NPORT-EX 2 d64302d8k.htm SCHEDULE F HTML

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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