NPORT-EX 2 fp0090282-1_nportex.htm SCHEDULE F

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6%

  
       

37 Capital CLO 1, Series 2021-1A, Class E

        
  $ 1,000,000  

12.763%, TSFR3M + 7.462%, 10/15/34 (A)(B)

   $ 1,005,210  
       

522 Funding CLO, Series 2021-6A, Class A1R

        
    2,265,000  

6.695%, TSFR3M + 1.412%, 10/23/34 (A)(B)

     2,265,992  
       

AASET, Series 2018-2A, Class A

        
    519,636  

4.454%, 11/18/38 (B)

     489,457  
       

AASET, Series 2018-2A, Class C

        
    1,526,275  

6.892%, 11/18/38 (B)

     488,548  
       

AASET, Series 2024-1A, Class A2

        
    1,646,244  

6.261%, 05/16/49 (B)

     1,681,528  
       

AASET Trust, Series 2020-1A

        
    17,029,000  

0.000%, 01/16/40

    1,064,313  
       

AASET Trust, Series 2020-1A, Class B

        
    5,614,794  

4.335%, 01/16/40 (B)

     4,590,197  
       

AASET Trust, Series 2020-1A, Class C

        
    7,551,454  

6.413%, 01/16/40 (B)

     2,341,020  
       

Accelerated Assets, Series 2018-1, Class B

        
    234,944  

4.510%, 12/02/33 (B)

     233,222  
       

Affirm Asset Securitization Trust, Series 2023-X1, Class D

        
    1,000,000  

9.550%, 11/15/28 (B)

     1,031,657  
       

Affirm Asset Securitization Trust, Series 2023-A, Class D

        
    1,570,000  

9.090%, 01/18/28 (B)

     1,586,844  
       

AGL CLO, Series 2020-3A, Class D

        
    2,100,000  

8.863%, TSFR3M + 3.562%, 01/15/33 (A)(B)

     2,096,690  
       

AGL CLO, Series 2021-1A, Class DR

        
    1,000,000  

8.594%, TSFR3M + 3.312%, 10/20/34 (A)(B)

     998,289  
       

AGL CLO, Series 2021-7A, Class ER

        
    2,345,000  

11.913%, TSFR3M + 6.612%, 07/15/34 (A)(B)

     2,350,795  
       

AIM Aviation Finance, Series 2015-1A, Class B1

        
    8,883,378  

5.072%, 02/15/40 (B)(C)

     3,109,271  
       

AIMCO CLO Series, Series 2021-AA, Class DR

        
    665,000  

8.694%, TSFR3M + 3.412%, 04/20/34 (A)(B)

     666,620  
       

Allegro CLO VI, Series 2018-2A, Class D

        
    250,000  

8.297%, TSFR3M + 3.012%, 01/17/31 (A)(B)

     250,311  
       

APL Finance DAC, Series 2023-1A, Class A

        
    1,190,943  

7.000%, 07/21/31 (B)

     1,197,504  
       

Auxilior Term Funding, Series 2023-1A, Class E

        
    2,750,000  

10.970%, 12/15/32 (B)

     2,808,392  
       

Aventura Mall Trust, Series 2018-AVM, Class A

        
    3,760,000  

4.112%, 07/05/40 (A)(B)

     3,602,269  

 

| 1

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

Avis Budget Rental Car Funding AESOP, Series 2021-1A, Class D

        
  $ 5,000,000  

3.710%, 08/20/27 (B)

   $ 4,558,210  
       

Avis Budget Rental Car Funding AESOP, Series 2024-1A, Class A

        
    2,870,000  

5.360%, 06/20/30 (B)

     2,913,394  
       

BHG Securitization Trust, Series 2022-C, Class E

        
    1,890,000  

9.730%, 10/17/35 (B)

     1,913,418  
       

BHG Securitization Trust, Series 2023-B, Class E

        
    2,500,000  

12.400%, 12/17/36 (B)

     2,645,938  
       

BHG Securitization Trust, Series 2024-1CON, Class E

        
    2,500,000  

10.450%, 04/17/35 (B)

     2,469,981  
       

Biz2Credit Asset Securitization, Series 2024-1A, Class B

        
    1,520,000  

9.437%, 05/15/31 (B)

     1,532,885  
       

BMO Mortgage Trust, Series 2024-C9, Class A5

        
    3,560,000  

5.759%, 07/15/57

    3,742,571  
       

Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class A3

        
    2,740,000  

5.840%, 06/15/28

    2,757,875  
       

CAL Funding IV, Series 2020-1A, Class B

        
    694,392  

3.500%, 09/25/45 (B)

     640,108  
       

CarVal CLO IV, Series 2021-1A, Class A1A

        
    1,850,000  

6.724%, TSFR3M + 1.442%, 07/20/34 (A)(B)

     1,850,068  
       

Carvana Auto Receivables Trust, Series 2022-P1, Class A3

        
    1,898,334  

3.350%, 02/10/27

    1,876,510  
       

Carvana Auto Receivables Trust, Series 2022-P2, Class B

        
    2,382,000  

5.080%, 04/10/28

    2,363,455  
       

Castlelake Aircraft Securitization Trust, Series 2018-1, Class B

        
    592,540  

5.300%, 06/15/43 (B)

     458,625  
       

CIFC Funding, Series 2018-1A, Class D

        
    365,000  

8.191%, TSFR3M + 2.912%, 04/18/31 (A)(B)

     365,225  
       

CIG Auto Receivables Trust, Series 2021-1A, Class D

        
    3,559,118  

2.110%, 04/12/27 (B)

     3,502,935  
       

CIG Auto Receivables Trust, Series 2021-1A, Class E

        
    2,550,000  

4.450%, 05/12/28 (B)

     2,497,912  
       

CLI Funding VI, Series 2020-3A, Class B

        
    610,750  

3.300%, 10/18/45 (B)

     566,494  
       

Clover CLO, Series 2021-2A, Class E

        
    2,500,000  

12.044%, TSFR3M + 6.762%, 07/20/34 (A)(B)

     2,492,668  
       

Clsec Holdings 22T, Series 2021-1, Class C

        
    3,771,227  

6.171%, 05/11/37 (B)

     3,296,203  
       

College Ave Student Loans, Series 2023-A, Class E

        
    1,000,000  

8.490%, 05/25/55 (B)

     1,004,747  

 

2 |

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

CoreVest American Finance Trust, Series 2019-1, Class E

        
  $ 575,000  

5.503%, 03/15/52 (A)(B)

   $ 551,922  
       

CoreVest American Finance Trust, Series 2020-2, Class D

        
    1,211,000  

4.598%, 05/15/52 (A)(B)

     1,117,972  
       

Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C

        
    495,000  

7.710%, 07/15/33 (B)

     513,004  
       

Elmwood CLO VIII, Series 2024-1A, Class ER

        
    3,250,000  

11.532%, TSFR3M + 6.250%, 04/20/37 (A)(B)

     3,261,336  
       

Elmwood CLO XI, Series 2021-4A, Class E

        
    1,250,000  

11.544%, TSFR3M + 6.262%, 10/20/34 (A)(B)

     1,264,271  
       

EverBright Solar Trust, Series 2024-A, Class A

        
    1,044,244  

6.430%, 06/22/54 (B)

     1,050,822  
       

EWC Master Issuer, Series 2022-1A, Class A2

        
    548,800  

5.500%, 03/15/52 (B)

     528,646  
       

Falcon Aerospace, Series 2017-1, Class A

        
    238,987  

4.581%, 02/15/42 (B)

     234,209  
       

Falcon Aerospace, Series 2019-1, Class C

        
    1,916,264  

6.656%, 09/15/39 (B)

     1,149,950  
       

Falcon Aerospace, Series 2019-1, Class E

        
    5,000,000  

0.000%, 09/15/39 (B)

     550,000  
       

First Investors Auto Owner Trust, Series 2021-1A, Class E

        
    660,000  

3.350%, 04/15/27 (B)

     647,806  
       

First Investors Auto Owner Trust, Series 2022-2A, Class D

        
    750,000  

8.710%, 10/16/28 (B)

     787,085  
       

FirstKey Homes Trust, Series 2020-SFR1, Class F1

        
    3,619,000  

3.638%, 08/17/37 (B)

     3,509,046  
       

FirstKey Homes Trust, Series 2020-SFR2, Class F1

        
    2,450,000  

3.017%, 10/19/37 (B)

     2,353,397  
       

FirstKey Homes Trust, Series 2020-SFR1, Class F2

        
    2,305,000  

4.284%, 08/17/37 (B)

     2,240,842  
       

Fortiva Retail Credit Master Note Business Trust, Series 2024-ONE, Class C

        
    5,270,000  

15.400%, 11/15/29 (B)

     5,323,417  
       

Foursight Capital Automobile Receivables Trust, Series 2022-2, Class D

        
    2,745,000  

7.090%, 10/15/29 (B)

     2,778,957  
       

Foursight Capital Automobile Receivables Trust, Series 2023-2, Class E

        
    1,000,000  

10.980%, 07/15/30 (B)

     1,062,446  
       

Foursight Capital Automobile Receivables Trust, Series 2024-1, Class E

        
    1,250,000  

10.250%, 05/15/31 (B)

     1,312,602  

 

| 3

 

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

Frontier Issuer, Series 2023-1, Class C

        
  $ 3,000,000  

11.500%, 08/20/53 (B)

   $ 3,050,971  
       

Frontier Issuer, Series 2024-1, Class C

        
    3,500,000  

11.160%, 06/20/54 (B)

     3,535,818  
       

GLS Auto Receivables Issuer Trust, Series 2023-2A, Class E

        
    1,000,000  

9.370%, 01/15/30 (B)

     1,050,082  
       

Harbour Aircraft Investments, Series 2017-1, Class A

        
    6,203,664  

4.000%, 11/15/37

    5,649,205  
       

Harbour Aircraft Investments, Series 2017-1, Class C

        
    7,960,906  

8.000%, 11/15/37

    4,775,421  
       

Hardee's Funding, Series 2024-1A, Class A2

        
    618,450  

7.253%, 03/20/54 (B)

     635,196  
       

Hilton Grand Vacations Trust, Series 2018-AA, Class C

        
    70,244  

4.000%, 02/25/32 (B)

     68,991  
       

Hilton Grand Vacations Trust, Series 2022-2A, Class C

        
    401,625  

5.570%, 01/25/37 (B)

     398,766  
       

Hilton Grand Vacations Trust, Series 2024-1B, Class D

        
    415,460  

8.850%, 09/15/39 (B)

     428,439  
       

Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class C

        
    465,002  

8.494%, SOFR30A + 3.150%, 05/20/32 (A)(B)

     465,979  
       

Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class D

        
    441,752  

10.594%, SOFR30A + 5.250%, 05/20/32 (A)(B)

     444,049  
       

JPMorgan Chase Bank, Series 2021-1, Class F

        
    1,000,000  

4.280%, 09/25/28 (B)

     997,218  
       

JPMorgan Chase Bank, Series 2021-2, Class F

        
    1,200,000  

4.393%, 12/26/28 (B)

     1,192,265  
       

KDAC Aviation Finance, Series 2017-1A, Class C

        
    9,790,687  

7.385%, 12/15/42 (B)

     2,546,451  
       

Kestrel Aircraft Funding, Series 2018-1A, Class A

        
    1,281,981  

4.250%, 12/15/38 (B)

     1,205,216  
       

KKR CLO, Series 2018-23, Class F

        
    840,000  

13.394%, TSFR3M + 8.112%, 10/20/31 (A)(B)

     802,738  
       

KKR CLO, Series 2019-24, Class E

        
    860,000  

11.924%, TSFR3M + 6.642%, 04/20/32 (A)(B)

     858,017  
       

Labrador Aviation Finance, Series 2016-1A, Class A1

        
    2,927,906  

4.300%, 01/15/42 (B)

     2,708,439  
       

Labrador Aviation Finance, Series 2016-1A, Class B1

        
    2,504,442  

5.682%, 01/15/42 (B)

     1,984,744  
       

Magnetite XXIX, Series 2021-29A, Class E

        
    850,000  

11.313%, TSFR3M + 6.012%, 01/15/34 (A)(B)

     859,375  

 

4 |

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

MAPS, Series 2018-1A, Class B

        
  $ 243,418  

5.193%, 05/15/43 (B)

   $ 228,817  
       

Mariner Finance Issuance Trust, Series 2023-AA, Class E

        
    1,940,000  

11.120%, 10/22/35 (B)

     1,985,385  
       

Mariner Finance Issuance Trust, Series 2024-AA, Class D

        
    250,000  

6.770%, 09/22/36 (B)

     249,953  
       

Mercury Financial Credit Card Master Trust, Series 2023-1A, Class B

        
    1,160,000  

9.590%, 09/20/27 (B)

     1,174,954  
       

Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A

        
    1,430,000  

6.560%, 07/20/29 (B)

     1,446,166  
       

Mission Lane Credit Card Master Trust, Series 2023-B, Class A

        
    1,155,000  

7.690%, 11/15/28 (B)

     1,170,450  
       

Mission Lane Credit Card Master Trust, Series 2023-A, Class A

        
    590,000  

7.230%, 07/17/28 (B)

     595,013  
       

MVW, Series 2022-1A, Class A

        
    1,342,066  

4.150%, 11/21/39 (B)

     1,314,631  
       

New Residential Mortgage Loan Trust, Series 2024-RPL1, Class B2

        
    1,195,000  

3.877%, 01/25/64 (A)(B)

     948,636  
       

OCP CLO, Series 2018-15A, Class D

        
    645,000  

11.394%, TSFR3M + 6.112%, 07/20/31 (A)(B)

     640,675  
       

OCP CLO, Series 2024-17A, Class ER2

        
    3,500,000  

11.546%, TSFR3M + 6.250%, 07/20/37 (A)(B)

     3,486,221  
       

Octane Receivables Trust, Series 2024-1A, Class E

        
    1,872,000  

7.820%, 08/20/31 (B)

     1,830,720  
       

Octane Receivables Trust, Series 2024-2A, Class E

        
    1,250,000  

9.040%, 07/20/32 (B)

     1,267,685  
       

OHA Credit Funding, Series 2021-2A, Class AR

        
    2,300,000  

6.694%, TSFR3M + 1.412%, 04/21/34 (A)(B)

     2,304,296  
       

OHA Credit Funding, Series 2021-8A, Class D

        
    1,880,000  

8.391%, TSFR3M + 3.112%, 01/18/34 (A)(B)

     1,878,611  
       

OHA Credit Funding, Series 2021-4A, Class ER

        
    2,355,000  

11.944%, TSFR3M + 6.662%, 10/22/36 (A)(B)

     2,350,485  
       

OHA Credit Funding, Series 2021-2A, Class ER

        
    445,000  

11.904%, TSFR3M + 6.622%, 04/21/34 (A)(B)

     445,875  
       

OHA Credit Funding, Series 2021-3A, Class ER

        
    2,415,000  

11.794%, TSFR3M + 6.512%, 07/02/35 (A)(B)

     2,409,257  
       

OneMain Financial Issuance Trust, Series 2018-2A, Class A

        
    20,250  

3.570%, 03/14/33 (B)

     20,218  
       

Palmer Square CLO, Series 2021-1A, Class CR

        
    1,000,000  

8.634%, TSFR3M + 3.312%, 11/14/34 (A)(B)

     1,002,000  

 

| 5

 

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

Palmer Square CLO, Series 2021-4A, Class E

        
  $ 1,875,000  

11.613%, TSFR3M + 6.312%, 10/15/34 (A)(B)

   $ 1,892,321  
       

Palmer Square CLO, Series 2024-2A, Class E

        
    4,000,000  

10.994%, TSFR3M + 5.700%, 07/20/37 (A)(B)

     4,020,000  
       

Palmer Square Loan Funding, Series 2021-1A, Class D

        
    750,000  

11.544%, TSFR3M + 6.262%, 04/20/29 (A)(B)

     748,385  
       

Pikes Peak CLO, Series 2021-4A, Class ER

        
    1,990,000  

12.173%, TSFR3M + 6.872%, 07/15/34 (A)(B)

     1,977,622  
       

Planet Fitness Master Issuer, Series 2022-1A, Class A2I

        
    2,619,700  

3.251%, 12/05/51 (B)

     2,490,962  
       

Prestige Auto Receivables Trust, Series 2020-1A, Class E

        
    2,740,000  

3.670%, 02/15/28 (B)

     2,712,999  
       

Prestige Auto Receivables Trust, Series 2023-1A, Class E

        
    2,500,000  

9.880%, 05/15/30 (B)

     2,599,520  
       

Progress Residential Trust, Series 2020-SFR3, Class F

        
    645,000  

2.796%, 10/17/27 (B)

     640,881  
       

Raptor Aircraft Finance I, Series 2019-1, Class A

        
    2,186,047  

4.213%, 08/23/44 (B)

     1,843,187  
       

Redwood Funding Trust, Series 2023-1, Class A

        
    841,573  

7.500%, 07/25/59 (B)(C)

     830,613  
       

Redwood Funding Trust, Series 2024-1, Class A

        
    755,000  

7.745%, 12/25/54 (B)(C)

     756,756  
       

RFS Asset Securitization II, Series 2024-1, Class E

        
    2,500,000  

14.782%, 07/15/31 (B)

     2,495,623  
       

Rockford Tower CLO, Series 2017-3A, Class D

        
    250,000  

8.194%, TSFR3M + 2.912%, 10/20/30 (A)(B)

     249,620  
       

Santander Bank, Series 2021-1A, Class E

        
    700,000  

6.171%, 12/15/31 (B)

     696,317  
       

Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class E

        
    160,359  

11.366%, 12/15/32 (B)

     164,198  
       

Santander Drive Auto Receivables Trust, Series 2024-3, Class D

        
    2,090,000  

5.970%, 10/15/31

    2,125,718  
       

SCF Equipment Leasing, Series 2021-1A, Class E

        
    755,000  

3.560%, 08/20/32 (B)

     729,313  
       

SCF Equipment Leasing, Series 2022-2A, Class E

        
    3,750,000  

6.500%, 06/20/35 (B)

     3,659,084  
       

SCF Equipment Leasing, Series 2023-1A, Class E

        
    1,500,000  

7.000%, 07/21/36 (B)

     1,476,221  
       

SEB Funding, Series 2024-1A, Class A2

        
    1,075,000  

7.386%, 04/30/54 (B)

     1,100,098  

 

6 |

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

Sierra Timeshare Receivables Funding, Series 2020-2A, Class D

        
  $ 149,710  

6.590%, 07/20/37 (B)

   $ 147,689  
       

Sierra Timeshare Receivables Funding, Series 2021-1A, Class D

        
    268,315  

3.170%, 11/20/37 (B)

     255,834  
       

Sierra Timeshare Receivables Funding, Series 2023-1A, Class D

        
    624,438  

9.800%, 01/20/40 (B)

     647,645  
       

Sierra Timeshare Receivables Funding, Series 2024-1A, Class D

        
    860,363  

8.020%, 01/20/43 (B)

     875,531  
       

Stellar Jay Ireland DAC, Series 2021-1, Class A

        
    275,569  

3.967%, 10/15/41 (B)

     254,964  
       

Stream Innovations Issuer Trust, Series 2024-1A, Class C

        
    2,000,000  

11.400%, 07/15/44 (B)

     2,033,034  
       

Sunnova Helios V Issuer, Series 2021-A, Class B

        
    702,068  

3.150%, 02/20/48 (B)

     377,629  
       

Sunnova Helios X Issuer, Series 2022-C, Class C

        
    2,731,283  

6.000%, 11/22/49 (B)

     2,187,894  
       

Textainer Marine Containers VII, Series 2021-1A, Class B

        
    506,582  

2.520%, 02/20/46 (B)

     451,800  
       

Thunderbolt Aircraft Lease, Series 2017-A, Class C

        
    1,705,052  

4.500%, 05/17/32 (B)

     685,115  
       

Thunderbolt III Aircraft Lease, Series 2019-1, Class B

        
    454,404  

4.750%, 11/15/39 (B)

     295,340  
       

TIC Home Improvement Trust, Series 2024-A, Class C

        
    1,145,000  

11.730%, 10/15/46 (B)

     1,177,670  
       

Tricon American Homes Trust, Series 2020-SFR1, Class F

        
    160,000  

4.882%, 07/17/38 (B)

     155,466  
       

VStrong Auto Receivables Trust, Series 2023-A, Class C

        
    2,845,000  

8.040%, 02/15/30 (B)

     3,026,263  
       

WAVE, Series 2019-1, Class C

        
    2,807,605  

6.413%, 09/15/44 (B)

     1,010,288  
       

WAVE Trust, Series 2017-1A, Class A

        
    1,247,129  

3.844%, 11/15/42 (B)

     1,122,545  
       

Welk Resorts, Series 2019-AA, Class D

        
    135,498  

4.030%, 06/15/38 (B)

     130,254  
       

Willis Engine Structured Trust V, Series 2020-A, Class A

        
    955,637  

3.228%, 03/15/45 (B)

     867,554  

 

| 7

 

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 60.6% (continued)

  
       

Willis Engine Structured Trust VI, Series 2021-A, Class A

        
  $ 1,301,130  

3.104%, 05/15/46 (B)

   $ 1,171,278  
       

Total Asset-Backed Securities

        
       

(Cost $210,735,835)

     218,035,740  
                 
 

Commercial Mortgage-Backed Obligations — 20.4%

  
       

BANK, Series 2021-BN34, Class A5

        
    1,000,000  

2.438%, 06/15/63

    827,223  
       

BBCMS Mortgage Trust, Series 2020-BID, Class A

        
    2,885,000  

7.584%, 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)

     995,600  
       

Benchmark Mortgage Trust, Series 2021-B31, Class A5

        
    1,000,000  

2.669%, 12/15/54

    857,174  
       

BPR Trust, Series 2021-NRD, Class F

        
    2,545,000  

12.199%, TSFR1M + 6.870%, 12/15/38 (A)(B)

     2,421,052  
       

BPR Trust, Series 2022-STAR, Class A

        
    1,530,000  

8.561%, TSFR1M + 3.232%, 08/15/39 (A)(B)

     1,527,308  
       

BPR Trust, Series 2022-SSP, Class A

        
    2,920,000  

8.329%, TSFR1M + 3.000%, 05/15/39 (A)(B)

     2,925,475  
       

BPR Trust, Series 2022-SSP, Class D

        
    2,170,000  

11.960%, TSFR1M + 6.631%, 05/15/39 (A)(B)

     2,160,506  
       

CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1

        
    928,360  

8.943%, TSFR1M + 3.614%, 11/15/31 (A)(B)

     444,510  
       

CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2

        
    2,260,557  

9.943%, TSFR1M + 4.614%, 11/15/31 (A)(B)

     922,481  
       

Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D

        
    4,790,000  

4.803%, 05/10/47 (A)(B)

     3,770,688  
       

COMM Mortgage Trust, Series 2012-LC4, Class C

        
    17,000  

5.303%, 12/10/44 (A)

     15,009  
       

COMM Mortgage Trust, Series 2012-LC4, Class D

        
    1,605,000  

5.303%, 12/10/44 (A)(B)

     1,009,507  
       

COMM Mortgage Trust, Series 2012-CCRE3, Class D

        
    1,005,000  

4.292%, 10/15/45 (A)(B)

     663,300  
       

COMM Mortgage Trust, Series 2014-CR21, Class AM

        
    330,000  

3.987%, 12/10/47

    319,555  
       

COMM Mortgage Trust, Series 2014-UBS4, Class AM

        
    762,000  

3.968%, 08/10/47

    720,928  

 

8 |

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Commercial Mortgage-Backed Obligations — 20.4% (continued)

  
       

CSMC OA, Series 2014-USA, Class C

        
  $ 985,000  

4.336%, 09/15/37 (B)

   $ 796,147  
       

CSMC OA, Series 2014-USA, Class D

        
    660,000  

4.373%, 09/15/37 (B)

     500,367  
       

CSMC OA, Series 2014-USA, Class E

        
    5,475,000  

4.373%, 09/15/37 (B)

     3,143,369  
       

DC Commercial Mortgage Trust, Series 2023-DC, Class C

        
    1,510,000  

7.141%, 09/12/40 (A)(B)

     1,558,416  
       

DC Commercial Mortgage Trust, Series 2023-DC, Class D

        
    1,370,000  

7.141%, 09/12/40 (A)(B)

     1,377,657  
       

Extended Stay America Trust, Series 2021-ESH, Class F

        
    2,692,058  

9.144%, TSFR1M + 3.814%, 07/15/38 (A)(B)

     2,692,057  
       

GS Mortgage Securities Trust, Series 2011-GC5, Class C

        
    100,000  

5.150%, 08/10/44 (A)(B)

     76,983  
       

GS Mortgage Securities Trust, Series 2011-GC5, Class D

        
    4,972,728  

5.150%, 08/10/44 (A)(B)

     2,361,557  
       

GS Mortgage Securities Trust, Series 2012-BWTR, Class A

        
    3,880,441  

2.954%, 11/05/34 (B)

     3,158,713  
       

GS Mortgage Securities Trust, Series 2013-PEMB, Class A

        
    615,000  

3.550%, 03/05/33 (A)(B)

     522,687  
       

GS Mortgage Securities Trust, Series 2013-GC13, Class C

        
    610,000  

3.867%, 07/10/46 (A)(B)

     514,657  
       

GS Mortgage Securities Trust, Series 2014-GC20, Class C

        
    2,625,000  

4.962%, 04/10/47 (A)

     2,358,555  
       

GS Mortgage Securities Trust, Series 2014-GC22, Class D

        
    3,000,000  

4.593%, 06/10/47 (A)(B)

     826,134  
       

GS Mortgage Securities Trust, Series 2023-SHIP, Class B

        
    3,440,000  

4.936%, 09/10/38 (A)(B)

     3,397,276  
       

Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10

        
    3,375,000  

4.155%, 08/05/34 (B)

     3,180,632  
       

JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class AS

        
    230,000  

3.914%, 11/15/47 (A)

     217,091  
       

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C

        
    2,490,000  

5.360%, 02/15/46 (A)(B)

     2,171,204  
       

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C

        
    945,000  

3.958%, 04/15/46 (A)

     639,056  
       

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B

        
    3,330,000  

4.077%, 08/15/46 (A)

     2,034,630  

 

| 9

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Commercial Mortgage-Backed Obligations — 20.4% (continued)

  
       

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class A5

        
  $ 305,000  

3.102%, 11/15/49

  $ 287,793  
       

Morgan Stanley Capital I Trust, Series 2011-C2, Class E

        
    2,930,000  

5.211%, 06/15/44 (A)(B)

     2,313,709  
       

Morgan Stanley Capital I Trust, Series 2012-C4, Class D

        
    453,729  

5.164%, 03/15/45 (A)(B)

     420,743  
       

Morgan Stanley Capital I Trust, Series 2013-ALTM, Class E

        
    2,500,000  

3.705%, 02/05/35 (A)(B)

     2,056,701  
       

MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C

        
    830,000  

4.282%, 10/15/30 (A)(B)

     544,848  
       

MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class D

        
    400,000  

4.282%, 10/15/30 (A)(B)

     163,991  
       

RBS Commercial Funding Trust, Series 2013-SMV, Class F

        
    2,000,000  

3.584%, 03/11/31 (A)(B)

     1,360,636  
       

Starwood Retail Property Trust, Series 2014-STAR, Class A

        
    342,670  

8.500%, PRIME + 0.000%, 11/15/27 (A)(B)

     205,602  
       

Starwood Retail Property Trust, Series 2014-STAR, Class E

        
    3,185,000  

8.500%, PRIME + 0.000%, 11/15/27 (A)(B)(D)

     159,250  
       

Starwood Retail Property Trust, Series 2014-STAR, Class F

        
    3,040,405  

8.500%, PRIME + 0.000%, 11/15/27 (A)(B)(D)

     30,404  
       

UBS Commercial Mortgage Trust, Series 2018-C14, Class C

        
    1,885,000  

5.195%, 12/15/51 (A)

     1,615,775  
       

VOLT XCIV, Series 2021-NPL3, Class A2

        
    1,677,640  

4.949%, 02/27/51 (B)(C)

     1,609,997  
       

VOLT XCVI, Series 2021-NPL5, Class A2

        
    655,600  

4.826%, 03/27/51 (B)(C)

     626,340  
       

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C

        
    1,485,000  

4.458%, 08/15/50

    1,020,922  
       

Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class C

        
    2,902,000  

5.056%, 06/15/49 (A)

     2,659,017  
       

Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C

        
    500,000  

4.116%, 11/15/59 (A)

     416,415  
       

WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D

        
    854,828  

5.855%, 03/15/44 (A)(B)

     335,822  
       

WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D

        
    722,000  

4.978%, 06/15/44 (A)(B)

     627,057  
       

WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E

        
    1,680,000  

4.978%, 06/15/44 (A)(B)

     1,351,560  

 

10 |

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Commercial Mortgage-Backed Obligations — 20.4% (continued)

  
       

WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C

        
  $ 2,130,000  

4.311%, 12/15/45 (A)

   $ 1,672,488  
       

Total Commercial Mortgage-Backed Obligations

        
       

(Cost $89,183,705)

     73,457,149  
       

 

        
 

Residential Mortgage-Backed Obligations — 11.0%

  
       

Alternative Loan Trust, Series 2004-J3, Class 1A1

        
    173,068  

5.500%, 04/25/34

    169,944  
       

Alternative Loan Trust, Series 2004-J10, Class 2CB1

        
    184,517  

6.000%, 09/25/34

    183,052  
       

Alternative Loan Trust, Series 2004-28CB, Class 5A1

        
    103,369  

5.750%, 01/25/35

    100,367  
       

Alternative Loan Trust, Series 2004-14T2, Class A11

        
    166,008  

5.500%, 08/25/34

    162,768  
       

Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1

        
    267,297  

5.500%, 10/25/33

    262,805  
       

Banc of America Funding Trust, Series 2005-7, Class 3A1

        
    244,359  

5.750%, 11/25/35

    243,152  
       

Banc of America Funding Trust, Series 2007-4, Class 5A1

        
    57,389  

5.500%, 11/25/34

    49,024  
       

CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1

        
    193,823  

6.005%, 08/25/34 (A)

     181,111  
       

CIM TRUST, Series 2022-R2, Class A1

        
    829,520  

3.750%, 12/25/61 (A)(B)

     781,499  
       

Citigroup Mortgage Loan Trust, Series 2005-3, Class 2A3

        
    453,001  

5.911%, 08/25/35 (A)

     370,487  
       

Citigroup Mortgage Loan Trust, Series 2009-10, Class 6A2

        
    134,385  

6.076%, 09/25/34 (A)(B)

     119,455  
       

Citigroup Mortgage Loan Trust, Series 2010-9, Class 2A2

        
    234,840  

7.860%, T1Y + 2.400%, 11/25/35 (A)(B)

     221,727  
       

Citigroup Mortgage Loan Trust, Series 2019-RP1, Class M3

        
    1,005,000  

4.000%, 01/25/66 (A)(B)

     871,936  
       

Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1

        
    730,000  

8.447%, SOFR30A + 3.100%, 10/25/41 (A)(B)

     752,078  
       

Deutsche Mortgage Securities Mortgage Loan Trust, Series 2004-1, Class 3A5

        
    739,085  

6.160%, 12/25/33 (C)

     706,591  

 

| 11

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Residential Mortgage-Backed Obligations — 11.0% (continued)

  
       

Deutsche Mortgage Securities Mortgage Loan Trust, Series 2004-4, Class 7AR1

        
  $ 74,556  

5.814%, TSFR1M + 0.464%, 06/25/34 (A)

   $ 65,631  
       

FHLMC POOL, Series 2023-2326

        
    6,920,000  

4.450%, 12/01/32

    6,852,172  
       

FHLMC REMIC, Series 2023-5365, Class LY

        
    3,110,000  

6.500%, 12/25/53

    3,250,864  
       

FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B1

        
    1,145,621  

11.462%, SOFR30A + 6.114%, 08/25/50 (A)(B)

     1,313,168  
       

FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B1

        
    2,000,000  

8.347%, SOFR30A + 3.000%, 12/25/50 (A)(B)

     2,153,027  
       

FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B1

        
    2,000,000  

8.847%, SOFR30A + 3.500%, 10/25/33 (A)(B)

     2,250,176  
       

FHLMC STACR REMIC Trust, Series 2022-DNA7, Class M1B

        
    1,845,000  

10.347%, SOFR30A + 5.000%, 03/25/52 (A)(B)

     2,033,817  
       

IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A

        
    607,593  

5.555%, 10/25/34 (A)

     570,516  
       

IndyMac Index Mortgage Loan Trust, Series 2005-AR11, Class A3

        
    890,462  

3.949%, 08/25/35 (A)

     642,411  
       

JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1

        
    794,096  

6.000%, 09/25/34

    798,956  
       

Lehman Mortgage Trust, Series 2007-9, Class 1A1

        
    63,069  

6.000%, 10/25/37

    58,425  
       

Lehman XS Trust, Series 2006-2N, Class 1A1

        
    440,762  

5.984%, TSFR1M + 0.634%, 02/25/46 (A)

     380,732  
       

MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1

        
    674,680  

4.350%, 03/25/35 (A)

     609,301  
       

MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1

        
    341,381  

6.649%, 04/25/36 (A)

     323,894  
       

MASTR Alternative Loan Trust, Series 2003-9, Class 4A1

        
    200,879  

5.250%, 11/25/33

    197,208  
       

MASTR Alternative Loan Trust, Series 2004-2, Class 8A4

        
    1,740,434  

5.500%, 03/25/34

    1,576,357  
       

MASTR Alternative Loan Trust, Series 2004-5, Class 1A1

        
    136,831  

5.500%, 06/25/34

    135,130  
       

MASTR Alternative Loan Trust, Series 2004-5, Class 2A1

        
    235,700  

6.000%, 06/25/34

    236,746  
       

MASTR Alternative Loan Trust, Series 2004-8, Class 2A1

        
    507,150  

6.000%, 09/25/34

    499,343  

 

12 |

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Residential Mortgage-Backed Obligations — 11.0% (continued)

  
       

Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M3

        
  $ 730,000  

2.500%, 11/25/60 (A)(B)

   $ 598,706  
       

Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5

        
    105,402  

5.500%, 11/25/35

    96,868  
       

PRPM, Series 2020-4, Class A2

        
    1,377,402  

8.193%, 10/25/25 (B)(C)

     1,378,656  
       

PRPM, Series 2021-4, Class A2

        
    565,664  

6.474%, 04/25/26 (B)(C)

     562,212  
       

PRPM, Series 2024-2, Class A1

        
    1,174,820  

7.026%, 03/25/29 (B)(C)

     1,186,426  
       

RFMSI Series Trust, Series 2005-SA1, Class 1A1

        
    1,530,873  

5.108%, 03/25/35 (A)

     893,058  
       

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1

        
    2,719,962  

5.774%, TSFR1M + 0.424%, 07/25/35 (A)

     1,619,664  
       

Towd Point Mortgage Trust, Series 2018-4, Class A2

        
    1,100,000  

3.000%, 06/25/58 (A)(B)

     935,610  
       

Towd Point Mortgage Trust, Series 2018-5, Class M1

        
    505,000  

3.250%, 07/25/58 (A)(B)

     424,224  
       

Towd Point Mortgage Trust, Series 2019-2, Class M1

        
    890,000  

3.750%, 12/25/58 (A)(B)

     778,384  
       

Towd Point Mortgage Trust, Series 2020-4, Class M1

        
    2,300,000  

2.875%, 10/25/60 (B)

     1,839,615  
       

Total Residential Mortgage-Backed Obligations

        
       

(Cost $40,560,552)

     39,437,293  
       

 

        
 

U.S. Treasury Obligations — 5.6%

  
       

U.S. Treasury Bills

        
    1,800,000  

5.322%, 08/13/24 (E)

     1,796,831  
    5,000,000  

5.317%, 09/03/24 (E)

     4,975,841  
    4,500,000  

5.310%, 10/01/24 (E)

     4,460,312  
    9,000,000  

5.252%, 10/17/24 (E)

     8,900,872  
       

Total U.S. Treasury Obligations

        
       

(Cost $20,133,248)

     20,133,856  

 

| 13

 

Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal Amount

  

Description

  

Value

  
 

Corporate Obligation — 0.8%

  
       

PG&E Wildfire Recovery Funding

        
  $ 3,000,000  

4.263%, 06/01/36

  $ 2,867,587  
       

Total Corporate Obligation

        
       

(Cost $2,999,850)

     2,867,587  
       

 

        
  Other Investment — 0.0%        
       

ECAF I BLOCKER Ltd.

        
    900  

03/15/40 (D)(F)

     —  
       

Total Other Investment

        
       

(Cost $9,000,000)

     —  
       

 

        
       

Total Investments — 98.4%

        
       

(Cost $372,613,190)

     353,931,625  
       

Other Assets and Liabilities, net — 1.6%

     5,689,884  
       

Net Assets — 100.0%

   $ 359,621,509  

 

(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 July 31, 2024, was $269,676,906, representing 75.0% of Net Assets of the Portfolio. All securities are considered liquid unless otherwise noted.

(C)

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.

(D)

Level 3 security in accordance with fair value hierarchy.

(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

 

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Portfolio of Investments — as of July 31, 2024 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

T1Y — Secured Overnight Financing 12 Month

TSFR1M — Term Secured Overnight Financing Rate 1 Month

TSFR3M — Term Secured Overnight Financing Rate 3 Months

 

Amounts designated as “—“ are $0.

 

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