Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% |
||||||
| 37 Capital CLO 1, Series 2021-1A, Class E |
||||||
| $ 1,000,000 | 12.776%, TSFR3M + 7.462%, 10/15/34 (A)(B) |
$ | 980,235 | |||
| 522 Funding CLO, Series 2021-6A, Class A1R |
||||||
| 2,265,000 | 6.727%, TSFR3M + 1.412%, 10/23/34 (A)(B) |
2,257,933 | ||||
| AASET, Series 2018-2A, Class A |
||||||
| 597,123 | 4.454%, 11/18/38 (B) |
527,347 | ||||
| AASET Trust, Series 2017-1A, Class C |
||||||
| 1,286,398 | 7.385%, 05/16/42 (B) |
900,490 | ||||
| AASET Trust, Series 2020-1A |
||||||
| 17,029,000 | 0.000%, 01/16/40 (C)(F) |
1,038,769 | ||||
| AASET Trust, Series 2020-1A, Class B |
||||||
| 2,669,292 | 4.335%, 01/16/40 (B) |
1,494,975 | ||||
| AASET Trust, Series 2020-1A, Class C |
||||||
| 7,313,782 | 6.413%, 01/16/40 (B) |
1,824,529 | ||||
| Accelerated Assets, Series 2018-1, Class B |
||||||
| 288,632 | 4.510%, 12/02/33 (B) |
282,378 | ||||
| Affirm Asset Securitization Trust, Series 2023-X1, Class D |
||||||
| 1,000,000 | 9.550%, 11/15/28 (B) |
1,022,333 | ||||
| Affirm Asset Securitization Trust, Series 2023-A, Class D |
||||||
| 1,570,000 | 9.090%, 01/18/28 (B) |
1,586,022 | ||||
| AGL CLO, Series 2020-3A, Class D |
||||||
| 2,100,000 | 8.876%, TSFR3M + 3.562%, 01/15/33 (A)(B) |
2,089,435 | ||||
| AGL CLO, Series 2021-1A, Class DR |
||||||
| 1,000,000 | 8.629%, TSFR3M + 3.312%, 10/20/34 (A)(B) |
989,636 | ||||
| AGL CLO, Series 2021-7A, Class ER |
||||||
| 2,345,000 | 11.926%, TSFR3M + 6.612%, 07/15/34 (A)(B) |
2,290,380 | ||||
| AIM Aviation Finance, Series 2015-1A, Class B1 |
||||||
| 8,883,378 | 5.072%, 02/15/40 (B)(D) |
1,866,042 | ||||
| AIMCO CLO Series, Series 2021-AA, Class DR |
||||||
| 665,000 | 8.729%, TSFR3M + 3.412%, 04/20/34 (A)(B) |
655,752 | ||||
| Allegro CLO VI, Series 2018-2A, Class D |
||||||
| 250,000 | 8.328%, TSFR3M + 3.012%, 01/17/31 (A)(B) |
241,247 | ||||
| American Homes 4 Rent Trust, Series 2015-SFR1, Class F |
||||||
| 3,966,000 | 5.885%, 04/17/52 (B) |
3,957,552 | ||||
| APL Finance DAC, Series 2023-1A, Class A |
||||||
| 1,998,894 | 7.000%, 07/21/31 (B) |
2,000,494 | ||||
| Auxilior Term Funding, Series 2023-1A, Class E |
||||||
| 2,750,000 | 10.970%, 12/15/32 (B) |
2,782,820 | ||||
| Avis Budget Rental Car Funding AESOP, Series 2021-1A, Class D |
||||||
| 5,000,000 | 3.710%, 08/20/27 (B) |
4,516,410 | ||||
|
1 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| Avis Budget Rental Car Funding AESOP, Series 2024-1A, Class A |
||||||
| $ 2,870,000 | 5.360%, 06/20/30 (B) |
$ | 2,905,810 | |||
| Bain Capital Credit CLO, Series 2021-2A, Class AR |
||||||
| 2,220,000 | 6.678%, TSFR3M + 1.362%, 10/17/32 (A)(B) |
2,220,784 | ||||
| Battalion CLO XVI, Series 2021-16A, Class ER |
||||||
| 830,000 | 12.179%, TSFR3M + 6.862%, 12/19/32 (A)(B) |
798,950 | ||||
| BHG Securitization Trust, Series 2022-C, Class E |
||||||
| 1,890,000 | 9.730%, 10/17/35 (B) |
1,886,538 | ||||
| BHG Securitization Trust, Series 2023-B, Class E |
||||||
| 2,500,000 | 12.400%, 12/17/36 (B) |
2,618,360 | ||||
| Blackbird Capital Aircraft Lease Securitization, Series 2016-1A, Class A |
||||||
| 1,733,301 | 4.213%, 12/16/41 (B)(D) |
1,690,853 | ||||
| Business Jet Securities, Series 2021-1A, Class C |
||||||
| 441,116 | 5.067%, 04/15/36 (B) |
422,412 | ||||
| CAL Funding IV, Series 2020-1A, Class B |
||||||
| 738,167 | 3.500%, 09/25/45 (B) |
670,021 | ||||
| CarVal CLO IV, Series 2021-1A, Class A1A |
||||||
| 1,850,000 | 6.759%, TSFR3M + 1.442%, 07/20/34 (A)(B) |
1,845,806 | ||||
| Carvana Auto Receivables Trust, Series 2022-P1, Class A3 |
||||||
| 2,900,480 | 3.350%, 02/10/27 |
2,851,857 | ||||
| Carvana Auto Receivables Trust, Series 2022-P2, Class B |
||||||
| 2,382,000 | 5.080%, 04/10/28 |
2,348,317 | ||||
| Castlelake Aircraft Securitization Trust, Series 2018-1, Class B |
||||||
| 592,540 | 5.300%, 06/15/43 (B) |
444,305 | ||||
| CIFC Funding, Series 2017-5A, Class C |
||||||
| 500,000 | 8.428%, TSFR3M + 3.112%, 11/16/30 (A)(B) |
495,861 | ||||
| CIFC Funding, Series 2018-1A, Class D |
||||||
| 365,000 | 8.210%, TSFR3M + 2.912%, 04/18/31 (A)(B) |
359,513 | ||||
| CIG Auto Receivables Trust, Series 2021-1A, Class D |
||||||
| 3,745,000 | 2.110%, 04/12/27 (B) |
3,585,797 | ||||
| CIG Auto Receivables Trust, Series 2021-1A, Class E |
||||||
| 2,550,000 | 4.450%, 05/12/28 (B) |
2,431,739 | ||||
| CLI Funding VI, Series 2020-3A, Class B |
||||||
| 672,000 | 3.300%, 10/18/45 (B) |
605,417 | ||||
| Clover CLO, Series 2021-2A, Class E |
||||||
| 2,500,000 | 12.079%, TSFR3M + 6.762%, 07/20/34 (A)(B) |
2,482,430 | ||||
| Clover CLO, Series 2021-1A, Class ER |
||||||
| 1,000,000 | 12.179%, TSFR3M + 6.862%, 04/20/32 (A)(B) |
982,591 | ||||
| College Ave Student Loans, Series 2023-A, Class E |
||||||
| 1,000,000 | 8.490%, 05/25/55 (B) |
996,829 | ||||
| 2 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| CoreVest American Finance Trust, Series 2019-1, Class E |
||||||
| $ 575,000 | 5.742%, 03/15/52 (A)(B) |
$ | 547,083 | |||
| CoreVest American Finance Trust, Series 2020-2, Class D |
||||||
| 1,211,000 | 4.749%, 05/15/52 (A)(B) |
1,102,762 | ||||
| Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C |
||||||
| 495,000 | 7.710%, 07/15/33 (B) |
512,582 | ||||
| Dryden Senior Loan Fund, Series 2018-45A, Class ER |
||||||
| 575,000 | 11.426%, TSFR3M + 6.112%, 10/15/30 (A)(B) |
524,357 | ||||
| Elmwood CLO VIII, Series 2021-1A, Class D1 |
||||||
| 715,000 | 8.579%, TSFR3M + 3.262%, 01/20/34 (A)(B) |
711,533 | ||||
| Elmwood CLO XI, Series 2021-4A, Class E |
||||||
| 1,250,000 | 11.579%, TSFR3M + 6.262%, 10/20/34 (A)(B) |
1,247,314 | ||||
| EWC Master Issuer, Series 2022-1A, Class A2 |
||||||
| 551,600 | 5.500%, 03/15/52 (B) |
526,277 | ||||
| Falcon Aerospace, Series 2017-1, Class A |
||||||
| 318,678 | 4.581%, 02/15/42 (B) |
301,097 | ||||
| First Investors Auto Owner Trust, Series 2021-1A, Class E |
||||||
| 660,000 | 3.350%, 04/15/27 (B) |
630,864 | ||||
| First Investors Auto Owner Trust, Series 2022-2A, Class D |
||||||
| 750,000 | 8.710%, 10/16/28 (B) |
791,830 | ||||
| FirstKey Homes Trust, Series 2020-SFR2, Class F1 |
||||||
| 2,450,000 | 3.017%, 10/19/37 (B) |
2,301,901 | ||||
| FirstKey Homes Trust, Series 2020-SFR1, Class F2 |
||||||
| 2,305,000 | 4.284%, 08/17/37 (B) |
2,198,976 | ||||
| Foursight Capital Automobile Receivables Trust, Series 2022-2, Class D |
||||||
| 2,745,000 | 7.090%, 10/15/29 (B) |
2,770,804 | ||||
| Foursight Capital Automobile Receivables Trust, Series 2023-2, Class E |
||||||
| 1,000,000 | 10.980%, 07/15/30 (B) |
1,009,011 | ||||
| Foursight Capital Automobile Receivables Trust, Series 2024-1, Class E |
||||||
| 1,250,000 | 10.250%, 05/15/31 (B) |
1,256,405 | ||||
| Frontier Issuer, Series 2023-1, Class A2 |
||||||
| 2,295,000 | 6.600%, 08/20/53 (B) |
2,311,001 | ||||
| GAIA Aviation, Series 2019-1, Class C |
||||||
| 2,359,185 | 7.000%, 12/15/44 (B)(D) |
1,262,199 | ||||
| Galaxy XXVI CLO, Series 2018-26A, Class E |
||||||
| 400,000 | 11.483%, TSFR3M + 6.112%, 11/22/31 (A)(B) |
383,111 | ||||
| GLS Auto Receivables Issuer Trust, Series 2021-4A, Class E |
||||||
| 2,550,000 | 4.430%, 10/16/28 (B) |
2,380,480 | ||||
| GLS Auto Receivables Issuer Trust, Series 2023-2A, Class E |
||||||
| 1,000,000 | 9.370%, 01/15/30 (B) |
1,015,100 | ||||
|
3 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| GLS Auto Select Receivables Trust, Series 2023-2A, Class D |
||||||
| $ 1,335,000 | 8.220%, 02/18/31 (B) |
$ | 1,446,138 | |||
| Goldentree Loan Management US CLO, Series 2017-2A, Class D |
||||||
| 250,000 | 8.229%, TSFR3M + 2.912%, 11/28/30 (A)(B) |
248,351 | ||||
| Harbour Aircraft Investments, Series 2017-1, Class A |
||||||
| 6,812,189 | 4.000%, 11/15/37 |
5,918,621 | ||||
| Harbour Aircraft Investments, Series 2017-1, Class C |
||||||
| 3,836,009 | 8.000%, 11/15/37 |
1,283,912 | ||||
| Hertz Vehicle Financing III, Series 2022-1A, Class D |
||||||
| 1,040,000 | 4.850%, 06/25/26 (B) |
996,808 | ||||
| Hertz Vehicle Financing III, Series 2023-1A, Class 1D |
||||||
| 1,695,000 | 9.130%, 06/25/27 (B) |
1,723,145 | ||||
| Hertz Vehicle Financing III, Series 2023-3A, Class D |
||||||
| 825,000 | 9.430%, 02/25/28 (B) |
852,002 | ||||
| Hilton Grand Vacations Trust, Series 2018-AA, Class C |
||||||
| 87,245 | 4.000%, 02/25/32 (B) |
84,618 | ||||
| Hilton Grand Vacations Trust, Series 2022-2A, Class C |
||||||
| 484,177 | 5.570%, 01/25/37 (B) |
472,991 | ||||
| JPMorgan Chase Bank, Series 2021-1, Class F |
||||||
| 1,000,000 | 4.280%, 09/25/28 (B) |
977,471 | ||||
| JPMorgan Chase Bank, Series 2021-2, Class F |
||||||
| 1,200,000 | 4.393%, 12/26/28 (B) |
1,165,156 | ||||
| Kestrel Aircraft Funding, Series 2018-1A, Class A |
||||||
| 1,403,351 | 4.250%, 12/15/38 (B) |
1,253,583 | ||||
| KKR CLO, Series 2018-23, Class F |
||||||
| 840,000 | 13.429%, TSFR3M + 8.112%, 10/20/31 (A)(B) |
739,112 | ||||
| KKR CLO, Series 2019-24, Class E |
||||||
| 860,000 | 11.959%, TSFR3M + 6.642%, 04/20/32 (A)(B) |
852,851 | ||||
| Labrador Aviation Finance, Series 2016-1A, Class B1 |
||||||
| 1,363,675 | 5.682%, 01/15/42 (B) |
871,569 | ||||
| Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B |
||||||
| 1,308,864 | 3.432%, 10/15/46 (B) |
1,104,446 | ||||
| Madison Park Funding XLVI, Series 2021-46A, Class ER |
||||||
| 2,140,000 | 11.826%, TSFR3M + 6.512%, 10/15/34 (A)(B) |
2,118,343 | ||||
| Magnetite XXIX, Series 2021-29A, Class E |
||||||
| 850,000 | 11.326%, TSFR3M + 6.012%, 01/15/34 (A)(B) |
843,882 | ||||
| MAPS, Series 2018-1A, Class B |
||||||
| 312,642 | 5.193%, 05/15/43 (B) |
242,241 | ||||
| MAPS, Series 2021-1A, Class C |
||||||
| 7,326,335 | 5.437%, 06/15/46 (B) |
6,007,888 | ||||
| 4 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| Mariner Finance Issuance Trust, Series 2023-AA, Class E |
||||||
| $ 1,940,000 | 11.120%, 10/22/35 (B) |
$ | 1,960,665 | |||
| Marlette Funding Trust, Series 2023-4A, Class B |
||||||
| 1,375,000 | 8.150%, 12/15/33 (B) |
1,428,715 | ||||
| Merchants Fleet Funding, Series 2023-1A, Class D |
||||||
| 730,000 | 8.200%, 05/20/36 (B) |
740,542 | ||||
| Mercury Financial Credit Card Master Trust, Series 2022-1A, Class C |
||||||
| 2,500,000 | 5.200%, 09/21/26 (B) |
2,499,425 | ||||
| Mercury Financial Credit Card Master Trust, Series 2023-1A, Class B |
||||||
| 1,160,000 | 9.590%, 09/20/27 (B) |
1,168,786 | ||||
| Mission Lane Credit Card Master Trust, Series 2023-B, Class A |
||||||
| 1,155,000 | 7.690%, 11/15/28 (B) |
1,174,101 | ||||
| Mission Lane Credit Card Master Trust, Series 2023-A, Class A |
||||||
| 590,000 | 7.230%, 07/17/28 (B) |
595,370 | ||||
| MVW, Series 2022-1A, Class A |
||||||
| 1,666,077 | 4.150%, 11/21/39 (B) |
1,617,047 | ||||
| Oaktree CLO, Series 2019-4A, Class E |
||||||
| 265,000 | 12.809%, TSFR3M + 7.492%, 10/20/32 (A)(B) |
262,116 | ||||
| OCP CLO, Series 2018-15A, Class D |
||||||
| 645,000 | 11.429%, TSFR3M + 6.112%, 07/20/31 (A)(B) |
626,671 | ||||
| OCP CLO, Series 2021-17A, Class ER |
||||||
| 1,000,000 | 12.079%, TSFR3M + 6.762%, 07/20/32 (A)(B) |
982,504 | ||||
| Octagon Investment Partners, Series 2018-3A, Class E |
||||||
| 280,000 | 11.329%, TSFR3M + 6.012%, 10/20/30 (A)(B) |
266,367 | ||||
| OHA Credit Funding, Series 2021-2A, Class AR |
||||||
| 2,300,000 | 6.729%, TSFR3M + 1.412%, 04/21/34 (A)(B) |
2,302,339 | ||||
| OHA Credit Funding, Series 2021-8A, Class D |
||||||
| 1,880,000 | 8.410%, TSFR3M + 3.112%, 01/18/34 (A)(B) |
1,863,031 | ||||
| OHA Credit Funding, Series 2021-2A, Class ER |
||||||
| 445,000 | 11.939%, TSFR3M + 6.622%, 04/21/34 (A)(B) |
444,946 | ||||
| OHA Credit Funding, Series 2021-4A, Class ER |
||||||
| 2,355,000 | 11.979%, TSFR3M + 6.662%, 10/22/36 (A)(B) |
2,340,760 | ||||
| OHA Credit Funding, Series 2021-3A, Class ER |
||||||
| 2,415,000 | 11.829%, TSFR3M + 6.512%, 07/02/35 (A)(B) |
2,399,351 | ||||
| OneMain Financial Issuance Trust, Series 2018-2A, Class A |
||||||
| 111,131 | 3.570%, 03/14/33 (B) |
110,360 | ||||
| Orange Lake Timeshare Trust, Series 2019-A, Class D |
||||||
| 559,111 | 4.930%, 04/09/38 (B) |
534,861 | ||||
| Palmer Square CLO, Series 2021-1A, Class CR |
||||||
| 1,000,000 | 8.689%, TSFR3M + 3.312%, 11/14/34 (A)(B) |
987,325 | ||||
|
5 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| Palmer Square CLO, Series 2021-4A, Class E |
||||||
| $ 1,875,000 | 11.626%, TSFR3M + 6.312%, 10/15/34 (A)(B) |
$ | 1,871,614 | |||
| Palmer Square Loan Funding, Series 2021-1A, Class D |
||||||
| 750,000 | 11.579%, TSFR3M + 6.262%, 04/20/29 (A)(B) |
745,307 | ||||
| Pikes Peak CLO, Series 2018-1A, Class D |
||||||
| 510,000 | 8.730%, TSFR3M + 3.412%, 07/24/31 (A)(B) |
497,711 | ||||
| Pikes Peak CLO, Series 2021-4A, Class ER |
||||||
| 1,990,000 | 12.186%, TSFR3M + 6.872%, 07/15/34 (A)(B) |
1,881,752 | ||||
| Planet Fitness Master Issuer, Series 2022-1A, Class A2I |
||||||
| 2,633,100 | 3.251%, 12/05/51 (B) |
2,457,883 | ||||
| Prestige Auto Receivables Trust, Series 2019-1A, Class E |
||||||
| 1,415,000 | 3.900%, 05/15/26 (B) |
1,413,273 | ||||
| Prestige Auto Receivables Trust, Series 2020-1A, Class E |
||||||
| 2,740,000 | 3.670%, 02/15/28 (B) |
2,689,193 | ||||
| Prestige Auto Receivables Trust, Series 2023-1A, Class E |
||||||
| 2,500,000 | 9.880%, 05/15/30 (B) |
2,551,901 | ||||
| Progress Residential Trust, Series 2020-SFR3, Class F |
||||||
| 645,000 | 2.796%, 10/17/27 (B) |
603,765 | ||||
| Progress Residential Trust, Series 2021-SFR2, Class F |
||||||
| 2,450,000 | 3.395%, 04/19/38 (B) |
2,234,114 | ||||
| Progress Residential Trust, Series 2021-SFR1, Class F |
||||||
| 360,000 | 2.757%, 04/17/38 (B) |
323,942 | ||||
| Progress Residential Trust, Series 2021-SFR3, Class F |
||||||
| 905,000 | 3.436%, 05/17/26 (B) |
821,886 | ||||
| Raptor Aircraft Finance I, Series 2019-1, Class A |
||||||
| 2,220,692 | 4.213%, 08/23/44 (B) |
1,820,990 | ||||
| Redwood Funding Trust, Series 2023-1, Class A |
||||||
| 937,332 | 7.500%, 07/25/59 (B)(D) |
925,583 | ||||
| Rockford Tower CLO, Series 2017-3A, Class D |
||||||
| 250,000 | 8.229%, TSFR3M + 2.912%, 10/20/30 (A)(B) |
246,217 | ||||
| Rockland Park CLO, Series 2021-1A, Class E |
||||||
| 2,450,000 | 11.829%, TSFR3M + 6.512%, 04/20/34 (A)(B) |
2,448,608 | ||||
| Santander Bank, Series 2021-1A, Class E |
||||||
| 700,000 | 6.171%, 12/15/31 (B) |
657,581 | ||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class E |
||||||
| 252,886 | 11.366%, 12/15/32 (B) |
255,922 | ||||
| Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class F |
||||||
| 750,000 | 12.240%, 12/15/33 (B) |
754,393 | ||||
| SCF Equipment Leasing, Series 2021-1A, Class E |
||||||
| 755,000 | 3.560%, 08/20/32 (B) |
709,967 | ||||
| 6 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| SCF Equipment Leasing, Series 2022-2A, Class D |
||||||
| $ 1,510,000 | 6.500%, 10/20/32 (B) |
$ | 1,501,316 | |||
| SCF Equipment Leasing, Series 2022-2A, Class E |
||||||
| 3,750,000 | 6.500%, 06/20/35 (B) |
3,313,457 | ||||
| SCF Equipment Leasing, Series 2023-1A, Class E |
||||||
| 1,500,000 | 7.000%, 07/21/36 (B) |
1,315,497 | ||||
| Shenton Aircraft Investment I, Series 2015-1A, Class A |
||||||
| 655,877 | 4.750%, 10/15/42 (B) |
584,269 | ||||
| Sierra Timeshare Receivables Funding, Series 2020-2A, Class D |
||||||
| 190,254 | 6.590%, 07/20/37 (B) |
184,977 | ||||
| Sierra Timeshare Receivables Funding, Series 2021-1A, Class D |
||||||
| 342,198 | 3.170%, 11/20/37 (B) |
321,178 | ||||
| Sierra Timeshare Receivables Funding, Series 2023-1A, Class D |
||||||
| 799,247 | 9.800%, 01/20/40 (B) |
816,798 | ||||
| Stellar Jay Ireland DAC, Series 2021-1, Class A |
||||||
| 289,853 | 3.967%, 10/15/41 (B) |
248,057 | ||||
| Sunnova Helios X Issuer, Series 2022-C, Class C |
||||||
| 2,803,376 | 6.000%, 11/22/49 (B) |
2,446,879 | ||||
| Textainer Marine Containers VII, Series 2021-1A, Class B |
||||||
| 534,467 | 2.520%, 02/20/46 (B) |
466,146 | ||||
| Thayer Park CLO, Series 2021-1A, Class DR |
||||||
| 650,000 | 11.829%, TSFR3M + 6.512%, 04/20/34 (A)(B) |
627,073 | ||||
| Thunderbolt Aircraft Lease, Series 2017-A, Class C |
||||||
| 1,705,052 | 4.500%, 05/17/32 (B) |
516,481 | ||||
| Trestles CLO II, Series 2018-2A, Class D |
||||||
| 415,000 | 11.336%, TSFR3M + 6.012%, 07/25/31 (A)(B) |
397,755 | ||||
| Tricon American Homes Trust, Series 2020-SFR1, Class F |
||||||
| 160,000 | 4.882%, 07/17/38 (B) |
153,283 | ||||
| VStrong Auto Receivables Trust, Series 2023-A, Class C |
||||||
| 2,845,000 | 8.040%, 02/15/30 (B) |
2,968,653 | ||||
| WAVE Trust, Series 2017-1A, Class A |
||||||
| 1,445,491 | 3.844%, 11/15/42 (B) |
1,227,426 | ||||
| Welk Resorts, Series 2019-AA, Class D |
||||||
| 167,199 | 4.030%, 06/15/38 (B) |
159,304 | ||||
| Willis Engine Structured Trust IV, Series 2018-A, Class A |
||||||
| 1,978,927 | 4.750%, 09/15/43 (B)(D) |
1,854,076 | ||||
| Willis Engine Structured Trust IV, Series 2018-A, Class B |
||||||
| 2,585,473 | 5.438%, 09/15/43 (B)(D) |
2,140,849 | ||||
| Willis Engine Structured Trust V, Series 2020-A, Class A |
||||||
| 985,797 | 3.228%, 03/15/45 (B) |
893,085 | ||||
|
7 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Asset-Backed Securities — 58.6% (continued) |
||||||
| Willis Engine Structured Trust V, Series 2020-A, Class C |
||||||
| $ 1,311,768 | 6.657%, 03/15/45 (B) |
$ | 1,013,833 | |||
| Willis Engine Structured Trust VI, Series 2021-A, Class A |
||||||
| 1,339,845 | 3.104%, 05/15/46 (B) |
1,180,026 | ||||
| Willis Engine Structured Trust VII, Series 2023-A, Class A |
||||||
| 2,213,106 | 8.000%, 10/15/48 (B) |
2,300,767 | ||||
|
|
|
| ||||
| Total Asset-Backed Securities
(Cost $195,418,264) |
195,784,853 | |||||
|
|
|
| ||||
| Commercial Mortgage-Backed Obligations — 21.7% |
||||||
| BANK, Series 2021-BN34, Class A5 |
||||||
| 1,000,000 | 2.438%, 06/15/63 |
818,052 | ||||
| BBCMS Mortgage Trust, Series 2020-BID, Class A |
||||||
| 2,885,000 | 7.589%, TSFR1M + 2.254%, 10/15/37 (A)(B) |
2,870,575 | ||||
| BB-UBS Trust, Series 2012-TFT, Class C |
||||||
| 2,000,000 | 3.559%, 06/05/30 (A)(B) |
1,264,800 | ||||
| Benchmark Mortgage Trust, Series 2021-B31, Class A5 |
||||||
| 1,000,000 | 2.669%, 12/15/54 |
852,626 | ||||
| BPR Trust, Series 2021-NRD, Class F |
||||||
| 2,545,000 | 12.204%, TSFR1M + 6.870%, 12/15/38 (A)(B) |
2,133,176 | ||||
| BPR Trust, Series 2022-STAR, Class A |
||||||
| 1,530,000 | 8.565%, TSFR1M + 3.232%, 08/15/24 (A)(B) |
1,529,017 | ||||
| BPR Trust, Series 2022-SSP, Class A |
||||||
| 2,920,000 | 8.333%, TSFR1M + 3.000%, 05/15/39 (A)(B) |
2,935,567 | ||||
| BPR Trust, Series 2022-SSP, Class D |
||||||
| 2,170,000 | 11.964%, TSFR1M + 6.631%, 05/15/39 (A)(B) |
2,151,190 | ||||
| CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1 |
||||||
| 938,993 | 8.948%, TSFR1M + 3.614%, 11/15/31 (A)(B) |
425,716 | ||||
| CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2 |
||||||
| 2,286,449 | 9.948%, TSFR1M + 4.614%, 11/15/31 (A)(B) |
877,914 | ||||
| Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D |
||||||
| 4,790,000 | 5.101%, 05/10/47 (A)(B) |
3,214,489 | ||||
| COMM Mortgage Trust, Series 2012-LC4, Class C |
||||||
| 17,000 | 5.647%, 12/10/44 (A) |
14,408 | ||||
| COMM Mortgage Trust, Series 2012-CCRE3, Class D |
||||||
| 1,005,000 | 4.438%, 10/15/45 (A)(B) |
603,080 | ||||
| COMM Mortgage Trust, Series 2012-LC4, Class D |
||||||
| 1,605,000 | 5.470%, 12/10/44 (A)(B) |
979,050 | ||||
| 8 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Commercial Mortgage-Backed Obligations — 21.7% (continued) |
||||||
| COMM Mortgage Trust, Series 2012-CR2, Class E |
||||||
| $ 280,831 | 4.686%, 08/15/45 (A)(B) |
$ | 272,828 | |||
| COMM Mortgage Trust, Series 2014-CR21, Class AM |
||||||
| 330,000 | 3.987%, 12/10/47 |
316,357 | ||||
| COMM Mortgage Trust, Series 2014-UBS4, Class AM |
||||||
| 762,000 | 3.968%, 08/10/47 |
701,270 | ||||
| CSMC OA, Series 2014-USA, Class C |
||||||
| 985,000 | 4.336%, 09/15/37 (B) |
733,962 | ||||
| CSMC OA, Series 2014-USA, Class D |
||||||
| 105,000 | 4.373%, 09/15/37 (B) |
65,856 | ||||
| CSMC OA, Series 2014-USA, Class E |
||||||
| 5,475,000 | 4.373%, 09/15/37 (B) |
2,810,466 | ||||
| DC Commercial Mortgage Trust, Series DC, Class C |
||||||
| 1,510,000 | 7.379%, 09/12/40 (A)(B) |
1,569,481 | ||||
| Extended Stay America Trust, Series 2021-ESH, Class F |
||||||
| 2,720,729 | 9.148%, TSFR1M + 3.814%, 07/15/38 (A)(B) |
2,707,125 | ||||
| GS Mortgage Securities II, Series SHIP, Class B |
||||||
| 3,100,000 | 5.101%, 09/10/38 (A) |
3,030,577 | ||||
| GS Mortgage Securities Trust, Series 2011-GC5, Class C |
||||||
| 100,000 | 5.298%, 08/10/44 (A)(B) |
73,884 | ||||
| GS Mortgage Securities Trust, Series 2011-GC5, Class D |
||||||
| 4,972,728 | 5.298%, 08/10/44 (A)(B) |
1,794,045 | ||||
| GS Mortgage Securities Trust, Series 2013-GC13, Class C |
||||||
| 610,000 | 3.963%, 07/10/46 (A)(B) |
492,044 | ||||
| GS Mortgage Securities Trust, Series 2014-GC20, Class C |
||||||
| 2,625,000 | 5.127%, 04/10/47 (A) |
2,398,014 | ||||
| GS Mortgage Securities Trust, Series BWTR, Class A |
||||||
| 3,895,000 | 2.954%, 11/05/34 (B) |
2,849,491 | ||||
| GS Mortgage Securities Trust, Series PEMB, Class A |
||||||
| 615,000 | 3.550%, 03/05/33 (A)(B) |
470,014 | ||||
| GS Mortgage Securities Trust, Series GC22, Class D |
||||||
| 3,000,000 | 4.839%, 06/10/47 (A)(B) |
1,319,052 | ||||
| Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10 |
||||||
| 3,375,000 | 4.155%, 08/05/34 (B) |
3,106,366 | ||||
| JPMBB Commercial Mortgage Securities Trust, Series C24, Class AS |
||||||
| 230,000 | 3.914%, 11/15/47 (A) |
213,502 | ||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C |
||||||
| 945,000 | 3.958%, 04/15/46 (A) |
661,547 | ||||
|
9 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Commercial Mortgage-Backed Obligations — 21.7% (continued) |
||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series C3, Class C |
||||||
| $ 2,490,000 | 5.360%, 02/15/46 (A)(B) |
$ | 2,191,424 | |||
| Med Trust, Series MDLN, Class A |
||||||
| 527,469 | 6.398%, TSFR1M + 1.064%, 11/15/38 (A)(B) |
522,194 | ||||
| Med Trust, Series MDLN, Class C |
||||||
| 2,980,695 | 7.248%, TSFR1M + 1.914%, 11/15/38 (A)(B) |
2,947,162 | ||||
| Med Trust, Series MDLN, Class D |
||||||
| 895,701 | 7.448%, TSFR1M + 2.114%, 11/15/38 (A)(B) |
879,515 | ||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series C31, Class A5 |
||||||
| 305,000 | 3.102%, 11/15/49 |
285,245 | ||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series C11, Class B |
||||||
| 3,330,000 | 4.213%, 08/15/46 (A) |
2,020,934 | ||||
| Morgan Stanley Capital I Trust, Series 2011-C2, Class E |
||||||
| 2,930,000 | 5.385%, 06/15/44 (A)(B) |
2,191,743 | ||||
| Morgan Stanley Capital I Trust, Series 2013-ALTM, Class E |
||||||
| 2,500,000 | 3.705%, 02/05/35 (A)(B) |
1,775,743 | ||||
| Morgan Stanley Capital I Trust, Series C4, Class D |
||||||
| 465,796 | 5.336%, 03/15/45 (A)(B) |
422,481 | ||||
| MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C |
||||||
| 830,000 | 4.424%, 10/15/30 (A)(B) |
506,393 | ||||
| MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class D |
||||||
| 400,000 | 4.424%, 10/15/30 (A)(B) |
154,740 | ||||
| RBS Commercial Funding Trust, Series 2013-SMV, Class F |
||||||
| 2,000,000 | 3.704%, 03/11/31 (A)(B) |
1,350,666 | ||||
| Starwood Retail Property Trust, Series 2014-STAR, Class A |
||||||
| 342,670 | 8.500%, PRIME + 0.000%, 11/15/27 (A)(B) |
250,577 | ||||
| Starwood Retail Property Trust, Series 2014-STAR, Class E |
||||||
| 3,185,000 | 8.500%, PRIME + 0.000%, 11/15/27 (A)(B)(C) |
159,250 | ||||
| Starwood Retail Property Trust, Series 2014-STAR, Class F |
||||||
| 3,040,405 | 8.500%, PRIME + 0.000%, 11/15/27 (A)(B)(C) |
30,404 | ||||
| UBS Commercial Mortgage Trust, Series 2018-C14, Class C |
||||||
| 1,885,000 | 5.380%, 12/15/51 (A) |
1,571,646 | ||||
| VOLT XCIV, Series 2021-NPL3, Class A2 |
||||||
| 1,636,722 | 4.949%, 02/27/51 (B)(D) |
1,411,490 | ||||
| VOLT XCVI, Series 2021-NPL5, Class A2 |
||||||
| 640,000 | 4.826%, 03/27/51 (B)(D) |
562,541 | ||||
| Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C |
||||||
| 1,485,000 | 4.458%, 08/15/50 |
582,472 | ||||
| 10 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Commercial Mortgage-Backed Obligations — 21.7% (continued) |
||||||
| Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class C |
||||||
| $ 2,902,000 | 5.229%, 06/15/49 (A) |
$ | 2,469,622 | |||
| Wells Fargo Commercial Mortgage Trust, Series C36, Class C |
||||||
| 500,000 | 4.255%, 11/15/59 (A) |
382,989 | ||||
| WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D |
||||||
| 854,828 | 6.050%, 03/15/44 (A)(B) |
254,378 | ||||
| WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D |
||||||
| 722,000 | 5.145%, 06/15/44 (A)(B) |
603,477 | ||||
| WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E |
||||||
| 1,680,000 | 5.145%, 06/15/44 (A)(B) |
1,212,170 | ||||
| WFRBS Commercial Mortgage Trust, Series C10, Class C |
||||||
| 2,130,000 | 4.478%, 12/15/45 (A) |
1,514,960 | ||||
|
|
|
| ||||
| Total Commercial Mortgage-Backed Obligations
(Cost $91,398,975) |
72,509,757 | |||||
|
|
|
| ||||
| Residential Mortgage-Backed Obligations — 10.2% |
||||||
| Alternative Loan Trust, Series 2004-J3, Class 1A1 |
||||||
| 241,399 | 5.500%, 04/25/34 |
233,712 | ||||
| Alternative Loan Trust, Series 2004-J10, Class 2CB1 |
||||||
| 355,566 | 6.000%, 09/25/34 |
351,032 | ||||
| Alternative Loan Trust, Series 2004-28CB, Class 5A1 |
||||||
| 113,982 | 5.750%, 01/25/35 |
109,167 | ||||
| Alternative Loan Trust, Series 2004-14T2, Class A11 |
||||||
| 170,515 | 5.500%, 08/25/34 |
163,934 | ||||
| Alternative Loan Trust, Series 2005-J1, Class 2A1 |
||||||
| 458 | 5.500%, 02/25/25 |
451 | ||||
| Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1 |
||||||
| 291,233 | 5.500%, 10/25/33 |
282,183 | ||||
| Banc of America Funding Trust, Series 2005-7, Class 3A1 |
||||||
| 250,928 | 5.750%, 11/25/35 |
245,468 | ||||
| Banc of America Funding Trust, Series 2007-4, Class 5A1 |
||||||
| 62,065 | 5.500%, 11/25/34 |
52,337 | ||||
| CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1 |
||||||
| 211,218 | 5.618%, 08/25/34 (A) |
196,205 | ||||
| CIM TRUST, Series 2022-R2, Class A1 |
||||||
| 886,563 | 3.750%, 12/25/61 (A) |
839,584 | ||||
| Citigroup Mortgage Loan Trust, Series 2005-3, Class 2A3 |
||||||
| 465,662 | 5.301%, 08/25/35 (A) |
353,882 | ||||
|
11 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Residential Mortgage-Backed Obligations — 10.2% (continued) |
||||||
| Citigroup Mortgage Loan Trust, Series 2009-10, Class 6A2 |
||||||
| $ 139,637 | 5.884%, 09/25/34 (A)(B) |
$ | 121,810 | |||
| Citigroup Mortgage Loan Trust, Series 2010-9, Class 2A2 |
||||||
| 241,238 | 7.860%, T1Y + 2.400%, 11/25/35 (A)(B) |
225,436 | ||||
| Citigroup Mortgage Loan Trust, Series 2019-RP1, Class M3 |
||||||
| 1,005,000 | 4.000%, 01/25/66 (A)(B) |
877,587 | ||||
| Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1 |
||||||
| 730,000 | 8.445%, SOFR30A + 3.100%, 10/25/41 (A)(B) |
748,024 | ||||
| Deutsche Mortgage Securities Mortgage Loan Trust, Series 2004-1, Class 3A5 |
||||||
| 838,821 | 6.160%, 12/25/33 (D) |
792,275 | ||||
| Deutsche Mortgage Securities Mortgage Loan Trust, Series 2004-4, Class 7AR1 |
||||||
| 127,623 | 5.800%, TSFR1M + 0.464%, 06/25/34 (A) |
111,676 | ||||
| FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B1 |
||||||
| 1,238,347 | 11.459%, SOFR30A + 6.114%, 08/25/50 (A)(B) |
1,405,287 | ||||
| FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B1 |
||||||
| 2,000,000 | 8.345%, SOFR30A + 3.000%, 12/25/50 (A)(B) |
2,096,260 | ||||
| FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B1 |
||||||
| 667,887 | 10.559%, SOFR30A + 5.214%, 06/25/50 (A)(B) |
736,345 | ||||
| FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B1 |
||||||
| 2,000,000 | 8.845%, SOFR30A + 3.500%, 10/25/33 (A)(B) |
2,196,260 | ||||
| FHLMC STACR REMIC Trust, Series 2022-DNA7, Class M1B |
||||||
| 1,845,000 | 10.345%, SOFR30A + 5.000%, 03/25/52 (A)(B) |
2,033,116 | ||||
| GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1 |
||||||
| 23,647 | 5.375%, 07/25/35 (A) |
22,612 | ||||
| IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A |
||||||
| 646,295 | 5.081%, 10/25/34 (A) |
602,729 | ||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR11, Class A3 |
||||||
| 904,470 | 3.837%, 08/25/35 (A) |
659,180 | ||||
| JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1 |
||||||
| 840,316 | 6.000%, 09/25/34 |
826,164 | ||||
| Lehman Mortgage Trust, Series 2007-9, Class 1A1 |
||||||
| 67,547 | 6.000%, 10/25/37 |
62,029 | ||||
| Lehman XS Trust, Series 2006-2N, Class 1A1 |
||||||
| 454,822 | 5.970%, TSFR1M + 0.634%, 02/25/46 (A) |
390,115 | ||||
| MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1 |
||||||
| 695,089 | 3.997%, 03/25/35 (A) |
622,540 | ||||
| MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1 |
||||||
| 351,708 | 5.172%, 04/25/36 (A) |
329,121 | ||||
| 12 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| Residential Mortgage-Backed Obligations — 10.2% (continued) |
||||||
| MASTR Alternative Loan Trust, Series 2003-9, Class 4A1 |
||||||
| $ 213,001 | 5.250%, 11/25/33 |
$ | 206,166 | |||
| MASTR Alternative Loan Trust, Series 2004-2, Class 8A4 |
||||||
| 1,803,942 | 5.500%, 03/25/34 |
1,613,923 | ||||
| MASTR Alternative Loan Trust, Series 2004-5, Class 1A1 |
||||||
| 178,296 | 5.500%, 06/25/34 |
173,872 | ||||
| MASTR Alternative Loan Trust, Series 2004-5, Class 2A1 |
||||||
| 249,521 | 6.000%, 06/25/34 |
247,513 | ||||
| MASTR Alternative Loan Trust, Series 2004-8, Class 2A1 |
||||||
| 566,428 | 6.000%, 09/25/34 |
549,272 | ||||
| Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M3 |
||||||
| 730,000 | 2.500%, 11/25/60 (A)(B) |
580,945 | ||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5 |
||||||
| 107,266 | 5.500%, 11/25/35 |
97,439 | ||||
| PRPM, Series 2020-4, Class A2 |
||||||
| 1,331,268 | 5.193%, 10/25/25 (B)(D) |
1,330,670 | ||||
| PRPM, Series 2021-1, Class A2 |
||||||
| 1,058,271 | 6.720%, 01/25/26 (A)(B) |
1,039,268 | ||||
| PRPM, Series 2021-2, Class A2 |
||||||
| 980,000 | 3.770%, 03/25/26 (A)(B) |
965,140 | ||||
| PRPM, Series 2021-4, Class A2 |
||||||
| 555,000 | 3.474%, 04/25/26 (B)(D) |
540,870 | ||||
| PRPM, Series 2022-5, Class A1 |
||||||
| 2,707,275 | 6.900%, 09/27/27 (B)(D) |
2,716,704 | ||||
| RFMSI Series Trust, Series 2005-SA1, Class 1A1 |
||||||
| 1,567,224 | 4.852%, 03/25/35 (A) |
903,540 | ||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1 |
||||||
| 2,805,020 | 5.760%, TSFR1M + 0.424%, 07/25/35 (A) |
1,676,794 | ||||
| Towd Point Mortgage Trust, Series 2018-4, Class A2 |
||||||
| 1,100,000 | 3.000%, 06/25/58 (A)(B) |
915,348 | ||||
| Towd Point Mortgage Trust, Series 2018-5, Class M1 |
||||||
| 505,000 | 3.250%, 07/25/58 (A)(B) |
416,200 | ||||
| Towd Point Mortgage Trust, Series 2019-2, Class M1 |
||||||
| 890,000 | 3.750%, 12/25/58 (A)(B) |
790,881 | ||||
| Towd Point Mortgage Trust, Series 2020-4, Class M1 |
||||||
| 2,300,000 | 2.875%, 10/25/60 (B) |
1,796,089 | ||||
|
|
|
| ||||
| Total Residential Mortgage-Backed Obligations
(Cost $36,366,885) |
34,247,155 | |||||
|
|
|
| ||||
|
13 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| Principal Amount | Description | Value | ||||
| U.S. Treasury Obligations — 4.3% |
||||||
| U.S. Treasury Bills |
||||||
| $ 1,610,000 | 5.469%, 04/25/24 (E) |
$ | 1,590,446 | |||
| 4,865,000 | 5.350%, 05/16/24 (E) |
4,791,451 | ||||
| 5,740,000 | 5.324%, 03/21/24 (E) |
5,698,846 | ||||
| 2,310,000 | 5.307%, 04/04/24 (E) |
2,288,827 | ||||
|
|
|
| ||||
| Total U.S. Treasury Obligations
(Cost $14,368,913) |
14,369,570 | |||||
|
|
|
| ||||
| Mortgage-Backed Securities — 3.0% |
||||||
| FHLMC |
||||||
| 6,920,000 | 4.450%, 12/01/32 |
6,746,227 | ||||
| FHLMC, Series 2023-5365, Class LY |
||||||
| 3,110,000 | 6.500%, 12/25/53 |
3,240,876 | ||||
|
|
|
| ||||
| Total Mortgage-Backed Securities
(Cost $9,413,421) |
9,987,103 | |||||
|
|
|
| ||||
| Corporate Obligation — 0.9% |
||||||
| PG&E Wildfire Recovery Funding |
||||||
| 3,000,000 | 4.263%, 06/01/36 |
2,843,203 | ||||
|
|
|
| ||||
| Total Corporate Obligation
(Cost $2,999,851) |
2,843,203 | |||||
|
|
|
| ||||
| Other Investment — 0.0% |
||||||
| ECAF I BLOCKER Ltd. |
||||||
| 900 | 0.000%, 03/15/40 (C)(F) |
— | ||||
|
|
|
| ||||
| Total Other Investment
(Cost $9,000,000) |
— | |||||
|
|
|
| ||||
| Total Investments — 98.7%
(Cost $358,966,309) |
329,741,641 | |||||
| Other Assets and Liabilities, net — 1.3% |
4,388,974 | |||||
|
|
|
| ||||
| Net Assets — 100.0% |
$ | 334,130,615 | ||||
|
|
|
| ||||
| 14 |
Portfolio of Investments — as of January 31, 2024 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
| (A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
| (B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of these securities at January 31, 2024, was $258,551,153, representing 77.4% of Net Assets of the Portfolio. All securities are considered liquid unless otherwise noted. |
| (C) | Level 3 security in accordance with fair value hierarchy. |
| (D) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (E) | Interest rate represents the security’s effective yield at the time of purchase. |
| (F) | No interest rate available. |
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
FHLMC — Federal Home Loan Mortgage Corporation
Ltd. — Limited
REMIC — Real Estate Mortgage Investment Conduit
SOFR30A — Secured Overnight Financing Rate 30-day Average
STACR — Structured Agency Credit Risk
TSFR3M — Term Secured Overnight Financing Rate 3 Months
Amounts designated as “—“ are $0.
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