2,274,255  
     

 

 

  
   Technology — 4.4%

 

  185,000      Block, Inc., 2.750%, 6/01/2026, 144A      164,138  
  215,000      Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A      176,515  
  1,450,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      1,071,981  
  545,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      414,244  
  75,000      Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A      64,781  
  320,000      Elastic NV, 4.125%, 7/15/2029, 144A      267,130  
  495,000      Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A      357,198  
  60,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      50,700  
  205,000      II-VI, Inc., 5.000%, 12/15/2029, 144A      178,862  
  185,000      Iron Mountain, Inc., 4.500%, 2/15/2031, 144A      151,172  
  115,000      Iron Mountain, Inc., 4.875%, 9/15/2027, 144A      103,908  
  440,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      373,969  
  95,000      LogMeIn, Inc., 5.500%, 9/01/2027, 144A      66,145  
  370,000      NCR Corp., 5.000%, 10/01/2028, 144A      313,722  
  65,000      NCR Corp., 5.750%, 9/01/2027, 144A      57,689  
  190,000      Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A      176,453  
  180,000      Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A      165,361  
  455,000      Open Text Corp., 3.875%, 12/01/2029, 144A      382,951  
  110,000      Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A      101,056  
  110,000      Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A      96,711  
  90,000      Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A      58,812  
  175,000      Rocket Software, Inc., 6.500%, 2/15/2029, 144A      126,493  
  65,000      Seagate HDD Cayman, 4.875%, 6/01/2027      61,588  
  90,000      Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A      72,131  
  50,000      Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A      42,559  
  105,000      SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A      97,919  
  65,000      Xerox Holdings Corp., 5.000%, 8/15/2025, 144A      60,462  
  70,000      Ziff Davis, Inc., 4.625%, 10/15/2030, 144A      59,671  
     

 

 

  
        5,314,321  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  18

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

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

 

$ 190,000      Hertz Corp. (The), 4.625%, 12/01/2026, 144A    $ 158,855  
     

 

 

  
   Treasuries — 1.9%

 

  920,000      U.S. Treasury Note, 0.125%, 2/28/2023(h)      904,367  
  1,390,000      U.S. Treasury Note, 0.125%, 3/31/2023(h)      1,363,015  
     

 

 

  
        2,267,382  
     

 

 

  
   Wireless — 2.8%

 

  640,000      Altice France S.A., 5.125%, 1/15/2029, 144A      484,871  
  200,000      Altice France S.A., 5.125%, 7/15/2029, 144A      151,000  
  495,000      HTA Group Ltd., 7.000%, 12/18/2025, 144A      422,631  
  200,000      IHS Holding Ltd., 5.625%, 11/29/2026, 144A      163,808  
  400,000      IHS Holding Ltd., 6.250%, 11/29/2028, 144A      322,600  
  305,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      277,126  
  275,000      SBA Communications Corp., 3.875%, 2/15/2027      251,017  
  1,630,000      SoftBank Group Corp., 4.625%, 7/06/2028      1,263,250  
     

 

 

  
        3,336,303  
     

 

 

  
   Wirelines — 1.4%

 

  130,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      116,073  
  30,000      Embarq Corp., 7.995%, 6/01/2036      22,532  
  430,000      Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A      386,614  
  135,000      Frontier Communications Holdings LLC, 8.750%, 5/15/2030, 144A      136,484  
  210,000      Iliad Holding SASU, 6.500%, 10/15/2026, 144A      188,994  
  275,000      Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A      212,039  
  95,000      Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A      76,119  
  435,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      335,907  
  120,000      Telecom Italia Capital S.A., 7.200%, 7/18/2036      91,109  
  210,000      Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A      172,702  
     

 

 

  
        1,738,573  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $127,232,132)		      102,858,496  
     

 

 

  
     
  Convertible Bonds — 4.8%  
   Airlines — 0.5%

 

  535,000      Southwest Airlines Co., 1.250%, 5/01/2025(h)      629,962  
     

 

 

  
   Cable Satellite — 1.8%

 

  3,185,000      DISH Network Corp., 3.375%, 8/15/2026      2,151,468  
  40,000      DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(k)      28,097  
     

 

 

  
        2,179,565  
     

 

 

  
   Consumer Cyclical Services — 0.2%

 

  310,000      Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(k)      247,727  
  30,000      Zillow Group, Inc., 1.375%, 9/01/2026      29,970  
     

 

 

  
        277,697  
     

 

 

  
   Gaming — 0.1%

 

  60,000      Penn National Gaming, Inc., 2.750%, 5/15/2026      88,878  
     

 

 

  
   Healthcare — 0.6%

 

  990,000      Teladoc Health, Inc., 1.250%, 6/01/2027      725,175  
     

 

 

  
   Leisure — 0.2%

 

  305,000      NCL Corp. Ltd., 1.125%, 2/15/2027, 144A      195,657  
     

 

 

  
   Media Entertainment — 0.1%

 

  175,000      Bilibili, Inc., 0.500%, 12/01/2026, 144A      123,113  
     

 

 

  
   Pharmaceuticals — 1.3%

 

  340,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      336,600  
   Pharmaceuticals — continued

 

$ 1,095,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027    $ 1,088,211  
  230,000      Livongo Health, Inc., 0.875%, 6/01/2025      194,948  
     

 

 

  
        1,619,759  
     

 

 

  
   Technology — 0.0%

 

  25,000      RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(k)      18,775  
  5,000      Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(l)      3,675  
     

 

 

  
        22,450  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $7,805,822)		      5,862,256  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $135,037,954)		      108,720,752  
     

 

 

  
     
  Collateralized Loan Obligations — 1.6%  
  295,000      AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 7.563%, 7/20/2034, 144A(a)      256,063  
  250,000      Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.600%, 7.663%, 12/19/2032, 144A(a)      219,767  
  250,000      NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 7.163%, 10/20/2034, 144A(a)      219,193  
  250,000      Octagon Investment Partners 44 Ltd.,
Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 7.794%, 10/15/2034, 144A(a)		      218,358  
  260,000      OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 7.458%, 4/21/2034, 144A(a)      229,520  
  310,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7.313%, 7/02/2035, 144A(a)      272,482  
  250,000      Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 6.383%, 1/15/2035, 144A(a)      219,373  
  260,000      Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 7.094%, 10/15/2034, 144A(a)      227,453  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $2,122,374)		      1,862,209  
     

 

 

  
     
Shares                
  Preferred Stocks — 1.7%  
  Convertible Preferred Stocks — 1.7%  
   Technology — 0.2%

 

  3,797      Clarivate PLC, Series A, 5.250%      217,242  
     

 

 

  
   Wireless — 1.5%

 

  1,607      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d)      1,842,586  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $2,177,650)		      2,059,828  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $2,177,650)		      2,059,828  
     

 

 

  
     
 

Common Stocks — 0.1%

  
   Energy Equipment & Services — 0.0%

 

  10,149      McDermott International Ltd.(m)      5,785  
     

 

 

  

 

See accompanying notes to financial statements.

 

19  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Media — 0.1%

 

  9,786      iHeartMedia, Inc., Class A(m)    $ 77,212  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.0%

 

  3,650      Battalion Oil Corp.(m)      31,134  
     

 

 

  
   Total Common Stocks
(Identified Cost $841,517)		      114,131  
     

 

 

  
     
  Other Investments — 0.0%  
   Aircraft ABS — 0.0%

 

  100     

ECAF I Blocker Ltd.(c)(i)(j)(n)

(Identified Cost $1,000,000)

      8,510  
     

 

 

  
     
  Warrants — 0.0%  
  20,319      McDermott International Ltd., Tranche A, Expiration on 5/1/2024(i)(j)(m)      203  
  22,577      McDermott International Ltd., Tranche B, Expiration on 5/1/2024(i)(j)(m)      226  
     

 

 

  
   Total Warrants
(Identified Cost $31,517)		      429  
     

 

 

  
     
  Exchange-Traded Funds — 1.6%  
  26,835      iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $2,304,298)      1,975,324  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 2.0%  
$ 2,362,062      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $2,362,085 on 7/01/2022 collateralized by $2,782,700 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $2,409,304 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $2,362,062)		      2,362,062  
     

 

 

  
     
   Total Investments — 97.2%
(Identified Cost $145,877,372)		      117,103,245  
   Other assets less liabilities — 2.8%      3,371,735  
     

 

 

  
   Net Assets — 100.0%    $ 120,474,980  
     

 

 

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

 

  (a)      Variable rate security. Rate as of June 30, 2022 is disclosed.

 

  (b)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.

 

  (c)      Illiquid security.

 

  (d)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $2,480,562 or 2.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (e)      Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal.

 

  (f)      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, 2022, interest payments were made in cash.

 

  (g)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

 

  (h)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

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

 

  (j)      Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $242,217 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.

 

  (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)      Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

  (m)      Non-income producing security.

 

  (n)      Securities subject to restriction on resale. At June 30, 2022, 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    $ 8,510        Less than 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, 2022, the value of Rule 144A holdings amounted to $76,702,444 or 63.7% of net assets.

 

  ABS      Asset-Backed Securities

 

  ETF      Exchange-Traded Fund

 

  LIBOR      London Interbank Offered Rate

 

  PIK      Payment-in-Kind

 

  REITs      Real Estate Investment Trusts

 

 

 

See accompanying notes to financial statements.

 

|  20

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

 

Reference Obligation   (Pay)/
Receive
Fixed Rate		   Expiration
Date		     Implied
Credit
Spread^		     Notional
Value(‡)		     Unamortized
Up Front
Premium
Paid/(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  

CDX.NA HY* Series 38 500, 5-Year

   5.00%     6/20/2027       5.78 %      688,050     $ (15,147 )    $ (19,767 )    $ (4,620 ) 

CDX.NA HY* Series 38 500, 5-Year

   5.00%     6/20/2027       5.78 %      287,100       (7,463 )      (8,248 )      (785 ) 

CDX.NA HY* Series 38 500, 5-Year

   5.00%     6/20/2027       5.78 %      287,100       (6,720 )      (8,248 )      (1,528 ) 
           

 

 

    

 

 

  

Total

             $ (36,263 )    $ (6,933 ) 
           

 

 

    

 

 

  

 

(‡)

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.

Industry Summary at June 30, 2022 (Unaudited)

 

Cable Satellite

      10.8 % 

Independent Energy

      6.6  

Pharmaceuticals

      4.9  

Finance Companies

      4.7  

Technology

      4.6  

Healthcare

      4.6  

Wireless

      4.3  

Metals & Mining

      3.7  

Gaming

      3.6  

Consumer Cyclical Services

      3.4  

Midstream

      3.2  

Leisure

      3.2  

Media Entertainment

      2.9  

Aerospace & Defense

      2.3  

Automotive

      2.2  

Building Materials

      2.2  

Non-Agency Commercial Mortgage-Backed Securities

      2.1  

Other Investments, less than 2% each

      22.7  

Short-Term Investments

      2.0  

Exchange-Traded Funds

      1.6  

Collateralized Loan Obligations

      1.6  
  

 

 

  

Total Investments

      97.2  

Other assets less liabilities (including swap agreements)

      2.8  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

21  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 83.7% of Net Assets  
  Non-Convertible Bonds — 82.5%  
   ABS Car Loan — 6.5%

 

$ 173,826      Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023    $ 174,003  
  7,639,061      American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A      7,625,377  
  3,200,000      American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A      2,964,396  
  1,965,000      AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024      1,968,168  
  10,515,000      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024      10,513,146  
  25,880,000      AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025      25,682,287  
  12,340,000      AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025      12,124,255  
  1,395,000      AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026      1,316,068  
  11,000,000      Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A      10,544,039  
  1,940,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A      1,906,894  
  8,910,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A      8,183,729  
  7,500,000      Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A      6,708,309  
  3,650,000      CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025      3,656,222  
  13,585,000      CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025      13,542,939  
  5,811,000      CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025      5,758,097  
  2,315,000      CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026      2,268,535  
  4,625,000      CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026      4,534,789  
  2,550,000      CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028      2,341,180  
  1,100,000      CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028      1,022,663  
  2,525,000      Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A      2,438,223  
  275,000      Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A      257,404  
  5,395,784      Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026      5,419,270  
  11,512,519      Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026      11,530,763  
  3,700,000      Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026      3,699,306  
  6,636,383      DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A      6,635,463  
  3,950,000      DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A      3,938,111  
  3,400,000      DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A      3,376,371  
  10,500,000      DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027, 144A      9,931,813  
   ABS Car Loan — continued

 

$ 7,410,000      Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026    $ 6,943,829  
  2,685,000      Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028      2,551,123  
  3,790,000      First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A      3,776,636  
  2,660,000      First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028, 144A      2,505,531  
  4,610,000      Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A      4,488,982  
  17,688,743      Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024(a)      17,484,277  
  15,340,000      Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025      15,010,043  
  27,290,000      Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025(a)      26,563,868  
  8,356,711      GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A      8,344,890  
  2,276,677      GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024      2,267,877  
  10,120,000      GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025      9,870,334  
  21,335,000      GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026(a)      20,642,886  
  1,400,000      GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A      1,364,318  
  8,118,000      Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A      7,260,793  
  8,396,000      Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A      8,057,130  
  16,245,000      Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025      15,858,751  
  1,578,792      JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A      1,526,268  
  2,284,718      Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024      2,277,899  
  9,474,768      Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024      9,388,832  
  4,350,000      Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A      4,273,240  
  14,831,233      Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025      14,843,160  
  6,646,800      Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025      6,630,463  
  8,455,000      Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025      8,434,599  
  12,815,000      Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028      12,937,154  
  2,900,000      Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026      2,839,094  
  262,429      Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 7/17/2023      262,191  
  5,549,333      Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A      5,555,136  
     

 

 

  
        392,021,124  
     

 

 

  
   ABS Credit Card — 0.3%

 

  3,460,000      Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A      3,393,277  
  6,355,000      Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A      6,046,475  

 

See accompanying notes to financial statements.

 

|  22

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Credit Card — continued

 

$ 5,000,000      Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A    $ 4,789,152  
  1,525,000      Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A      1,471,695  
     

 

 

  
        15,700,599  
     

 

 

  
   ABS Home Equity — 4.6%

 

  15,451,000      American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A      15,615,686  
  1,433,777      Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 2.111%, 11/16/2066, 144A(b)      1,433,569  
  10,390,000      CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(c)      9,731,106  
  1,487,819      Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(c)      1,485,777  
  3,938,812      Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(c)      3,832,351  
  2,434,000      CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A      2,317,870  
  3,451,893      CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A      3,322,492  
  2,929,000      CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A      2,615,936  
  1,259,000      CoreVest American Finance Trust, Series 2020-2, Class C, 4.753%, 5/15/2052, 144A(c)      1,192,677  
  1,870,000      CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A      1,543,647  
  3,345,211      Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(c)      3,243,154  
  5,477,414      Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(c)      5,183,851  
  7,422,036      Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, 30-day Average SOFR + 2.000%, 2.926%, 4/25/2042, 144A(b)      7,305,499  
  1,515,000      FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A      1,390,162  
  11,696,000      FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A      10,677,073  
  3,083,000      FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A      2,852,244  
  9,710,000      FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A      9,065,975  
  4,579,801      GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(c)      4,400,678  
  72,158      Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 1.974%, 8/25/2060, 144A(b)      72,124  
  2,417,003      Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A      2,186,728  
  2,452,283      Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A      2,144,731  
  1,038,676      Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A      873,595  
  10,554,290      Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A      9,294,360  
  5,267,327      Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A      4,583,514  
  895,000      Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(c)      890,813  
  8,675,186      Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(c)      8,633,256  
  5,997,413      Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(c)      5,957,282  
   ABS Home Equity — continued

 

$ 1,606,091      Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(c)    $ 1,581,151  
  2,207,817      Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(c)      2,046,558  
  1,467,786      Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(c)      1,429,922  
  2,678,665      Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(c)      2,602,594  
  2,744,944      Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(c)      2,529,891  
  5,696,214      Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(c)      5,563,366  
  3,860,000      Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A      3,744,466  
  155,000      Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A      148,791  
  295,000      Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A      266,031  
  1,818,000      Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A      1,635,480  
  5,780,000      Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A      5,124,198  
  2,420,000      Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A      2,106,629  
  2,015,000      Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A      1,747,443  
  3,575,000      Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A      3,086,058  
  1,795,000      Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A      1,537,437  
  1,400,000      Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A      1,123,001  
  960,000      Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A      766,269  
  4,534,482      PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(c)      4,386,410  
  7,470,329      PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(c)      7,095,864  
  6,241,844      PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(c)      5,897,750  
  272,709      PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(c)      260,771  
  6,513,968      PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(c)      6,059,423  
  470,901      Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(c)      457,340  
  291,564      Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(c)      289,061  
  4,930,000      Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(c)      4,464,526  
  6,390,000      Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 3.124%, 2/25/2057, 144A(b)      6,237,276  
  1,775,000      Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(c)      1,601,990  
  1,943,340      Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(c)      1,668,579  
  17,610,000      Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(c)      15,505,781  
  5,649,153      Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(c)      5,469,904  
  3,325,000      Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(c)      2,961,096  

 

See accompanying notes to financial statements.

 

23  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Home Equity — continued

 

$ 3,950,000      Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A    $ 3,635,317  
  2,575,000      Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A      2,429,112  
  14,008,048      VCAT Asset Securitization LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(c)      13,143,272  
  1,556,102      VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(c)      1,498,187  
  8,828,090      VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(c)      8,338,917  
  2,830,626      VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(c)      2,686,634  
  7,240,878      VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(c)      6,859,403  
  6,420,928      VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(c)      6,098,685  
  4,582,573      VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(c)      4,373,685  
  9,097,619      VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(c)      8,649,935  
     

 

 

  
        278,954,353  
     

 

 

  
   ABS Other — 2.7%

 

  6,360,811      Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A      5,321,532  
  11,270,000      BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A      10,311,866  
  4,233,208      Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A      3,827,276  
  7,448,438      CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A      6,714,681  
  6,913,538      CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A      6,174,301  
  5,145,879      CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A      4,538,250  
  940,000      Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A      917,711  
  945,000      Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A      926,344  
  2,553,021      Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A      2,259,041  
  502,225      HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A      502,223  
  3,645,000      HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A      3,599,511  
  1,980,000      HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A      1,956,404  
  2,795,000      HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A      2,620,060  
  3,135,000      HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A      2,927,962  
  6,934,515      Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A      6,088,040  
  8,630,025      Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A      7,657,464  
  10,484,063      MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A      9,712,897  
  2,517,759      MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A      2,280,825  
  1,915,792      Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(c)      1,538,285  
  525,096      MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A      507,437  
   ABS Other — continued

 

$ 335,167      MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A    $ 318,056  
  13,160,327      Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(c)      11,715,911  
  8,040,000      OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A      8,031,869  
  4,675,000      OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A      4,651,611  
  6,585,000      OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A      5,863,843  
  8,040,000      OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A      7,871,820  
  12,907,045      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A      11,336,335  
  530,000      SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A      478,676  
  2,555,000      SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A      2,391,178  
  983,940      Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A      914,070  
  440,000      SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 5.112%, 9/15/2032(b)      431,312  
  820,000      SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 5.152%, 9/15/2032(b)      803,808  
  2,245,921      SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A      2,246,435  
  6,823,143      SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A      6,812,469  
  6,037,973      SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A      6,011,545  
  12,132,656      Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A      10,589,463  
     

 

 

  
        160,850,511  
     

 

 

  
   ABS Student Loan — 0.8%

 

  745,000      College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A      680,804  
  3,032,470      Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A      2,699,708  
  2,355,956      EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A      2,072,508  
  3,519,379      ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A      3,352,937  
  5,498,226      Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A      5,129,495  
  1,015,197      Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A      946,207  
  3,660,903      Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A      3,350,914  
  560,000      Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A      465,247  
  2,105,000      Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A      1,722,359  
  4,790,000      Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A      3,658,751  
  411,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 5.023%, 6/15/2032(b)      402,837  

 

See accompanying notes to financial statements.

 

|  24

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Student Loan — continued

 

$ 321,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day Auction Rate Security, 5.166%, 6/15/2032(b)    $ 315,003  
  627,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 5.133%, 3/15/2033(b)      615,034  
  420,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 5.213%, 3/15/2033(b)      411,984  
  2,500,000      SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A      2,391,005  
  565,000      SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A      522,308  
  1,525,000      SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A      1,441,188  
  6,455,521      SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A      6,315,785  
  10,808,244      SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A      10,464,237  
  856,705      SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A      817,722  
     

 

 

  
        47,776,033  
     

 

 

  
   ABS Whole Business — 1.1%

 

  9,339,390      Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A      9,192,278  
  3,595,000      Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A      3,518,422  
  7,096,333      DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A      6,615,585  
  2,860,053      Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A      2,732,880  
  5,125,115      Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A      4,963,187  
  4,022,413      Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A      3,640,714  
  15,315,300      Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A      13,349,413  
  3,946,250      Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A      3,837,586  
  1,646,775      Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A      1,464,031  
  17,139,000      Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A      17,000,753  
  2,459,125      Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A      2,316,294  
     

 

 

  
        68,631,143  
     

 

 

  
   Aerospace & Defense — 2.1%

 

  13,620,000      BAE Systems PLC, 3.400%, 4/15/2030, 144A      12,433,043  
  29,500,000      Boeing Co. (The), 2.196%, 2/04/2026      26,590,286  
  3,780,000      Boeing Co. (The), 2.250%, 6/15/2026      3,378,270  
  4,874,000      Boeing Co. (The), 2.950%, 2/01/2030      4,055,680  
  655,000      Boeing Co. (The), 3.100%, 5/01/2026      609,972  
  3,225,000      Boeing Co. (The), 3.200%, 3/01/2029      2,790,540  
  9,088,000      Boeing Co. (The), 3.375%, 6/15/2046      6,013,075  
  3,564,000      Boeing Co. (The), 3.625%, 3/01/2048      2,387,034  
  12,869,000      Boeing Co. (The), 3.750%, 2/01/2050      9,074,447  
  1,932,000      Boeing Co. (The), 3.825%, 3/01/2059      1,244,696  
  2,501,000      Boeing Co. (The), 3.850%, 11/01/2048      1,765,956  
  5,870,000      Boeing Co. (The), 5.150%, 5/01/2030      5,634,484  
  4,875,000      Boeing Co. (The), 5.805%, 5/01/2050      4,477,550  
  4,465,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      4,319,888  
   Aerospace & Defense — continued

 

$ 4,350,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027    $ 4,120,654  
  6,885,000      Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025      6,779,043  
  4,245,000      Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030      3,999,905  
  650,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039      736,515  
  1,335,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      985,631  
  29,075,000      Textron, Inc., 3.000%, 6/01/2030      25,290,250  
     

 

 

  
        126,686,919  
     

 

 

  
   Airlines — 0.8%

 

  1,614,374      American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025      1,522,742  
  5,727,570      American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025      5,351,326  
  11,568,439      American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030      9,663,787  
  1,234,662      American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027      1,070,267  
  4,971,370      American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031      4,349,128  
  2,655,670      American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027      2,363,697  
  16,986,882      American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029      14,344,233  
  5,372,204      British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A      4,691,278  
  2,372,435      United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031      2,096,414  
  4,920,150      United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029      4,835,523  
     

 

 

  
        50,288,395  
     

 

 

  
   Automotive — 2.0%

 

  25,580,000      American Honda Finance Corp., MTN, 0.550%, 7/12/2024      24,024,488  
  5,274,000      Cummins, Inc., 6.750%, 2/15/2027      5,769,753  
  29,605,000      Ford Motor Co., 3.250%, 2/12/2032      22,141,580  
  2,360,000      Ford Motor Credit Co. LLC, 3.625%, 6/17/2031      1,829,000  
  9,966,000      General Motors Co., 5.200%, 4/01/2045      8,370,901  
  27,915,000      General Motors Co., 5.400%, 4/01/2048      24,283,316  
  205,000      General Motors Co., 5.950%, 4/01/2049      190,366  
  9,600,000      General Motors Co., 6.250%, 10/02/2043      9,145,794  
  24,360,000      Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A      23,340,859  
  2,895,000      Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A      2,798,047  
     

 

 

  
        121,894,104  
     

 

 

  
   Banking — 9.3%

 

  5,125,000      Ally Financial, Inc., 2.200%, 11/02/2028      4,173,545  
  300,000      Ally Financial, Inc., 3.875%, 5/21/2024      297,352  
  39,613,000      Ally Financial, Inc., 4.625%, 3/30/2025      39,347,026  
  10,640,000      Ally Financial, Inc., 5.750%, 11/20/2025      10,482,367  
  1,468,000      Ally Financial, Inc., 8.000%, 11/01/2031      1,606,265  
  10,155,000      Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A      10,188,410  
  5,800,000      Banco Santander S.A., 2.749%, 12/03/2030      4,606,576  
  49,304,000      Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028      45,914,748  
  100,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      98,591  
  25,627,000      Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027      24,905,744  

 

See accompanying notes to financial statements.

 

25  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Banking — continued

 

$ 24,260,000      Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027    $ 21,506,792  
  4,287,000      Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030      4,046,489  
  18,255,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035      15,050,299  
  3,335,000      BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A      3,023,178  
  14,045,000      BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A      12,633,276  
  22,500,000      BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A      20,869,476  
  460,000      Capital One Financial Corp., 4.200%, 10/29/2025      453,856  
  1,230,000      Citigroup, Inc., 4.125%, 7/25/2028      1,179,832  
  7,155,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A      6,547,397  
  14,970,000      Credit Suisse AG, 3.700%, 2/21/2025      14,616,858  
  14,200,000      Danske Bank A/S, 5.375%, 1/12/2024, 144A      14,325,693  
  3,390,000      Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A      3,230,547  
  4,690,000      Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032      3,525,888  
  2,640,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      2,270,253  
  9,260,000      Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024      8,927,619  
  6,235,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031      5,219,278  
  19,755,000      Deutsche Bank AG, Series E, 0.962%, 11/08/2023      18,926,531  
  70,245,000      JPMorgan Chase & Co., 4.125%, 12/15/2026      69,613,952  
  28,715,000      JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031      28,043,450  
  12,025,000      JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027      10,701,246  
  100,000      KeyBank NA, 6.950%, 2/01/2028      109,540  
  30,210,000      Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024      29,613,578  
  1,845,000      Morgan Stanley, GMTN, 4.350%, 9/08/2026      1,825,933  
  20,695,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      20,775,709  
  25,560,000      Nationwide Building Society, 0.550%, 1/22/2024, 144A      24,339,254  
  7,340,000      NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028      7,392,283  
  15,160,000      Santander Holdings USA, Inc., 3.244%, 10/05/2026      14,216,693  
  20,295,000      Societe Generale S.A., 4.250%, 4/14/2025, 144A      19,911,425  
  11,950,000      Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A      9,736,483  
  16,790,000      Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A      13,562,527  
  7,090,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A      6,757,165  
  3,865,000      Synchrony Financial, 4.375%, 3/19/2024      3,841,472  
  1,000,000      UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A      863,872  
  1,820,000      UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A      1,470,894  
     

 

 

  
        560,749,362  
     

 

 

  
   Brokerage — 0.5%

 

$ 19,498,000      Jefferies Group LLC, 6.250%, 1/15/2036    $ 19,604,758  
  8,760,000      Jefferies Group LLC, 6.450%, 6/08/2027      9,365,967  
     

 

 

  
        28,970,725  
     

 

 

  
   Building Materials — 1.3%

 

  33,030,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      24,772,500  
  16,180,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      13,852,831  
  5,955,000      Cemex SAB de CV, 5.450%, 11/19/2029, 144A      5,293,995  
  3,285,000      Ferguson Finance PLC, 3.250%, 6/02/2030, 144A      2,842,962  
  23,975,000      Owens Corning, 7.000%, 12/01/2036      26,788,677  
  2,655,000      Vulcan Materials Co., 3.500%, 6/01/2030      2,407,123  
     

 

 

  
        75,958,088  
     

 

 

  
   Cable Satellite — 2.1%

 

  9,425,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A      7,739,716  
  1,905,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A      1,471,612  
  2,826,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      2,346,366  
  315,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032      255,056  
  790,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A      646,852  
  550,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A      491,612  
  1,085,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032      820,941  
  8,340,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031      6,679,154  
  1,790,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033      1,598,180  
  25,020,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062      16,714,213  
  12,605,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061      9,065,618  
  28,090,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050      22,257,395  
  26,515,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      17,731,641  
  1,115,000      CSC Holdings LLC, 5.000%, 11/15/2031, 144A      751,552  
  1,035,000      CSC Holdings LLC, 5.750%, 1/15/2030, 144A      752,994  
  930,000      CSC Holdings LLC, 6.500%, 2/01/2029, 144A      839,911  
  1,880,000      DISH DBS Corp., 5.125%, 6/01/2029      1,142,363  
  3,850,000      DISH DBS Corp., 5.250%, 12/01/2026, 144A      3,017,784  
  2,416,000      Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A      2,240,888  
  200,000      Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A      182,250  
  17,891,000      Time Warner Cable LLC, 4.500%, 9/15/2042      13,966,074  
  15,815,000      Time Warner Cable LLC, 5.500%, 9/01/2041      13,805,121  
     

 

 

  
        124,517,293  
     

 

 

  
   Chemicals — 0.9%

 

  4,330,000      Alpek SAB de CV, 3.250%, 2/25/2031, 144A      3,471,621  
  9,180,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      7,829,438  
  6,060,000      Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A      4,786,855  
  27,205,000      CF Industries, Inc., 4.500%, 12/01/2026, 144A      27,094,494  
  3,740,000      FMC Corp., 3.450%, 10/01/2029      3,392,748  

 

See accompanying notes to financial statements.

 

|  26

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Chemicals — continued

 

$ 12,285,000      Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A    $ 9,838,442  
     

 

 

  
        56,413,598  
     

 

 

  
   Construction Machinery — 0.6%

 

  23,395,000      Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024      22,592,991  
  5,730,000      John Deere Capital Corp., MTN, 0.900%, 1/10/2024      5,530,988  
  8,900,000      John Deere Capital Corp., MTN, 1.250%, 1/10/2025      8,439,562  
     

 

 

  
        36,563,541  
     

 

 

  
   Consumer Cyclical Services — 1.2%

 

  16,000,000      Booking Holdings, Inc., 4.625%, 4/13/2030      15,908,520  
  7,790,000      Expedia Group, Inc., 2.950%, 3/15/2031      6,196,154  
  32,366,000      Expedia Group, Inc., 3.250%, 2/15/2030      26,992,564  
  4,928,000      Expedia Group, Inc., 3.800%, 2/15/2028      4,491,172  
  3,970,000      Expedia Group, Inc., 4.625%, 8/01/2027      3,814,192  
  1,025,000      Uber Technologies, Inc., 4.500%, 8/15/2029, 144A      843,062  
  8,430,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      7,796,401  
  5,015,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      4,858,432  
     

 

 

  
        70,900,497  
     

 

 

  
   Consumer Products — 0.2%

 

  7,458,000      Hasbro, Inc., 6.600%, 7/15/2028      8,054,570  
  6,970,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      5,739,098  
     

 

 

  
        13,793,668  
     

 

 

  
   Diversified Manufacturing — 0.1%

 

  7,675,000      GE Capital Funding LLC, 4.550%, 5/15/2032      7,402,865  
  1,869,000      GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035      1,745,637  
     

 

 

  
        9,148,502  
     

 

 

  
   Electric — 1.7%

 

  7,435,000      AES Corp. (The), 2.450%, 1/15/2031      5,979,731  
  3,695,000      AES Corp. (The), 3.950%, 7/15/2030, 144A      3,331,782  
  14,218,765      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      14,779,284  
  14,855,000      Calpine Corp., 3.750%, 3/01/2031, 144A      12,083,057  
  13,025,000      Enel Finance International NV, 6.000%, 10/07/2039, 144A      12,950,192  
  9,007,000      Enel Finance International NV, 6.800%, 9/15/2037, 144A      9,946,802  
  2,355,000      IPALCO Enterprises, Inc., 4.250%, 5/01/2030      2,186,488  
  9,641,000      NRG Energy, Inc., 4.450%, 6/15/2029, 144A      8,635,468  
  1,435,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      1,280,738  
  4,437,000      NRG Energy, Inc., 5.750%, 1/15/2028      4,032,922  
  6,185,000      Pacific Gas & Electric Co., 3.250%, 6/01/2031      4,995,395  
  2,300,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      1,536,294  
  10,400,000      Pacific Gas & Electric Co., 4.300%, 3/15/2045      7,560,950  
  1,250,000      Pacific Gas & Electric Co., 4.950%, 7/01/2050      997,389  
  2,050,000      Pacific Gas & Electric Co., 5.450%, 6/15/2027      1,983,845  
  10,835,000      Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A      9,973,424  
     

 

 

  
        102,253,761  
     

 

 

  
   Finance Companies — 3.9%

 

  7,910,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028      6,662,742  
  9,900,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032      7,924,864  
   Finance Companies — continued

 

$ 860,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027    $ 781,060  
  23,900,000      Air Lease Corp., 3.125%, 12/01/2030      19,534,160  
  2,235,000      Air Lease Corp., 3.250%, 10/01/2029      1,882,838  
  10,270,000      Air Lease Corp., 3.375%, 7/01/2025      9,671,027  
  345,000      Air Lease Corp., 4.625%, 10/01/2028      319,032  
  8,426,000      Air Lease Corp., MTN, 3.000%, 2/01/2030      6,876,160  
  12,430,000      Aircastle Ltd., 4.125%, 5/01/2024      12,078,193  
  8,070,000      Aircastle Ltd., 4.400%, 9/25/2023      7,965,468  
  8,160,000      Aircastle Ltd., 5.000%, 4/01/2023      8,150,017  
  10,260,000      Ares Capital Corp., 2.875%, 6/15/2028      8,128,392  
  14,460,000      Ares Capital Corp., 3.200%, 11/15/2031      10,506,731  
  3,865,000      Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A      3,361,802  
  7,510,000      Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A      7,443,989  
  8,135,000      Barings BDC, Inc., 3.300%, 11/23/2026, 144A      7,056,478  
  27,825,000      Blackstone Secured Lending Fund, 2.125%, 2/15/2027      23,268,623  
  9,785,000      FS KKR Capital Corp., 3.125%, 10/12/2028      7,804,172  
  3,425,000      Navient Corp., 5.000%, 3/15/2027      2,817,165  
  50,000      Navient Corp., 5.875%, 10/25/2024      45,960  
  145,000      Navient Corp., 6.750%, 6/15/2026      128,325  
  222,000      Navient Corp., 7.250%, 9/25/2023      219,645  
  20,000      Navient Corp., MTN, 6.125%, 3/25/2024      18,963  
  7,275,000      Oaktree Specialty Lending Corp., 2.700%, 1/15/2027      6,300,205  
  10,036,000      Owl Rock Capital Corp., 2.625%, 1/15/2027      8,408,618  
  10,466,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      8,218,486  
  13,940,000      Owl Rock Technology Finance Corp., 2.500%, 1/15/2027      11,762,374  
  13,705,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A      11,325,949  
  7,445,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029      5,854,152  
  18,285,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      13,700,768  
  25,002,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A      17,751,420  
     

 

 

  
        235,967,778  
     

 

 

  
   Financial Other — 0.2%

 

  2,310,000      CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025      1,375,605  
  720,000      CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024      458,410  
  6,220,000      Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031      2,559,032  
  1,110,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029      897,058  
  2,050,000      Logan Group Co. Ltd., 4.250%, 7/12/2025      435,809  
  3,445,000      Logan Group Co. Ltd., 4.850%, 12/14/2026      738,298  
  6,065,000      Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)(e)      625,847  
  400,000      Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d)(e)      42,828  
  3,495,000      Shimao Group Holdings Ltd., 4.750%, 7/03/2022      403,672  
  4,345,000      Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)(e)      465,219  
  3,780,000      Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d)(e)      422,793  
  1,265,000      Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)(e)      139,555  
  5,120,000      Times China Holdings Ltd., 5.750%, 1/14/2027(d)(e)      671,181  

 

See accompanying notes to financial statements.

 

27  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Financial Other — continued

 

$ 1,835,000      Times China Holdings Ltd., 6.200%, 3/22/2026(d)(e)    $ 265,800  
  1,415,000      Times China Holdings Ltd., 6.750%, 7/08/2025(d)(e)      214,373  
     

 

 

  
        9,715,480  
     

 

 

  
   Food & Beverage — 0.7%

 

  4,895,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A      4,134,823  
  3,625,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A      2,973,906  
  10,660,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A      10,087,550  
  6,305,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      5,252,506  
  6,470,000      NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A      6,567,050  
  13,590,000      Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A      10,654,152  
  2,065,000      Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A      1,723,201  
  1,920,000      Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A      1,591,674  
     

 

 

  
        42,984,862  
     

 

 

  
   Gaming — 0.7%

 

  14,625,000      Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A      11,575,879  
  4,880,000      GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032      3,911,175  
  9,090,000      VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A      8,301,988  
  7,785,000      VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A      7,162,200  
  6,760,000      VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A      6,430,450  
  5,560,000      VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A      5,490,500  
     

 

 

  
        42,872,192  
     

 

 

  
   Government Owned – No Guarantee — 0.5%

 

  8,755,000      Antares Holdings LP, 2.750%, 1/15/2027, 144A      6,991,412  
  12,655,000      Antares Holdings LP, 3.750%, 7/15/2027, 144A      10,639,639  
  6,700,000      Antares Holdings LP, 6.000%, 8/15/2023, 144A      6,764,786  
  4,000,000      Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A      2,400,327  
  2,185,000      Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029      948,399  
  4,210,000      Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030      1,814,805  
     

 

 

  
        29,559,368  
     

 

 

  
   Health Insurance — 0.6%

 

  19,320,000      Centene Corp., 2.500%, 3/01/2031      15,335,443  
  4,145,000      Centene Corp., 2.625%, 8/01/2031      3,297,347  
  2,520,000      Centene Corp., 3.000%, 10/15/2030      2,088,450  
  14,895,000      Centene Corp., 4.250%, 12/15/2027      13,904,036  
  565,000      Centene Corp., 4.625%, 12/15/2029      526,863  
     

 

 

  
        35,152,139  
     

 

 

  
   Healthcare — 1.1%

 

  19,420,000      Cigna Corp., 4.375%, 10/15/2028      19,270,129  
  1,261,000      Cigna Corp., 7.875%, 5/15/2027      1,452,903  
  7,210,000      CVS Health Corp., 3.250%, 8/15/2029      6,581,735  
  337,477      CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A      349,603  
  331,136      CVS Pass-Through Trust, 6.036%, 12/10/2028      336,474  
  10,352,294      CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A      10,054,459  
   Healthcare — continued

 

$ 1,086,454      CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A    $ 1,068,582  
  685,000      Encompass Health Corp., 4.750%, 2/01/2030      574,057  
  2,671,000      HCA, Inc., 3.500%, 9/01/2030      2,272,246  
  10,120,000      HCA, Inc., 4.125%, 6/15/2029      9,227,268  
  16,050,000      HCA, Inc., 4.500%, 2/15/2027      15,430,513  
     

 

 

  
        66,617,969  
     

 

 

  
   Home Construction — 0.4%

 

  2,450,000      Lennar Corp., 4.750%, 11/29/2027      2,378,631  
  560,000      Lennar Corp., 4.875%, 12/15/2023      563,077  
  55,000      Lennar Corp., 5.000%, 6/15/2027      54,540  
  5,370,000      MDC Holdings, Inc., 3.966%, 8/06/2061      3,089,785  
  12,384,000      MDC Holdings, Inc., 6.000%, 1/15/2043      10,115,885  
  6,130,000      Meritage Homes Corp., 3.875%, 4/15/2029, 144A      5,081,218  
     

 

 

  
        21,283,136  
     

 

 

  
   Independent Energy — 2.4%

 

  3,195,000      Aker BP ASA, 3.000%, 1/15/2025, 144A      3,085,530  
  9,925,000      Aker BP ASA, 3.750%, 1/15/2030, 144A      8,891,471  
  16,455,000      Aker BP ASA, 4.000%, 1/15/2031, 144A      14,780,568  
  3,140,000      Continental Resources, Inc., 2.875%, 4/01/2032, 144A      2,452,089  
  24,997,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A      24,170,599  
  4,685,000      Diamondback Energy, Inc., 3.125%, 3/24/2031      4,080,412  
  6,910,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      5,847,933  
  9,035,000      Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A      7,340,937  
  1,625,000      EQT Corp., 3.125%, 5/15/2026, 144A      1,521,504  
  9,675,000      EQT Corp., 3.625%, 5/15/2031, 144A      8,359,780  
  13,775,000      EQT Corp., 3.900%, 10/01/2027      12,818,877  
  1,970,000      EQT Corp., 5.000%, 1/15/2029      1,907,118  
  10,475,000      Hess Corp., 4.300%, 4/01/2027      10,210,903  
  4,675,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      4,406,094  
  10,085,000      Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A      9,007,579  
  7,360,000      Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A      6,088,788  
  6,090,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      6,047,553  
  11,260,000      Ovintiv, Inc., 6.500%, 8/15/2034      11,752,437  
  1,110,000      Ovintiv, Inc., 7.375%, 11/01/2031      1,220,258  
  1,750,000      Southwestern Energy Co., 4.750%, 2/01/2032      1,495,419  
     

 

 

  
        145,485,849  
     

 

 

  
   Leisure — 0.2%

 

  1,985,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      1,558,007  
  6,665,000      NCL Corp. Ltd., 5.875%, 2/15/2027, 144A      5,698,641  
  2,750,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      1,911,250  
     

 

 

  
        9,167,898  
     

 

 

  
   Life Insurance — 2.9%

 

  11,800,000      Athene Global Funding, 1.608%, 6/29/2026, 144A      10,295,464  
  18,770,000      Athene Global Funding, 1.716%, 1/07/2025, 144A      17,514,476  
  21,550,000      Athene Global Funding, 2.550%, 11/19/2030, 144A      17,423,837  
  7,385,000      Athene Holding Ltd., 3.500%, 1/15/2031      6,252,065  
  8,255,000      CNO Financial Group, Inc., 5.250%, 5/30/2029      7,975,981  
  19,600,000      Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A      19,943,984  
  9,063,000      Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A      9,863,167  

 

See accompanying notes to financial statements.

 

|  28

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Life Insurance — continued

 

$ 26,914,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(e)    $ 37,538,301  
  23,335,000      New York Life Global Funding, 0.850%, 1/15/2026, 144A(a)      21,050,964  
  6,440,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(e)      7,822,926  
  2,872,000      Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A      3,040,443  
  14,489,000      Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A      17,095,505  
     

 

 

  
        175,817,113  
     

 

 

  
   Local Authorities — 0.2%

 

  14,455,000      Province of Quebec Canada 0.600%, 7/23/2025      13,369,574  
     

 

 

  
   Lodging — 0.2%

 

  1,795,000      Marriott International, Inc., Series FF, 4.625%, 6/15/2030      1,720,838  
  3,525,000      Marriott International, Inc., Series HH, 2.850%, 4/15/2031      2,923,215  
  975,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      810,886  
  7,435,000      Travel & Leisure Co., 4.500%, 12/01/2029, 144A      5,751,644  
  1,610,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      1,247,750  
  205,000      Travel & Leisure Co., 6.000%, 4/01/2027      185,674  
  235,000      Travel & Leisure Co., 6.625%, 7/31/2026, 144A      222,811  
     

 

 

  
        12,862,818  
     

 

 

  
   Media Entertainment — 1.5%

 

  2,610,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      2,150,849  
  3,925,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      3,359,133  
  9,341,000      Magallanes, Inc., 3.755%, 3/15/2027, 144A      8,766,435  
  4,125,000      Magallanes, Inc., 4.054%, 3/15/2029, 144A      3,781,676  
  6,335,000      Magallanes, Inc., 4.279%, 3/15/2032, 144A      5,659,626  
  3,105,000      Netflix, Inc., 4.875%, 4/15/2028      2,921,960  
  22,100,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      20,226,914  
  2,545,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      2,405,025  
  11,295,000      Netflix, Inc., 5.875%, 11/15/2028      11,043,234  
  16,970,000      Netflix, Inc., 6.375%, 5/15/2029      17,138,852  
  2,700,000      Paramount Global, 4.200%, 6/01/2029      2,537,708  
  10,855,000      Paramount Global, 4.950%, 1/15/2031      10,334,067  
     

 

 

  
        90,325,479  
     

 

 

  
   Metals & Mining — 2.8%

 

  2,650,000      Alcoa Nederland Holding BV, 4.125%, 3/31/2029, 144A      2,369,471  
  3,980,000      Alcoa Nederland Holding BV, 6.125%, 5/15/2028, 144A      3,870,550  
  550,000      Anglo American Capital PLC, 2.625%, 9/10/2030, 144A      452,610  
  1,325,000      Anglo American Capital PLC, 2.875%, 3/17/2031, 144A      1,102,492  
  6,260,000      Anglo American Capital PLC, 4.000%, 9/11/2027, 144A      5,951,276  
  34,334,000      Anglo American Capital PLC, 4.500%, 3/15/2028, 144A      33,335,778  
  8,785,000      Anglo American Capital PLC, 4.750%, 4/10/2027, 144A      8,678,868  
  11,405,000      ArcelorMittal S.A., 6.750%, 3/01/2041      11,283,462  
  3,363,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      3,097,323  
  5,890,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      5,266,013  
   Metals & Mining — continued

 

$ 1,800,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A    $ 1,701,831  
  6,325,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      5,162,086  
  7,820,000      Freeport-McMoRan, Inc., 4.250%, 3/01/2030      7,115,722  
  2,930,000      Freeport-McMoRan, Inc., 4.375%, 8/01/2028      2,736,524  
  10,645,000      Freeport-McMoRan, Inc., 4.625%, 8/01/2030      9,876,218  
  6,175,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      6,026,244  
  7,688,000      Glencore Funding LLC, 3.875%, 10/27/2027, 144A      7,294,913  
  39,092,000      Glencore Funding LLC, 4.000%, 3/27/2027, 144A      37,589,074  
  11,700,000      Glencore Funding LLC, 4.125%, 3/12/2024, 144A      11,641,309  
  4,280,000      Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A      3,781,251  
  1,855,000      Reliance Steel & Aluminum Co., 2.150%, 8/15/2030      1,502,967  
  2,010,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      1,749,705  
     

 

 

  
        171,585,687  
     

 

 

  
   Midstream — 1.9%

 

  22,495,000      Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029      20,576,221  
  13,555,000      DCP Midstream Operating LP, 3.250%, 2/15/2032      10,632,271  
  3,045,000      DCP Midstream Operating LP, 5.125%, 5/15/2029      2,740,500  
  650,000      DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A      637,000  
  7,000,000      Energy Transfer LP, 4.950%, 6/15/2028      6,897,699  
  6,405,000      Energy Transfer LP, 5.250%, 4/15/2029      6,343,874  
  1,435,000      Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A      1,311,942  
  14,660,000      Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023      14,615,276  
  14,040,000      MPLX LP, 4.250%, 12/01/2027      13,548,261  
  85,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      92,500  
  225,000      Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023      223,962  
  3,710,000      Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030      3,279,357  
  7,365,000      Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043      5,549,531  
  620,000      Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045      498,610  
  12,445,000      Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030      11,926,264  
  1,955,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031      1,782,183  
  1,975,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030      1,884,506  
  2,170,000      Western Midstream Operating LP, 4.550%, 2/01/2030      1,877,050  
  5,070,000      Western Midstream Operating LP, 5.300%, 3/01/2048      4,087,180  
  950,000      Western Midstream Operating LP, 5.450%, 4/01/2044      789,583  
  710,000      Western Midstream Operating LP, 5.500%, 8/15/2048      578,650  
  2,870,000      Western Midstream Operating LP, 5.750%, 2/01/2050      2,304,778  
     

 

 

  
        112,177,198  
     

 

 

  
   Mortgage Related — 0.0%

 

  735      FNMA, 6.000%, 7/01/2029      786  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 1.5%

 

  8,625,000      BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064      7,083,493  

 

See accompanying notes to financial statements.

 

29  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

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

 

$ 410,000      BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A    $ 375,741  
  1,410,000      Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A      1,403,244  
  785,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      755,804  
  673,491      Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(c)      672,493  
  2,010,000      Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.456%, 12/10/2044(c)      1,909,936  
  370,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A      340,468  
  510,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A      453,088  
  12,790,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A      10,736,473  
  5,095,000      DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(c)      4,795,520  
  3,523,316      Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 3.025%, 7/15/2038, 144A(b)      3,408,292  
  2,390,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(c)      2,217,412  
  9,406,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(c)      7,391,029  
  6,079,000      GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(c)      5,565,337  
  6,478,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.509%, 12/15/2047, 144A(c)      6,413,122  
  340,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.509%, 12/15/2047, 144A(c)      334,615  
  4,990,000      MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 3.125%, 11/15/2038, 144A(b)      4,758,207  
  945,000      Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A      936,090  
  5,050,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.295%, 8/15/2046(c)      5,025,579  
  1,405,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.921%, 10/15/2046(c)      1,328,850  
  3,456,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(c)(d)(e)      2,764,800  
  4,735,000      RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(c)      4,659,357  
  965,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC, 4.889%, 5/10/2063, 144A(c)      913,884  
  6,706,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.961%, 5/10/2063, 144A(c)(d)(e)      226,663  
  788,923      UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A      769,975  
  4,990,000      Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(c)      4,679,424  
  4,030,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059      3,736,804  
   Non-Agency Commercial Mortgage-Backed Securities — continued

 

$ 1,640,146      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.415%, 3/15/2044, 144A(c)    $ 698,702  
  1,565,000      WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045      1,544,380  
  1,746,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.689%, 6/15/2045(c)      1,239,660  
  865,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.689%, 6/15/2045, 144A(c)(d)(e)      77,850  
  4,615,000      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047      4,372,546  
  1,290,000      WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(c)      1,195,090  
     

 

 

  
        92,783,928  
     

 

 

  
   Paper — 0.4%

 

  10,460,000      Suzano Austria GmbH, 3.750%, 1/15/2031      8,446,450  
  16,595,000      Weyerhaeuser Co., 4.000%, 4/15/2030      15,620,580  
  2,515,000      WRKCo, Inc., 4.000%, 3/15/2028      2,453,433  
     

 

 

  
        26,520,463  
     

 

 

  
   Pharmaceuticals — 0.4%

 

  570,000      Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A      446,048  
  865,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A      460,612  
  120,000      Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A      62,400  
  340,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      175,671  
  1,295,000      Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A      662,749  
  135,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      71,847  
  220,000      Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A      125,950  
  980,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      819,290  
  15,105,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      12,386,100  
  6,270,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      3,904,642  
  4,335,000      Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027      3,702,602  
  3,140,000      Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029      2,586,575  
     

 

 

  
        25,404,486  
     

 

 

  
   Property & Casualty Insurance — 0.5%

 

  16,635,000      Fidelity National Financial, Inc., 3.400%, 6/15/2030      14,554,377  
  2,740,000      Fidelity National Financial, Inc., 5.500%, 9/01/2022      2,750,240  
  3,159,000      Sirius International Group Ltd., 4.600%, 11/01/2026, 144A      2,948,516  
  14,195,000      Stewart Information Services Corp., 3.600%, 11/15/2031      11,774,185  
     

 

 

  
        32,027,318  
     

 

 

  
   REITs – Apartments — 0.0%

 

  2,185,000      American Homes 4 Rent, 2.375%, 7/15/2031      1,742,291  
     

 

 

  
   REITs – Health Care — 0.1%

 

  5,972,000      Welltower, Inc., 6.500%, 3/15/2041      6,695,981  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   REITs – Office Property — 0.0%

 

$ 2,085,000      Corporate Office Properties LP, 2.750%, 4/15/2031    $ 1,685,787  
     

 

 

  
   REITs – Regional Malls — 0.1%

 

  6,815,000      Simon Property Group LP, 2.650%, 7/15/2030      5,781,848  
     

 

 

  
   REITs – Shopping Centers — 0.1%

 

  1,600,000      Brixmor Operating Partnership LP, 2.250%, 4/01/2028      1,372,068  
  2,280,000      Brixmor Operating Partnership LP, 4.050%, 7/01/2030      2,057,174  
     

 

 

  
        3,429,242  
     

 

 

  
   Restaurants — 0.0%

 

  2,375,000      Yum! Brands, Inc., 4.750%, 1/15/2030, 144A      2,155,312  
     

 

 

  
   Retailers — 1.1%

 

  21,520,000      7-Eleven, Inc., 0.800%, 2/10/2024, 144A      20,389,146  
  1,960,000      AutoNation, Inc., 4.750%, 6/01/2030      1,843,750  
  9,720,000      AutoZone, Inc., 3.625%, 4/15/2025      9,599,082  
  14,585,000      AutoZone, Inc., 4.000%, 4/15/2030      13,848,386  
  5,620,000      Dollar General Corp., 3.500%, 4/03/2030      5,171,490  
  4,665,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      3,970,615  
  8,064,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      7,820,951  
  3,755,000      PVH Corp., 7.750%, 11/15/2023      3,914,963  
  3,145,000      Tapestry, Inc., 3.050%, 3/15/2032      2,562,278  
     

 

 

  
        69,120,661  
     

 

 

  
   Supermarkets — 0.0%

 

  325,000      Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040      339,556  
     

 

 

  
   Technology — 4.8%

 

  27,985,000      Avnet, Inc., 4.625%, 4/15/2026      28,138,654  
  9,915,000      Broadcom, Inc., 3.187%, 11/15/2036, 144A      7,537,138  
  5,355,000      Broadcom, Inc., 4.150%, 11/15/2030      4,906,323  
  5,480,000      Broadcom, Inc., 4.300%, 11/15/2032      4,977,153  
  1,170,000      CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026      1,042,393  
  3,000,000      CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029      2,529,509  
  22,935,000      CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031      18,948,094  
  745,000      CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028      672,362  
  1,620,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      1,197,662  
  3,095,000      CommScope, Inc., 4.750%, 9/01/2029, 144A      2,496,721  
  3,900,000      CommScope, Inc., 6.000%, 3/01/2026, 144A      3,592,017  
  3,950,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      3,002,316  
  17,625,000      Entegris Escrow Corp., 4.750%, 4/15/2029, 144A      16,412,895  
  10,115,000      Equinix, Inc., 2.150%, 7/15/2030      8,182,995  
  17,195,000      Equinix, Inc., 3.200%, 11/18/2029      15,274,968  
  5,320,000      Jabil, Inc., 1.700%, 4/15/2026      4,763,499  
  4,610,000      Jabil, Inc., 3.000%, 1/15/2031      3,871,498  
  16,735,000      KLA Corp., 5.650%, 11/01/2034      17,836,722  
  7,480,000      Marvell Technology, Inc., 2.450%, 4/15/2028      6,527,052  
  6,390,000      Marvell Technology, Inc., 2.950%, 4/15/2031      5,358,424  
  11,425,000      Microchip Technology, Inc., 0.983%, 9/01/2024      10,654,308  
  25,479,000      Micron Technology, Inc., 4.663%, 2/15/2030      24,433,288  
  10,622,000      Micron Technology, Inc., 5.327%, 2/06/2029      10,564,769  
  3,980,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027      3,687,766  
  2,225,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030      1,962,732  
  1,525,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027      1,501,254  
   Technology — continued

 

$ 1,055,000      Open Text Corp., 3.875%, 2/15/2028, 144A    $ 937,188  
  1,015,000      Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A      878,026  
  25,480,000      Oracle Corp., 3.600%, 4/01/2050      17,699,893  
  4,402,000      S&P Global, Inc., 4.250%, 5/01/2029, 144A      4,360,093  
  1,770,000      Skyworks Solutions, Inc., 1.800%, 6/01/2026      1,569,999  
  970,000      SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A      904,583  
  13,665,000      TD SYNNEX Corp., 1.750%, 8/09/2026, 144A      12,038,082  
  15,815,000      TSMC Arizona Corp., 2.500%, 10/25/2031      13,560,815  
  9,135,000      Verisk Analytics, Inc., 4.125%, 3/15/2029      8,801,917  
  10,945,000      Western Digital Corp., 2.850%, 2/01/2029      8,911,364  
  955,000      Western Digital Corp., 3.100%, 2/01/2032      732,294  
  8,330,000      Western Digital Corp., 4.750%, 2/15/2026      7,947,736  
     

 

 

  
        288,414,502  
     

 

 

  
   Transportation Services — 0.1%

 

  9,670,000      Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A      9,003,350  
     

 

 

  
   Treasuries — 12.9%

 

  142,940,000      U.S. Treasury Bond, 2.000%, 11/15/2041      113,525,628  
  282,435,000      U.S. Treasury Bond, 2.250%, 2/15/2052      232,435,179  
  47,065,000      U.S. Treasury Bond, 3.250%, 5/15/2042      45,932,498  
  119,815,000      U.S. Treasury Note, 0.125%, 12/31/2022(a)(f)      118,382,837  
  79,165,000      U.S. Treasury Note, 0.125%, 4/30/2023      77,383,788  
  200,000,000      U.S. Treasury Note, 0.125%, 8/31/2023(a)      193,492,188  
     

 

 

  
        781,152,118  
     

 

 

  
   Wireless — 1.5%

 

  2,295,000      Crown Castle International Corp., 2.250%, 1/15/2031      1,861,558  
  3,725,000      Crown Castle International Corp., 3.300%, 7/01/2030      3,285,136  
  22,660,000      Crown Castle International Corp., 3.650%, 9/01/2027      21,460,096  
  6,615,000      Crown Castle International Corp., 4.000%, 3/01/2027      6,426,208  
  610,000      Sprint Capital Corp., 6.875%, 11/15/2028      641,427  
  1,960,000      T-Mobile USA, Inc., 2.400%, 3/15/2029      1,692,604  
  3,515,000      T-Mobile USA, Inc., 2.700%, 3/15/2032      2,949,038  
  15,320,000      T-Mobile USA, Inc., 3.375%, 4/15/2029      13,405,000  
  7,565,000      T-Mobile USA, Inc., 3.500%, 4/15/2031      6,531,848  
  36,385,000      T-Mobile USA, Inc., 3.875%, 4/15/2030      33,956,522  
     

 

 

  
        92,209,437  
     

 

 

  
   Wirelines — 0.0%

 

  857,000      Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A      730,592  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $5,452,304,709)		      4,996,214,414  
     

 

 

  
     
  Convertible Bonds — 1.1%  
   Airlines — 0.1%

 

  5,165,000      Southwest Airlines Co., 1.250%, 5/01/2025      6,081,788  
     

 

 

  
   Cable Satellite — 0.4%

 

  9,050,000      DISH Network Corp., 2.375%, 3/15/2024      7,964,000  
  16,015,000      DISH Network Corp., 3.375%, 8/15/2026      10,818,133  
  4,115,000      DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(g)      2,890,499  
     

 

 

  
        21,672,632  
     

 

 

  
   Consumer Cyclical Services — 0.1%

 

  1,095,000      Peloton Interactive, Inc., Zero Coupon, 0.519%-0.799%, 2/15/2026(g)      702,399  

 

See accompanying notes to financial statements.

 

31  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Consumer Cyclical Services — continued

 

$ 5,755,000      Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(g)    $ 4,598,935  
     

 

 

  
        5,301,334  
     

 

 

  
   Healthcare — 0.2%

 

  14,730,000      Teladoc Health, Inc., 1.250%, 6/01/2027      10,789,725  
     

 

 

  
   Media Entertainment — 0.0%

 

  1,770,000      Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(h)      1,566,561  
     

 

 

  
   Pharmaceuticals — 0.3%

 

  5,120,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      5,068,800  
  13,985,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027      13,898,293  
  2,935,000      Livongo Health, Inc., 0.875%, 6/01/2025      2,487,706  
     

 

 

  
        21,454,799  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $81,731,942)		      66,866,839  
     

 

 

  
     
  Municipals — 0.1%  
   Virginia — 0.1%

 

  7,115,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046
(Identified Cost $6,859,269)		      6,608,838  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $5,540,895,920)		      5,069,690,091  
     

 

 

  
     
  Collateralized Loan Obligations — 3.3%  
  1,585,000      522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 4.084%, 4/23/2034, 144A(b)      1,410,913  
  5,565,000      AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3-month LIBOR + 1.700%, 2.763%, 7/20/2034, 144A(b)      5,249,147  
  14,785,000      Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 2.713%, 7/20/2031, 144A(b)      14,074,374  
  4,650,000      Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 2.714%, 7/15/2031, 144A(b)      4,437,142  
  3,520,000      ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 4.044%, 10/15/2034, 144A(b)      3,260,724  
  4,075,000      Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 2.544%, 10/15/2030, 144A(b)      3,904,812  
  1,651,667      Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(b)      1,558,923  
  1,170,000      Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 2.878%, 11/20/2030, 144A(b)      1,113,547  
  5,320,000      Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3-month LIBOR + 1.550%, 2.594%, 7/18/2030, 144A(b)      5,099,172  
  2,525,000      Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 2.744%, 7/15/2031, 144A(b)      2,408,827  
  3,920,000      Canyon CLO Ltd., Series 2021-4A, Class B, 3-month LIBOR + 1.700%, 2.744%, 10/15/2034, 144A(b)      3,718,175  
  7,170,000      Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3-month LIBOR + 1.650%, 2.713%, 10/20/2034, 144A(b)      6,816,505  
  Collateralized Loan Obligations — continued  
$ 6,500,000      CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 2.844%, 10/17/2031, 144A(b)    $ 6,260,754  
  4,415,000      CIFC Funding Ltd., Series 2021-6A, Class B, 3-month LIBOR + 1.650%, 2.694%, 10/15/2034, 144A(b)      4,181,976  
  3,335,000      Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 2.444%, 1/15/2031, 144A(b)      3,189,064  
  1,250,000      Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 2.834%, 10/25/2031, 144A(b)      1,190,172  
  4,465,000      Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 3.205%, 11/22/2031, 144A(b)      4,250,171  
  5,405,000      Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 2.613%, 4/20/2030, 144A(b)      5,197,934  
  13,735,000      Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 2.543%, 4/20/2031, 144A(b)      13,040,998  
  3,545,000      Invesco CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.050%, 4.094%, 4/15/2034, 144A(b)      3,190,535  
  13,180,000      Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 2.836%, 10/22/2030, 144A(b)      12,649,215  
  2,945,000      Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3-month LIBOR + 1.600%, 2.644%, 10/18/2031, 144A(b)      2,824,314  
  13,895,000      Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3-month Term SOFR + 1.950%, 2.738%, 4/15/2035, 144A(b)      13,004,129  
  2,105,000      Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.944%, 4/15/2034, 144A(b)      1,838,760  
  545,455      Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 2.798%, 10/21/2030, 144A(b)      521,206  
  6,205,000      OCP CLO Ltd., Series 2016-12A, Class BR2, 3-month Term SOFR + 1.810%, 2.531%, 4/18/2033, 144A(b)      5,861,991  
  14,755,000      OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 2.594%, 1/17/2032, 144A(b)      13,928,735  
  2,000,000      Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 2.644%, 7/15/2030, 144A(b)      1,901,216  
  1,986,282      Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 2.984%, 10/24/2030, 144A(b)      1,909,770  
  4,155,000      Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 4.344%, 7/15/2036, 144A(b)      3,750,461  
  7,170,000      Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 2.514%, 4/16/2031, 144A(b)      6,816,548  
  1,440,000      Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 3.205%, 5/21/2034, 144A(b)      1,369,608  
  12,875,000      Post CLO Ltd., Series 2022-1A, Class B, 3-month Term SOFR + 1.900%, 2.613%, 4/20/2035, 144A(b)      11,988,437  
  4,310,000      Rad CLO Ltd., Series 2021-15A, Class B, 3-month LIBOR + 1.650%, 1.897%, 1/20/2034, 144A(b)      4,056,813  

 

See accompanying notes to financial statements.

 

|  32

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Collateralized Loan Obligations — continued  
$ 1,730,000      Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 2.463%, 4/20/2034, 144A(b)    $ 1,604,452  
  1,015,000      Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 3.034%, 10/25/2031, 144A(b)      965,894  
  6,680,000      Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 4.313%, 4/20/2034, 144A(b)      6,225,413  
  1,830,000      Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 4.813%, 10/20/2034, 144A(b)      1,704,111  
  3,335,000      Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 2.744%, 10/18/2031, 144A(b)      3,163,961  
  1,610,000      Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 2.794%, 10/18/2031, 144A(b)      1,527,525  
  6,235,000      Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 2.694%, 10/15/2031, 144A(b)      5,917,402  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $205,514,256)		      197,083,826  
     

 

 

  
     
Shares                
  Preferred Stocks — 1.3%  
  Convertible Preferred Stocks — 1.3%  
   Banking — 0.7%

 

  17,832      Bank of America Corp., Series L, 7.250%      21,478,644  
  18,269      Wells Fargo & Co., Class A, Series L, 7.500%      22,206,152  
     

 

 

  
        43,684,796  
     

 

 

  
   Wireless — 0.6%

 

  28,763      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(e)      32,979,656  
     

 

 

  
  

Total Convertible Preferred Stocks

(Identified Cost $83,896,535)

      79,664,452  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $83,896,535)		      76,664,452  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 10.8%  
$ 395,029,785      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $395,033,626 on 7/01/2022 collateralized by $401,113,000 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $402,930,444 including accrued interest (Note 2 of Notes to Financial Statements)      395,029,785  
  72,900,000      U.S. Treasury Bills, 0.776%, 7/28/2022(i)      72,841,087  
  191,030,000      U.S. Treasury Bills, 1.530%-1.532%, 9/15/2022(i)(j)      190,392,808  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $658,299,928)		      658,263,680  
     

 

 

  
     
   Total Investments — 99.1%
(Identified Cost $6,488,606,639)		      6,001,702,049  
   Other assets less liabilities — 0.9%      55,132,748  
     

 

 

  
   Net Assets — 100.0%    $ 6,056,834,797  
     

 

 

  
     
  (†)      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. Rate as of June 30, 2022 is disclosed.

 

  (c)      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, 2022 is disclosed.

 

  (d)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $84,257,792 or 1.4% of net assets. See Note 2 of Notes to Financial Statements.

 

  (e)      Illiquid security.

 

  (f)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  (g)      Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.

 

  (h)      Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

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

 

  (j)      The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $2,125,269,275 or 35.1% of net assets.

 

  ABS      Asset-Backed Securities

 

  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

 

  SOFR      Secured Overnight Financing Rate

 

 

See accompanying notes to financial statements.

 

33  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

 

Reference Obligation   (Pay)/
Receive
Fixed Rate		   Expiration
Date		     Implied
Credit
Spread^		     Notional
Value(‡)		     Unamortized
Up Front
Premium
Paid/(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  

CDX.NA HY* Series 38 500, 5-Year

   5.00%     6/20/2027       5.78 %      32,363,100     $ (712,444 )    $ (929,763 )    $ (217,319 ) 

CDX.NA HY* Series 38 500, 5-Year

   5.00%     6/20/2027       5.78 %      13,518,450       (351,432 )      (388,373 )      (36,941 ) 

CDX.NA HY* Series 38 500, 5-Year

   5.00%     6/20/2027       5.78 %      13,518,450       (316,439 )      (388,373 )      (71,934 ) 
           

 

 

    

 

 

  

Total

             $ (1,706,509 )    $ (326,194 ) 
           

 

 

    

 

 

  

 

(‡)

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, 2022, open long futures contracts were as follows:

 

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

Ultra 10 Year U.S. Treasury Note

      9/21/2022        1,760      $ 215,769,092      $ 224,180,000      $ 8,410,908  
              

 

 

  

 

Industry Summary at June 30, 2022 (Unaudited)

 

Treasuries

      12.9 % 

Banking

      10.0  

ABS Car Loan

      6.5  

Technology

      4.8  

ABS Home Equity

      4.6  

Finance Companies

      3.9  

Life Insurance

      2.9  

Metals & Mining

      2.8  

ABS Other

      2.7  

Cable Satellite

      2.5  

Independent Energy

      2.4  

Aerospace & Defense

      2.1  

Wireless

      2.1  

Automotive

      2.0  

Other Investments, less than 2% each

      22.8  

Short-Term Investments

      10.8  

Collateralized Loan Obligations

      3.3  
  

 

 

  

Total Investments

      99.1  

Other assets less liabilities (including swap agreements and futures contracts)

      0.9  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  34

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 85.2% of Net Assets  
  Non-Convertible Bonds — 81.6%  
   ABS Car Loan — 5.8%

 

$ 2,590,000      American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A(a)    $ 2,512,800  
  2,660,000      American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A(a)      2,548,742  
  1,210,000      Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a)      1,200,152  
  1,035,000      Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A(a)      1,027,657  
  330,000      Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A(a)      326,450  
  1,165,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A      1,138,777  
  1,565,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A(a)      1,455,116  
  2,360,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026, 144A(a)      2,164,156  
  1,200,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a)      1,125,958  
  1,800,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A      1,740,179  
  1,785,000      California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a)      1,786,034  
  1,125,000      Carmax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025(a)      1,125,447  
  2,350,000      CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a)      2,342,724  
  610,000      Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028      569,533  
  1,180,000      Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a)      1,104,498  
  1,655,000      DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a)      1,650,019  
  1,110,000      DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A(a)      1,058,076  
  2,290,000      DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028, 144A(a)      2,229,997  
  1,265,000      Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a)      1,269,840  
  800,000      Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a)      793,149  
  635,000      First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A(a)      624,539  
  1,475,000      First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A(a)      1,440,295  
  3,305,000      Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a)      3,249,537  
  3,120,000      GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A      2,877,979  
   ABS Car Loan — continued

 

$ 4,913,414      GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a)    $ 4,906,463  
  4,540,000      GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a)      4,482,088  
  1,439,000      Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A      1,287,051  
  1,493,000      Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A      1,432,741  
  910,000      Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A      899,431  
  985,000      Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A      967,619  
  3,210,000      Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a)      3,240,598  
  1,140,000      Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a)      1,116,058  
  1,675,000      Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A(a)      1,610,487  
  1,920,000      Westlake Automobile Receivables Trust, Series 2022-2 2A, Class D, 5.480%, 9/15/2027, 144A      1,912,053  
     

 

 

  
        59,216,243  
     

 

 

  
   ABS Credit Card — 1.0%

 

  775,000      Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a)      760,055  
  2,845,000      Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A(a)      2,706,880  
  6,995,000      World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a)      6,989,745  
     

 

 

  
        10,456,680  
     

 

 

  
   ABS Home Equity — 7.0%

 

  141,014      Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)      136,908  
  147,301      Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)      143,875  
  147,331      Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025      143,587  
  300,000      American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)      302,304  
  2,170,000      American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)      2,206,317  
  1,200,000      American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)      1,227,644  
  3,138,000      American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a)      3,171,447  
  255,759      Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033      247,469  
  299,236      Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(a)      300,274  
  127,852      Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034      119,405  
  2,315,000      BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(a)(b)      2,119,331  
  2,184,554      CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)(b)      2,079,639  

 

See accompanying notes to financial statements.

 

35  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   ABS Home Equity — continued

 

$ 3,038,399      Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(b)    $ 3,034,230  
  456,632      Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 3.674%, 1/25/2040, 144A(c)      446,895  
  1,483,382      Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1, 30-day Average SOFR + 2.750%, 3.698%, 5/25/2042, 144A(a)(c)      1,480,600  
  1,830,000      CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a)      1,684,573  
  245,000      CoreVest American Finance Trust, Series 2020-2, Class C, 4.753%, 5/15/2052, 144A(a)(b)      232,094  
  1,340,000      CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A      1,121,559  
  292,585      Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)      280,202  
  369,608      Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034      359,643  
  34,499      Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.953%, 9/20/2034(b)      32,852  
  1,984,534      Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 2.938%, 12/26/2059, 144A(b)      1,956,147  
  1,345,897      Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b)      1,304,836  
  2,131,958      Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)(b)      2,018,742  
  114,483      CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)      113,332  
  360,431      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 2.272%, 9/19/2045(c)      243,591  
  1,117,981      Federal Home Loan Mortgage Corp., Series 2022-DN44, Class M1A, 30-day Average SOFR + 2.200%, 3.126%, 5/25/2042, 144A(a)(c)      1,103,864  
  833,607      Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 3.824%, 1/25/2030(a)(c)      837,226  
  1,715,000      FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A      1,573,682  
  4,165,000      FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A      3,804,445  
  244,741      GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)      235,169  
  244,928      Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A      206,001  
  404,679      IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 2.844%, 9/25/2034(c)      366,289  
  1,776,628      IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 2.044%, 2/25/2046(c)      1,353,811  
   ABS Home Equity — continued

 

$ 674,311      JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034    $ 660,505  
  1,492,290      Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b)      1,482,305  
  1,034,166      Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b)      1,018,107  
  284,787      Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 2.144%, 2/25/2046(c)      242,575  
  181,107      MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.750%, 5/25/2034(a)(b)      177,780  
  161,531      MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)      156,182  
  134,966      MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)      128,393  
  161,335      MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)      157,836  
  483,550      MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034      467,415  
  23,512      Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.408%, 5/25/2036(b)      23,002  
  245,000      Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)(b)      212,959  
  272,794      Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035      201,092  
  519,259      Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035      497,176  
  1,005,000      Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A(a)      962,378  
  785,000      Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A      706,189  
  795,000      Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A      695,197  
  570,000      Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A(a)      496,190  
  470,000      Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A      407,592  
  930,000      Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A(a)      804,117  
  400,000      Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A      344,106  
  585,000      Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A      501,059  
  415,000      Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A      332,395  
  1,137,484      PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b)      1,087,688  
  2,442,704      PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)(b)      2,302,928  
  3,126,981      PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a)(b)      2,937,683  
  1,955,990      PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(b)      1,848,232  
  1,844,380      Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 1.934%, 7/25/2035(c)      1,239,692  
  655,000      Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)(b)      562,392  
  4,085,391      Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)(b)      3,955,760  
  1,040,000      Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A      983,874  

 

See accompanying notes to financial statements.

 

|  36

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   ABS Home Equity — continued

 

$ 1,170,000      Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A    $ 998,474  
  596,977      VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)      574,759  
  1,120,889      VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b)      1,058,780  
  1,207,470      VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)      1,146,047  
  3,160,956      VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)(b)      2,994,426  
  1,497,510      VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)      1,422,356  
  1,985,542      VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)      1,895,035  
     

 

 

  
        71,670,659  
     

 

 

  
   ABS Other — 4.4%

 

  486,805      Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A      472,580  
  995,000      Affirm Asset Securitization Trust, Series 2021-A, Class C, 1.660%, 8/15/2025, 144A      951,509  
  2,218,114      AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 7.072%, 2/15/2040, 144A(b)      625,564  
  1,941,434      Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(a)      1,624,227  
  2,340,000      BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A(a)      2,141,062  
  834,911      Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(b)      737,772  
  451,343      Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A(a)      403,386  
  5,102,563      CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A(a)      4,500,049  
  885,550      DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A      762,852  
  535,537      Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A      532,798  
  673,843      Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a)      659,800  
  305,000      Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A(a)      295,431  
  276,017      Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a)      268,159  
  975,000      HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a)      962,832  
  5,900,000      HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a)      5,810,563  
  700,000      HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A(a)      656,187  
  1,936,416      Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A      1,700,043  
  988,407      MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a)      915,704  
  1,292,169      MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A      985,279  
  310,000      Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A(a)      288,722  
  241,637      MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A      233,511  
   ABS Other — continued

 

$ 234,158      MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A(a)    $ 222,203  
  730,000      Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A(a)      651,797  
  3,230,000      OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a)      3,226,734  
  1,110,000      OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a)      1,104,447  
  1,020,000      OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a)      891,964  
  810,000      OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A      683,695  
  3,407,392      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A      2,992,733  
  983,929      Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A      941,526  
  1,012,500      SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A(a)      851,210  
  2,172,470      SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a)      2,028,107  
  357,134      Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a)      334,722  
  3,850,151      TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A(a)      3,311,389  
  1,903,968      Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A      1,709,225  
  562,869      Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)(b)      460,003  
  743,509      Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A(a)      632,100  
     

 

 

  
        45,569,885  
     

 

 

  
   ABS Student Loan — 1.5%

 

  189,625      Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A(a)      165,075  
  1,277,721      Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a)      1,208,653  
  1,035,000      Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a)      1,033,642  
  1,775,000      Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042, 144A(a)      1,676,624  
  3,410,000      Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a)      3,055,520  
  695,000      Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a)      618,971  
  320,000      Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A(a)      291,603  

 

See accompanying notes to financial statements.

 

37  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   ABS Student Loan — continued

 

$ 1,290,000      Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a)    $ 1,146,053  
  810,000      Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062, 144A(a)      692,988  
  428,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 5.023%, 6/15/2032(a)(c)      419,500  
  1,259,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 5.133%, 3/15/2033(a)(c)      1,234,972  
  134,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 5.213%, 3/15/2033(a)(c)      131,443  
  800,000      SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a)      765,122  
  588,212      SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 2.074%, 10/15/2035, 144A(a)(c)      580,079  
  190,000      SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a)      175,643  
  510,000      SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a)      481,971  
  125,000      SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(b)      124,996  
  1,350,000      SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a)      1,231,043  
     

 

 

  
        15,033,898  
     

 

 

  
   ABS Whole Business — 1.7%

 

  3,892,157      Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a)      3,830,849  
  2,251,338      DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A(a)      2,098,818  
  97,750      Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A      88,474  
  2,998,125      Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A      2,665,420  
  2,523,000      Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a)      2,502,649  
  4,006,225      Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a)      3,773,536  
  988,200      Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A      929,253  
  1,440,450      Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A      1,220,927  
     

 

 

  
        17,109,926  
     

 

 

  
   Aerospace & Defense — 1.7%

 

  1,065,000      Boeing Co. (The), 3.375%, 6/15/2046      704,657  
  90,000      Boeing Co. (The), 3.625%, 3/01/2048      60,279  
  1,915,000      Boeing Co. (The), 3.750%, 2/01/2050      1,350,343  
  375,000      Boeing Co. (The), 3.825%, 3/01/2059      241,595  
  325,000      Boeing Co. (The), 3.850%, 11/01/2048      229,482  
  1,420,000      Boeing Co. (The), 3.900%, 5/01/2049      1,007,424  
  135,000      Boeing Co. (The), 3.950%, 8/01/2059      90,877  
   Aerospace & Defense — continued

 

$ 2,065,000      Boeing Co. (The), 5.150%, 5/01/2030    $ 1,982,148  
  2,480,000      Boeing Co. (The), 5.805%, 5/01/2050(a)      2,277,810  
  1,150,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      1,112,625  
  2,550,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(d)(e)      2,583,277  
  305,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      225,182  
  2,580,000      Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A      2,396,175  
  2,790,000      TransDigm, Inc., 8.000%, 12/15/2025, 144A      2,821,360  
     

 

 

  
        17,083,234  
     

 

 

  
   Airlines — 0.6%

 

  640,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A      588,022  
  735,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A      627,514  
  5,388,936      United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029      4,612,390  
  597,600      United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027      565,527  
     

 

 

  
        6,393,453  
     

 

 

  
   Automotive — 2.0%

 

  1,645,000      Allison Transmission, Inc., 4.750%, 10/01/2027, 144A      1,504,647  
  4,935,000      Aptiv PLC/Aptiv Corp., 2.396%, 2/18/2025(a)      4,712,923  
  4,675,000      Ford Motor Co., 9.000%, 4/22/2025      5,013,376  
  330,000      General Motors Co., 5.200%, 4/01/2045      277,182  
  2,530,000      General Motors Co., 5.400%, 4/01/2048(a)      2,200,852  
  2,905,000      General Motors Co., 5.950%, 4/01/2049(a)      2,697,624  
  1,365,000      General Motors Financial Co., Inc., 1.200%, 10/15/2024      1,269,328  
  1,455,000      General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(f)      1,218,563  
  1,170,000      General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(f)      993,038  
  470,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(f)      408,900  
     

 

 

  
        20,296,433  
     

 

 

  
   Banking — 9.0%

 

  2,530,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f)      2,006,328  
  2,400,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(f)      1,770,600  
  2,025,000      ANZ New Zealand International Ltd., 2.166%, 2/18/2025, 144A(a)      1,934,741  
  6,540,000      Bank of America Corp., (fixed rate to 02/04/2024, variable rate thereafter), 1.843%, 2/04/2025(a)      6,304,301  
  7,290,000      Bank of Nova Scotia (The), 0.650%, 7/31/2024(a)      6,833,929  
  1,735,000      Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(f)      1,330,508  
  4,460,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)      3,677,038  
  6,580,000      Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter), 2.014%, 1/25/2026(a)      6,164,191  
  1,330,000      Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025(a)      1,245,983  

 

See accompanying notes to financial statements.

 

|  38

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 5,280,000      Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032    $ 3,969,443  
  6,540,000      Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025(a)      6,286,967  
  6,595,000      JPMorgan Chase & Co., (fixed rate to 2/24/2025, variable rate thereafter), 2.595%, 2/24/2026(a)      6,268,151  
  7,370,000      JPMorgan Chase & Co., (fixed rate to 8/09/2024, variable rate thereafter), 0.768%, 8/09/2025(a)      6,835,440  
  7,615,000      Mitsubishi UFJ Financial Group, Inc., (fixed rate to 10/11/2024, variable rate thereafter), 0.962%, 10/11/2025(a)      7,053,680  
  7,575,000      Morgan Stanley, (fixed rate to 10/21/2024, variable rate thereafter), MTN, 1.164%, 10/21/2025(a)      7,026,494  
  6,595,000      Morgan Stanley, (fixed rate to 2/18/2025, variable rate thereafter), 2.630%, 2/18/2026(a)      6,291,895  
  7,275,000      Morgan Stanley, GMTN, (fixed rate to 1/22/2024, variable rate thereafter), 0.791%, 1/22/2025(a)      6,876,876  
  6,615,000      Royal Bank of Canada, 1.200%, 4/27/2026(a)      5,942,565  
  3,550,000      Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a)      2,867,598  
  2,255,000      UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A      2,017,205  
     

 

 

  
        92,703,933  
     

 

 

  
   Building Materials — 1.1%

 

  7,070,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      5,302,500  
  3,360,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      2,876,731  
  1,725,000      Cemex SAB de CV, 5.450%, 11/19/2029, 144A      1,533,525  
  1,720,000      Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(f)      1,459,334  
     

 

 

  
        11,172,090  
     

 

 

  
   Cable Satellite — 3.9%

 

  12,800,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A      12,080,000  
  520,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A      507,369  
  180,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032      136,193  
  645,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031      516,553  
  330,000      Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033      294,637  
  11,205,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061(a)      8,058,726  
  12,090,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      8,085,067  
  405,000      CSC Holdings LLC, 5.000%, 11/15/2031, 144A      272,985  
  405,000      CSC Holdings LLC, 5.750%, 1/15/2030, 144A      294,650  
  885,000      CSC Holdings LLC, 6.500%, 2/01/2029, 144A      799,270  
  2,740,000      DISH DBS Corp., 5.125%, 6/01/2029      1,664,934  
  6,185,000      DISH DBS Corp., 5.250%, 12/01/2026, 144A      4,848,050  
  1,565,000      Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A      1,399,188  
   Cable Satellite — continued

 

$ 1,625,000      Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A    $ 1,438,125  
     

 

 

  
        40,395,747  
     

 

 

  
   Chemicals — 0.5%

 

  1,330,000      Ashland LLC, 3.375%, 9/01/2031, 144A      1,081,787  
  2,115,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      1,803,841  
  210,000      INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A      176,346  
  1,105,000      Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A      884,939  
  1,340,000      SPCM S.A., 3.125%, 3/15/2027, 144A      1,128,736  
     

 

 

  
        5,075,649  
     

 

 

  
   Construction Machinery — 1.2%

 

  3,670,000      Caterpillar Financial Services Corp., MTN, 0.600%, 9/13/2024(a)      3,453,056  
  5,370,000      Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024(a)      5,185,910  
  2,730,000      John Deere Capital Corp., MTN, 0.625%, 9/10/2024(a)      2,567,639  
  1,110,000      United Rentals North America, Inc., 4.875%, 1/15/2028      1,049,483  
     

 

 

  
        12,256,088  
     

 

 

  
   Consumer Cyclical Services — 1.8%

 

  380,000      Expedia Group, Inc., 2.950%, 3/15/2031      302,251  
  405,000      Expedia Group, Inc., 3.250%, 2/15/2030      337,761  
  1,575,000      Go Daddy Operating Co. LLC / GD Finance Co., Inc., 5.250%, 12/01/2027, 144A      1,441,125  
  925,000      TriNet Group, Inc., 3.500%, 3/01/2029, 144A      761,895  
  10,725,000      Uber Technologies, Inc., 4.500%, 8/15/2029, 144A      8,821,313  
  680,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      628,891  
  6,470,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      6,268,007  
  320,000      Uber Technologies, Inc., 8.000%, 11/01/2026, 144A      318,560  
     

 

 

  
        18,879,803  
     

 

 

  
   Consumer Products — 0.1%

 

  1,605,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      1,321,557  
     

 

 

  
   Electric — 1.2%

 

  1,955,000      Calpine Corp., 3.750%, 3/01/2031, 144A      1,590,197  
  1,165,000      Calpine Corp., 5.125%, 3/15/2028, 144A      1,025,549  
  3,805,000      Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(f)      3,091,562  
  3,860,000      NRG Energy, Inc., 5.750%, 1/15/2028      3,508,470  
  460,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      307,259  
  2,135,000      Pacific Gas & Electric Co., 4.300%, 3/15/2045      1,552,176  
  255,000      Pacific Gas & Electric Co., 4.950%, 7/01/2050      203,467  
  685,000      Pacific Gas & Electric Co., 5.450%, 6/15/2027      662,895  
     

 

 

  
        11,941,575  
     

 

 

  
   Finance Companies — 4.3%

 

  1,140,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025      1,166,422  
  4,455,000      Aircastle Ltd., 4.250%, 6/15/2026(a)      4,121,409  
  855,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(f)      705,656  
  1,530,000      Ares Capital Corp., 2.875%, 6/15/2028      1,212,129  
  3,400,000      Ares Capital Corp., 3.200%, 11/15/2031(a)      2,470,462  
  1,870,000      Barings BDC, Inc., 3.300%, 11/23/2026, 144A      1,622,079  

 

See accompanying notes to financial statements.

 

39  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 6,355,000      Blackstone Secured Lending Fund, 2.125%, 2/15/2027    $ 5,314,361  
  2,335,000      FS KKR Capital Corp., 3.125%, 10/12/2028      1,862,314  
  5,050,000      FS KKR Capital Corp., 3.400%, 1/15/2026      4,482,134  
  90,000      Navient Corp., 5.875%, 10/25/2024      82,727  
  1,040,000      Oaktree Specialty Lending Corp., 2.700%, 1/15/2027      900,648  
  2,290,000      OneMain Finance Corp., 3.500%, 1/15/2027      1,832,000  
  5,000      OneMain Finance Corp., 6.875%, 3/15/2025      4,739  
  2,415,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      1,896,393  
  1,415,000      Owl Rock Technology Finance Corp., 2.500%, 1/15/2027      1,193,957  
  11,490,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A      9,495,451  
  2,865,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      2,252,807  
  105,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      78,675  
  5,245,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A      3,723,950  
     

 

 

  
        44,418,313  
     

 

 

  
   Financial Other — 1.0%

 

  540,000      Agile Group Holdings Ltd., 5.500%, 4/21/2025      179,523  
  425,000      Agile Group Holdings Ltd., 5.500%, 5/17/2026      136,399  
  430,000      Agile Group Holdings Ltd., 5.750%, 1/02/2025      146,200  
  1,540,000      Agile Group Holdings Ltd., 6.050%, 10/13/2025      495,757  
  485,000      Central China Real Estate Ltd., 7.250%, 7/16/2024      150,597  
  410,000      Central China Real Estate Ltd., 7.250%, 8/13/2024      126,620  
  1,000,000      Central China Real Estate Ltd., 7.650%, 8/27/2023      428,830  
  625,000      Central China Real Estate Ltd., 7.750%, 5/24/2024      197,425  
  670,000      CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d)(e)(g)      57,245  
  1,350,000      CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(g)      115,169  
  200,000      CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(g)      16,910  
  590,000      CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(d)(e)(g)      53,466  
  870,000      CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(g)      77,082  
  785,000      CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(d)(e)(g)      70,512  
  710,000      China Aoyuan Group Ltd., 6.350%, 2/08/2024(d)(e)(g)      65,135  
  645,000      China Aoyuan Group Ltd., 7.950%, 2/19/2023(d)(e)(g)      60,953  
  630,000      China Evergrande Group, 8.250%, 3/23/2022(g)      51,755  
  1,020,000      China Evergrande Group, 8.750%, 6/28/2025(d)(e)(g)      83,926  
  270,000      China Evergrande Group, 9.500%, 4/11/2022(g)      21,978  
  220,000      China Evergrande Group, 9.500%, 3/29/2024(g)      18,667  
  1,110,000      CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026      631,612  
  480,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029      387,917  
  1,115,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024      1,040,637  
  1,980,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      1,753,963  
   Financial Other — continued

 

$ 125,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026    $ 117,020  
  470,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025      444,296  
  1,875,000      Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(g)      257,812  
  205,000      Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(g)      27,944  
  855,000      Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(g)      116,049  
  4,525,000      Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(g)      613,861  
  2,045,000      Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(g)      276,913  
  2,125,000      Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(g)      289,510  
  645,000      KWG Group Holdings Ltd., 6.000%, 8/14/2026      122,763  
  845,000      KWG Group Holdings Ltd., 6.300%, 2/13/2026      169,253  
  400,000      Logan Group Co. Ltd., 4.250%, 7/12/2025      85,036  
  230,000      Logan Group Co. Ltd., 4.850%, 12/14/2026      49,291  
  825,000      Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)(e)      85,132  
  725,000      Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)(e)      77,626  
  610,000      Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)(e)      67,295  
  410,000      Sunac China Holdings Ltd., 6.500%, 1/10/2025(g)      61,258  
  2,620,000      Sunac China Holdings Ltd., 6.500%, 1/26/2026(d)(e)(g)      386,267  
  205,000      Sunac China Holdings Ltd., 6.650%, 8/03/2024(g)      31,154  
  1,090,000      Sunac China Holdings Ltd., 7.000%, 7/09/2025(g)      162,334  
  210,000      Times China Holdings Ltd., 5.750%, 1/14/2027(d)(e)      27,529  
  1,085,000      Times China Holdings Ltd., 6.200%, 3/22/2026(d)(e)      157,162  
  4,400,000      Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)(e)(g)      286,000  
  325,000      Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(d)(e)(g)      22,987  
  415,000      Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d)(e)(g)      30,677  
  555,000      Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d)(e)(g)      40,471  
  1,360,000      Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d)(e)(g)      91,134  
  210,000      Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d)(e)(g)      14,099  
  220,000      Zhenro Properties Group Ltd., 7.350%, 2/05/2025(d)(e)(g)      15,248  
     

 

 

  
        10,494,399  
     

 

 

  
   Food & Beverage — 0.9%

 

  2,055,000      Aramark Services, Inc., 6.375%, 5/01/2025, 144A      2,010,509  
  175,000      Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A      174,414  
  1,015,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A      857,374  
  350,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      291,574  
  3,975,000      MARB BondCo. PLC, 3.950%, 1/29/2031, 144A      3,051,886  

 

See accompanying notes to financial statements.

 

|  40

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Food & Beverage — continued

 

$ 2,980,000      Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A    $ 2,853,350  
     

 

 

  
        9,239,107  
     

 

 

  
   Gaming — 1.2%

 

  1,810,000      Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A      1,432,639  
  875,000      Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A      663,950  
  2,940,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      2,758,984  
  910,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      853,407  
  2,670,000      VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A      2,296,393  
  1,320,000      VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A      1,205,569  
  1,140,000      VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A      1,048,800  
  985,000      VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A      936,981  
  815,000      VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A      804,813  
     

 

 

  
        12,001,536  
     

 

 

  
   Government Owned – No Guarantee — 1.5%

 

  2,350,000      Antares Holdings LP, 2.750%, 1/15/2027, 144A      1,876,621  
  2,790,000      Antares Holdings LP, 3.750%, 7/15/2027, 144A      2,345,681  
  845,000      Antares Holdings LP, 3.950%, 7/15/2026, 144A      733,495  
  4,801,000,000      Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)      1,061,903  
  6,595,000      Petroleos Mexicanos, 5.950%, 1/28/2031(a)      4,823,451  
  5,290,000      Petroleos Mexicanos, 6.625%, 6/15/2035(a)      3,607,304  
  1,770,000      YPF S.A., 6.950%, 7/21/2027, 144A      1,004,475  
     

 

 

  
        15,452,930  
     

 

 

  
   Health Insurance — 0.7%

 

  6,575,000      Centene Corp., 4.250%, 12/15/2027      6,137,565  
  965,000      Molina Healthcare, Inc., 4.375%, 6/15/2028, 144A      862,007  
     

 

 

  
        6,999,572  
     

 

 

  
   Healthcare — 2.2%

 

  2,255,000      Avantor Funding, Inc., 3.875%, 11/01/2029, 144A      1,972,336  
  475,000      Charles River Laboratories International, Inc., 4.250%, 5/01/2028, 144A      426,697  
  1,775,000      HCA, Inc., 5.375%, 2/01/2025      1,765,699  
  3,855,000      HCA, Inc., 5.875%, 2/15/2026      3,874,776  
  7,600,000      PerkinElmer, Inc., 0.850%, 9/15/2024(a)      7,034,088  
  340,000      Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A      312,800  
  175,000      Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A      149,762  
  255,000      Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A      234,706  
  7,610,000      Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024(a)      7,209,620  
     

 

 

  
        22,980,484  
     

 

 

  
   Independent Energy — 2.5%

 

  3,095,000      Aker BP ASA, 3.750%, 1/15/2030, 144A(a)      2,772,706  
  1,670,000      Aker BP ASA, 4.000%, 1/15/2031, 144A      1,500,064  
  2,710,000      ConocoPhillips Co., 2.400%, 3/07/2025(a)      2,615,410  
  410,000      Continental Resources, Inc., 2.875%, 4/01/2032, 144A      320,177  
   Independent Energy — continued

 

$ 3,280,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A(a)    $ 3,171,563  
  1,515,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      1,282,144  
  2,185,000      EQT Corp., 3.625%, 5/15/2031, 144A      1,887,971  
  1,680,000      EQT Corp., 3.900%, 10/01/2027      1,563,391  
  585,000      EQT Corp., 5.000%, 1/15/2029      566,327  
  1,790,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      1,687,039  
  740,000      Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A      681,858  
  4,660,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      4,627,520  
  115,000      Occidental Petroleum Corp., 6.125%, 1/01/2031      116,544  
  180,000      Occidental Petroleum Corp., 7.875%, 9/15/2031      197,550  
  180,000      Occidental Petroleum Corp., 8.875%, 7/15/2030      206,654  
  320,000      Ovintiv, Inc., 6.500%, 8/15/2034      333,995  
  140,000      Ovintiv, Inc., 6.500%, 2/01/2038      144,474  
  695,000      Ovintiv, Inc., 6.625%, 8/15/2037      729,154  
  90,000      Ovintiv, Inc., 7.200%, 11/01/2031      98,404  
  85,000      Ovintiv, Inc., 7.375%, 11/01/2031      93,443  
  385,000      Ovintiv, Inc., 8.125%, 9/15/2030      442,267  
  380,000      Southwestern Energy Co., 4.750%, 2/01/2032      324,719  
     

 

 

  
        25,363,374  
     

 

 

  
   Industrial Other — 0.3%

 

  1,865,000      GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A      1,698,008  
  1,270,000      GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024      1,231,379  
  500,000      TopBuild Corp., 4.125%, 2/15/2032, 144A      384,921  
     

 

 

  
        3,314,308  
     

 

 

  
   Leisure — 0.7%

 

  1,880,000      Carnival Corp., 5.750%, 3/01/2027, 144A      1,357,887  
  580,000      Carnival Corp., 6.000%, 5/01/2029, 144A      407,514  
  1,560,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      1,224,428  
  1,405,000      NCL Corp. Ltd., 5.875%, 2/15/2027, 144A      1,201,289  
  570,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A      414,675  
  240,000      Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A      170,486  
  3,090,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      2,147,550  
     

 

 

  
        6,923,829  
     

 

 

  
   Life Insurance — 0.1%

 

  1,110,000      Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A      1,005,648  
     

 

 

  
   Local Authorities — 0.7%

 

  7,080,000      Province of Ontario Canada, 1.050%, 4/14/2026(a)      6,502,598  
  67,000,000      Provincia de Buenos Aires, BADLARPP + 3.750%, 49.102%, 4/12/2025, 144A, (ARS)(c)      236,222  
     

 

 

  
        6,738,820  
     

 

 

  
   Lodging — 0.7%

 

  435,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A      332,030  
  1,435,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A      1,162,350  
  1,370,000      Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027      1,290,725  
  360,000      Hyatt Hotels Corp., (Step to 5.625% on 4/23/2022), 5.625%, 4/23/2025      364,634  
  1,125,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      935,638  

 

See accompanying notes to financial statements.

 

41  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 1,005,000      Travel & Leisure Co., 4.500%, 12/01/2029, 144A    $ 777,458  
  1,535,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      1,189,625  
  195,000      Travel & Leisure Co., 6.000%, 4/01/2027      176,617  
  960,000      Travel & Leisure Co., 6.625%, 7/31/2026, 144A      910,205  
     

 

 

  
        7,139,282  
     

 

 

  
   Media Entertainment — 1.9%

 

  2,745,000      Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/2027, 144A      2,317,686  
  2,830,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      2,332,146  
  2,400,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      2,053,992  
  1,220,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      969,509  
  655,000      Magallanes, Inc., 3.755%, 3/15/2027, 144A      614,711  
  855,000      Magallanes, Inc., 4.054%, 3/15/2029, 144A      783,838  
  1,315,000      Magallanes, Inc., 4.279%, 3/15/2032, 144A      1,174,808  
  1,040,000      Netflix, Inc., 4.875%, 4/15/2028      978,692  
  3,215,000      Netflix, Inc., 4.875%, 6/15/2030, 144A(a)      2,942,513  
  860,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      812,700  
  1,325,000      Netflix, Inc., 5.875%, 11/15/2028      1,295,466  
  1,705,000      Netflix, Inc., 6.375%, 5/15/2029      1,721,965  
  1,025,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A      895,594  
  600,000      Playtika Holding Corp., 4.250%, 3/15/2029, 144A      495,000  
     

 

 

  
        19,388,620  
     

 

 

  
   Metals & Mining — 1.1%

 

  4,180,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      3,849,780  
  3,870,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      3,658,937  
  1,930,000      FMG Resources August Pty Ltd., 4.500%, 9/15/2027, 144A      1,722,525  
  1,310,000      Freeport-McMoRan, Inc., 4.250%, 3/01/2030      1,192,020  
  1,455,000      Freeport-McMoRan, Inc., 4.625%, 8/01/2030      1,349,920  
     

 

 

  
        11,773,182  
     

 

 

  
   Midstream — 0.5%

 

  2,340,000      DCP Midstream Operating LP, 5.375%, 7/15/2025      2,275,650  
  695,000      Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A      582,038  
  770,000      Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A      733,425  
  2,070,000      Western Midstream Operating LP, 3.600%, 2/01/2025      1,906,988  
     

 

 

  
        5,498,101  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 5.2%

 

  2,995,000      Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 3.864%, 10/15/2037, 144A(a)(c)      2,938,283  
  2,155,000      BPR Trust, Series 2021-NRD, Class F, 1-month Term SOFR + 6.870%, 8.204%, 12/15/2023, 144A(c)      2,025,751  
  2,040,000      Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.108%, 5/10/2047, 144A(b)      1,859,929  
  2,585,000      Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A(a)      2,464,789  
  140,000      Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.456%, 12/10/2044(b)      133,031  
   Non-Agency Commercial Mortgage-Backed Securities — continued

 

$ 1,890,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A    $ 1,586,547  
  5,680,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A      4,450,625  
  750,000      DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)      705,916  
  611,238      Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 3.575%, 7/15/2038, 144A(c)      589,750  
  1,640,000      Greystone Commercial Real Estate Notes Ltd., Series 2021-HC2, Class A, 1-month LIBOR + 1.800%, 3.124%, 12/15/2039, 144A(a)(c)      1,572,181  
  3,195,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)      2,510,561  
  540,000      GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.302%, 8/10/2044, 144A(b)      448,200  
  3,905,000      GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.302%, 8/10/2044, 144A(b)      1,663,530  
  1,420,000      GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.720%, 4/10/2031, 144A(a)(b)      1,365,464  
  845,000      GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)      773,599  
  1,945,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b)      1,849,413  
  405,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class C, 4.934%, 10/15/2045, 144A(a)(b)      404,122  
  2,435,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.509%, 12/15/2047, 144A(a)(b)      2,410,613  
  1,088,282      Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.385%, 6/15/2044, 144A(b)      1,027,015  
  2,515,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(b)(d)(e)      2,012,000  
  1,350,000      RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(a)(b)      1,328,433  
  1,060,000      Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 4.075%, 11/15/2027, 144A(c)(e)(h)(i)      528,592  
  4,243,654      Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 4.825%, 11/15/2027, 144A(c)(e)(h)(i)      1,185,571  
  3,575,000      Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 5.725%, 11/15/2027, 144A(c)(e)(h)(i)      361,690  
  1,370,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.961%, 5/10/2063, 144A(b)(d)(e)      46,306  
  3,094,293      Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(b)      2,901,705  

 

See accompanying notes to financial statements.

 

|  42

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 1,690,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)(b)    $ 1,480,256  
  440,000      Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.305%, 11/15/2059(b)      373,533  
  4,885,000      Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(b)      4,383,295  
  2,886,031      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.415%, 3/15/2044, 144A(b)      1,229,449  
  1,699,593      WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.026%, 6/15/2044, 144A(b)      1,318,766  
  2,245,000      WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.491%, 12/15/2045(b)      2,093,240  
  725,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.689%, 6/15/2045(b)      514,750  
  1,909,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.689%, 6/15/2045, 144A(b)      887,685  
  975,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.689%, 6/15/2045, 144A(b)(d)(e)      87,750  
  1,570,000      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a)      1,487,518  
     

 

 

  
        52,999,858  
     

 

 

  
   Pharmaceuticals — 1.9%

 

  685,000      Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A      536,040  
  1,325,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A      705,563  
  145,000      Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A      75,400  
  965,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      498,595  
  1,960,000      Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A      1,003,079  
  165,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      87,813  
  270,000      Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A      154,575  
  600,000      Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A      520,368  
  1,665,000      Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR)      1,697,363  
  5,755,000      Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023      5,575,962  
  795,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      651,900  
  10,035,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      6,249,296  
  635,000      Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029      523,081  
  1,015,000      Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025      989,253  
     

 

 

  
        19,268,288  
     

 

 

  
   REITs – Health Care — 0.0%

 

$ 455,000      National Health Investors, Inc., 3.000%, 2/01/2031    $ 349,195  
     

 

 

  
   REITs – Mortgage — 0.2%

 

  1,630,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      1,315,935  
  390,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A      352,950  
     

 

 

  
        1,668,885  
     

 

 

  
   Restaurants — 0.3%

 

  2,885,000      1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A      2,522,355  
  1,285,000      Yum! Brands, Inc., 3.625%, 3/15/2031      1,079,400  
     

 

 

  
        3,601,755  
     

 

 

  
   Retailers — 0.1%

 

  1,070,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      910,730  
     

 

 

  
   Technology — 1.8%

 

  1,855,000      Broadcom, Inc., 4.150%, 11/15/2030      1,699,576  
  770,000      CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026      686,019  
  1,975,000      CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029      1,665,260  
  490,000      CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028      442,225  
  1,615,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      1,193,965  
  3,815,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      2,899,705  
  330,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      278,850  
  1,060,000      Iron Mountain, Inc., 5.000%, 7/15/2028, 144A      938,828  
  1,315,000      Microchip Technology, Inc., 0.983%, 9/01/2024      1,226,295  
  1,660,000      Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR)      1,589,658  
  330,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030      291,102  
  3,580,000      Oracle Corp., 3.950%, 3/25/2051(a)      2,629,498  
  2,050,000      Western Digital Corp., 2.850%, 2/01/2029      1,669,100  
  1,780,000      Western Digital Corp., 4.750%, 2/15/2026      1,698,316  
     

 

 

  
        18,908,397  
     

 

 

  
   Transportation Services — 0.2%

 

  1,855,000      Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A      1,727,116  
     

 

 

  
   Treasuries — 5.6%

 

  37,993(†††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)      6,839,509  
  604,374(††††)      Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a)      2,951,829  
  1,342,545(††††)      Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)(a)      6,329,947  
  338,660,000      Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR)      16,440,948  
  13,330,000      U.S. Treasury Note, 0.125%, 2/28/2023(a)(j)      13,103,494  
  12,005,000      U.S. Treasury Note, 1.500%, 3/31/2023(a)      11,891,046  
     

 

 

  
        57,556,773  
     

 

 

  
   Wireless — 1.5%

 

  4,365,000      HTA Group Ltd., 7.000%, 12/18/2025, 144A      3,726,837  
  1,695,000      IHS Holding Ltd., 5.625%, 11/29/2026, 144A      1,388,273  
  1,525,000      IHS Holding Ltd., 6.250%, 11/29/2028, 144A      1,229,912  
  3,769,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      3,424,551  

 

See accompanying notes to financial statements.

 

43  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

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

 

$ 225,000      Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A    $ 166,500  
  657,000      Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A      564,370  
  3,385,000      SBA Communications Corp., 3.875%, 2/15/2027      3,089,794  
  1,630,000      SoftBank Group Corp., 4.625%, 7/06/2028      1,263,250  
  750,000      SoftBank Group Corp., 5.250%, 7/06/2031      552,960  
     

 

 

  
        15,406,447  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $973,864,081)		      837,705,802  
     

 

 

  
     
  Convertible Bonds — 3.6%  
   Airlines — 0.5%

 

  915,000      JetBlue Airways Corp., 0.500%, 4/01/2026      672,982  
  3,680,000      Southwest Airlines Co., 1.250%, 5/01/2025(a)      4,333,200  
     

 

 

  
        5,006,182  
     

 

 

  
   Cable Satellite — 0.8%

 

  35,000      Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(k)      28,840  
  2,710,000      DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(l)      1,903,585  
  1,170,000      DISH Network Corp., 2.375%, 3/15/2024      1,029,600  
  7,980,000      DISH Network Corp., 3.375%, 8/15/2026      5,390,490  
     

 

 

  
        8,352,515  
     

 

 

  
   Consumer Cyclical Services — 0.3%

 

  235,000      Peloton Interactive, Inc., Zero Coupon, 0.519%-0.987%, 2/15/2026(l)      150,743  
  3,425,000      Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(l)      2,736,986  
     

 

 

  
        2,887,729  
     

 

 

  
   Gaming — 0.1%

 

  615,000      Penn National Gaming, Inc., 2.750%, 5/15/2026      911,000  
     

 

 

  
   Healthcare — 0.4%

 

  5,175,000      Teladoc Health, Inc., 1.250%, 6/01/2027      3,790,687  
     

 

 

  
   Leisure — 0.1%

 

  2,375,000      NCL Corp. Ltd., 1.125%, 2/15/2027, 144A      1,523,563  
     

 

 

  
   Media Entertainment — 0.3%

 

  1,505,000      Snap, Inc., Zero Coupon, 6.697%-7.114%, 5/01/2027(l)      1,042,212  
  1,420,000      Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(l)      1,120,380  
  580,000      Twitter, Inc., Zero Coupon, 0.000%-1.354%, 3/15/2026(l)      513,337  
     

 

 

  
        2,675,929  
     

 

 

  
   Pharmaceuticals — 1.0%

 

  2,990,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      2,960,100  
  5,635,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027      5,600,063  
  855,000      Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(k)      527,963  
  1,285,000      Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(k)      1,168,450  
  505,000      Livongo Health, Inc., 0.875%, 6/01/2025      428,038  
     

 

 

  
        10,684,614  
     

 

 

  
   Technology — 0.1%

 

  85,000      Bentley Systems, Inc., 0.375%, 7/01/2027, 144A      65,875  
  255,000      RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(l)      191,505  
   Technology — continued

 

$ 1,325,000      Splunk, Inc., 1.125%, 6/15/2027    $ 1,093,125  
  55,000      Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(k)      40,425  
     

 

 

  
        1,390,930  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $46,230,562)		      37,223,149  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $1,020,094,643)		      874,928,951  
     

 

 

  
     
  Senior Loans — 0.4%  
   Cable Satellite — 0.2%

 

  808,937      DirecTV Financing LLC, Term Loan, 1-month LIBOR + 5.000%, 6.666%, 8/02/2027(c)(m)      742,540  
  1,930,000      Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.00%, 3.000%, 1/31/2029, (EUR)(c)(n)      1,791,306  
     

 

 

  
        2,533,846  
     

 

 

  
   Media Entertainment — 0.2%

 

  2,222,062      Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 4.416%, 3/13/2028(c)(n)      2,090,138  
     

 

 

  
   Total Senior Loans
(Identified Cost $5,164,450)		      4,623,984  
     

 

 

  
     
  Collateralized Loan Obligations — 5.6%  
  1,350,000      AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 3.194%, 1/15/2033, 144A(a)(c)      1,264,419  
  1,740,000      AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 4.344%, 1/15/2033, 144A(c)      1,645,528  
  3,460,000      Aimco CLO 11 Ltd., Series 2020-11A, Class DR, 3-month LIBOR + 3.000%, 4.044%, 10/17/2034, 144A(c)      3,149,493  
  480,000      Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.994%, 7/16/2031, 144A(a)(c)      450,951  
  3,175,000      Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 3.044%, 4/15/2033, 144A(a)(c)      2,949,016  
  500,000      Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 7.434%, 4/25/2034, 144A(c)      439,360  
  1,105,000      Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 4.763%, 1/20/2034, 144A(c)      1,033,567  
  400,000      Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 4.213%, 4/20/2031, 144A(c)      357,960  
  850,000      Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 3.844%, 1/15/2033, 144A(a)(c)      827,060  
  1,830,000      Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 3.713%, 4/20/2034, 144A(c)      1,644,002  
  445,000      Battalion CLO XVI Ltd., Series 2019 16A, Class DR, 3-month LIBOR + 3.250%, 4.313%, 12/19/2032, 144A(a)(c)      417,532  

 

See accompanying notes to financial statements.

 

|  44

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Collateralized Loan Obligations — continued  
$ 915,000      Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.994%, 4/15/2029, 144A(a)(c)    $ 864,098  
  455,000      Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 3.213%, 10/20/2029, 144A(a)(c)      433,076  
  400,000      Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 2.863%, 1/20/2031, 144A(a)(c)      372,182  
  970,000      CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 4.313%, 7/20/2034, 144A(c)      907,092  
  730,000      CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.994%, 10/18/2030, 144A(a)(c)      692,316  
  265,000      CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 3.084%, 4/24/2030, 144A(a)(c)      251,176  
  875,000      Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 6.894%, 10/15/2030, 144A(c)      756,465  
  250,000      Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 2.794%, 4/18/2031, 144A(a)(c)      233,565  
  300,000      Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 2.894%, 4/15/2029, 144A(a)(c)      285,445  
  1,405,000      Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 7.355%, 11/22/2031, 144A(c)      1,188,332  
  2,435,000      Generate CLO Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 4.936%, 1/22/2033, 144A(c)      2,321,144  
  650,000      Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.994%, 10/15/2030, 144A(c)      604,913  
  320,000      Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.963%, 4/20/2030, 144A(a)(c)      300,794  
  1,550,000      Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3-month LIBOR + 4.160%, 5.223%, 1/20/2034, 144A(c)      1,497,624  
  310,000      LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 4.063%, 4/20/2031, 144A(c)      269,944  
  475,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 3.334%, 1/23/2031, 144A(a)(c)      448,897  
  300,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(c)      283,657  
  3,300,000      Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 3.138%, 1/28/2030, 144A(a)(c)      3,112,567  
  2,100,000      Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 8.293%, 10/20/2032, 144A(c)      1,795,338  
  495,000      Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 6.813%, 10/20/2030, 144A(c)      418,234  
  920,000      Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 3.036%, 1/22/2030, 144A(a)(c)      860,286  
  Collateralized Loan Obligations — continued  
$ 445,000      OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 7.458%, 4/21/2034, 144A(c)    $ 392,832  
  1,900,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7.313%, 7/02/2035, 144A(c)      1,670,052  
  5,105,000      OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3-month LIBOR + 6.400%, 7.536%, 10/22/2036, 144A(c)      4,538,228  
  1,745,000      OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 3.044%, 4/18/2033, 144A(a)(c)      1,626,199  
  2,245,000      OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 4.234%, 7/23/2031, 144A(c)      2,091,803  
  1,570,000      OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 3.013%, 1/20/2033, 144A(a)(c)      1,459,229  
  2,050,000      OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 4.794%, 4/15/2034, 144A(c)      1,944,427  
  300,000      Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 3.013%, 7/20/2030, 144A(a)(c)      284,251  
  2,610,000      Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 3.063%, 7/20/2029, 144A(a)(c)      2,437,288  
  1,045,000      Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 4.334%, 7/24/2031, 144A(c)      945,505  
  1,190,000      Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 3.863%, 7/20/2034, 144A(c)      1,082,247  
  340,000      Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 4.313%, 4/20/2034, 144A(c)      295,453  
  920,000      Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 4.144%, 7/15/2031, 144A(c)      804,307  
  2,565,000      Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.944%, 10/15/2029, 144A(a)(c)      2,417,928  
  920,000      TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 4.094%, 4/25/2031, 144A(c)      830,884  
  1,030,000      TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 3.194%, 4/15/2033, 144A(a)(c)      966,124  
  610,000      TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 3.213%, 4/20/2033, 144A(a)(c)      572,815  
  895,000      TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 6.934%, 7/25/2031, 144A(c)      756,895  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $59,923,242)		      57,192,500  
     

 

 

  
     
Shares                
  Common Stocks — 3.1%  
   Aerospace & Defense — 0.1%

 

  392      L3Harris Technologies, Inc.      94,747  
  1,618      Lockheed Martin Corp.      695,675  
     

 

 

  
        790,422  
     

 

 

  

 

See accompanying notes to financial statements.

 

45  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Air Freight & Logistics — 0.1%

 

  2,950      United Parcel Service, Inc., Class B    $ 538,493  
     

 

 

  
   Beverages — 0.1%

 

  10,020      Coca-Cola Co. (The)      630,358  
     

 

 

  
   Biotechnology — 0.1%

 

  5,284      AbbVie, Inc.      809,297  
     

 

 

  
   Capital Markets — 0.1%

 

  1,025      BlackRock, Inc.      624,266  
  6,051      Morgan Stanley      460,239  
     

 

 

  
        1,084,505  
     

 

 

  
   Communications Equipment — 0.0%

 

  11,670      Cisco Systems, Inc.      497,609  
     

 

 

  
   Construction Materials — 0.1%

 

  240,838      Cemex SAB de CV, Sponsored ADR(o)      944,085  
     

 

 

  
   Electric Utilities — 0.1%

 

  4,753      Duke Energy Corp.      509,569  
  8,475      NextEra Energy, Inc.      656,474  
     

 

 

  
        1,166,043  
     

 

 

  
   Food & Staples Retailing — 0.1%

 

  4,963      Walmart, Inc.      603,402  
     

 

 

  
   Health Care Equipment & Supplies — 0.0%

 

  3,760      Abbott Laboratories      408,524  
     

 

 

  
   Health Care Providers & Services — 0.1%

 

  834      Elevance Health, Inc.      402,472  
  612      UnitedHealth Group, Inc.      314,341  
     

 

 

  
        716,813  
     

 

 

  
   Hotels, Restaurants & Leisure — 0.1%

 

  7,950      Starbucks Corp.      607,300  
     

 

 

  
   Household Products — 0.1%

 

  4,820      Procter & Gamble Co. (The)      693,068  
     

 

 

  
   IT Services — 0.0%

 

  1,743      Accenture PLC, Class A      483,944  
     

 

 

  
   Life Sciences Tools & Services — 0.0%

 

  487      Thermo Fisher Scientific, Inc.      264,577  
     

 

 

  
   Machinery — 0.1%

 

  1,996      Cummins, Inc.      386,286  
  1,306      Deere & Co.      391,108  
     

 

 

  
        777,394  
     

 

 

  
   Media — 0.3%

 

  365,397      Altice USA, Inc., Class A(o)      3,379,922  
  17,671      Comcast Corp., Class A      693,410  
     

 

 

  
        4,073,332  
     

 

 

  
   Metals & Mining — 0.0%

 

  8,017      Newmont Corp.      478,374  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.1%

 

  14,685      California Resources Corp.      565,372  
  2,272      Pioneer Natural Resources Co.      506,838  
  13,384      Williams Cos., Inc. (The)      417,715  
     

 

 

  
        1,489,925  
     

 

 

  
   Pharmaceuticals — 0.2%

 

  6,989      Bristol-Myers Squibb Co.      538,153  
  4,800      Johnson & Johnson      852,048  
  10,143      Merck & Co., Inc.      924,737  
     

 

 

  
        2,314,938  
     

 

 

  
   REITs – Diversified — 0.1%

 

  2,467      American Tower Corp.      630,540  
     

 

 

  
   Road & Rail — 0.1%

 

  2,556      Union Pacific Corp.    $ 545,144  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 0.1%

 

  667      Broadcom, Inc.      324,035  
  6,568      Microchip Technology, Inc.      381,470  
  2,816      QUALCOMM, Inc.      359,716  
     

 

 

  
        1,065,221  
     

 

 

  
   Software — 0.1%

 

  2,463      Microsoft Corp.      632,572  
     

 

 

  
   Specialty Retail — 0.0%

 

  1,401      Home Depot, Inc. (The)      384,252  
     

 

 

  
   Technology Hardware, Storage & Peripherals — 0.1%

 

  3,937      Apple, Inc.      538,267  
     

 

 

  
   Wireless Telecommunication Services — 0.8%

 

  64,142      T-Mobile US, Inc.(o)      8,629,665  
     

 

 

  
   Total Common Stocks
(Identified Cost $34,288,487)		      31,798,064  
     

 

 

  
     
  Preferred Stocks — 0.5%  
  Convertible Preferred Stocks — 0.5%  
   Midstream — 0.0%

 

  2,329      El Paso Energy Capital Trust I, 4.750%      108,182  
     

 

 

  
   Technology — 0.1%

 

  23,100      Clarivate PLC, Series A, 5.250%      1,321,646  
     

 

 

  
   Wireless — 0.4%

 

  3,501      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(e)      4,014,246  
     

 

 

  
  

Total Convertible Preferred Stocks

(Identified Cost $6,477,979)

      5,444,074  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $6,477,979)		      5,444,074  
     

 

 

  
     
  Other Investments — 0.0%  
   Aircraft ABS — 0.0%

 

  900      ECAF I Blocker Ltd.(e)(h)(i)(p)
(Identified Cost $9,000,000)		      76,590  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 2.4%  
$ 14,190,606      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $14,190,744 on 7/01/2022 collateralized by $16,717,700 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $14,474,442 including accrued interest (Note 2 of Notes to Financial Statements)      14,190,606  
  10,840,000      U.S. Treasury Bills, 2.752%, 6/15/2023(q)      10,558,102  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $24,741,404)		      24,748,708  
     

 

 

  
     
   Total Investments — 97.2%
(Identified Cost $1,159,690,205)		      998,812,871  
   Other assets less liabilities — 2.8%      28,335,842  
     

 

 

  
   Net Assets — 100.0%    $ 1,027,148,713  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  46

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Written Options — (0.0%)

 

Description    Expiration
Date		      Exercise
Price		      Shares (††)     Notional
Amount		     Premiums
(Received)		     Value (†)  
Options on Securities – (0.0%)

 

Abbott Laboratories, Call

      8/19/2022        115.00        (1,800 )    $ (195,570 )    $ (2,220 )    $ (3,582 ) 

AbbVie, Inc., Call

      8/19/2022        160.00        (2,600 )      (398,216 )      (4,751 )      (7,839 ) 

Accenture PLC, Call

      8/19/2022        325.00        (1,200 )      (333,180 )      (3,021 )      (1,290 ) 

American Tower Corp., Call

      8/19/2022        280.00        (1,900 )      (485,621 )      (8,297 )      (6,460 ) 

Apple, Inc., Call

      8/19/2022        160.00        (2,700 )      (369,144 )      (3,691 )      (2,349 ) 

BlackRock, Inc., Call

      8/19/2022        700.00        (600 )      (365,424 )      (3,944 )      (3,210 ) 

Bristol-Myers Squibb Co., Call

      8/19/2022        80.00        (4,800 )      (369,600 )      (6,370 )      (7,176 ) 

Broadcom, Inc., Call

      8/19/2022        560.00        (300 )      (145,743 )      (1,280 )      (1,035 ) 

Cisco Systems, Inc., Call

      8/19/2022        47.50        (5,800 )      (247,312 )      (3,986 )      (2,262 ) 

Coca-Cola Co., Call

      8/19/2022        65.00        (7,000 )      (440,370 )      (5,804 )      (9,135 ) 

Cummins, Inc., Call

      8/19/2022        220.00        (1,300 )      (251,589 )      (2,180 )      (1,820 ) 

Deere & Co., Call

      8/19/2022        360.00        (900 )      (269,523 )      (3,164 )      (2,191 ) 

Duke Energy Corp., Call

      8/19/2022        110.00        (3,800 )      (407,398 )      (4,094 )      (8,075 ) 

Elevance Health, Inc., Call

      8/19/2022        500.00        (400 )      (193,032 )      (3,750 )      (6,000 ) 

Johnson & Johnson, Call

      8/19/2022        185.00        (3,300 )      (585,783 )      (7,911 )      (7,739 ) 

Lockheed Martin Corp., Call

      8/19/2022        460.00        (1,100 )      (472,956 )      (4,694 )      (6,765 ) 

Merck & Co., Inc., Call

      8/19/2022        97.50        (7,100 )      (647,307 )      (6,299 )      (8,627 ) 

Microchip Technology, Inc., Call

      8/19/2022        70.00        (3,200 )      (185,856 )      (2,359 )      (1,920 ) 

Microsoft Corp., Call

      8/19/2022        290.00        (1,200 )      (308,196 )      (2,802 )      (2,760 ) 

Morgan Stanley, Call

      8/19/2022        87.50        (4,200 )      (319,452 )      (3,845 )      (2,646 ) 

Newmont Corp., Call

      8/19/2022        72.50        (5,600 )      (334,152 )      (3,848 )      (1,848 ) 

NextEra Energy, Inc., Call

      8/19/2022        85.00        (5,900 )      (457,014 )      (4,939 )      (5,310 ) 

Pioneer Natural Resources Co., Call

      8/19/2022        275.00        (1,500 )      (334,620 )      (5,951 )      (5,363 ) 

Procter & Gamble Co., Call

      8/19/2022        150.00        (2,400 )      (345,096 )      (2,921 )      (5,784 ) 

QUALCOMM, Inc., Call

      8/19/2022        155.00        (1,900 )      (242,706 )      (2,031 )      (3,011 ) 

Starbucks Corp., Call

      8/19/2022        85.00        (3,900 )      (297,921 )      (4,279 )      (4,543 ) 

Thermo Fisher Scientific, Inc., Call

      8/19/2022        590.00        (300 )      (162,984 )      (2,000 )      (2,745 ) 

Union Pacific Corp., Call

      8/19/2022        235.00        (1,700 )      (362,576 )      (3,583 )      (3,230 ) 

United Parcel Service, Inc., Call

      8/19/2022        200.00        (1,700 )      (310,318 )      (5,384 )      (4,930 ) 

UnitedHealth Group, Inc., Call

      8/19/2022        540.00        (400 )      (205,452 )      (2,067 )      (4,930 ) 

Williams Cos., Inc., Call

      8/19/2022        34.00        (8,000 )      (249,680 )      (3,898 )      (4,600 ) 
            

 

 

    

 

 

  

Total

              $ (125,363 )    $ (139,175 ) 
            

 

 

    

 

 

  

 

  (†)      See Note 2 of Notes to Financial Statements.
  (‡)      Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
  (††)      Options on securities are expressed as shares.
  (†††)      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, 2022 is disclosed.
              (c)      Variable rate security. Rate as of June 30, 2022 is disclosed.
  (d)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $10,436,443 or 1.0% of net assets. See Note 2 of Notes to Financial Statements.
  (e)      Illiquid security.
  (f)      Perpetual bond with no specified maturity date.
  (g)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
  (h)      Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $2,152,443 or 0.2% of net assets.
  (i)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (j)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
              (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)      Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.
  (n)      Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.00%, to which the spread is added.
  (o)      Non-income producing security.
  (p)      Securities subject to restriction on resale. At June 30, 2022, 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     $ 76,590       Less than 0.1 % 

 

              (q)      Interest rate represents discount rate at time of purchase; not a coupon rate.
  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $512,106,516 or 49.9% of net assets.

 

See accompanying notes to financial statements.

 

47  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

  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.
  BADLARPP      Argentina Badlar Floating Rate Notes
  EMTN      Euro Medium Term Note
  EURIBOR      Euro Interbank Offered Rate
  GMTN      Global Medium Term Note
  JIBAR      Johannesburg Interbank Agreed Rate
  LIBOR      London Interbank Offered Rate
  MTN      Medium Term Note
  REITs      Real Estate Investment Trusts
      SAFEX      South African Futures Exchange
  SLM      Sallie Mae
  SOFR      Secured Overnight Financing Rate
  
  ARS      Argentine Peso
  BRL      Brazilian Real
  COP      Colombian Peso
  EUR      Euro
  MXN      Mexican Peso
  ZAR      South African Rand

 

At June 30, 2022, the Fund had the following open bilateral credit default swap agreements:

Buy Protection

 

Counterparty    Reference Obligation    (Pay)/
Receive
Fixed Rate1		     Expiration
Date		      Notional
Value(‡)		      Unamortized
Up Front
Premium
Paid/(Received)		     Market Value      Unrealized
Appreciation
(Depreciation)		  

Barclays Bank PLC

    United Mexican States      (1.00 %)      6/20/2026        21,525,000      $ 65,850     $ 392,885      $ 327,035  

Morgan Stanley Capital Services, Inc.

    United Mexican States      (1.00 %)      12/20/2026        8,820,000        (3,779 )      229,171        232,950  
               

 

 

     

 

 

  

Total

                 $ 622,056      $ 559,985  
               

 

 

     

 

 

  

At June 30, 2022, the Fund had the following open centrally cleared interest rate swap agreements:

 

Notional
Value		    Currency      Expiration Date      Fund Pays1     Fund Receives1      Market
Value		      Unrealized
Appreciation
(Depreciation)2		  

330,000,000

      ZAR        5/07/2030        7.580 %      3-month SAFEX-JIBAR      $ 1,292,387      $ 1,290,912  
             

 

 

     

 

 

  

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

 

Reference Obligation    (Pay)/
Receive
Fixed Rate		   Expiration
Date		      Implied
Credit
Spread^		     Notional
Value(‡)		      Unamortized
Up Front
Premium
Paid/(Received)		      Market Value      Unrealized
Appreciation
(Depreciation)		  

CDX.NA HY* Series 38 500, 5-Year

    5.00%     6/20/2027        5.78 %      5,826,150      $ (128,257 )     $ (167,380 )     $ (39,123 ) 

CDX.NA HY* Series 38 500, 5-Year

    5.00%     6/20/2027        5.78 %      2,430,450        (56,892 )       (69,825 )       (12,933 ) 

CDX.NA HY* Series 38 500, 5-Year

    5.00%     6/20/2027        5.78 %      2,435,400        (63,312 )       (69,967 )       (6,655 ) 
               

 

 

     

 

 

  

Total

                 $ (307,172 )     $ (58,711 ) 
               

 

 

     

 

 

  

 

(‡)

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.

 

^

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

*

CDX.NA.HY is an index composed of North American high yield credit default swaps.

 

See accompanying notes to financial statements.

 

|  48

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

At June 30, 2022, the Fund had the following open forward foreign currency contracts:

 

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

Bank of America, N.A.

      7/26/2022      EUR      S        1,665,000      $ 1,806,513      $ 1,747,228      $ 59,285  

Barclays Bank PLC

      7/26/2022      EUR      S        1,955,000        2,121,957        2,051,550        70,407  

Morgan Stanley Capital Services, Inc.

      7/11/2022      COP      S        5,186,874,000        1,384,496        1,248,070        136,426  

Morgan Stanley Capital Services, Inc.

      8/31/2022      EUR      S        1,480,000        1,593,399        1,557,151        36,248  

Morgan Stanley Capital Services, Inc.

      8/31/2022      ZAR      S        319,874,000        20,086,861        19,546,712        540,149  
                    

 

 

  

Total

 

    $ 842,515  
  

 

 

  

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

 

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

30 Year U.S. Treasury Bond

      9/21/2022        74      $ 10,452,094      $ 10,258,250      $ (193,844 ) 

Eurodollar

      3/13/2023        3,884        953,396,123        935,849,800        (17,546,323 ) 
              

 

 

  

Total

 

    $ (17,740,167 ) 
              

 

 

  

At June 30, 2022, open short futures contracts were as follows:

 

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

Ultra 10 Year U.S. Treasury Note

      9/21/2022        1,659      $ 215,102,161      $ 211,315,125      $ 3,787,036  

Ultra Long U.S. Treasury Bond

      9/21/2022        213        33,757,302        32,875,219        882,083  
              

 

 

  

Total

 

    $ 4,669,119  
              

 

 

  

Industry Summary at June 30, 2022 (Unaudited)

 

Banking

      9.0 % 

ABS Home Equity

      7.0  

ABS Car Loan

      5.8  

Treasuries

      5.6  

Non-Agency Commercial Mortgage-Backed Securities

      5.2  

Cable Satellite

      4.9  

ABS Other

      4.4  

Finance Companies

      4.3  

Pharmaceuticals

      3.1  

Healthcare

      2.6  

Independent Energy

      2.5  

Media Entertainment

      2.4  

Consumer Cyclical Services

      2.1  

Technology

      2.0  

Automotive

      2.0  

Other Investments, less than 2% each

      26.3  

Collateralized Loan Obligations

      5.6  

Short-Term Investments

      2.4  
  

 

 

  

Total Investments

      97.2  

Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)

      2.8  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

49  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 85.2% of Net Assets  
  Non-Convertible Bonds — 77.1%  
   ABS Car Loan — 0.6%

 

$ 7,500,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A    $ 6,979,086  
  5,000,000      Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A      4,488,579  
  5,453,000      Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A      4,877,199  
  5,578,000      Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A      5,352,867  
     

 

 

  
        21,697,731  
     

 

 

  
   ABS Credit Card — 0.0%

 

  975,000      Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A      956,198  
     

 

 

  
   ABS Home Equity — 3.7%

 

  8,252,697      510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a)      7,904,095  
  8,555,000      CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a)      8,012,474  
  5,350,000      CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A      4,465,407  
  1,510,000      CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A      1,246,474  
  11,630,780      Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)      11,013,139  
  2,510,000      Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A      2,119,016  
  7,660,000      FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A      7,200,192  
  1,965,000      FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A      1,711,903  
  2,419,000      FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A      2,121,666  
  7,102,914      Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A      5,898,697  
  8,482,704      Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A      7,470,072  
  4,241,352      Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A      3,690,732  
  4,025,000      Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a)      3,703,222  
  11,507,000      Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A      10,388,962  
  3,623,000      Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A      3,099,557  
  5,465,000      Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A      4,744,190  
  15,160,000      Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A      12,577,067  
  8,569,164      PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)      8,078,819  
  2,513,000      PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a)      2,321,799  
  7,426,429      PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a)      6,949,825  
  5,822,385      PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a)      5,501,624  
  8,130,000      Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a)      7,617,378  
   ABS Home Equity — continued

 

$ 1,120,000      Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a)    $ 1,014,253  
  795,000      Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a)      702,205  
  7,865,000      VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a)      7,234,148  
  3,970,000      VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051, 144A(a)      3,675,374  
     

 

 

  
        140,462,290  
     

 

 

  
   ABS Other — 1.3%

 

  5,133,206      Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(b)      4,294,503  
  3,185,400      Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A      2,589,024  
  1,432,671      Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A      1,280,446  
  593,847      Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A      545,965  
  81,885      HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A      76,741  
  2,761,720      Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A      2,393,668  
  14,428,053      MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A(b)      12,560,572  
  14,159,487      Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a)      11,107,237  
  10,406,250      SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A(b)      8,931,060  
  8,950,516      Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(b)      7,080,959  
     

 

 

  
        50,860,175  
     

 

 

  
   ABS Whole Business — 0.1%

 

  2,301,750      Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A      1,970,563  
     

 

 

  
   Aerospace & Defense — 1.2%

 

  1,995,000      Boeing Co. (The), 3.625%, 3/01/2048      1,336,176  
  2,385,000      Boeing Co. (The), 3.750%, 2/01/2050      1,681,759  
  4,190,000      Boeing Co. (The), 3.825%, 3/01/2059      2,699,418  
  415,000      Boeing Co. (The), 3.850%, 11/01/2048      293,031  
  6,000,000      Boeing Co. (The), 3.900%, 5/01/2049      4,256,720  
  4,124,000      Boeing Co. (The), 3.950%, 8/01/2059      2,776,131  
  3,230,000      Boeing Co. (The), 5.150%, 5/01/2030      3,100,406  
  9,537,000      Boeing Co. (The), 5.805%, 5/01/2050      8,759,465  
  3,145,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      2,979,186  
  9,576,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(c)(d)      9,700,967  
  8,815,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A      9,988,277  
     

 

 

  
        47,571,536  
     

 

 

  
   Airlines — 1.8%

 

  14,196,233      Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(b)      14,085,644  
  1,234,662      American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027      1,070,267  
  695,632      American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027      619,152  
  2,655,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A      2,439,374  

 

See accompanying notes to financial statements.

 

|  50

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

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

 

$ 3,055,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A    $ 2,608,237  
  26,975,000      Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A      26,511,030  
  21,243,023      United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(b)      20,877,643  
  2,635,250      United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027      2,493,816  
     

 

 

  
        70,705,163  
     

 

 

  
   Automotive — 0.7%

 

  5,610,000      Ford Motor Co., 3.250%, 2/12/2032      4,195,719  
  18,505,000      Ford Motor Co., 4.750%, 1/15/2043      13,181,747  
  1,220,000      Ford Motor Co., 6.625%, 2/15/2028      1,230,968  
  1,345,000      Ford Motor Co., 7.500%, 8/01/2026      1,407,906  
  1,500,000      Ford Motor Credit Co. LLC, 5.113%, 5/03/2029      1,344,711  
  2,845,000      General Motors Co., 5.200%, 4/01/2045      2,389,646  
  2,120,000      General Motors Co., 6.250%, 10/02/2043      2,019,696  
  540,000      General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(e)      452,250  
  865,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(e)      752,550  
     

 

 

  
        26,975,193  
     

 

 

  
   Banking — 2.0%

 

  6,000,000      Ally Financial, Inc., 8.000%, 11/01/2031      6,669,988  
  8,200,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(e)      6,502,722  
  7,500,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(e)      5,533,125  
  11,885,000      Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(e)      9,114,173  
  9,000,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035      7,420,032  
  2,945,000      Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033      2,143,681  
  16,322,000      Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032      12,270,690  
  1,709,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      1,469,645  
  14,965,000      NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035      12,055,954  
  1,830,000      NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028      1,843,035  
  14,800,000      UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A      11,961,119  
     

 

 

  
        76,984,164  
     

 

 

  
   Brokerage — 0.1%

 

  3,893,000      Jefferies Group LLC, 6.250%, 1/15/2036      3,914,316  
     

 

 

  
   Building Materials — 1.4%

 

  39,415,000      Cemex SAB de CV, 3.875%, 7/11/2031, 144A      29,561,250  
  2,395,000      Cemex SAB de CV, 5.200%, 9/17/2030, 144A      2,050,527  
  6,090,000      Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(e)      5,167,061  
  3,255,000      JELD-WEN, Inc., 4.875%, 12/15/2027, 144A      2,538,900  
  1,859,000      Masco Corp., 6.500%, 8/15/2032      2,000,212  
  1,226,000      Masco Corp., 7.750%, 8/01/2029      1,384,210  
  10,800,000      Owens Corning, 7.000%, 12/01/2036      12,067,475  
     

 

 

  
        54,769,635  
     

 

 

  
   Cable Satellite — 4.9%

 

$ 34,275,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A    $ 26,477,437  
  16,130,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A      13,207,244  
  1,085,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
2.300%, 2/01/2032		      820,941  
  8,140,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
2.800%, 4/01/2031		      6,518,983  
  4,025,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
4.400%, 4/01/2033		      3,593,672  
  28,480,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051      19,272,278  
  7,470,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061      4,912,538  
  31,570,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062      21,089,836  
  47,615,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      31,842,055  
  6,030,000      CSC Holdings LLC, 5.000%, 11/15/2031, 144A      4,064,445  
  16,340,000      CSC Holdings LLC, 5.375%, 2/01/2028, 144A      14,134,100  
  1,360,000      CSC Holdings LLC, 5.750%, 1/15/2030, 144A      989,441  
  3,705,000      DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A      3,160,624  
  6,470,000      DISH DBS Corp., 5.125%, 6/01/2029      3,931,431  
  22,190,000      DISH DBS Corp., 5.250%, 12/01/2026, 144A      17,393,410  
  6,568,000      DISH DBS Corp., 5.875%, 11/15/2024      5,533,540  
  15,865,000      DISH DBS Corp., 7.750%, 7/01/2026      12,366,767  
     

 

 

  
        189,308,742  
     

 

 

  
   Chemicals — 0.7%

 

  13,380,000      Ashland LLC, 3.375%, 9/01/2031, 144A      10,882,943  
  1,320,000      Braskem Netherlands Finance BV,
4.500%, 1/31/2030, 144A		      1,125,802  
  6,735,000      Braskem Netherlands Finance BV,
5.875%, 1/31/2050, 144A		      5,320,044  
  905,000      INEOS Quattro Finance 2 PLC,
3.375%, 1/15/2026, 144A		      759,965  
  6,275,000      Minerals Technologies, Inc.,
5.000%, 7/01/2028, 144A		      5,463,956  
  2,295,000      SPCM S.A., 3.125%, 3/15/2027, 144A      1,933,170  
  2,125,000      SPCM S.A., 3.375%, 3/15/2030, 144A      1,662,813  
     

 

 

  
        27,148,693  
     

 

 

  
   Construction Machinery — 0.1%

 

  6,395,000      United Rentals North America, Inc.,
3.750%, 1/15/2032		      5,250,586  
     

 

 

  
   Consumer Cyclical Services — 2.3%

 

  1,370,000      Expedia Group, Inc., 2.950%, 3/15/2031      1,089,696  
  1,465,000      Expedia Group, Inc., 3.250%, 2/15/2030      1,221,779  
  10,550,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A      8,894,599  
  5,500,000      Terminix Co. LLC (The), 7.450%, 8/15/2027      6,132,500  
  9,620,000      TriNet Group, Inc., 3.500%, 3/01/2029, 144A      7,923,705  
  8,665,000      Uber Technologies, Inc., 4.500%, 8/15/2029, 144A      7,126,963  
  18,350,000      Uber Technologies, Inc., 6.250%, 1/15/2028, 144A      16,970,814  
  38,025,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      36,837,859  

 

See accompanying notes to financial statements.

 

51  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Consumer Cyclical Services — continued

 

$ 1,125,000      Uber Technologies, Inc., 8.000%, 11/01/2026, 144A    $ 1,119,938  
     

 

 

  
        87,317,853  
     

 

 

  
   Consumer Products — 0.4%

 

  11,880,000      Avon Products, Inc., 8.450%, 3/15/2043      11,464,200  
  6,110,000      Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A      5,030,974  
     

 

 

  
        16,495,174  
     

 

 

  
   Diversified Manufacturing — 0.6%

 

  25,290,000      GE Capital Funding LLC, 4.550%, 5/15/2032      24,393,284  
     

 

 

  
   Electric — 1.0%

 

  19,458,320      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      20,225,388  
  3,570,000      Enel Generacion Chile S.A., 7.875%, 2/01/2027      3,819,400  
  9,050,000      NRG Energy, Inc., 3.625%, 2/15/2031, 144A      7,095,110  
  3,825,000      NRG Energy, Inc., 3.875%, 2/15/2032, 144A      3,038,132  
  2,475,000      Pacific Gas & Electric Co., 5.450%, 6/15/2027      2,395,130  
     

 

 

  
        36,573,160  
     

 

 

  
   Finance Companies — 4.4%

 

  10,600,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(e)      8,802,131  
  3,585,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(e)      2,958,804  
  11,555,000      Ares Capital Corp., 3.200%, 11/15/2031      8,395,939  
  5,955,000      Barings BDC, Inc., 3.300%, 11/23/2026, 144A      5,165,498  
  7,650,000      FS KKR Capital Corp., 3.125%, 10/12/2028      6,101,371  
  7,005,000      FS KKR Capital Corp., 3.400%, 1/15/2026      6,217,297  
  14,755,000      Hercules Capital, Inc., 3.375%, 1/20/2027      12,917,401  
  135,000      Navient Corp., 5.000%, 3/15/2027      111,041  
  3,030,000      Navient Corp., 5.875%, 10/25/2024      2,785,151  
  950,000      Navient Corp., 6.750%, 6/15/2026      840,750  
  5,355,000      Navient Corp., MTN, 5.625%, 8/01/2033      3,716,405  
  4,774,000      Navient Corp., MTN, 6.125%, 3/25/2024      4,526,420  
  1,796,000      OneMain Finance Corp., 3.500%, 1/15/2027      1,436,800  
  8,855,000      OneMain Finance Corp., 4.000%, 9/15/2030      6,563,769  
  4,075,000      OneMain Finance Corp., 7.125%, 3/15/2026      3,766,237  
  7,175,000      Owl Rock Capital Corp., 2.875%, 6/11/2028      5,634,210  
  14,750,000      Owl Rock Capital Corp., 4.250%, 1/15/2026      13,567,815  
  7,155,000      Owl Rock Technology Finance Corp.,
4.750%, 12/15/2025, 144A		      6,725,612  
  25,975,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A      21,466,000  
  13,540,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A      10,646,773  
  37,540,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A      28,128,347  
  9,630,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A      6,837,300  
     

 

 

  
        167,311,071  
     

 

 

  
   Financial Other — 1.6%

 

  1,650,000      Agile Group Holdings Ltd., 5.500%, 4/21/2025      548,543  
  1,120,000      Agile Group Holdings Ltd., 5.500%, 5/17/2026      359,453  
  1,225,000      Agile Group Holdings Ltd., 5.750%, 1/02/2025      416,500  
  6,150,000      Agile Group Holdings Ltd., 6.050%, 10/13/2025      1,979,808  
  2,060,000      Central China Real Estate Ltd.,
7.250%, 4/24/2023		      1,011,460  
  4,720,000      Central China Real Estate Ltd.,
7.250%, 7/16/2024(c)(d)		      1,465,607  
  1,260,000      Central China Real Estate Ltd.,
7.250%, 8/13/2024		      389,126  
  3,260,000      Central China Real Estate Ltd.,
7.500%, 7/14/2025(c)(d)		      1,006,297  
   Financial Other — continued

 

$ 4,415,000      Central China Real Estate Ltd., 7.650%, 8/27/2023    $ 1,893,284  
  1,305,000      Central China Real Estate Ltd.,
7.750%, 5/24/2024		      412,223  
  2,370,000      CFLD Cayman Investment Ltd.,
6.900%, 1/13/2023(c)(d)(f)		      202,493  
  4,045,000      CFLD Cayman Investment Ltd.,
6.920%, 6/16/2022(f)		      345,079  
  800,000      CFLD Cayman Investment Ltd.,
7.125%, 4/08/2022(f)		      67,640  
  2,835,000      CFLD Cayman Investment Ltd.,
8.050%, 1/13/2025(c)(d)(f)		      256,908  
  2,520,000      CFLD Cayman Investment Ltd.,
8.600%, 4/08/2024(f)		      223,272  
  2,955,000      CFLD Cayman Investment Ltd.,
8.750%, 9/28/2022(c)(d)(f)		      265,432  
  1,035,000      China Aoyuan Group Ltd.,
6.200%, 3/24/2026(c)(d)(f)		      98,594  
  2,400,000      China Aoyuan Group Ltd.,
6.350%, 2/08/2024(c)(d)(f)		      220,176  
  1,240,000      China Aoyuan Group Ltd.,
7.950%, 2/19/2023(c)(d)(f)		      117,180  
  1,800,000      China Evergrande Group, 8.250%, 3/23/2022(f)      147,870  
  4,045,000      China Evergrande Group,
8.750%, 6/28/2025(c)(d)(f)		      332,823  
  1,405,000      China Evergrande Group, 9.500%, 4/11/2022(f)      114,367  
  335,000      China Evergrande Group, 9.500%, 3/29/2024(f)      28,425  
  4,060,000      CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026      2,310,221  
  24,490,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029      19,791,838  
  3,580,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      3,171,307  
  6,925,000      Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f)      952,188  
  1,415,000      Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(f)      192,879  
  1,600,000      Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(f)      217,168  
  8,085,000      Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(f)      1,096,811  
  7,075,000      Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(c)(d)(f)      958,026  
  4,795,000      Kaisa Group Holdings Ltd.,
11.700%, 11/11/2025(f)		      653,271  
  1,380,000      KWG Group Holdings Ltd.,
6.000%, 8/14/2026(c)(d)		      262,655  
  3,760,000      KWG Group Holdings Ltd., 6.300%, 2/13/2026      753,128  
  3,345,000      Logan Group Co. Ltd., 4.250%, 7/12/2025(c)(d)      711,114  
  1,320,000      Logan Group Co. Ltd., 4.850%, 12/14/2026      282,889  
  11,820,000      Nationstar Mortgage Holdings, Inc.,
5.500%, 8/15/2028, 144A		      9,481,280  
  2,880,000      Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(c)(d)		      297,187  
  400,000      Shimao Group Holdings Ltd.,
4.600%, 7/13/2030(c)(d)		      42,828  
  1,830,000      Shimao Group Holdings Ltd.,
5.200%, 1/16/2027(c)(d)		      195,938  
  280,000      Shimao Group Holdings Ltd., 5.600%, 7/15/2026      31,318  
  1,970,000      Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(c)(d)		      217,330  
  425,000      Sunac China Holdings Ltd., 5.950%, 4/26/2024(f)      64,689  
  3,610,000      Sunac China Holdings Ltd., 6.500%, 1/10/2025(f)      539,370  
  8,570,000      Sunac China Holdings Ltd.,
6.500%, 1/26/2026(c)(d)(f)		      1,263,475  
  290,000      Sunac China Holdings Ltd., 6.650%, 8/03/2024(f)      44,071  
  4,000,000      Sunac China Holdings Ltd.,
7.000%, 7/09/2025(c)(d)(f)		      595,720  

 

See accompanying notes to financial statements.

 

|  52

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Financial Other — continued

 

$ 720,000      Times China Holdings Ltd.,
5.750%, 1/14/2027(c)(d)		    $ 94,385  
  4,030,000      Times China Holdings Ltd.,
6.200%, 3/22/2026(c)(d)		      583,746  
  23,285,000      Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(c)(d)(f)		      1,513,525  
  1,245,000      Yuzhou Group Holdings Co. Ltd.,
7.375%, 1/13/2026(c)(d)(f)		      88,059  
  9,395,000      Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(c)(d)(f)		      694,478  
  5,345,000      Yuzhou Group Holdings Co. Ltd.,
7.850%, 8/12/2026(c)(d)(f)		      389,757  
  3,155,000      Yuzhou Group Holdings Co. Ltd.,
8.300%, 5/27/2025(c)(d)(f)		      228,769  
  4,535,000      Zhenro Properties Group Ltd.,
6.630%, 1/07/2026(c)(d)(f)		      303,890  
  365,000      Zhenro Properties Group Ltd.,
6.700%, 8/04/2026(c)(d)(f)		      24,506  
  715,000      Zhenro Properties Group Ltd.,
7.350%, 2/05/2025(c)(d)(f)		      49,557  
     

 

 

  
        59,999,933  
     

 

 

  
   Food & Beverage — 1.4%

 

  6,525,000      Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A      5,693,062  
  635,000      Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A      632,873  
  10,800,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      8,997,156  
  27,125,000      MARB BondCo. PLC, 3.950%, 1/29/2031, 144A      20,825,761  
  11,860,000      Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A      9,297,884  
  10,455,000      Post Holdings, Inc., 4.500%, 9/15/2031, 144A      8,550,622  
     

 

 

  
        53,997,358  
     

 

 

  
   Gaming — 1.3%

 

  12,960,000      Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A      10,258,010  
  3,845,000      GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032		      3,081,653  
  3,265,000      Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A      2,477,482  
  12,590,000      Scientific Games International, Inc.,
7.000%, 5/15/2028, 144A		      11,814,834  
  740,000      Scientific Games International, Inc.,
7.250%, 11/15/2029, 144A		      693,979  
  6,610,000      VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026, 144A		      6,036,979  
  5,680,000      VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026, 144A		      5,225,600  
  4,920,000      VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025, 144A		      4,680,150  
  4,050,000      VICI Properties LP/VICI Note Co., Inc.,
5.625%, 5/01/2024, 144A		      3,999,375  
     

 

 

  
        48,268,062  
     

 

 

  
   Government Owned – No Guarantee — 1.2%

 

  495,000      Antares Holdings LP, 2.750%, 1/15/2027, 144A      395,288  
  585,000      Antares Holdings LP, 3.750%, 7/15/2027, 144A      491,836  
  20,000,000      Antares Holdings LP, 8.500%, 5/18/2025, 144A      20,771,557  
  5,740,000      EcoPetrol S.A., 4.625%, 11/02/2031      4,347,993  
  6,535,000      Pertamina Persero PT, 6.450%, 5/30/2044, 144A      6,599,779  
  6,586,000      Petroleos Mexicanos, 6.625%, 6/15/2035      4,491,059  
  12,239,000      Petroleos Mexicanos, 6.950%, 1/28/2060      7,533,105  
     

 

 

  
        44,630,617  
     

 

 

  
   Health Insurance — 0.8%

 

$ 21,450,000      Centene Corp., 2.500%, 3/01/2031    $ 17,026,152  
  6,390,000      Centene Corp., 2.625%, 8/01/2031      5,083,245  
  4,510,000      Centene Corp., 3.000%, 10/15/2030      3,737,663  
  4,280,000      Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A      3,589,149  
     

 

 

  
        29,436,209  
     

 

 

  
   Healthcare — 0.5%

 

  9,645,000      Avantor Funding, Inc., 3.875%, 11/01/2029, 144A      8,435,999  
  1,980,000      Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A      1,718,343  
  2,110,000      Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A      1,798,665  
  6,380,000      HCA, Inc., 4.125%, 6/15/2029      5,817,191  
     

 

 

  
        17,770,198  
     

 

 

  
   Home Construction — 0.6%

 

  23,546,000      PulteGroup, Inc., 6.000%, 2/15/2035      23,083,671  
     

 

 

  
   Independent Energy — 3.2%

 

  12,155,000      Aker BP ASA, 4.000%, 1/15/2031, 144A      10,918,128  
  5,140,000      Continental Resources, Inc., 2.875%, 4/01/2032, 144A      4,013,929  
  13,235,000      Continental Resources, Inc., 5.750%, 1/15/2031, 144A      12,797,451  
  6,210,000      Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A      5,255,523  
  8,120,000      Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A      6,597,500  
  1,765,000      EQT Corp., 3.125%, 5/15/2026, 144A      1,652,587  
  7,740,000      EQT Corp., 3.625%, 5/15/2031, 144A      6,687,824  
  5,920,000      EQT Corp., 3.900%, 10/01/2027      5,509,093  
  1,535,000      EQT Corp., 5.000%, 1/15/2029      1,486,003  
  550,000      Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A      518,364  
  10,835,000      Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A      9,983,694  
  17,908,000      Mesquite Energy, Inc., 6.125%, 1/15/2023(c)(f)(g)(h)      1,020,756  
  9,520,000      Mesquite Energy, Inc., 7.750%, 6/15/2021(c)(f)(g)(h)      542,640  
  370,000      Occidental Petroleum Corp., 6.125%, 1/01/2031      374,967  
  32,720,000      Occidental Petroleum Corp., 6.625%, 9/01/2030      33,701,600  
  590,000      Occidental Petroleum Corp., 7.875%, 9/15/2031      647,525  
  590,000      Occidental Petroleum Corp., 8.875%, 7/15/2030      677,366  
  10,085,000      Ovintiv, Inc., 6.500%, 8/15/2034      10,526,051  
  540,000      Ovintiv, Inc., 6.500%, 2/01/2038      557,259  
  2,715,000      Ovintiv, Inc., 6.625%, 8/15/2037      2,848,420  
  360,000      Ovintiv, Inc., 7.200%, 11/01/2031      393,615  
  1,200,000      Ovintiv, Inc., 7.375%, 11/01/2031      1,319,197  
  1,495,000      Ovintiv, Inc., 8.125%, 9/15/2030      1,717,373  
  1,295,000      Southwestern Energy Co., 4.750%, 2/01/2032      1,106,610  
  151,000      Southwestern Energy Co., 5.950%, 1/23/2025      149,171  
     

 

 

  
        121,002,646  
     

 

 

  
   Industrial Other — 0.1%

 

  1,240,000      GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A      1,039,120  
  255,000      GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A      232,167  
  3,985,000      TopBuild Corp., 4.125%, 2/15/2032, 144A      3,067,816  
     

 

 

  
        4,339,103  
     

 

 

  
   Leisure — 0.8%

 

  8,710,000      Carnival Corp., 5.750%, 3/01/2027, 144A      6,291,059  
  6,065,000      Carnival Corp., 6.000%, 5/01/2029, 144A      4,261,329  
  6,575,000      NCL Corp. Ltd., 5.875%, 3/15/2026, 144A      5,160,652  
  5,085,000      NCL Corp. Ltd., 5.875%, 2/15/2027, 144A      4,347,726  

 

See accompanying notes to financial statements.

 

53  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

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

 

$ 2,415,000      NCL Finance Ltd., 6.125%, 3/15/2028, 144A    $ 1,756,912  
  230,000      Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A      163,383  
  12,300,000      Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A      8,548,500  
     

 

 

  
        30,529,561  
     

 

 

  
   Life Insurance — 1.1%

 

  3,965,000      Athene Global Funding, 1.716%, 1/07/2025, 144A      3,699,781  
  20,000,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(c)(d)      27,895,000  
  8,920,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(c)(d)      10,835,481  
     

 

 

  
        42,430,262  
     

 

 

  
   Lodging — 0.9%

 

  7,620,000      Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A      6,053,137  
  1,745,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A      1,331,937  
  5,385,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A      4,361,850  
  4,155,000      Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A      3,455,623  
  13,945,000      Travel & Leisure Co., 4.500%, 12/01/2029, 144A      10,787,718  
  7,670,000      Travel & Leisure Co., 4.625%, 3/01/2030, 144A      5,944,250  
  970,000      Travel & Leisure Co., 6.000%, 4/01/2027      878,554  
  1,120,000      Travel & Leisure Co., 6.625%, 7/31/2026, 144A      1,061,906  
     

 

 

  
        33,874,975  
     

 

 

  
   Media Entertainment — 1.4%

 

  3,925,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      3,234,514  
  1,925,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      1,647,473  
  4,380,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      3,480,698  
  3,070,000      Magallanes, Inc., 4.054%, 3/15/2029, 144A      2,814,484  
  4,720,000      Magallanes, Inc., 4.279%, 3/15/2032, 144A      4,216,801  
  1,325,000      Netflix, Inc., 4.875%, 4/15/2028      1,246,891  
  14,565,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      13,330,543  
  1,805,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      1,705,725  
  8,735,000      Netflix, Inc., 5.875%, 11/15/2028      8,540,297  
  11,900,000      Netflix, Inc., 6.375%, 5/15/2029      12,018,405  
     

 

 

  
        52,235,831  
     

 

 

  
   Metals & Mining — 2.5%

 

  22,016,000      ArcelorMittal S.A., 6.750%, 3/01/2041      21,781,384  
  2,630,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      2,422,230  
  35,930,000      First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A      32,123,576  
  1,810,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      1,711,286  
  9,590,000      FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A      7,826,782  
  22,815,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      22,265,387  
  6,230,000      JSW Steel Ltd., 5.050%, 4/05/2032, 144A      4,628,279  
  1,900,000      Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A      1,653,950  
     

 

 

  
        94,412,874  
     

 

 

  
   Midstream — 0.7%

 

  11,365,000      DCP Midstream Operating LP, 3.250%, 2/15/2032      8,914,479  
   Midstream — continued

 

$ 1,430,000      DCP Midstream Operating LP, 5.125%, 5/15/2029    $ 1,287,000  
  2,530,000      Hess Midstream Operations LP,
4.250%, 2/15/2030, 144A		      2,118,786  
  2,760,000      Hess Midstream Operations LP,
5.625%, 2/15/2026, 144A		      2,628,900  
  505,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      549,560  
  3,515,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032      3,014,359  
  880,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031      802,210  
  885,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030      844,449  
  1,750,000      Western Midstream Operating LP,
4.550%, 2/01/2030		      1,513,750  
  4,055,000      Western Midstream Operating LP,
5.300%, 3/01/2048		      3,268,938  
  745,000      Western Midstream Operating LP,
5.450%, 4/01/2044		      619,199  
  560,000      Western Midstream Operating LP,
5.500%, 8/15/2048		      456,400  
  2,310,000      Western Midstream Operating LP,
5.750%, 2/01/2050		      1,855,066  
     

 

 

  
        27,873,096  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 2.0%

 

  335,000      BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A      307,008  
  7,375,000      BPR Trust, Series 2021-NRD, Class F, 1-month Term SOFR + 6.870%, 8.204%, 12/15/2023, 144A(i)      6,932,674  
  10,565,000      Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.942%, 9/10/2045, 144A(a)      10,353,700  
  125,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      120,351  
  556,583      Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)      555,758  
  2,925,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A      2,691,538  
  1,690,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A      1,418,658  
  7,680,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.668%, 3/05/2033, 144A(a)      6,371,844  
  2,535,000      GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.720%, 4/10/2031, 144A(a)      2,437,642  
  5,785,000      GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.843%, 6/10/2047, 144A(a)      5,165,015  
  10,664,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.982%, 10/15/2045, 144A(a)(b)      10,588,512  
  290,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.509%, 12/15/2047, 144A(a)      285,407  
  3,110,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a)      2,890,456  
  4,010,000      MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 3.125%, 11/15/2038, 144A(i)      3,823,729  
  1,135,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.495%, 8/15/2046(a)      857,231  
  2,923,375      Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.336%, 3/15/2045, 144A(a)      2,747,972  

 

See accompanying notes to financial statements.

 

|  54

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

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

 

$ 5,285,000      Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(a)    $ 4,956,063  
  4,340,000      Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050      3,799,907  
  1,315,000      WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045      1,297,674  
  4,000,000      WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.670%, 8/15/2046(a)      3,807,162  
  2,612,000      WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.670%, 8/15/2046(a)      2,340,250  
  940,000      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047      890,616  
     

 

 

  
        74,639,167  
     

 

 

  
   Paper — 1.0%

 

  15,225,000      Georgia-Pacific LLC, 7.750%, 11/15/2029      18,372,063  
  4,865,000      WestRock MWV LLC, 7.950%, 2/15/2031      5,808,219  
  8,750,000      WestRock MWV LLC, 8.200%, 1/15/2030      10,423,511  
  2,840,000      Weyerhaeuser Co., 6.950%, 10/01/2027      3,124,034  
     

 

 

  
        37,727,827  
     

 

 

  
   Pharmaceuticals — 1.6%

 

  1,945,000      Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A      1,522,040  
  14,285,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A      7,606,762  
  425,000      Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A      221,000  
  3,045,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      1,573,288  
  9,810,000      Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A      5,020,513  
  465,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      247,473  
  765,000      Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A      437,963  
  2,655,000      Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A      2,302,628  
  1,995,000      Jazz Securities DAC, 4.375%, 1/15/2029, 144A      1,774,585  
  7,750,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      6,479,078  
  2,840,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      2,328,800  
  21,480,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      13,376,670  
  12,060,000      Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027      10,300,664  
  8,725,000      Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029      7,187,219  
     

 

 

  
        60,378,683  
     

 

 

  
   Property & Casualty Insurance — 0.3%

 

  12,510,000      MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.304%, 1/15/2033, 144A(c)(g)(h)(i)(j)      1,532,475  
  10,900,000      Stewart Information Services Corp., 3.600%, 11/15/2031      9,041,114  
     

 

 

  
        10,573,589  
     

 

 

  
   REITs – Diversified — 0.1%

 

  2,735,000      EPR Properties, 3.600%, 11/15/2031      2,161,947  
     

 

 

  
   Restaurants — 0.4%

 

  19,175,000      Yum! Brands, Inc., 4.625%, 1/31/2032      16,941,112  
     

 

 

  
   Retailers — 0.4%

 

$ 3,325,000      Dillard’s, Inc., 7.000%, 12/01/2028    $ 3,503,719  
  1,500,000      Dillard’s, Inc., 7.750%, 7/15/2026      1,528,425  
  3,975,000      Lithia Motors, Inc., 3.875%, 6/01/2029, 144A      3,383,321  
  6,365,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      6,173,159  
  2,555,000      Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A      2,171,111  
     

 

 

  
        16,759,735  
     

 

 

  
   Supermarkets — 0.1%

 

  2,290,000      Safeway, Inc., 7.250%, 2/01/2031      2,238,475  
     

 

 

  
   Technology — 3.0%

 

  10,205,000      Avnet, Inc., 5.500%, 6/01/2032      10,012,996  
  5,770,000      Block, Inc., 3.500%, 6/01/2031, 144A      4,597,882  
  5,465,000      Broadcom, Inc., 4.150%, 11/15/2030      5,007,107  
  630,000      CDW LLC/CDW Finance Corp.,
2.670%, 12/01/2026		      561,289  
  1,620,000      CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029		      1,365,935  
  18,245,000      CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031		      15,073,380  
  400,000      CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028		      361,000  
  15,295,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      11,307,551  
  14,915,000      CommScope, Inc., 4.750%, 9/01/2029, 144A      12,031,856  
  13,035,000      Entegris Escrow Corp., 4.750%, 4/15/2029, 144A      12,138,558  
  1,215,000      Everi Holdings, Inc., 5.000%, 7/15/2029, 144A      1,026,675  
  13,195,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      11,214,826  
  5,050,000      MSCI, Inc., 3.250%, 8/15/2033, 144A      4,025,305  
  1,360,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027      1,338,824  
  12,565,000      Oracle Corp., 3.950%, 3/25/2051      9,228,952  
  5,200,000      Sensata Technologies BV, 4.000%, 4/15/2029, 144A      4,410,016  
  7,140,000      Western Digital Corp., 2.850%, 2/01/2029      5,813,352  
  750,000      Western Digital Corp., 3.100%, 2/01/2032      575,100  
  6,225,000      Western Digital Corp., 4.750%, 2/15/2026      5,939,335  
     

 

 

  
        116,029,939  
     

 

 

  
   Transportation Services — 0.4%

 

  4,150,000      Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A      3,230,568  
  14,685,000      Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A      13,672,616  
     

 

 

  
        16,903,184  
     

 

 

  
   Treasuries — 19.3%

 

  142,342(††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)      25,624,443  
  2,967,869(†††)      Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)      14,495,397  
  4,740,050(†††)      Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)      22,348,795  
  55,170,000      U.S. Treasury Bond, 2.250%, 2/15/2052      45,403,186  
  77,655,000      U.S. Treasury Note, 0.125%, 12/31/2022(k)      76,726,781  
  90,085,000      U.S. Treasury Note, 0.125%, 1/31/2023(b)      88,814,661  
  157,590,000      U.S. Treasury Note, 0.125%, 2/28/2023(b)      154,912,201  
  53,450,000      U.S. Treasury Note, 0.125%, 4/30/2023(b)      52,247,375  
  12,675,000      U.S. Treasury Note, 0.250%, 9/30/2023      12,257,121  
  137,335,000      U.S. Treasury Note, 0.500%, 11/30/2023(b)      132,667,755  
  71,835,000      U.S. Treasury Note, 0.875%, 1/31/2024      69,511,587  
  45,765,000      U.S. Treasury Note, 1.500%, 2/29/2024      44,687,020  
     

 

 

  
        739,696,322  
     

 

 

  

 

See accompanying notes to financial statements.

 

55  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Wireless — 2.7%

 

$ 10,875,000      CT Trust, 5.125%, 2/03/2032, 144A    $ 8,713,594  
  1,200,000      HTA Group Ltd., 7.000%, 12/18/2025, 144A      1,024,560  
  20,720,000      HTA Group Ltd., 7.000%, 12/18/2025      17,690,736  
  6,140,000      IHS Holding Ltd., 5.625%, 11/29/2026, 144A      5,028,906  
  6,140,000      IHS Holding Ltd., 6.250%, 11/29/2028, 144A      4,951,910  
  7,228,000      IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A      6,304,695  
  2,580,000      Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A      2,004,531  
  5,345,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      4,856,520  
  1,903,500      Millicom International Cellular S.A.,
5.125%, 1/15/2028, 144A		      1,635,126  
  4,225,500      Millicom International Cellular S.A.,
6.250%, 3/25/2029, 144A		      3,676,185  
  17,545,000      SBA Communications Corp., 3.125%, 2/01/2029      14,360,583  
  8,849,000      SoftBank Group Corp., 4.625%, 7/06/2028      6,857,975  
  4,091,000      SoftBank Group Corp., 5.250%, 7/06/2031      3,016,212  
  27,610,000      T-Mobile USA, Inc., 3.375%, 4/15/2029      24,158,750  
     

 

 

  
        104,280,283  
     

 

 

  
   Wirelines — 0.4%

 

  350,000      Cincinnati Bell Telephone Co. LLC,
6.300%, 12/01/2028		      312,505  
  490,000      Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A      429,176  
  6,071,000      Telecom Italia Capital S.A., 6.000%, 9/30/2034      4,579,173  
  14,605,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      11,277,981  
     

 

 

  
        16,598,835  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $3,459,704,707)		      2,949,479,021  
     

 

 

  
     
  Convertible Bonds — 6.5%  
   Airlines — 0.5%

 

  16,795,000      Southwest Airlines Co., 1.250%, 5/01/2025      19,776,113  
     

 

 

  
   Cable Satellite — 2.8%

 

  125,000      Cable One, Inc., Zero Coupon,
6.042%, 3/15/2026(l)		      103,000  
  13,550,000      DISH Network Corp., 2.375%, 3/15/2024      11,924,000  
  143,750,000      DISH Network Corp., 3.375%, 8/15/2026      97,103,125  
     

 

 

  
        109,130,125  
     

 

 

  
   Consumer Cyclical Services — 0.3%

 

  455,000      Peloton Interactive, Inc., Zero Coupon, 0.519%-0.571%, 2/15/2026(m)      291,864  
  13,205,000      Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(m)      10,552,380  
  1,200,000      Zillow Group, Inc., 1.375%, 9/01/2026      1,198,800  
     

 

 

  
        12,043,044  
     

 

 

  
   Gaming — 0.1%

 

  2,195,000      Penn National Gaming, Inc., 2.750%, 5/15/2026      3,251,454  
     

 

 

  
   Healthcare — 0.6%

 

  32,010,000      Teladoc Health, Inc., 1.250%, 6/01/2027      23,447,325  
     

 

 

  
   Leisure — 0.2%

 

  11,050,000      NCL Corp. Ltd., 1.125%, 2/15/2027, 144A      7,088,575  
     

 

 

  
   Media Entertainment — 0.4%

 

  5,925,000      Bilibili, Inc., 0.500%, 12/01/2026, 144A      4,168,237  
  5,410,000      Snap, Inc., Zero Coupon, 6.697%-7.114%, 5/01/2027(m)      3,746,425  
  5,100,000      Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(m)      4,023,900  
  2,080,000      Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(l)      1,840,931  
     

 

 

  
        13,779,493  
     

 

 

  
   Pharmaceuticals — 1.2%

 

$ 8,280,000      BioMarin Pharmaceutical, Inc.,
0.599%, 8/01/2024		    $ 8,197,200  
  27,195,000      BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027		      27,026,391  
  5,015,000      Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(l)      4,560,139  
  9,665,000      Livongo Health, Inc., 0.875%, 6/01/2025      8,192,054  
     

 

 

  
        47,975,784  
     

 

 

  
   Technology — 0.4%

 

  315,000      Bentley Systems, Inc., 0.375%, 7/01/2027, 144A      244,125  
  5,380,000      Nutanix, Inc., 0.250%, 10/01/2027, 144A      3,719,194  
  930,000      RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(m)      698,430  
  11,790,000      Splunk, Inc., 1.125%, 6/15/2027      9,726,750  
  200,000      Unity Software, Inc., Zero Coupon,
7.592%, 11/15/2026, 144A(l)		      147,000  
     

 

 

  
        14,535,499  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $337,884,992)		      251,027,412  
     

 

 

  
     
  Municipals — 1.6%  
   Virginia — 1.6%

 

  64,380,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046
(Identified Cost $64,374,471)		      59,800,001  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $3,861,964,170)		      3,260,306,434  
     

 

 

  
     
  Senior Loans — 0.5%  
   Chemicals — 0.2%

 

  7,037,600      Aruba Investments, Inc., 2020 2nd Lien Term Loan, 1-month LIBOR + 7.750%, 9.383%, 11/24/2028(i)(n)      6,650,532  
     

 

 

  
   Independent Energy — 0.3%

 

  12,660,000      Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.021%, 11/01/2025(i)(o)      13,271,858  
     

 

 

  
   Total Senior Loans
(Identified Cost $19,613,269)		      19,922,390  
     

 

 

  
     
  Collateralized Loan Obligations — 3.4%  
  6,730,000      522 Funding CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 10/20/2031, 144A(i)      6,198,317  
  4,475,000      AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 2.663%, 7/20/2034, 144A(b)(i)      4,199,913  
  4,955,000      AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 3.913%, 7/20/2034, 144A(i)      4,511,518  
  1,245,000      AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 4.144%, 7/15/2034, 144A(i)      1,153,305  
  4,390,000      AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 4.086%, 4/22/2034, 144A(i)      3,999,720  
  3,780,000      AIG CLO LLC, Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 4.113%, 7/20/2034, 144A(i)      3,465,175  
  2,675,000      ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%,
4.044%, 10/15/2034, 144A(i)		      2,477,965  

 

See accompanying notes to financial statements.

 

|  56

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Collateralized Loan Obligations — continued  
$ 3,025,000      Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%,
4.284%, 7/25/2034, 144A(i)		    $ 2,859,160  
  890,000      Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 2.878%, 11/20/2030, 144A(i)      847,058  
  1,505,000      Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 4.044%, 1/17/2032, 144A(i)      1,387,332  
  3,530,000      CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 4.013%, 7/20/2032, 144A(i)      3,300,899  
  3,095,000      CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 4.294%, 7/15/2034, 144A(i)      2,882,965  
  4,775,000      Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 4.483%, 7/20/2034, 144A(i)      4,337,672  
  5,230,000      Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 10/20/2034, 144A(i)      4,895,369  
  2,890,000      Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%,
3.913%, 1/20/2034, 144A(i)		      2,675,363  
  980,000      LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 3.063%, 4/20/2031, 144A(i)      912,675  
  2,965,000      LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 4.063%, 4/20/2031, 144A(i)      2,581,886  
  10,665,000      Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 4.425%, 7/27/2031, 144A(i)      10,071,738  
  990,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(i)      936,067  
  6,010,000      Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 2.694%, 7/15/2034, 144A(b)(i)      5,700,184  
  8,055,000      OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 7/20/2032, 144A(i)      7,001,535  
  7,155,000      Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 4.194%, 7/15/2034, 144A(i)      6,626,782  
  3,125,000      Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 4.344%, 7/15/2036, 144A(i)      2,820,744  
  8,250,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 2.713%, 7/02/2035, 144A(b)(i)      7,844,578  
  6,450,000      OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 3.963%, 7/02/2035, 144A(i)      5,964,102  
  9,695,000      Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%,
2.544%, 10/17/2031, 144A(b)(i)		      9,251,454  
  970,000      Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%,
3.205%, 5/21/2034, 144A(i)		      922,583  
  7,615,000      Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%,
4.355%, 5/21/2034, 144A(i)		      7,076,680  
  Collateralized Loan Obligations — continued  
$ 12,510,000      Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 7.094%, 10/15/2034, 144A(i)    $ 10,944,011  
  400,000      THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%,
4.013%, 1/20/2031, 144A(i)		      359,919  
  1,540,000      Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 4.813%, 10/20/2034, 144A(i)      1,434,060  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $140,547,562)		      129,640,729  
     

 

 

  
     
Shares                
  Common Stocks — 6.8%  
   Aerospace & Defense — 0.2%

 

  4,134      L3Harris Technologies, Inc.      999,188  
  16,976      Lockheed Martin Corp.      7,299,001  
     

 

 

  
        8,298,189  
     

 

 

  
   Air Freight & Logistics — 0.1%

 

  30,369      United Parcel Service, Inc., Class B      5,543,557  
     

 

 

  
   Beverages — 0.2%

 

  105,431      Coca-Cola Co. (The)      6,632,664  
     

 

 

  
   Biotechnology — 0.2%

 

  54,591      AbbVie, Inc.      8,361,157  
     

 

 

  
   Capital Markets — 0.3%

 

  10,730      BlackRock, Inc.      6,534,999  
  62,836      Morgan Stanley      4,779,306  
     

 

 

  
        11,314,305  
     

 

 

  
   Communications Equipment — 0.1%

 

  120,409      Cisco Systems, Inc.      5,134,240  
     

 

 

  
   Electric Utilities — 0.3%

 

  50,338      Duke Energy Corp.      5,396,737  
  89,207      NextEra Energy, Inc.      6,909,974  
     

 

 

  
        12,306,711  
     

 

 

  
   Electronic Equipment, Instruments & Components — 0.3%

 

  327,068      Corning, Inc.      10,305,913  
     

 

 

  
   Food & Staples Retailing — 0.2%

 

  51,385      Walmart, Inc.      6,247,388  
     

 

 

  
   Health Care Equipment & Supplies — 0.1%

 

  38,838      Abbott Laboratories      4,219,749  
     

 

 

  
   Health Care Providers & Services — 0.2%

 

  8,883      Elevance Health, Inc.      4,286,758  
  6,466      UnitedHealth Group, Inc.      3,321,132  
     

 

 

  
        7,607,890  
     

 

 

  
   Hotels, Restaurants & Leisure — 0.2%

 

  81,558      Starbucks Corp.      6,230,216  
     

 

 

  
   Household Products — 0.2%

 

  49,746      Procter & Gamble Co. (The)      7,152,977  
     

 

 

  
   IT Services — 0.1%

 

  17,914      Accenture PLC, Class A      4,973,822  
     

 

 

  
   Life Sciences Tools & Services — 0.1%

 

  5,075      Thermo Fisher Scientific, Inc.      2,757,146  
     

 

 

  
   Machinery — 0.2%

 

  20,862      Cummins, Inc.      4,037,423  
  13,785      Deere & Co.      4,128,194  
     

 

 

  
        8,165,617  
     

 

 

  

 

See accompanying notes to financial statements.

 

57  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Media — 0.6%

 

  1,317,588      Altice USA, Inc., Class A(j)    $ 12,187,689  
  182,887      Comcast Corp., Class A      7,176,486  
  461,939      iHeartMedia, Inc., Class A(j)      3,644,699  
     

 

 

  
        23,008,874  
     

 

 

  
   Metals & Mining — 0.1%

 

  84,555      Newmont Corp.      5,045,397  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.3%

 

  9,229      Battalion Oil Corp.(j)      78,723  
  24,078      Pioneer Natural Resources Co.      5,371,320  
  142,917      Williams Cos., Inc. (The)      4,460,440  
     

 

 

  
        9,910,483  
     

 

 

  
   Pharmaceuticals — 0.6%

 

  73,286      Bristol-Myers Squibb Co.      5,643,022  
  49,941      Johnson & Johnson      8,865,027  
  108,410      Merck & Co., Inc.      9,883,740  
     

 

 

  
        24,391,789  
     

 

 

  
   Professional Services — 0.0%

 

  5,336      Clarivate PLC(j)      73,957  
     

 

 

  
   REITs – Diversified — 0.2%

 

  25,723      American Tower Corp.      6,574,541  
     

 

 

  
   Road & Rail — 0.1%

 

  26,882      Union Pacific Corp.      5,733,393  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 0.3%

 

  6,885      Broadcom, Inc.      3,344,802  
  66,250      Microchip Technology, Inc.      3,847,800  
  29,176      QUALCOMM, Inc.      3,726,942  
     

 

 

  
        10,919,544  
     

 

 

  
   Software — 0.2%

 

  23,768      iQor Holdings, Inc.(c)(d)(j)      106,956  
  25,107      Microsoft Corp.      6,448,231  
     

 

 

  
        6,555,187  
     

 

 

  
   Specialty Retail — 0.1%

 

  14,410      Home Depot, Inc. (The)      3,952,231  
     

 

 

  
   Technology Hardware, Storage & Peripherals — 0.1%

 

  40,158      Apple, Inc.      5,490,402  
     

 

 

  
   Wireless Telecommunication Services — 1.2%

 

  329,973      T-Mobile US, Inc.(j)      44,394,567  
     

 

 

  
   Total Common Stocks
(Identified Cost $278,125,014)		      261,301,906  
     

 

 

  
     
  Preferred Stocks — 2.0%  
  Convertible Preferred Stocks — 1.6%  
   Banking — 0.6%

 

  11,789      Bank of America Corp., Series L, 7.250%      14,199,851  
  7,500      Wells Fargo & Co., Class A, Series L, 7.500%      9,116,325  
     

 

 

  
        23,316,176  
     

 

 

  
   Midstream — 0.3%

 

  238,087      El Paso Energy Capital Trust I, 4.750%      11,059,141  
     

 

 

  
   Technology — 0.2%

 

  121,037      Clarivate PLC, Series A, 5.250%      6,925,023  
     

 

 

  
   Wireless — 0.5%

 

  17,902      2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d)      20,526,433  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $68,517,393)		      61,826,773  
     

 

 

  
  Non-Convertible Preferred Stocks — 0.4%  
   Home Construction — 0.1%

 

  208,246      Hovnanian Enterprises, Inc., 7.625%    $ 3,956,674  
     

 

 

  
   REITs – Diversified — 0.0%

 

  10,425      iStar, Inc., Series G, 7.650%      260,787  
     

 

 

  
   REITs – Office Property — 0.1%

 

  1,596      Highwoods Properties, Inc., Series A, 8.625%(c)(d)      1,875,300  
     

 

 

  
   REITs – Warehouse/Industrials — 0.2%

 

  116,192      Prologis, Inc., Series Q, 8.540%(c)(d)      7,436,288  
     

 

 

  
   Total Non-Convertible Preferred Stocks
(Identified Cost $8,540,568)		      13,529,049  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $77,057,961)		      75,355,822  
     

 

 

  
     
  Closed-End Investment Companies — 0.1%  
  170,849      NexPoint Diversified Real Estate Trust
(Identified Cost $10,238,824)		      2,817,300  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 0.2%  
$ 6,388,460      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $6,388,522 on 7/01/2022 collateralized by $6,486,900 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $6,516,292 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $6,388,460)		      6,388,460  
     

 

 

  
     
   Total Investments — 98.2%
(Identified Cost $4,393,935,260)		      3,755,733,041  
   Other assets less liabilities — 1.8%      69,827,518  
     

 

 

  
   Net Assets — 100.0%    $ 3,825,560,559  
     

 

 

  
     
  (‡)      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, 2022 is disclosed.

 

  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (c)      Illiquid security.   
  (d)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $90,856,880 or 2.4% of net assets. See Note 2 of Notes to Financial Statements.

 

  (e)      Perpetual bond with no specified maturity date.   
  (f)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

 

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

 

 

See accompanying notes to financial statements.

 

|  58

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

     
  (h)      Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $3,095,871 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (i)      Variable rate security. Rate as of June 30, 2022 is disclosed.

 

  (j)      Non-income producing security.   
  (k)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  (l)      Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

  (m)      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.

 

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

 

  (o)      Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added.

     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $1,430,996,068 or 37.4% of net assets.

 

  ABS      Asset-Backed Securities

 

  LIBOR      London Interbank Offered Rate

 

  MBIA      Municipal Bond Investors Assurance Corp.

 

  MTN      Medium Term Note

 

  REITs      Real Estate Investment Trusts

 

  SOFR      Secured Overnight Financing Rate

 

     
  BRL      Brazilian Real

 

  MXN      Mexican Peso

 

 

 

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

 

Reference Obligation    (Pay)/
Receive
Fixed Rate		     Expiration
Date		      Implied
Credit
Spread^		     Notional
Value(‡)		      Unamortized
Up Front
Premium
Paid/(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  

CDX.NA HY* Series 37 500, 5-Year

      5.00 %      12/20/2026        5.42 %      46,530,000      $ 3,096,841     $ (640,956 )    $ (3,737,797 ) 

CDX.NA HY* Series 37 500, 5-Year

      5.00 %      12/20/2026        5.42 %      94,104,450        7,029,773       (1,296,299 )      (8,326,072 ) 

CDX.NA HY* Series 38 500, 5-Year

      5.00 %      6/20/2027        5.78 %      21,304,800        (469,005 )      (612,068 )      (143,063 ) 

CDX.NA HY* Series 38 500, 5-Year

      5.00 %      6/20/2027        5.78 %      8,900,100        (231,372 )      (255,692 )      (24,320 ) 

CDX.NA HY* Series 38 500, 5-Year

      5.00 %      6/20/2027        5.78 %      8,900,100        (208,333 )      (255,692 )      (47,359 ) 
              

 

 

    

 

 

  

Total

 

   $ (3,060,707 )    $ (12,278,611 ) 
              

 

 

    

 

 

  

 

(‡)

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, 2022, open long futures contracts were as follows:

 

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

Ultra Long U.S. Treasury Bond

      9/21/2022        98      $ 15,531,714      $ 15,125,688      $ (406,026 ) 
              

 

 

  

 

See accompanying notes to financial statements.

 

59  |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Industry Summary at June 30, 2022 (Unaudited)

 

Treasuries

      19.3 % 

Cable Satellite

      7.7  

Finance Companies

      4.4  

ABS Home Equity

      3.7  

Technology

      3.6  

Independent Energy

      3.5  

Pharmaceuticals

      3.4  

Wireless

      3.2  

Banking

      2.6  

Metals & Mining

      2.6  

Consumer Cyclical Services

      2.6  

Airlines

      2.3  

Non-Agency Commercial Mortgage-Backed Securities

      2.0  

Other Investments, less than 2% each

      33.6  

Collateralized Loan Obligations

      3.4  

Short-Term Investments

      0.2  

Closed-End Investment Companies

      0.1  
  

 

 

  

Total Investments

      98.2  

Other assets less liabilities (including swap agreements and futures contracts)

      1.8  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  60

Statements of Assets and Liabilities

 

June 30, 2022 (Unaudited)

 

    High
Income
Fund		     Investment
Grade Bond
Fund		     Strategic
Alpha
Fund		     Strategic
Income
Fund		  

ASSETS

 

Investments at cost

   $ 145,877,372     $ 6,488,606,639     $ 1,159,690,205     $ 4,393,935,260  

Net unrealized depreciation

     (28,774,127 )      (486,904,590 )      (160,877,334 )      (638,202,219 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Investments at value

     117,103,245       6,001,702,049       998,812,871       3,755,733,041  

Cash

     237,912       —       2,387,126       2,629,693  

Due from brokers (Note 2)

     130,000       6,160,000       14,330,000       34,385,000  

Foreign currency at value (identified cost $91, $202,555, $5,692,055 and $767,271, respectively)

     90       197,504       5,072,035       747,847  

Receivable for Fund shares sold

     186,845       41,120,016       2,563,856       2,975,504  

Receivable for securities sold

     2,187,660       27,765,376       6,341,383       19,415,955  

Collateral received for open forward foreign currency contracts or swap agreements (Notes 2 and 4)

     —       —       1,106,064       —  

Dividends and interest receivable

     2,035,356       42,299,174       10,111,343       38,540,229  

Unrealized appreciation on bilateral swap agreements (Note 2)

     —       —       559,985       —  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     —       —       842,515       —  

Tax reclaims receivable

     —       45,459       595       56  

Receivable for variation margin on futures contracts (Note 2)

     —       4,313,435       —       229,703  

Receivable for variation margin on centrally cleared swap agreements (Note 2)

     —       —       116,406       —  

Unamortized upfront premiums paid on bilateral swap agreements (Note 2)

     —       —       62,071       —  

Prepaid expenses (Note 8)

     18       808       167       600  
 

 

 

    

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

     121,881,126       6,123,603,821       1,042,306,417       3,854,657,628  
 

 

 

    

 

 

    

 

 

    

 

 

  

LIABILITIES

 

Options written, at value (premiums received $0, $0, $125,363 and $0, respectively) (Note 2)

     —       —       139,175       —  

Payable for securities purchased

     688,352       50,604,890       9,481,773       18,624,758  

Payable for Fund shares redeemed

     392,631       12,213,673       2,752,544       5,832,909  

Payable for variation margin on centrally cleared swap agreements (Note 2)

     3,605       139,594       —       384,920  

Due to brokers (Note 2)

     —       —       1,106,064       —  

Payable for variation margin on futures contracts (Note 2)

     —       —       733,941       —  

Management fees payable (Note 6)

     52,813       1,769,564       535,186       1,792,224  

Deferred Trustees’ fees (Note 6)

     204,091       1,127,268       225,965       1,870,382  

Administrative fees payable (Note 6)

     4,818       222,871       40,909       149,169  

Payable to distributor (Note 6d)

     1,365       41,202       4,749       37,115  

Audit and tax services fees payable

     30,175       36,689       50,287       36,543  

Other accounts payable and accrued expenses

     28,296       613,273       87,111       369,049  
 

 

 

    

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

     1,406,146       66,769,024       15,157,704       29,097,069  
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 120,474,980     $ 6,056,834,797     $ 1,027,148,713     $ 3,825,560,559  
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 158,261,705     $ 6,538,588,709     $ 1,203,542,887     $ 4,694,733,770  

Accumulated loss

     (37,786,725 )      (481,753,912 )      (176,394,174 )      (869,173,211 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 120,474,980     $ 6,056,834,797     $ 1,027,148,713     $ 3,825,560,559  
 

 

 

    

 

 

    

 

 

    

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 16,437,925     $ 652,444,498     $ 34,765,368     $ 1,211,094,856  
 

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     4,712,695       65,658,380       3,766,460       100,392,249  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value and redemption price per share

   $ 3.49     $ 9.94     $ 9.23     $ 12.06  
 

 

 

    

 

 

    

 

 

    

 

 

  

Offering price per share (100/95.75 of net asset value) (Note 1)

   $ 3.64     $ 10.38     $ 9.64     $ 12.60  
 

 

 

    

 

 

    

 

 

    

 

 

  

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

        

Net assets

   $ 1,151,904     $ 60,608,490     $ 3,379,836     $ 73,367,546  
 

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     328,798       6,177,929       366,812       6,010,015  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value and offering price per share

   $ 3.50     $ 9.81     $ 9.21     $ 12.21  
 

 

 

    

 

 

    

 

 

    

 

 

  

Class N shares:

 

Net assets

   $ 102,338     $ 1,333,489,327     $ 242,883,246     $ 226,627,313  
 

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     29,333       134,183,976       26,373,767       18,808,143  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 3.49     $ 9.94     $ 9.21     $ 12.05  
 

 

 

    

 

 

    

 

 

    

 

 

  

Class Y shares:

 

Net assets

   $ 102,782,813     $ 3,884,825,229     $ 746,120,263     $ 2,239,994,789  
 

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     29,533,272       390,674,841       81,065,426       185,937,978  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 3.48     $ 9.94     $ 9.20     $ 12.05  
 

 

 

    

 

 

    

 

 

    

 

 

  

Admin Class shares:

 

Net assets

   $ —     $ 125,467,253     $ —     $ 74,476,055  
 

 

 

    

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     —       12,665,822       —       6,197,226  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ —     $ 9.91     $ —     $ 12.02  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

61  |

Statements of Operations

 

For the Six Months Ended June 30, 2022 (Unaudited)

 

     High
Income
Fund		      Investment
Grade Bond
Fund		      Strategic
Alpha
Fund		      Strategic
Income
Fund		  

INVESTMENT INCOME

            

Interest

    $ 3,807,482      $ 94,891,792      $ 25,484,411      $ 84,046,097  

Dividends

      89,744        2,086,526        531,671        6,812,478  
  

 

 

     

 

 

     

 

 

     

 

 

  
     3,897,226        96,978,318        26,016,082        90,858,575  
  

 

 

     

 

 

     

 

 

     

 

 

  

Expenses

 

Management fees (Note 6)

      405,069        12,051,170        3,664,284        12,718,127  

Service and distribution fees (Note 6)

      30,760        1,548,950        67,415        2,377,342  

Administrative fees (Note 6)

      29,883        1,333,164        270,609        978,298  

Trustees’ fees and expenses (Note 6)

      8,314        93,253        23,723        68,991  

Trustees’ fees deferred compensation (Note 6)

      (29,038 )       (148,687 )       (26,949 )       (268,938 ) 

Transfer agent fees and expenses (Notes 6 and 7)

      80,343        1,840,172        281,519        1,835,216  

Audit and tax services fees

      26,102        31,558        43,392        31,550  

Custodian fees and expenses

      7,155        85,770        37,012        75,937  

Legal fees (Note 8)

      1,509        88,364        16,564        57,281  

Registration fees

      42,840        138,624        57,341        74,296  

Shareholder reporting expenses

      19,138        184,467        31,508        168,770  

Miscellaneous expenses

      16,850        103,098        36,276        82,666  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses

      638,925        17,349,903        4,502,694        18,199,536  

Less waiver and/or expense reimbursement (Note 6)

      (101,855 )       (1,085,238 )       —        (414,800 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net expenses

      537,070        16,264,665        4,502,694        17,784,736  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

      3,360,156        80,713,653        21,513,388        73,073,839  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

      (1,014,896 )       (18,707,510 )       (24,362,998 )       8,320,871  

Futures contracts

      —        16,402,244        28,256,713        939,314  

Options written

      —        —        (13,863 )       —  

Swap agreements

      220        (18,666 )       1,776,216        (1,555,725 ) 

Forward foreign currency contracts (Note 2d)

      —        —        1,296,114        (369,783 ) 

Foreign currency transactions (Note 2c)

      —        12        53,367        (316,443 ) 

Net change in unrealized appreciation (depreciation) on:

 

Investments

      (26,678,725 )       (742,181,904 )       (140,521,890 )       (712,269,530 ) 

Futures contracts

      —        15,673,171        (10,698,314 )       1,313,052  

Options written

      —        —        55,275        —  

Swap agreements

      (6,933 )       (326,194 )       2,664,732        (14,963,284 ) 

Forward foreign currency contracts (Note 2d)

      —        —        (425,107 )       248,802  

Foreign currency translations (Note 2c)

      —        (5,050 )       (370,333 )       320,252  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net realized and unrealized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions

      (27,700,334 )       (729,163,897 )       (142,290,088 )       (718,332,474 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ (24,340,178 )     $ (648,450,244 )     $ (120,776,700 )     $ (645,258,635 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  62

Statements of Changes in Net Assets

 

 

     High Income Fund      Investment Grade Bond Fund  
     Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		      Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		  

FROM OPERATIONS:

 

Net investment income

    $ 3,360,156      $ 4,936,940      $ 80,713,653      $ 153,264,651  

Net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions

      (1,014,676 )       3,475,557        (2,323,920 )       109,049,202  

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

      (26,685,658 )       (4,618,963 )       (726,839,977 )       (246,431,700 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      (24,340,178 )       3,793,534        (648,450,244 )       15,882,153  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (450,278 )       (946,674 )       (9,530,300 )       (30,802,007 ) 

Class C

      (29,014 )       (73,463 )       (675,896 )       (2,795,363 ) 

Class N

      (2,844 )       (275,475 )       (21,008,209 )       (58,322,546 ) 

Class Y

      (2,947,787 )       (4,075,764 )       (55,685,632 )       (158,314,703 ) 

Admin Class

      —        —        (1,631,209 )       (4,776,384 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (3,429,923 )       (5,371,376 )       (88,531,246 )       (255,011,003 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      20,917,162        16,187,734        387,621,593        620,561,500  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets

      (6,852,939 )       14,609,892        (349,359,897 )       381,432,650  

NET ASSETS

 

Beginning of the period

      127,327,919        112,718,027        6,406,194,694        6,024,762,044  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 120,474,980      $ 127,327,919      $ 6,056,834,797      $ 6,406,194,694  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

63  |

Statements of Changes in Net Assets (continued)

 

 

     Strategic Alpha Fund      Strategic Income Fund  
     Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		      Six Months
Ended
June 30, 2022
(Unaudited)		      Year Ended
December 31,
2021		  

FROM OPERATIONS:

 

Net investment income

    $ 21,513,388      $ 38,752,332      $ 73,073,839      $ 107,292,454  

Net realized gain on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions

      7,005,549        23,922,333        7,018,234        36,820,190  

Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations

      (149,295,637 )       (43,767,308 )       (725,350,708 )       69,006,643  
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

      (120,776,700 )       18,907,357        (645,258,635 )       213,119,287  
  

 

 

     

 

 

     

 

 

     

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (527,165 )       (799,143 )       (21,569,107 )       (41,929,319 ) 

Class C

      (35,982 )       (53,976 )       (1,105,348 )       (3,065,889 ) 

Class N

      (4,430,183 )       (12,165,057 )       (4,443,909 )       (7,514,115 ) 

Class Y

      (12,489,494 )       (18,704,272 )       (44,975,530 )       (94,327,240 ) 

Admin Class

      —        —        (1,249,099 )       (2,347,779 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

      (17,482,824 )       (31,722,448 )       (73,342,993 )       (149,184,342 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (295,441,439 )       158,648,418        (523,414,255 )       (985,523,294 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets

      (433,700,963 )       145,833,327        (1,242,015,883 )       (921,588,349 ) 

NET ASSETS

 

Beginning of the period

      1,460,849,676        1,315,016,349        5,067,576,442        5,989,164,791  
  

 

 

     

 

 

     

 

 

     

 

 

  

End of the period

    $ 1,027,148,713      $ 1,460,849,676      $ 3,825,560,559      $ 5,067,576,442  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  64

Financial Highlights

 

For a share outstanding throughout each period.

 

    High Income Fund—Class A  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 4.29     $ 4.35     $ 4.25     $ 3.99     $ 4.25     $ 4.37     $ 4.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.09       0.17       0.20       0.20       0.05       0.20       0.22  

Net realized and unrealized gain (loss)

     (0.80 )      (0.05 )      0.12 (b)      0.27       (0.24 )      (0.14 )      0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.71 )      0.12       0.32       0.47       (0.19 )      0.06       0.34  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.09 )      (0.18 )      (0.22 )      (0.21 )      (0.06 )      (0.18 )      (0.20 ) 

Net realized capital gains

     —       —       —       —       (0.01 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.18 )      (0.22 )      (0.21 )      (0.07 )      (0.18 )      (0.20 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.49     $ 4.29     $ 4.35     $ 4.25     $ 3.99     $ 4.25     $ 4.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     (16.63 )%(e)      2.87 %      8.16 %      11.94 %      (4.54 )%(e)      1.41 %      8.17 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 16,438     $ 20,470     $ 41,547     $ 23,199     $ 23,125     $ 26,175     $ 34,039  

Net expenses(f)

     1.00 %(g)      1.00 %      1.00 %      1.03 %(h)      1.05 %(g)      1.05 %      1.09 %(i) 

Gross expenses

     1.15 %(g)      1.19 %      1.22 %      1.18 %      1.27 %(g)      1.16 %      1.15 % 

Net investment income

     4.74 %(g)      3.83 %      4.91 %      4.84 %      5.13 %(g)      4.73 %      5.03 % 

Portfolio turnover rate

     30 %      67 %      99 %(j)      48 %      17 %      55 %      46 % 

 

 

 

*

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.

 

65  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class C  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 4.31     $ 4.37     $ 4.27     $ 4.00     $ 4.27     $ 4.38     $ 4.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.08       0.14       0.17       0.17       0.05       0.17       0.18  

Net realized and unrealized gain (loss)

     (0.81 )      (0.05 )      0.12 (b)      0.28       (0.26 )      (0.13 )      0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.73 )      0.09       0.29       0.45       (0.21 )      0.04       0.30  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.08 )      (0.15 )      (0.19 )      (0.18 )      (0.05 )      (0.15 )      (0.16 ) 

Net realized capital gains

     —       —       —       —       (0.01 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.08 )      (0.15 )      (0.19 )      (0.18 )      (0.06 )      (0.15 )      (0.16 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.50     $ 4.31     $ 4.37     $ 4.27     $ 4.00     $ 4.27     $ 4.38  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     (17.11 )%(e)      2.07 %      7.30 %      11.32 %      (4.95 )%(e)      0.86 %      7.33 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 1,152     $ 1,795     $ 2,933     $ 3,836     $ 5,351     $ 6,248     $ 11,227  

Net expenses(f)

     1.75 %(g)      1.75 %      1.75 %      1.78 %(h)      1.80 %(g)      1.80 %      1.84 %(i) 

Gross expenses

     1.90 %(g)      1.94 %      1.97 %      1.93 %      2.02 %(g)      1.91 %      1.90 % 

Net investment income

     3.96 %(g)      3.14 %      4.24 %      4.11 %      4.38 %(g)      3.99 %      4.29 % 

Portfolio turnover rate

     30 %      67 %      99 %(j)      48 %      17 %      55 %      46 % 

 

 

 

*

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.

 

|  66

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class N  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Period Ended
September 30,
2017**		  

Net asset value, beginning of the period

   $ 4.29     $ 4.36     $ 4.25     $ 3.99     $ 4.25     $ 4.36     $ 4.16  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.10       0.18       0.21       0.22       0.06       0.20       0.19  

Net realized and unrealized gain (loss)

     (0.80 )      (0.05 )      0.14 (b)      0.26       (0.25 )      (0.12 )      0.18  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.70 )      0.13       0.35       0.48       (0.19 )      0.08       0.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.10 )      (0.20 )      (0.24 )      (0.22 )      (0.06 )      (0.19 )      (0.17 ) 

Net realized capital gains

     —       —       —       —       (0.01 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.10 )      (0.20 )      (0.24 )      (0.22 )      (0.07 )      (0.19 )      (0.17 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.49     $ 4.29     $ 4.36     $ 4.25     $ 3.99     $ 4.25     $ 4.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (16.51 )%(d)      2.95 %      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)

   $ 102     $ 105     $ 14,783     $ 11,977     $ 10,417     $ 10,338     $ 1  

Net expenses(e)

     0.70 %(f)      0.70 %      0.70 %      0.72 %(g)      0.75 %(f)      0.75 %      0.75 %(f)(h) 

Gross expenses

     2.41 %(f)      0.86 %      0.88 %      0.82 %      0.89 %(f)      0.79 %      31.73 %(f) 

Net investment income

     5.07 %(f)      4.10 %      5.28 %      5.13 %      5.45 %(f)      4.65 %      5.19 %(f) 

Portfolio turnover rate

     30 %      67 %      99 %(i)      48 %      17 %      55 %      46 %(j) 

 

 

 

*

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)

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 0.75% to 0.70%.

(h)

Effective July 1, 2017, the expense limit decreased to 0.75%.

(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.

(j)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

 

See accompanying notes to financial statements.

 

67  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class Y  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 4.28     $ 4.34     $ 4.25     $ 3.98     $ 4.24     $ 4.36     $ 4.22  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.10       0.18       0.22       0.21       0.06       0.21       0.23  

Net realized and unrealized gain (loss)

     (0.80 )      (0.05 )      0.10 (b)      0.28       (0.25 )      (0.14 )      0.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.70 )      0.13       0.32       0.49       (0.19 )      0.07       0.35  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.10 )      (0.19 )      (0.23 )      (0.22 )      (0.06 )      (0.19 )      (0.21 ) 

Net realized capital gains

     —       —       —       —       (0.01 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.10 )      (0.19 )      (0.23 )      (0.22 )      (0.07 )      (0.19 )      (0.21 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.48     $ 4.28     $ 4.34     $ 4.25     $ 3.98     $ 4.24     $ 4.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (16.57 )%(d)      3.15 %      8.19 %      12.52 %      (4.49 )%(d)      1.68 %      8.47 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 102,783     $ 104,957     $ 53,456     $ 108,315     $ 97,585     $ 127,699     $ 133,940  

Net expenses(e)

     0.75 %(f)      0.75 %      0.75 %      0.77 %(g)      0.80 %(f)      0.80 %      0.84 %(h) 

Gross expenses

     0.90 %(f)      0.95 %      0.98 %      0.93 %      1.02 %(f)      0.91 %      0.90 % 

Net investment income

     5.03 %(f)      4.16 %      5.32 %      5.07 %      5.39 %(f)      4.98 %      5.28 % 

Portfolio turnover rate

     30 %      67 %      99 %(i)      48 %      17 %      55 %      46 % 

 

 

 

*

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.

 

|  68

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class A  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 11.22     $ 11.65     $ 11.33     $ 10.77     $ 10.98     $ 11.30     $ 11.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.13       0.26       0.32       0.35       0.08       0.30       0.36  

Net realized and unrealized gain (loss)

     (1.27 )      (0.26 )      0.94       0.58       (0.16 )      (0.28 )      0.05  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.14 )      0.00 (b)      1.26       0.93       (0.08 )      0.02       0.41  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.13 )      (0.26 )      (0.32 )      (0.36 )      (0.08 )      (0.21 )      (0.26 ) 

Net realized capital gains

     (0.01 )      (0.17 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.14 )      (0.43 )      (0.94 )      (0.37 )      (0.13 )      (0.34 )      (0.70 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.94     $ 11.22     $ 11.65     $ 11.33     $ 10.77     $ 10.98     $ 11.30  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (10.19 )%(d)(e)      0.07 %(d)      11.41 %(d)      8.78 %(d)      (0.66 )%(d)(e)      0.19 %(d)      3.88 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 652,444     $ 793,271     $ 872,976     $ 772,485     $ 721,110     $ 777,391     $ 902,955  

Net expenses

     0.75 %(f)(g)      0.75 %(g)      0.76 %(g)(h)      0.77 %(g)(i)      0.78 %(f)(g)      0.80 %(g)(j)      0.82 %(k) 

Gross expenses

     0.79 %(f)      0.79 %      0.80 %      0.81 %      0.82 %(f)      0.82 %      0.82 % 

Net investment income

     2.46 %(f)      2.24 %      2.73 %      3.10 %      3.09 %(f)      2.73 %      3.23 % 

Portfolio turnover rate

     17 %      27 %      70 %(l)      44 %(m)      39 %(m)      3 %      10 % 

 

 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

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

(e)

Periods less than one year are not annualized.

(f)

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

(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, 2020, the expense limit decreased from 0.76% to 0.75%.

(i)

Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

(j)

Effective July 1, 2018, the expense limit decreased to 0.78%.

(k)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(l)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(m)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

69  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class C  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 11.07     $ 11.51     $ 11.20     $ 10.65     $ 10.86     $ 11.19     $ 11.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.09       0.17       0.23       0.26       0.06       0.22       0.27  

Net realized and unrealized gain (loss)

     (1.25 )      (0.26 )      0.93       0.58       (0.16 )      (0.28 )      0.06  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.16 )      (0.09 )      1.16       0.84       (0.10 )      (0.06 )      0.33  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.09 )      (0.18 )      (0.23 )      (0.28 )      (0.06 )      (0.14 )      (0.18 ) 

Net realized capital gains

     (0.01 )      (0.17 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.10 )      (0.35 )      (0.85 )      (0.29 )      (0.11 )      (0.27 )      (0.62 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.81     $ 11.07     $ 11.51     $ 11.20     $ 10.65     $ 10.86     $ 11.19  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (10.56 )%(c)(d)      (0.70 )%(c)      10.61 %(c)      7.94 %(c)      (0.86 )%(c)(d)      (0.53 )%(c)      3.12 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 60,608     $ 80,099     $ 132,606     $ 204,395     $ 366,068     $ 412,788     $ 689,798  

Net expenses

     1.50 %(e)(f)      1.50 %(f)      1.51 %(f)(g)      1.52 %(f)(h)      1.53 %(e)(f)      1.55 %(f)(i)      1.57 %(j) 

Gross expenses

     1.54 %(e)      1.54 %      1.55 %      1.56 %      1.57 %(e)      1.57 %      1.57 % 

Net investment income

     1.70 %(e)      1.50 %      2.01 %      2.35 %      2.34 %(e)      1.96 %      2.49 % 

Portfolio turnover rate

     17 %      27 %      70 %(k)      44 %(l)      39 %(l)      3 %      10 % 

 

 

 

*

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.

 

|  70

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class N  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 11.22     $ 11.65     $ 11.33     $ 10.78     $ 10.98     $ 11.30     $ 11.58  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.14       0.29       0.35       0.38       0.09       0.34       0.39  

Net realized and unrealized gain (loss)

     (1.27 )      (0.25 )      0.94       0.58       (0.15 )      (0.28 )      0.07  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.13 )      0.04       1.29       0.96       (0.06 )      0.06       0.46  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.14 )      (0.30 )      (0.35 )      (0.40 )      (0.09 )      (0.25 )      (0.30 ) 

Net realized capital gains

     (0.01 )      (0.17 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.15 )      (0.47 )      (0.97 )      (0.41 )      (0.14 )      (0.38 )      (0.74 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.94     $ 11.22     $ 11.65     $ 11.33     $ 10.78     $ 10.98     $ 11.30  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (10.06 )%(b)(c)      0.37 %(b)      11.74 %(b)      9.11 %      (0.58 )%(c)      0.50 %      4.34 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 1,333,489     $ 1,473,020     $ 1,188,772     $ 1,367,172     $ 1,216,690     $ 1,251,189     $ 1,203,169  

Net expenses

     0.45 %(d)(e)      0.45 %(e)      0.46 %(e)(f)      0.47 %(g)      0.48 %(d)      0.47 %(h)      0.48 %(i) 

Gross expenses

     0.46 %(d)      0.47 %      0.47 %      0.47 %      0.48 %(d)      0.47 %      0.48 % 

Net investment income

     2.77 %(d)      2.53 %      3.04 %      3.40 %      3.40 %(d)      3.05 %      3.51 % 

Portfolio turnover rate

     17 %      27 %      70 %(j)      44 %(k)      39 %(k)      3 %      10 % 

 

 

 

*

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.

 

71  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class Y  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 11.22     $ 11.66     $ 11.34     $ 10.78     $ 10.99     $ 11.31     $ 11.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.14       0.29       0.35       0.37       0.09       0.33       0.39  

Net realized and unrealized gain (loss)

     (1.27 )      (0.27 )      0.94       0.59       (0.16 )      (0.28 )      0.06  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.13 )      0.02       1.29       0.96       (0.07 )      0.05       0.45  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.14 )      (0.29 )      (0.35 )      (0.39 )      (0.09 )      (0.24 )      (0.29 ) 

Net realized capital gains

     (0.01 )      (0.17 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.15 )      (0.46 )      (0.97 )      (0.40 )      (0.14 )      (0.37 )      (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.94     $ 11.22     $ 11.66     $ 11.34     $ 10.78     $ 10.99     $ 11.31  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (10.08 )%(b)(c)      0.24 %(b)      11.68 %(b)      9.04 %(b)      (0.59 )%(b)(c)      0.43 %(b)      4.24 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 3,884,825     $ 3,920,635     $ 3,704,948     $ 3,118,505     $ 2,912,537     $ 3,001,906     $ 3,453,137  

Net expenses

     0.50 %(d)(e)      0.50 %(e)      0.51 %(e)(f)      0.52 %(e)(g)      0.53 %(d)(e)      0.55 %(e)(h)      0.57 %(i) 

Gross expenses

     0.54 %(d)      0.54 %      0.55 %      0.56 %      0.57 %(d)      0.57 %      0.57 % 

Net investment income

     2.72 %(d)      2.49 %      2.98 %      3.35 %      3.35 %(d)      2.98 %      3.48 % 

Portfolio turnover rate

     17 %      27 %      70 %(j)      44 %(k)      39 %(k)      3 %      10 % 

 

 

 

*

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.

 

|  72

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Admin Class  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 11.18     $ 11.62     $ 11.30     $ 10.75     $ 10.95     $ 11.28     $ 11.56  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.12       0.23       0.29       0.32       0.08       0.28       0.34  

Net realized and unrealized gain (loss)

     (1.26 )      (0.26 )      0.94       0.58       (0.15 )      (0.28 )      0.06  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.14 )      (0.03 )      1.23       0.90       (0.07 )      0.00 (b)      0.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.12 )      (0.24 )      (0.29 )      (0.34 )      (0.08 )      (0.20 )      (0.24 ) 

Net realized capital gains

     (0.01 )      (0.17 )      (0.62 )      (0.01 )      (0.05 )      (0.13 )      (0.44 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.13 )      (0.41 )      (0.91 )      (0.35 )      (0.13 )      (0.33 )      (0.68 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.91     $ 11.18     $ 11.62     $ 11.30     $ 10.75     $ 10.95     $ 11.28  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (10.25 )%(d)      (0.26 )%      11.17 %      8.43 %      (0.63 )%(d)      (0.07 )%      3.76 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 125,467     $ 139,169     $ 125,460     $ 111,439     $ 111,864     $ 115,301     $ 25,521  

Net expenses(e)

     1.00 %(f)      1.00 %      1.01 %(g)      1.02 %(h)      1.03 %(f)      1.02 %(i)(j)      1.02 %(k)(l) 

Gross expenses

     1.04 %(f)      1.04 %      1.05 %      1.06 %      1.07 %(f)      1.05 %(j)      1.03 %(l) 

Net investment income

     2.22 %(f)      1.98 %      2.48 %      2.85 %      2.85 %(f)      2.56 %      3.03 % 

Portfolio turnover rate

     17 %      27 %      70 %(m)      44 %(n)      39 %(n)      3 %      10 % 

 

 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(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)

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.

(n)

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.

 

73  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class A  
     Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 10.34     $ 10.43     $ 9.69      $ 9.62     $ 9.92     $ 9.86  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.16       0.26       0.28        0.30       0.33       0.32  

Net realized and unrealized gain (loss)

      (1.14 )      (0.15 )      0.67        0.04       (0.30 )      (0.01 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (0.98 )      0.11       0.95        0.34       0.03       0.31  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.13 )      (0.20 )      (0.21 )       (0.27 )      (0.33 )      (0.25 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 9.23     $ 10.34     $ 10.43      $ 9.69     $ 9.62     $ 9.92  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total return(b)

      (9.48 )%(c)      1.07 %      9.97 %       3.58 %      0.39 %      3.22 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 34,765     $ 41,765     $ 36,067      $ 48,815     $ 36,528     $ 28,020  

Net expenses

      0.99 %(e)      0.97 %      0.99 %       0.99 %      1.00 %(f)      1.05 %(g)(h) 

Gross expenses

      0.99 %(e)      0.97 %      0.99 %       0.99 %      1.00 %(f)      1.06 % 

Net investment income

      3.27 %(e)      2.45 %      2.81 %       3.10 %      3.29 %      3.26 % 

Portfolio turnover rate

      28 %(i)      218 %(i)      498 %       414 %(j)      379 %(j)      178 %(k) 

 

 

 

(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 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(j)

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.

(k)

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.

 

|  74

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class C  
     Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 10.32     $ 10.40     $ 9.66      $ 9.58     $ 9.88     $ 9.82  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.12       0.18       0.21        0.23       0.26       0.25  

Net realized and unrealized gain (loss)

      (1.13 )      (0.15 )      0.66        0.04       (0.31 )      0.00 (b)(c) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (1.01 )      0.03       0.87        0.27       (0.05 )      0.25  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.10 )      (0.11 )      (0.13 )       (0.19 )      (0.25 )      (0.19 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 9.21     $ 10.32     $ 10.40      $ 9.66     $ 9.58     $ 9.88  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total return(d)

      (9.84 )%(e)      0.30 %      9.12 %       2.87 %(f)      (0.42 )%      2.53 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 3,380     $ 4,266     $ 8,962      $ 16,337     $ 26,883     $ 33,759  

Net expenses

      1.74 %(g)      1.73 %      1.74 %       1.73 %(h)      1.75 %(i)      1.81 %(j) 

Gross expenses

      1.74 %(g)      1.73 %      1.74 %       1.74 %      1.75 %(i)      1.81 % 

Net investment income

      2.52 %(g)      1.68 %      2.14 %       2.33 %      2.61 %      2.52 % 

Portfolio turnover rate

      28 %(k)      218 %(k)      498 %       414 %(l)      379 %(l)      178 %(m) 

 

 

 

(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 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(l)

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.

(m)

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.

 

75  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class N  
     Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     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

    $ 10.32     $ 10.41     $ 9.67      $ 9.60     $ 9.90     $ 9.90  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.17       0.29       0.31        0.33       0.34       0.25  

Net realized and unrealized gain (loss)

      (1.13 )      (0.15 )      0.67        0.04       (0.28 )      (0.04 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (0.96 )      0.14       0.98        0.37       0.06       0.21  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.15 )      (0.23 )      (0.24 )       (0.30 )      (0.36 )      (0.21 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 9.21     $ 10.32     $ 10.41      $ 9.67     $ 9.60     $ 9.90  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total return

      (9.35 )%(b)      1.38 %      10.36 %       3.92 %      0.68 %      2.11 %(b)(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 242,883     $ 484,005     $ 527,494      $ 297,300     $ 255,226     $ 59,282  

Net expenses

      0.68 %(d)      0.67 %      0.68 %       0.67 %      0.70 %(e)      0.70 %(d)(f)(g) 

Gross expenses

      0.68 %(d)      0.67 %      0.68 %       0.67 %      0.70 %(e)      0.72 %(d) 

Net investment income

      3.53 %(d)      2.74 %      3.13 %       3.39 %      3.44 %      3.83 %(d) 

Portfolio turnover rate

      28 %(h)      218 %(h)      498 %       414 %(i)      379 %(i)      178 %(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)

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 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(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)

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

 

See accompanying notes to financial statements.

 

|  76

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Strategic Alpha Fund—Class Y  
     Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Year Ended
December 31,
2020		      Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		  

Net asset value, beginning of the period

    $ 10.31     $ 10.41     $ 9.67      $ 9.59     $ 9.90     $ 9.85  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

      0.17       0.28       0.30        0.32       0.35       0.35  

Net realized and unrealized gain (loss)

      (1.13 )      (0.15 )      0.68        0.06       (0.31 )      (0.01 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      (0.96 )      0.13       0.98        0.38       0.04       0.34  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.15 )      (0.23 )      (0.24 )       (0.30 )      (0.35 )      (0.29 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 9.20     $ 10.31     $ 10.41      $ 9.67     $ 9.59     $ 9.90  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total return

      (9.39 )%(b)      1.32 %      10.19 %       3.96 %      0.53 %      3.48 %(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

    $ 746,120     $ 930,815     $ 742,493      $ 938,271     $ 1,186,322     $ 1,031,537  

Net expenses

      0.74 %(d)      0.72 %      0.74 %       0.74 %      0.75 %(e)      0.80 %(f)(g) 

Gross expenses

      0.74 %(d)      0.72 %      0.74 %       0.74 %      0.75 %(e)      0.81 % 

Net investment income

      3.52 %(d)      2.70 %      3.05 %       3.33 %      3.51 %      3.53 % 

Portfolio turnover rate

      28 %(h)      218 %(h)      498 %       414 %(i)      379 %(i)      178 %(j) 

 

 

 

(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 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(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.

 

77  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class A  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 14.19     $ 14.03     $ 13.58     $ 14.25     $ 14.39     $ 14.84     $ 14.70  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

          

Net investment income(a)

     0.21       0.26       0.10       0.47       0.57       0.52       0.56  

Net realized and unrealized gain (loss)

     (2.13 )      0.27       0.63       (0.66 )      (0.16 )      (0.33 )      0.42  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.92 )      0.53       0.73       (0.19 )      0.41       0.19       0.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.21 )      (0.37 )      (0.16 )      (0.45 )      (0.48 )      (0.57 )      (0.52 ) 

Net realized capital gains

     —       —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.21 )      (0.37 )      (0.28 )      (0.48 )      (0.55 )      (0.64 )      (0.84 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.06     $ 14.19     $ 14.03     $ 13.58     $ 14.25     $ 14.39     $ 14.84  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (13.63 )%(c)(d)      3.85 %(d)      5.37 %(c)      (1.39 )%      3.02 %      1.34 %      7.01 % 

RATIOS TO AVERAGE NET ASSETS:

 

            

Net assets, end of the period (000’s)

   $ 1,211,095     $ 1,512,939     $ 1,682,562     $ 1,683,547     $ 1,835,813     $ 1,986,300     $ 1,999,385  

Net expenses

     0.95 %(e)(f)      0.96 %(f)(g)      0.97 %(e)      0.97 %(h)      0.96 %      0.96 %      0.96 % 

Gross expenses

     0.97 %(e)      0.97 %      0.97 %(e)      0.97 %      0.96 %      0.96 %      0.96 % 

Net investment income

     3.16 %(e)      1.85 %      2.78 %(e)      3.42 %      4.03 %      3.57 %      3.82 % 

Portfolio turnover rate

     15 %(i)      99 %(j)      30 %(k)      30 %      13 %      6 %      11 % 

 

 

*

For the three month period ended December 31, 2020 due to change in fiscal year.

(a)

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

(b)

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

(c)

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)

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

(g)

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

(h)

Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(i)

The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(j)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

 

See accompanying notes to financial statements.

 

|  78

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class C  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 14.36     $ 14.18     $ 13.72     $ 14.39     $ 14.52     $ 14.97     $ 14.81  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

          

Net investment income(a)

     0.16       0.16       0.07       0.38       0.47       0.41       0.45  

Net realized and unrealized gain (loss)

     (2.15 )      0.28       0.64       (0.68 )      (0.16 )      (0.33 )      0.44  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.99 )      0.44       0.71       (0.30 )      0.31       0.08       0.89  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.16 )      (0.26 )      (0.13 )      (0.34 )      (0.37 )      (0.46 )      (0.41 ) 

Net realized capital gains

     —       —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.16 )      (0.26 )      (0.25 )      (0.37 )      (0.44 )      (0.53 )      (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.21     $ 14.36     $ 14.18     $ 13.72     $ 14.39     $ 14.52     $ 14.97  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (13.94 )%(c)(d)      3.13 %(d)      5.17 %(c)      (2.18 )%      2.27 %      0.60 %      6.20 % 

RATIOS TO AVERAGE NET ASSETS:

 

            

Net assets, end of the period (000’s)

   $ 73,368     $ 120,091     $ 259,780     $ 277,896     $ 676,602     $ 1,153,853     $ 2,248,939  

Net expenses

     1.70 %(e)(f)      1.71 %(f)(g)      1.72 %(e)      1.72 %(h)      1.71 %      1.71 %      1.71 % 

Gross expenses

     1.72 %(e)      1.72 %      1.72 %(e)      1.72 %      1.71 %      1.71 %      1.71 % 

Net investment income

     2.38 %(e)      1.12 %      2.04 %(e)      2.75 %      3.30 %      2.79 %      3.08 % 

Portfolio turnover rate

     15 %(i)      99 %(j)      30 %(k)      30 %      13 %      6 %      11 % 

 

 

*

For the three month period ended December 31, 2020 due to change in fiscal year.

(a)

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

(b)

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

(c)

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)

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

(g)

Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%.

(h)

Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(i)

The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(j)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

 

See accompanying notes to financial statements.

 

79  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class N  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 14.17     $ 14.01     $ 13.57     $ 14.24     $ 14.38     $ 14.83     $ 14.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

          

Net investment income(a)

     0.23       0.31       0.11       0.52       0.61       0.56       0.60  

Net realized and unrealized gain (loss)

     (2.12 )      0.27       0.62       (0.66 )      (0.16 )      (0.32 )      0.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.89 )      0.58       0.73       (0.14 )      0.45       0.24       1.03  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.23 )      (0.42 )      (0.17 )      (0.50 )      (0.52 )      (0.62 )      (0.57 ) 

Net realized capital gains

     —       —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.23 )      (0.42 )      (0.29 )      (0.53 )      (0.59 )      (0.69 )      (0.89 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.05     $ 14.17     $ 14.01     $ 13.57     $ 14.24     $ 14.38     $ 14.83  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (13.44 )%(b)      4.19 %      5.39 %(b)      (1.06 )%      3.37 %      1.67 %      7.38 % 

RATIOS TO AVERAGE NET ASSETS:

 

            

Net assets, end of the period (000’s)

   $ 226,627     $ 280,661     $ 247,697     $ 212,804     $ 202,989     $ 176,456     $ 141,695  

Net expenses

     0.63 %(c)      0.65 %(d)      0.65 %(c)      0.64 %(e)      0.63 %      0.63 %      0.63 % 

Gross expenses

     0.63 %(c)      0.65 %      0.65 %(c)      0.64 %      0.63 %      0.63 %      0.63 % 

Net investment income

     3.48 %(c)      2.17 %      3.13 %(c)      3.77 %      4.36 %      3.91 %      4.13 % 

Portfolio turnover rate

     15 %(f)      99 %(g)      30 %(h)      30 %      13 %      6 %      11 % 

 

 

 

*

For the three month period ended December 31, 2020 due to change in fiscal year.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%.

(e)

Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(f)

The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(g)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(h)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

 

See accompanying notes to financial statements.

 

|  80

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class Y  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 14.17     $ 14.01     $ 13.56     $ 14.23     $ 14.38     $ 14.83     $ 14.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

          

Net investment income(a)

     0.22       0.30       0.11       0.51       0.60       0.55       0.59  

Net realized and unrealized gain (loss)

     (2.11 )      0.27       0.62       (0.66 )      (0.17 )      (0.32 )      0.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.89 )      0.57       0.73       (0.15 )      0.43       0.23       1.02  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.23 )      (0.41 )      (0.16 )      (0.49 )      (0.51 )      (0.61 )      (0.56 ) 

Net realized capital gains

     —       —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.23 )      (0.41 )      (0.28 )      (0.52 )      (0.58 )      (0.68 )      (0.88 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.05     $ 14.17     $ 14.01     $ 13.56     $ 14.23     $ 14.38     $ 14.83  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (13.47 )%(b)(c)      4.12 %(c)      5.44 %(b)      (1.14 )%      3.22 %      1.66 %      7.22 % 

RATIOS TO AVERAGE NET ASSETS:

 

            

Net assets, end of the period (000’s)

   $ 2,239,995     $ 3,058,635     $ 3,693,954     $ 3,774,113     $ 4,316,010     $ 5,118,016     $ 5,702,607  

Net expenses

     0.70 %(d)(e)      0.71 %(e)(f)      0.72 %(d)      0.72 %(g)      0.71 %      0.71 %      0.71 % 

Gross expenses

     0.72 %(d)      0.72 %      0.72 %(d)      0.72 %      0.71 %      0.71 %      0.71 % 

Net investment income

     3.40 %(d)      2.10 %      3.03 %(d)      3.68 %      4.28 %      3.82 %      4.04 % 

Portfolio turnover rate

     15 %(h)      99 %(i)      30 %(j)      30 %      13 %      6 %      11 % 

 

 

*

For the three month period ended December 31, 2020 due to change in fiscal year.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

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

(e)

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

(f)

Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.

(g)

Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(h)

The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(i)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(j)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

 

See accompanying notes to financial statements.

 

81  |

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Admin Class  
    Six Months
Ended
June 30, 2022
(Unaudited)		     Year Ended
December 31,
2021		     Period Ended
December 31,
2020*		     Year Ended
September 30,
2020		     Year Ended
September 30,
2019		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		  

Net asset value, beginning of the period

   $ 14.14     $ 13.97     $ 13.53     $ 14.20     $ 14.34     $ 14.79     $ 14.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

          

Net investment income(a)

     0.19       0.23       0.09       0.44       0.53       0.48       0.52  

Net realized and unrealized gain (loss)

     (2.12 )      0.28       0.62       (0.66 )      (0.16 )      (0.33 )      0.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.93 )      0.51       0.71       (0.22 )      0.37       0.15       0.95  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.19 )      (0.34 )      (0.15 )      (0.42 )      (0.44 )      (0.53 )      (0.49 ) 

Net realized capital gains

     —       —       (0.12 )      (0.03 )      (0.07 )      (0.07 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.19 )      (0.34 )      (0.27 )      (0.45 )      (0.51 )      (0.60 )      (0.81 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.02     $ 14.14     $ 13.97     $ 13.53     $ 14.20     $ 14.34     $ 14.79  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (13.71 )%(b)(c)      3.68 %(c)      5.24 %(b)      (1.64 )%      2.78 %      1.09 %      6.79 % 

RATIOS TO AVERAGE NET ASSETS:

 

            

Net assets, end of the period (000’s)

   $ 74,476     $ 95,250     $ 105,172     $ 103,197     $ 121,903     $ 133,220     $ 142,871  

Net expenses

     1.20 %(d)(e)      1.21 %(e)(f)      1.22 %(d)      1.22 %(g)      1.20 %(h)      1.20 %(h)      1.19 %(i) 

Gross expenses

     1.22 %(d)      1.22 %      1.22 %(d)      1.22 %      1.20 %(h)      1.20 %(h)      1.19 %(i) 

Net investment income

     2.91 %(d)      1.60 %      2.53 %(d)      3.19 %      3.80 %      3.33 %      3.57 % 

Portfolio turnover rate

     15 %(j)      99 %(k)      30 %(l)      30 %      13 %      6 %      11 % 

 

 

*

For the three month period ended December 31, 2020 due to change in fiscal year.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

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

(e)

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

(f)

Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%.

(g)

Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

(h)

Includes refund of prior year service fee of 0.01%.

(i)

Includes refund of prior year service fee of 0.02%.

(j)

The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(k)

The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(l)

The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

 

See accompanying notes to financial statements.

 

|  82

Notes to Financial Statements

 

June 30, 2022 (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 Strategic Alpha Fund (the “Strategic Alpha Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee applicable to Class A, Class C and Admin Class) and transfer agent fees are borne collectively for Class A, Class C, Class Y and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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 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 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, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available,

 

83  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, securities and other investments of the funds included in net assets were fair valued as follows:

 

Fund

   

Securities
classified as
fair valued

     

Percentage of

Net Assets

     

Securities fair
valued by the
Fund’s adviser

     

Percentage of

Net Assets

  

High Income Fund

    $ 2,480,562        2.1 %     $ 242,217        0.2 % 

Investment Grade Bond Fund

      84,257,792        1.4 %       —        —  

Strategic Alpha Fund

      10,436,443        1.0 %       2,152,443        0.2 % 

Strategic Income Fund

      90,856,880        2.4 %       3,095,871        0.1 % 

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of

 

|  84

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

 

Strategic Alpha Fund

    $  4,364,261  

Strategic Income Fund

      840,573  

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Forward Foreign Currency Contracts.  A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

e.  Futures Contracts.  A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

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

 

85  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.   Option Contracts.  A Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

g.  Swap Agreements.  A Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two

 

|  86

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

h.  Swaptions.  A Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption. Swaptions outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

i.  Due to/from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund and Investment Grade Bond Fund represents cash pledged as initial margin for centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for 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 initial margin for centrally cleared swap agreements. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha fund represents cash received as collateral for forward foreign currency contracts and bilateral 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.

 

87  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next 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, distribution re-designations, deferred Trustees’ fees, futures and forward foreign currency contract mark-to-market, return of capital distributions received, capital gain distributions received, convertible bond adjustments, swap adjustments, foreign currency gains and losses, 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, futures and forward foreign currency contract mark-to-market, return of capital distributions received, capital gain distributions received, trust preferred securities, convertible bond adjustments, perpetual 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, 2021 was as follows:

 

     

2021 Distributions

  

Fund

   

Ordinary

Income

     

Long-Term
Capital Gains

     

Total

  

High Income Fund

    $ 5,371,376      $ —      $ 5,371,376  

Investment Grade Bond Fund

      173,267,029        81,743,974        255,011,003  

Strategic Alpha Fund

      31,722,448        —        31,722,448  

Strategic Income Fund

      149,184,342        —        149,184,342  

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.

 

|  88

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

As of December 31, 2021, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

 

     

High Income
Fund

     

Investment

Grade Bond
Fund

     

Strategic
Alpha Fund

     

Strategic

Income Fund

  

Capital loss carryforward:

            

Short-term:

            

No expiration date

    $ —      $ —      $ —      $ (18,121,967 ) 

Long-term:

            

No expiration date

      (7,377,226 )       —        (15,404,841 )       (173,343,657 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total capital loss carryforward

    $ (7,377,226 )     $ —      $ (15,404,841 )     $ (191,465,624 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Late-year ordinary and post-October capital loss deferrals*

    $ —      $ (2,088,873 )     $ —      $ —  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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. Investment Grade Bond Fund is deferring capital losses.

As of June 30, 2022, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

     

High Income
Fund

     

Investment
Grade Bond
Fund

     

Strategic
Alpha Fund

     

Strategic

Income Fund

  

Unrealized appreciation (depreciation)

            

Investments

    $ (29,039,364 )     $ (484,544,756 )     $ (160,833,508 )     $ (660,901,110 ) 

Foreign currency translations

      —        (5,050 )       (11,138,174 )       (29,167 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total unrealized depreciation

    $ (29,039,364 )     $ (484,549,806 )     $ (171,971,682 )     $ (660,930,277 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

As of June 30, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

     

High Income
Fund

     

Investment
Grade Bond
Fund

     

Strategic
Alpha Fund

     

Strategic
Income Fund

  

Federal tax cost

    $ 146,135,676      $ 6,494,331,519      $ 1,160,540,564      $ 4,403,949,514  
  

 

 

     

 

 

     

 

 

     

 

 

  

Gross tax appreciation

    $ 522,545      $ 47,160,880      $ 12,726,124      $ 63,671,453  

Gross tax depreciation

      (29,561,909 )       (531,705,636 )       (184,903,976 )       (724,572,563 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net tax depreciation

    $ (29,039,364 )     $ (484,544,756 )     $ (172,177,852 )     $ (660,901,110 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

l.  Senior Loans.  A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m.  Loan Participations.  A Fund’s investment in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund

 

89  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

n.  Collateralized Loan Obligations.  A Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

o.  Equity Linked Notes.  Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

p.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

q.  When-Issued and Delayed Delivery Transactions.  A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2022.

r.  Stripped Securities.  A Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

 

|  90

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, the Funds did not loan securities under this agreement.

t.  Unfunded Loan Commitments.  A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments. Unfunded loan commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

u.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

v.  New Accounting Pronouncement.  In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. Management expects to apply the optional expedients when appropriate.

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).

 

91  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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.

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2022, at value:

High Income Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

Home Construction

    $ —      $ 427,024      $ — (b)    $ 427,024  

Non-Agency Commercial Mortgage-Backed Securities

      —        2,267,885        233,278 (c)      2,501,163  

All Other Non-Convertible Bonds(a)

      —        99,930,309        —       99,930,309  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        102,625,218        233,278       102,858,496  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        5,862,256        —       5,862,256  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        108,487,474        233,278       108,720,752  
  

 

 

     

 

 

     

 

 

    

 

 

  

Collateralized Loan Obligations

      —        1,862,209        —       1,862,209  

Preferred Stocks

           

Technology

      217,242        —        —       217,242  

Wireless

      —        1,842,586        —       1,842,586  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      217,242        1,842,586        —       2,059,828  
  

 

 

     

 

 

     

 

 

    

 

 

  

Common Stocks(a)

      114,131        —        —       114,131  

Other Investments(a)

      —        —        8,510 (d)      8,510  

Warrants

      —        —        429 (d)      429  

Exchange-Traded Funds

      1,975,324        —        —       1,975,324  

Short-Term Investments

      —        2,362,062        —       2,362,062  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 2,306,697      $ 114,554,331      $ 242,217     $ 117,103,245  
  

 

 

     

 

 

     

 

 

    

 

 

  

Liability Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)

    $ —      $ (6,933 )     $ —     $ (6,933 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(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 ($148,655) or fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($84,623).

(d)

Fair valued by the Fund’s adviser.

 

|  92

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Investment Grade Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Bonds and Notes(a)

    $ —      $ 5,069,690,091      $ —      $ 5,069,690,091  

Collateralized Loan Obligations

      —        197,083,826        —        197,083,826  

Preferred Stocks

            

Banking

      43,684,796        —        —        43,684,796  

Wireless

      —        32,979,656        —        32,979,656  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      43,684,796        32,979,656        —        76,664,452  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

      —        658,263,680        —        658,263,680  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 43,684,796      $ 5,958,017,253      $   —      $ 6,001,702,049  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts (unrealized appreciation)

      8,410,908        —        —        8,410,908  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 52,095,704      $ 5,958,017,253      $ —      $ 6,010,112,957  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

            

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)

    $ —      $ (326,194 )     $ —      $ (326,194 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Strategic Alpha Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

Non-Agency Commercial Mortgage-Backed Securities

    $ —      $ 50,924,005      $ 2,075,853 (b)    $ 52,999,858  

All Other Non-Convertible Bonds(a)

      —        784,705,944        —       784,705,944  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        835,629,949        2,075,853       837,705,802  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        37,223,149        —       37,223,149  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        872,853,098        2,075,853       874,928,951  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans(a)

      —        4,623,984        —       4,623,984  

Collateralized Loan Obligations

      —        57,192,500        —       57,192,500  

Common Stocks(a)

      31,798,064        —        —       31,798,064  

Preferred Stocks

           

Wireless

      —        4,014,246        —       4,014,246  

All Other Preferred Stocks(a)

      1,429,828        —        —       1,429,828  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      1,429,828        4,014,246        —       5,444,074  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Investments(a)

      —        —        76,590 (b)      76,590  

Short-Term Investments

      —        24,748,708        —       24,748,708  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investments

      33,227,892        963,432,536        2,152,443       998,812,871  
  

 

 

     

 

 

     

 

 

    

 

 

  

Bilateral Credit Default Swap Agreements (unrealized appreciation)

      —        559,985        —       559,985  

Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)

      —        1,290,912        —       1,290,912  

Forward Foreign Currency Contracts (unrealized appreciation)

      —        842,515        —       842,515  

Futures Contracts (unrealized appreciation)

      4,669,119        —        —       4,669,119  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 37,897,011      $ 966,125,948      $ 2,152,443     $ 1,006,175,402  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

93  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Liability Valuation Inputs

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Written Options(a)

    $ (139,175 )     $ —      $ —      $ (139,175 ) 

Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)

      —        (58,711 )       —        (58,711 ) 

Futures Contracts (unrealized depreciation)

      (17,740,167 )       —        —        (17,740,167 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (17,879,342 )     $ (58,711 )     $ —      $ (17,938,053 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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.

Strategic Income Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

Independent Energy

    $ —      $ 119,439,250      $ 1,563,396 (b)    $ 121,002,646  

Property & Casualty Insurance

      —        9,041,114        1,532,475 (b)      10,573,589  

All Other Non-Convertible Bonds(a)

      —        2,817,902,786        —       2,817,902,786  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        2,946,383,150        3,095,871       2,949,479,021  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        251,027,412        —       251,027,412  

Municipals(a)

      —        59,800,001        —       59,800,001  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        3,257,210,563        3,095,871       3,260,306,434  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans(a)

      —        19,922,390        —       19,922,390  

Collateralized Loan Obligations

      —        129,640,729        —       129,640,729  

Common Stocks

           

Software

      6,448,231        106,956        —       6,555,187  

All Other Common Stocks(a)

      254,746,719        —        —       254,746,719  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      261,194,950        106,956        —       261,301,906  
  

 

 

     

 

 

     

 

 

    

 

 

  

Preferred Stocks

           

Convertible Preferred Stocks

           

Wireless

      —        20,526,433        —       20,526,433  

All Other Convertible Preferred Stocks(a)

      41,300,340        —        —       41,300,340  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Convertible Preferred Stocks

      41,300,340        20,526,433        —       61,826,773  
  

 

 

     

 

 

     

 

 

    

 

 

  

Non-Convertible Preferred Stocks

           

REITs - Office Property

      —        1,875,300        —       1,875,300  

REITs - Warehouse/Industrials

      —        7,436,288        —       7,436,288  

All Other Non-Convertible Preferred Stocks(a)

      4,217,461        —        —       4,217,461  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Preferred Stocks

      4,217,461        9,311,588        —       13,529,049  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      45,517,801        29,838,021        —       75,355,822  
  

 

 

     

 

 

     

 

 

    

 

 

  

Closed-End Investment Companies

      2,817,300        —        —       2,817,300  

Short-Term Investments

      —        6,388,460        —       6,388,460  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 309,530,051      $ 3,443,107,119      $ 3,095,871     $ 3,755,733,041  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

|  94

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Liability Valuation Inputs

            

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)

    $ —      $ (12,278,611 )     $ —      $ (12,278,611 ) 

Futures Contracts (unrealized depreciation)

      (406,026 )       —        —        (406,026 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (406,026 )     $ (12,278,611 )     $ —      $ (12,684,637 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or June 30, 2022:

High Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2021

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,
2022

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30,
2022

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Home Construction

   $ — (a)    $ 12,427     $   —     $ (12,427 )    $   —     $   —     $   —     $   —     $ — (a)    $ (12,427 ) 

Non-Agency Commercial Mortgage-Backed Securities

     138,957       —       63       10,586       —       (1,037 )      84,709       —       233,278       10,586  

Collateralized Loan Obligations

     250,000       —       —       —       —       —       —       (250,000 )      —       —  

Other Investments

                    

Aircraft ABS

     87,030       —       —       (78,520 )      —       —       —       —       8,510       (78,520 ) 

Warrants

     1,264       —       —       (835 )      —       —       —       —       429       (835 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 477,251     $ 12,427     $ 63     $ (81,196 )    $   —     $ (1,037 )    $ 84,709     $ (250,000 )    $ 242,217     $ (81,196 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $84,709 was transferred from Level 2 to Level 3 during the period ended June 30, 2022. At December 31, 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. At June 30, 2022, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price for the security.

A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2022, 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.

 

95  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Strategic Alpha Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2021

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,
2022

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30,
2022

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Non-Agency Commercial Mortgage-Backed Securities

   $ 1,932,446     $   —     $   —     $ 143,407     $   —     $   —     $   —     $   —     $ 2,075,853     $ 143,407  

Collateralized Loan Obligations

     445,000       —       —       —       —       —       —       (445,000 )      —       —  

Other Investments

                    

Aircraft ABS

     783,270       —       —       (706,680 )      —       —       —       —       76,590       (706,680 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 3,160,716     $   —     $   —     $ (563,273 )    $   —     $   —     $   —     $ (445,000 )    $ 2,152,443     $ (563,273 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A debt security valued at $445,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2022, 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.

Strategic Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2021

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

    

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,
2022

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30,
2022

  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Independent Energy

   $  1,832,190     $  127,557     $   —     $ (396,351 )    $   —     $   —     $   —     $   —     $  1,563,396     $ (396,351 ) 

Property & Casualty Insurance

     1,501,200       34,989       —       (3,714 )      —       —       —       —       1,532,475       (3,714 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 3,333,390     $ 162,546     $   —     $ (400,065 )    $   —     $   —     $   —     $   —     $ 3,095,871     $ (400,065 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

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, 2022, High Income

 

|  96

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, 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, 2022, 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 and for yield curve management. During the six months ended June 30, 2022, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the six months ended June 30, 2022, the Fund engaged in option contracts for hedging purposes.

The following is a summary of derivative instruments for High Income Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

   

Swap
agreements
at value1

  

Exchange-traded/cleared liability derivatives

   

Credit contracts

    $ (36,263 ) 

 

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.

Transactions in derivative instruments for High Income Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Swap
agreements

  

Credit contracts

    $ 220  

 

Net Change in Unrealized Appreciation (Depreciation) on:

   

Swap
agreements

  

Credit contracts

    $ (6,933 ) 

The following is a summary of derivative instruments for Investment Grade Bond Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized

appreciation

on futures

contracts1

  

Exchange-traded asset derivatives

 

Interest rate contracts

    $ 8,410,908  

 

97  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Liabilities

   

Swap
agreements
at value2

  

Exchange-traded/cleared liability derivatives

 

Credit contracts

    $ (1,706,509 ) 

 

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 Investment Grade Bond Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
contracts

     

Swap
agreements

  

Interest rate contracts

    $ 16,402,244      $ —  

Credit contracts

      —        (18,666 ) 
  

 

 

     

 

 

  

Total

    $ 16,402,244      $ (18,666 ) 
  

 

 

     

 

 

  

 

Net Change in Unrealized

Appreciation (Depreciation) on:

   

Futures
contracts

     

Swap
agreements

  

Interest rate contracts

    $ 15,673,171      $ —  

Credit contracts

      —        (326,194 ) 
  

 

 

     

 

 

  

Total

    $ 15,673,171      $ (326,194 ) 
  

 

 

     

 

 

  

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation
on forward
foreign
currency
contracts

     

Unrealized
appreciation
on futures
contracts1

     

Swaps
agreements
at value2

     

Total

  

Over-the-counter asset derivatives

 

Foreign exchange contracts

    $ 842,515      $ —      $ —      $ 842,515  

Credit contracts

      —        —        622,056        622,056  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total over-the counter asset derivatives

    $ 842,515      $ —      $ 622,056      $ 1,464,571  
  

 

 

     

 

 

     

 

 

     

 

 

  

Exchange-traded/cleared asset derivatives

 

Interest rate contracts

    $ —      $ 4,669,119      $ 1,292,387      $ 5,961,506  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total asset derivatives

    $ 842,515      $ 4,669,119      $ 1,914,443      $ 7,426,077  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Liabilities

   

Options
written at
value

     

Unrealized
depreciation
on futures
contracts1

     

Swaps
agreements
at value2

     

Total

  

Exchange-traded/cleared liability derivatives

Credit contracts

    $ —      $ —      $ (307,172 )     $ (307,172 ) 

Interest rate contracts

      —        (17,740,167 )       —        (17,740,167 ) 

Equity contracts

      (139,175 )       —        —        (139,175 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total exchange-traded/cleared liability derivatives

    $ (139,175 )     $ (17,740,167 )     $ (307,172 )     $ (18,186,514 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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.

 

|  98

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
contracts

     

Options
written

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ 28,256,713      $ —      $ (398,094 )     $ —  

Foreign exchange contracts

      —        —        —        1,296,114  

Credit contracts

      —        —        2,174,310        —  

Equity contracts

      —        (13,863 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 28,256,713      $ (13,863 )     $ 1,776,216      $ 1,296,114  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures
contracts

    

Options
written

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ (10,698,314 )    $ —      $ 2,004,896      $ —  

Foreign exchange contracts

      —       —        —        (425,107 ) 

Credit contracts

      —       —        659,836        —  

Equity contracts

      —       55,275        —        —  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total

    $ (10,698,314 )    $ 55,275      $ 2,664,732      $ (425,107 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

The following is a summary of derivative instruments for Strategic Income Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

   

Unrealized

depreciation

on futures

contracts1

    

Swap
agreements
at value2

  

Exchange-traded/cleared liability derivatives

     

Interest rate contracts

    $ (406,026 )    $ —  

Credit contracts

      —       (3,060,707 ) 
  

 

 

    

 

 

  

Total exchange-traded/cleared liability derivatives

    $ (406,026 )    $ (3,060,707 ) 
  

 

 

    

 

 

  

 

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.

 

99  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Transactions in derivative instruments for Strategic Income Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
contracts

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ 939,314      $ —      $ —  

Foreign exchange contracts

      —        —        (369,783 ) 

Credit contracts

      —        (1,555,725 )       —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 939,314      $ (1,555,725 )     $ (369,783 ) 
  

 

 

     

 

 

     

 

 

  

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures
contracts

     

Swap
agreements

     

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ 1,313,052      $ —      $ —  

Foreign exchange contracts

      —        —        248,802  

Credit contracts

      —        (14,963,284 )       —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 1,313,052      $ (14,963,284 )     $ 248,802  
  

 

 

     

 

 

     

 

 

  

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2022:

 

High Income Fund

   

Credit

Default

Swaps

  

Average Notional Amount Outstanding

      0.13 % 

Highest Notional Amount Outstanding

      1.05 % 

Lowest Notional Amount Outstanding

      0.00 % 

Notional Amount Outstanding as of June 30, 2022

      1.05 % 

 

Investment Grade Bond Fund

   

Futures

     

Credit

Default

Swaps

  

Average Notional Amount Outstanding

      2.83 %       0.14 % 

Highest Notional Amount Outstanding

      5.27 %       0.98 % 

Lowest Notional Amount Outstanding

      0.00 %       0.00 % 

Notional Amount Outstanding as of June 30, 2022

      3.70 %       0.98 % 

 

Strategic Alpha Fund

   

Forwards

     

Futures

     

Credit

Default

Swaps

     

Interest

Rate

Swaps

  

Average Notional Amount Outstanding

      2.20 %       73.68 %       5.37 %       1.72 % 

Highest Notional Amount Outstanding

      2.55 %       115.88 %       10.72 %       1.97 % 

Lowest Notional Amount Outstanding

      1.71 %       9.06 %       2.83 %       1.64 % 

Notional Amount Outstanding as of June 30, 2022

      2.55 %       115.88 %       4.00 %       1.97 % 

 

|  100

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Strategic Income Fund

   

Forwards

     

Futures

     

Credit

Default

Swaps

  

Average Notional Amount Outstanding

      0.23 %       1.10 %       5.14 % 

Highest Notional Amount Outstanding

      0.63 %       1.55 %       6.35 % 

Lowest Notional Amount Outstanding

      0.00 %       0.37 %       3.14 % 

Notional Amount Outstanding as of June 30, 2022

      0.00 %       0.40 %       4.70 % 

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2022:

 

Strategic Alpha Fund

   

Call
Options

Written*

  

Average Market Value of Underlying Instruments

      0.48 % 

Highest Market Value of Underlying Instruments

      1.00 % 

Lowest Market Value of Underlying Instruments

      0.00 % 

Market Value of Underlying Instruments as of June 30, 2022

      1.00 % 

 

*

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, 2022, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

 

Strategic Alpha Fund

 

Counterparty

   

Gross
Amounts of
Assets

     

Offset
Amount

     

Net Asset
Balance

     

Collateral
(Received)/
Pledged

     

Net
Amount

  

Bank of America, N.A.

    $ 59,285      $ —      $ 59,285      $ —      $ 59,285  

Barclays Bank PLC

      463,292        —        463,292        (320,000 )       143,292  

Morgan Stanley Capital Services, Inc.

      941,994        —        941,994        (786,064 )       155,930  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 1,464,571      $ —      $ 1,464,571      $ (1,106,064 )     $ 358,507  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited

 

101  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022:

 

Fund

   

Maximum Amount

of Loss - Gross

     

Maximum Amount

of Loss - Net

  

High Income Fund

    $ 130,000      $ 130,000  

Investment Grade Bond Fund

      34,917,715        34,917,715  

Strategic Alpha Fund

      27,707,071        26,601,007  

Strategic Income Fund

      55,595,879        55,595,879  

Net loss amount reflects cash received as collateral for Strategic Alpha Fund of $1,106,064 which is recorded on the Statements of Assets and Liabilities.

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2022, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:

 

     

U.S. Government/Agency
Securities

     

Other Securities

  

Fund

   

Purchases

     

Sales

     

Purchases

     

Sales

  

High Income Fund

    $ 1,373,059      $ 1,912,862      $ 57,145,204      $ 35,946,841  

Investment Grade Bond Fund

      432,447,106        503,494,028        535,999,824        679,791,343  

Strategic Alpha Fund

      23,799,446        21,598,523        290,479,203        504,391,192  

Strategic Income Fund

      167,532,224        118,927,551        494,212,275        982,566,489  

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

     

Percentage of Average Daily Net Assets

  

Fund

   

First

$200 million

     

Next

$1.05 billion

     

Next

$750 million

     

Next
$13 billion

     

Next
$10 billion

     

Over
$25 billion

  

High Income Fund

      0.60 %       0.60 %       0.60 %       0.60 %       0.60 %       0.60 % 

Investment Grade Bond Fund

      0.40 %       0.40 %       0.40 %       0.40 %       0.38 %       0.38 % 

Strategic Alpha Fund

      0.60 %       0.60 %       0.55 %       0.55 %       0.55 %       0.55 % 

Strategic Income Fund

      0.65 %       0.60 %       0.60 %       0.55 %       0.54 %       0.53 % 

Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management

 

|  102

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

 

     

Expense Limit as a Percentage of
Average Daily Net Assets

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

High Income Fund

      1.00 %       1.75 %       0.70 %       0.75 %       —    

Investment Grade Bond Fund

      0.75 %       1.50 %       0.45 %       0.50 %       1.00 % 

Strategic Alpha Fund

      1.00 %       1.75 %       0.70 %       0.75 %       —    

Strategic Income Fund

      0.95 %       1.70 %       0.65 %       0.70 %       1.20 % 

Effective July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Investment Grade Bond Fund and Strategic Income Fund are as follows:

 

     

Expense Limit as a Percentage of
Average Daily Net Assets

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

Investment Grade Bond Fund

      0.74 %       1.49 %       0.44 %       0.49 %       0.99 % 

Strategic Income Fund

      0.94 %       1.69 %       0.64 %       0.69 %       1.19 % 

These new undertakings are in effect until April 30, 2024, 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 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, 2022, the management fees and waivers of management fees for each Fund were as follows:

 

     

Gross
Management Fees

     

Contractual
Waivers of
Management Fees1

     

Net
Management Fees

     

Percentage of
Average
Daily Net Assets

  

Fund

    Gross      Net  

High Income Fund

    $ 405,069      $ 100,968      $ 304,101        0.60 %       0.45 % 

Investment Grade Bond Fund

      12,051,170        1,085,238        10,965,932        0.40 %       0.36 % 

Strategic Alpha Fund

      3,664,284        —        3,664,284        0.60 %       0.60 % 

Strategic Income Fund

      12,718,127        —        12,718,127        0.57 %       0.57 % 

 

1

Management fee waivers are subject to possible recovery until December 31, 2023.

For the six months ended June 30, 2022, class-specific expenses have been reimbursed as follows:

 

     

Reimbursement1

  

Fund

    Class A      Class C      Class N      Class Y      Admin Class      Total  

Strategic Income Fund

    $ 134,444      $ 9,269      $ —      $ 262,528      $ 8,559      $ 414,800  

 

1

Expense reimbursement is subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the six months ended June 30, 2022 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, LLC (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

 

103  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, the service and distribution fees for each Fund were as follows:

 

     

Service Fees

     

Distribution Fees

  

Fund

   

Class A

     

Class C

     

Admin Class

     

Class C

     

Admin Class

  

High Income Fund

    $ 23,413      $ 1,837      $ —      $ 5,510      $ —  

Investment Grade Bond Fund

      881,002        85,202        163,571        255,604        163,571  

Strategic Alpha Fund

      48,719        4,674        —        14,022        —  

Strategic Income Fund

      1,688,565        119,295        105,798        357,886        105,798  

c.  Administrative Fees.  Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2022, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

High Income Fund

    $ 29,883  

Investment Grade Bond Fund

      1,333,164  

Strategic Alpha Fund

      270,609  

Strategic Income Fund

      978,298  

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’

 

|  104

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

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, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

High Income Fund

    $ 63,290  

Investment Grade Bond Fund

      1,733,629  

Strategic Alpha Fund

      241,242  

Strategic Income Fund

      1,709,299  

As of June 30, 2022, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

High Income Fund

    $ 1,365  

Investment Grade Bond Fund

      41,202  

Strategic Alpha Fund

      4,749  

Strategic Income Fund

      37,115  

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, 2022 were as follows:

 

Fund

   

Commissions

  

High Income Fund

    $ 224  

Investment Grade Bond Fund

      41,408  

Strategic Alpha Fund

      475  

Strategic Income Fund

      8,372  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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.

 

105  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

For the six months ended June 30, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:

 

Fund

   

Amount

  

High Income Fund

    $ (29,038 ) 

Investment Grade Bond Fund

      (148,687 ) 

Strategic Alpha Fund

      (26,949 ) 

Strategic Income Fund

      (268,938 ) 

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2022, Natixis Advisors reimbursed High Income Fund $887 for transfer agency expenses related to Class N shares.

h.  Affiliated Ownership.  As of June 30, 2022, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.11% and 0.32%, respectively, of the Funds’ net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the six months ended June 30, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     

Transfer Agent Fees and Expenses

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

High Income Fund

    $ 10,996      $ 857      $ 887      $ 67,603      $ —  

Investment Grade Bond Fund

      279,122        26,966        2,946        1,479,261        51,877  

Strategic Alpha Fund

      12,087        1,158        1,464        266,810        —  

Strategic Income Fund

      593,766        41,869        1,490        1,160,887        37,204  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2022, none of the Funds had borrowings under this agreement.

9.  Risk.  The Fund’s investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

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.

 

|  106

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region and around the world are impossible to predict, but could be significant and have a severe adverse effect on the region and around the world, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

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, 2022, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

High Income Fund

      3        27.18 % 

Investment Grade Bond Fund

      1        9.82 % 

Strategic Alpha Fund

      3        36.06 % 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

11.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

 

     

Six Months Ended
June 30, 2022

     

Year Ended
December 31, 2021

  

High Income Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      552,570      $ 2,140,752        668,669      $ 2,915,754  

Issued in connection with the reinvestment of distributions

      101,175        390,896        189,309        821,078  

Redeemed

      (710,623 )       (2,721,463 )       (5,634,696 )       (24,662,646 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (56,878 )     $ (189,815 )       (4,776,718 )     $ (20,925,814 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      14,396      $ 57,151        49,909      $ 218,435  

Issued in connection with the reinvestment of distributions

      5,096        19,864        13,512        58,913  

Redeemed

      (107,211 )       (425,488 )       (317,893 )       (1,393,021 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (87,719 )     $ (348,473 )       (254,472 )     $ (1,115,673 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      4,186      $ 17,064        720,158      $ 3,122,287  

Issued in connection with the reinvestment of distributions

      738        2,844        63,330        275,475  

Redeemed

      (154 )       (605 )       (4,153,012 )       (18,269,833 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      4,770      $ 19,303        (3,369,524 )     $ (14,872,071 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      12,727,946      $ 51,797,434        16,856,831      $ 73,348,124  

Issued in connection with the reinvestment of distributions

      443,181        1,710,074        753,278        3,261,003  

Redeemed

      (8,145,302 )       (32,071,361 )       (5,407,849 )       (23,507,835 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      5,025,825      $ 21,436,147        12,202,260      $ 53,101,292  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      4,885,998      $ 20,917,162        3,801,546      $ 16,187,734  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

107  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

11.  Capital Shares (continued).

 

     

Six Months Ended
June 30, 2022

     

Year Ended
December 31, 2021

  

Investment Grade Bond Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      5,114,168      $ 53,384,403        14,327,364      $ 164,124,803  

Issued in connection with the reinvestment of distributions

      711,164        7,394,212        2,099,128        23,851,196  

Redeemed

      (10,898,718 )       (115,088,003 )       (20,621,008 )       (237,008,883 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (5,073,386 )     $ (54,309,388 )       (4,194,516 )     $ (49,032,884 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      367,427      $ 3,756,914        934,807      $ 10,599,046  

Issued in connection with the reinvestment of distributions

      60,832        624,663        231,399        2,593,460  

Redeemed

      (1,482,775 )       (15,444,118 )       (5,455,894 )       (61,864,251 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (1,054,516 )     $ (11,062,541 )       (4,289,688 )     $ (48,671,745 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      22,467,803      $ 236,108,351        56,999,140      $ 656,052,872  

Issued in connection with the reinvestment of distributions

      1,889,576        19,635,837        4,813,498        54,680,208  

Redeemed

      (21,503,514 )       (224,636,908 )       (32,503,589 )       (373,527,233 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      2,853,865      $ 31,107,280        29,309,049      $ 337,205,847  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      121,440,005      $ 1,257,305,077        113,796,295      $ 1,308,956,202  

Issued in connection with the reinvestment of distributions

      4,590,295        47,713,354        11,974,399        136,171,497  

Redeemed

      (84,685,781 )       (885,470,529 )       (94,197,009 )       (1,082,829,468 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      41,344,519      $ 419,547,902        31,573,685      $ 362,298,231  
  

 

 

     

 

 

     

 

 

     

 

 

  
Admin Class

 

Issued from the sale of shares

      662,339      $ 6,976,339        2,719,299      $ 31,159,908  

Issued in connection with the reinvestment of distributions

      156,273        1,618,290        417,648        4,725,224  

Redeemed

      (599,633 )       (6,256,289 )       (1,489,322 )       (17,123,081 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      218,979      $ 2,338,340        1,647,625      $ 18,762,051  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase from capital share transactions

      38,289,461      $ 387,621,593        54,046,155      $ 620,561,500  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  108

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

11.  Capital Shares (continued).

 

     

Six Months Ended
June 30, 2022

     

Year Ended
December 31, 2021

  

Strategic Alpha Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      423,332      $ 4,192,238        1,219,725      $ 12,747,834  

Issued in connection with the reinvestment of distributions

      47,244        450,882        64,366        670,163  

Redeemed

      (741,839 )       (7,237,438 )       (702,862 )       (7,342,564 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (271,263 )     $ (2,594,318 )       581,229      $ 6,075,433  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      44,018      $ 430,316        68,781      $ 716,482  

Issued in connection with the reinvestment of distributions

      3,008        28,600        4,055        42,082  

Redeemed

      (93,369 )       (920,105 )       (521,054 )       (5,431,680 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (46,343 )     $ (461,189 )       (448,218 )     $ (4,673,116 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      3,932,196      $ 39,565,274        17,281,163      $ 180,386,933  

Issued in connection with the reinvestment of distributions

      122,622        1,170,102        674,696        7,017,221  

Redeemed

      (24,579,745 )       (246,042,214 )       (21,726,263 )       (226,897,564 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (20,524,927 )     $ (205,306,838 )       (3,770,404 )     $ (39,493,410 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      15,572,152      $ 154,024,931        34,048,531      $ 355,012,431  

Issued in connection with the reinvestment of distributions

      1,167,501        11,103,409        1,558,986        16,187,341  

Redeemed

      (25,916,795 )       (252,207,434 )       (16,721,643 )       (174,460,261 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (9,177,142 )     $ (87,079,094 )       18,885,874      $ 196,739,511  
  

 

 

     

 

 

     

 

 

     

 

 

  

Increase (decrease) from capital share transactions

      (30,019,675 )     $ (295,441,439 )       15,248,481      $ 158,648,418  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

109  |

Notes to Financial Statements (continued)

 

June 30, 2022 (Unaudited)

 

11.  Capital Shares (continued).

 

     

Six Months Ended
June 30, 2022

     

Year Ended
December 31, 2021

  

Strategic Income Fund

   

Shares

     

Amount

     

Shares

     

Amount

  
Class A

 

Issued from the sale of shares

      4,790,166      $ 63,200,833        12,975,066      $ 183,459,424  

Issued in connection with the reinvestment of distributions

      1,170,578        15,203,220        2,067,302        29,226,145  

Redeemed

      (12,183,843 )       (160,670,165 )       (28,392,426 )       (400,924,495 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (6,223,099 )     $ (82,266,112 )       (13,350,058 )     $ (188,238,926 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class C

 

Issued from the sale of shares

      228,181      $ 3,051,069        526,514      $ 7,514,746  

Issued in connection with the reinvestment of distributions

      73,601        969,804        192,188        2,740,298  

Redeemed

      (2,657,165 )       (35,352,141 )       (10,676,591 )       (152,414,889 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (2,355,383 )     $ (31,331,268 )       (9,957,889 )     $ (142,159,845 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Class N

 

Issued from the sale of shares

      1,006,654      $ 13,276,388        6,141,155      $ 86,946,222  

Issued in connection with the reinvestment of distributions

      324,067        4,203,594        478,281        6,753,879  

Redeemed

      (2,323,837 )       (30,366,330 )       (4,499,118 )       (63,370,301 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (993,116 )     $ (12,886,348 )       2,120,318      $ 30,329,800  
  

 

 

     

 

 

     

 

 

     

 

 

  
Class Y

 

Issued from the sale of shares

      16,313,127      $ 214,653,452        49,545,428      $ 695,309,439  

Issued in connection with the reinvestment of distributions

      2,587,192        33,603,719        4,816,448        67,989,900  

Redeemed

      (48,794,224 )       (638,169,360 )       (102,253,381 )       (1,437,692,859 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (29,893,905 )     $ (389,912,189 )       (47,891,505 )     $ (674,393,520 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
Admin Class

 

Issued from the sale of shares

      126,640      $ 1,699,641        517,760      $ 7,300,630  

Issued in connection with the reinvestment of distributions

      94,963        1,228,853        163,815        2,306,303  

Redeemed

      (761,879 )       (9,946,832 )       (1,470,421 )       (20,667,736 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net change

      (540,276 )     $ (7,018,338 )       (788,846 )     $ (11,060,803 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Decrease from capital share transactions

      (40,005,779 )     $ (523,414,255 )       (69,867,980 )     $ (985,523,294 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

|  110

(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 22, 2022

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 22, 2022
By:  

/s/ Matthew J. Block

Name:   Matthew J. Block
Title:   Treasurer and Principal Financial and Accounting Officer
Date:   August 22, 2022