NPORT-EX 2 fp0092826-1_nportex.htm SCHEDULE F

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6%

  
       

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

        
  $ 1,000,000  

11.764%, TSFR3M + 7.462%, 10/15/34 (A)(B)

   $ 1,003,341  
       

720 East CLO I, Series 2022-1A, Class ER

        
    3,800,000  

10.193%, TSFR3M + 5.900%, 01/20/38 (A)(B)

     3,871,493  
       

720 East CLO VI, Series 2024-3A, Class E

        
    3,720,000  

10.061%, TSFR3M + 5.500%, 01/20/38 (A)(B)

     3,738,314  
       

AASET, Series 2018-2A, Class A

        
    326,391  

4.454%, 11/18/38 (B)

     319,879  
       

AASET, Series 2018-2A, Class C

        
    1,579,631  

6.892%, 11/18/38 (B)

     1,074,202  
       

AASET, Series 2024-1A, Class A2

        
    1,602,414  

6.261%, 05/16/49 (B)

     1,619,865  
       

AASET Trust, Series 2019-2C, Class C

        
    2,468,518  

6.413%, 10/16/39 (B)

     962,949  
       

AASET Trust, Series 2020-1A

        
    17,029,000  

0.000%, 01/16/40 (C)(D)

     1,149,457  
       

AASET Trust, Series 2020-1A, Class B

        
    3,337,814  

4.335%, 01/16/40 (B)

     2,920,740  
       

AASET Trust, Series 2020-1A, Class C

        
    7,755,403  

6.413%, 01/16/40 (B)

     4,343,026  
       

Accelerated Assets, Series 2018-1, Class B

        
    185,649  

4.510%, 12/02/33 (B)

     182,414  
       

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

        
    1,000,000  

9.550%, 11/15/28 (B)

     1,015,831  
       

AGL CLO, Series 2020-3A, Class D

        
    2,100,000  

7.864%, TSFR3M + 3.562%, 01/15/33 (A)(B)

     2,102,060  
       

AGL CLO, Series 2021-7A, Class ER

        
    2,345,000  

10.914%, TSFR3M + 6.612%, 07/15/34 (A)(B)

     2,347,000  
       

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

        
    8,883,378  

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

     5,773,929  
       

AIMCO CLO Series, Series 2021-AA, Class DR

        
    665,000  

7.705%, TSFR3M + 3.412%, 04/20/34 (A)(B)

     666,491  
       

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

        
    250,000  

7.315%, TSFR3M + 3.012%, 01/17/31 (A)(B)

     250,233  
       

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

        
    956,915  

7.000%, 07/21/31 (B)

     966,092  
       

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

        
    2,750,000  

10.970%, 12/15/32 (B)

     2,829,546  
       

Aventura Mall Trust, Series 2018-AVM, Class A

        
    3,760,000  

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

     3,641,957  

 

1

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

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

        
  $ 5,000,000  

3.710%, 08/20/27 (B)

   $ 4,801,806  
       

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

        
    2,870,000  

5.360%, 06/20/30 (B)

     2,910,507  
       

BHG Securitization Trust, Series 2022-C, Class E

        
    1,890,000  

9.730%, 10/17/35 (B)

     1,948,100  
       

BHG Securitization Trust, Series 2023-B, Class E

        
    2,500,000  

12.400%, 12/17/36 (B)

     2,638,384  
       

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

        
    2,500,000  

10.450%, 04/17/35 (B)

     2,526,293  
       

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

        
    1,520,000  

9.437%, 05/15/31 (B)

     1,533,368  
       

BPR Trust, Series 2021-NRD, Class E

        
    2,030,000  

9.928%, TSFR1M + 5.621%, 12/15/38 (A)(B)

     1,946,367  
       

BX Commercial Mortgage Trust, Series 2024-VLT5, Class A

        
    750,000  

5.591%, 11/13/46 (A)(B)

     751,861  
       

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

        
    649,758  

3.500%, 09/25/45 (B)

     609,412  
       

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

        
    1,850,000  

5.735%, TSFR3M + 1.442%, 07/20/34 (A)(B)

     1,854,396  
       

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

        
    978,463  

3.350%, 02/10/27

    974,889  
       

Carvana Auto Receivables Trust, Series 2024-N3, Class D

        
    785,000  

5.380%, 12/10/30 (B)

     774,626  
       

Carvana Auto Receivables Trust, Series 2024-N3, Class E

        
    1,250,000  

7.660%, 04/12/32 (B)

     1,253,417  
       

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

        
    592,540  

5.300%, 06/15/43 (B)

     491,823  
       

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

        
    1,861,865  

2.110%, 04/12/27 (B)

     1,859,209  
       

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

        
    2,550,000  

4.450%, 05/12/28 (B)

     2,545,914  
       

Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3

        
    4,670,000  

6.150%, 06/15/39

    5,058,254  
       

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

        
    549,500  

3.300%, 10/18/45 (B)

     509,171  
       

Clover CLO, Series 2021-2A, Class E

        
    2,500,000  

11.055%, TSFR3M + 6.762%, 07/20/34 (A)(B)

     2,519,502  
       

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

        
    3,678,569  

6.171%, 05/11/37 (B)

     3,429,158  

 

2

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

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

        
  $ 1,000,000  

8.490%, 05/25/55 (B)

   $ 1,000,238  
       

COMM Mortgage Trust, Series 2024-CBM, Class A2

        
    1,065,000  

5.867%, 12/10/41 (A)(B)

     1,079,405  
       

Compass Datacenters Issuer II, Series 2024-2A, Class A1

        
    1,530,000  

5.022%, 08/25/49 (B)

     1,510,391  
       

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

        
    575,000  

5.523%, 03/15/52 (A)(B)

     562,508  
       

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

        
    1,211,000  

4.613%, 05/15/52 (A)(B)

     1,106,337  
       

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

        
    495,000  

7.710%, 07/15/33 (B)

     512,223  
       

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

        
    1,250,000  

10.555%, TSFR3M + 6.262%, 10/20/34 (A)(B)

     1,256,096  
       

EverBright Solar Trust, Series 2024-A, Class A

        
    1,008,016  

6.430%, 06/22/54 (B)

     1,007,384  
       

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

        
    1,560,000  

5.500%, 03/15/52 (B)

     1,523,199  
       

Falcon Aerospace, Series 2017-1, Class A

        
    111,775  

4.581%, 02/15/42 (B)

     110,211  
       

Falcon Aerospace, Series 2019-1, Class C

        
    1,980,928  

6.656%, 09/15/39 (B)

     1,731,323  
       

Falcon Aerospace, Series 2019-1, Class E

        
    5,000,000  

0.000%, 09/15/39 (B)(C)(D)

     1,020,000  
       

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

        
    660,000  

3.350%, 04/15/27 (B)

     657,568  
       

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

        
    750,000  

8.710%, 10/16/28 (B)

     786,198  
       

FirstKey Homes Trust, Series 2020-SFR2, Class F1

        
    2,450,000  

3.017%, 10/19/37 (B)

     2,398,080  
       

FirstKey Homes Trust, Series 2020-SFR1, Class F1

        
    3,619,000  

3.638%, 08/17/37 (B)

     3,576,048  
       

FirstKey Homes Trust, Series 2020-SFR1, Class F2

        
    2,305,000  

4.284%, 08/17/37 (B)

     2,284,580  
       

Fora Financial Asset Securitization, Series 2024-1A, Class D

        
    3,000,000  

12.010%, 08/15/29 (B)

     3,004,044  
       

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

        
    5,270,000  

12.560%, 11/15/29 (B)(D)

     5,325,361  

 

3

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

Foundation Finance Trust, Series 2024-2A, Class E

        
  $ 1,290,000  

9.350%, 03/15/50 (B)

   $ 1,307,437  
       

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

        
    2,745,000  

7.090%, 10/15/29 (B)

     2,788,107  
       

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

        
    1,000,000  

10.980%, 07/15/30 (B)

     1,061,266  
       

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

        
    1,250,000  

10.250%, 05/15/31 (B)

     1,318,023  
       

Frontier Issuer, Series 2023-1, Class C

        
    3,000,000  

11.500%, 08/20/53 (B)

     3,198,453  
       

Frontier Issuer, Series 2024-1, Class C

        
    3,500,000  

11.160%, 06/20/54 (B)

     3,948,541  
       

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

        
    6,605,000  

4.391%, 06/10/47 (A)

     5,683,781  
       

Harbour Aircraft Investments, Series 2017-1, Class A

        
    5,401,737  

6.000%, 11/15/37

    5,296,457  
       

Harbour Aircraft Investments, Series 2017-1, Class C

        
    8,243,457  

10.000%, 11/15/37

    5,727,224  
       

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

        
    615,350  

7.253%, 03/20/54 (B)

     632,859  
       

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

        
    54,548  

4.000%, 02/25/32 (B)

     54,267  
       

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

        
    333,015  

5.570%, 01/25/37 (B)

     330,133  
       

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

        
    306,439  

8.850%, 09/15/39 (B)

     313,187  
       

Horizon Aircraft Finance I, Series 2018-1, Class B

        
    1,171,040  

5.270%, 12/15/38 (B)

     854,816  
       

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

        
    351,237  

7.523%, SOFR30A + 3.150%, 05/20/32 (A)(B)

     354,796  
       

Island Finance Trust, Series 2025-1A, Class C

        
    500,000  

10.000%, 03/19/35 (B)

     476,696  
       

JPMorgan Chase Bank, Series 2021-2, Class F

        
    371,308  

4.393%, 12/26/28 (B)

     371,115  
       

Kapitus Asset Securitization IV, Series 2024-1A, Class D

        
    600,000  

9.900%, 09/10/31 (B)

     607,713  
       

Kapitus Asset Securitization IV, Series 2025-1A, Class 1D

        
    1,500,000  

9.900%, 09/10/31 (B)

     1,519,283  
       

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

        
    14,225,739  

7.385%, 12/15/42 (B)

     11,381,018  

 

4

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

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

        
  $ 1,293,947  

4.250%, 12/15/38 (B)

   $ 1,275,223  
       

KKR CLO, Series 2018-23, Class F

        
    840,000  

12.405%, TSFR3M + 8.112%, 10/20/31 (A)(B)

     802,003  
       

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

        
    2,706,758  

4.300%, 01/15/42 (B)

     2,620,171  
       

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

        
    2,504,442  

5.682%, 01/15/42 (B)

     2,016,049  
       

MAPS, Series 2018-1A, Class B

        
    216,884  

5.193%, 05/15/43 (B)

     210,919  
       

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

        
    1,940,000  

11.120%, 10/22/35 (B)

     2,002,055  
       

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

        
    250,000  

6.770%, 09/22/36 (B)

     253,802  
       

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

        
    1,160,000  

9.590%, 09/20/27 (B)

     1,159,696  
       

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

        
    1,430,000  

6.560%, 07/20/29 (B)

     1,449,240  
       

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

        
    590,000  

7.230%, 07/17/28 (B)

     592,942  
       

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

        
    1,155,000  

7.690%, 11/15/28 (B)

     1,163,976  
       

Mission Lane Credit Card Master Trust, Series 2024-B, Class A

        
    1,620,000  

5.880%, 01/15/30 (B)

     1,621,249  
       

MVW, Series 2022-1A, Class A

        
    1,108,284  

4.150%, 11/21/39 (B)

     1,087,455  
       

Neuberger Berman Loan Advisers CLO 59, Series 2025-59A, Class A1

        
    3,810,000  

5.587%, TSFR3M + 1.290%, 01/23/39 (A)(B)

     3,829,050  
       

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

        
    1,195,000  

3.868%, 01/25/64 (A)(B)

     924,133  
       

NY Commercial Mortgage Trust, Series 2025-299P, Class A

        
    860,000  

5.664%, 02/10/35 (A)(B)

     877,199  
       

NYMT Loan Trust Series, Series 2024-BPL3, Class M1

        
    1,000,000  

6.903%, 09/25/39 (A)(B)

     989,013  
       

OCP CLO, Series 2024-17A, Class ER2

        
    3,500,000  

10.543%, TSFR3M + 6.250%, 07/20/37 (A)(B)

     3,580,962  
       

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

        
    1,250,000  

9.040%, 07/20/32 (B)

     1,300,001  
       

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

        
    1,872,000  

7.820%, 08/20/31 (B)

     1,884,824  

 

5

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

OHA Credit Funding, Series 2019-2A, Class AR2

        
  $ 2,300,000  

5.520%, TSFR3M + 1.240%, 01/21/38 (A)(B)

   $ 2,311,171  
       

OHA Credit Funding, Series 2019-3A, Class ER2

        
    2,490,000  

9.293%, TSFR3M + 5.000%, 01/20/38 (A)(B)

     2,512,958  
       

OnDeck Asset Securitization Trust IV, Series 2024-2A, Class C

        
    420,000  

7.030%, 10/17/31 (B)

     420,729  
       

OWN Equipment Fund I, Series 2024-2M, Class A

        
    2,188,814  

5.700%, 12/20/32 (B)

     2,196,691  
       

Palmer Square CLO, Series 2019-1A, Class CR

        
    1,000,000  

7.828%, TSFR3M + 3.312%, 11/14/34 (A)(B)

     1,001,825  
       

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

        
    1,875,000  

10.614%, TSFR3M + 6.312%, 10/15/34 (A)(B)

     1,876,894  
       

Palmer Square CLO, Series 2023-1A, Class AR

        
    4,205,000  

5.543%, TSFR3M + 1.250%, 01/20/38 (A)(B)

     4,236,622  
       

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

        
    4,000,000  

9.993%, TSFR3M + 5.700%, 07/20/37 (A)(B)

     4,052,820  
       

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

        
    2,606,300  

3.251%, 12/05/51 (B)

     2,514,028  
       

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

        
    2,118,413  

4.213%, 08/23/44 (B)

     1,864,394  
       

Redwood Funding Trust, Series 2023-1, Class A

        
    752,038  

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

     751,261  
       

Redwood Funding Trust, Series 2024-1, Class A

        
    710,758  

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

     713,103  
       

Redwood Funding Trust, Series 2025-1, Class A

        
    2,985,000  

7.584%, 05/27/55 (B)(E)

     2,984,980  
       

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

        
    2,500,000  

14.782%, 07/15/31 (B)

     2,504,895  
       

Roc Mortgage Trust, Series 2024-RTL1, Class M1

        
    3,740,000  

7.277%, 10/25/39 (A)(B)

     3,715,007  
       

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

        
    250,000  

7.205%, TSFR3M + 2.912%, 10/20/30 (A)(B)

     250,090  
       

Santander Bank, Series 2021-1A, Class E

        
    700,000  

6.171%, 12/15/31 (B)

     700,572  
       

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

        
    77,742  

11.366%, 12/15/32 (B)

     79,026  
       

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

        
    2,090,000  

5.970%, 10/15/31

    2,133,413  
       

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

        
    755,000  

3.560%, 08/20/32 (B)

     751,042  

 

6

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

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

        
  $ 3,750,000  

6.500%, 06/20/35 (B)

   $ 3,689,989  
       

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

        
    1,500,000  

7.000%, 07/21/36 (B)

     1,464,468  
       

SEB Funding, Series 2024-1A, Class A2

        
    1,075,000  

7.386%, 04/30/54 (B)

     1,106,895  
       

Securitized Term Auto Receivables Trust, Series 2025-A, Class D

        
    1,000,000  

6.746%, 07/25/31 (B)

     1,000,116  
       

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

        
    210,196  

3.170%, 11/20/37 (B)

     203,934  
       

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

        
    497,220  

9.800%, 01/20/40 (B)

     515,688  
       

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

        
    635,225  

8.020%, 01/20/43 (B)

     644,124  
       

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

        
    182,176  

3.967%, 10/15/41 (B)

     177,834  
       

Stream Innovations Issuer Trust, Series 2024-2A, Class C

        
    1,000,000  

9.050%, 02/15/45 (B)

     1,031,374  
       

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

        
    2,000,000  

11.400%, 07/15/44 (B)

     2,195,884  
       

Sunnova Helios II Issuer, Series 2019-AA, Class A

        
    120,579  

3.750%, 06/20/46 (B)

     110,255  
       

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

        
    672,386  

3.150%, 02/20/48 (B)

     379,059  
       

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

        
    2,677,007  

6.000%, 11/22/49 (B)

     2,151,914  
       

Sunnova Helios XIII Issuer, Series 2024-A, Class A

        
    2,246,058  

5.300%, 02/20/51 (B)

     2,189,371  
       

Sunrun Demeter Issuer, Series 2021-2A, Class A

        
    265,770  

2.270%, 01/30/57 (B)

     228,177  
       

Sycamore Tree CLO, Series 2024-1A, Class ER

        
    3,750,000  

11.351%, TSFR3M + 6.840%, 01/20/38 (A)(B)

     3,765,975  
       

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

        
    478,697  

2.520%, 02/20/46 (B)

     433,746  
       

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

        
    454,404  

4.750%, 11/15/39 (B)

     340,867  
       

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

        
    1,145,000  

11.730%, 10/15/46 (B)

     1,209,558  
       

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

        
    160,000  

4.882%, 07/17/38 (B)

     158,675  

 

7

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Asset-Backed Securities — 67.6% (continued)

  
       

TVC Mortgage Trust, Series 2024-RRTL1, Class M1

        
  $ 3,610,000  

7.415%, 07/25/39 (B)(E)

   $ 3,583,717  
       

Volofin Finance Designated Activity, Series 2024-1A, Class B

        
    1,249,309  

6.211%, 06/15/37 (B)

     1,250,292  
       

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

        
    2,845,000  

8.040%, 02/15/30 (B)

     3,028,720  
       

WAVE, Series 2019-1, Class C

        
    2,883,432  

6.413%, 09/15/44 (B)

     1,932,419  
       

WAVE Trust, Series 2017-1A, Class A

        
    1,057,634  

3.844%, 11/15/42 (B)

     980,944  
       

Welk Resorts, Series 2019-AA, Class D

        
    109,142  

4.030%, 06/15/38 (B)

     105,620  
       

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

        
    928,990  

3.228%, 03/15/45 (B)

     862,440  
       

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

        
    1,276,639  

3.104%, 05/15/46 (B)

     1,143,484  
       

Willis Engine Structured Trust VII, Series 2023-A, Class A

        
    619,597  

8.000%, 10/15/48 (B)

     643,715  
       

Wingstop Funding, Series 2024-1A, Class A2

        
    730,000  

5.858%, 12/05/54 (B)

     734,892  
       

Ziply Fiber Issuer, Series 2024-1A, Class B

        
    3,207,000  

7.810%, 04/20/54 (B)

     3,326,138  
       

Ziply Fiber Issuer, Series 2024-1A, Class C

        
    1,000,000  

11.170%, 04/20/54 (B)

     1,081,319  
       

Total Asset-Backed Securities

        
       

(Cost $243,985,088)

     268,274,728  
                 
 

Commercial Mortgage-Backed Obligations — 16.2%

  
       

BANK, Series 2021-BN34, Class A5

        
    1,000,000  

2.438%, 06/15/63

    836,506  
       

BB-UBS Trust, Series 2012-TFT, Class C

        
    2,000,000  

3.559%, 06/05/30 (A)(B)

     1,385,000  
       

Benchmark Mortgage Trust, Series 2021-B31, Class A5

        
    1,000,000  

2.669%, 12/15/54

    851,232  
       

BPR Trust, Series 2021-NRD, Class F

        
    2,545,000  

11.177%, TSFR1M + 6.870%, 12/15/38 (A)(B)

     2,425,597  
       

BPR Trust, Series 2022-SSP, Class D

        
    2,170,000  

10.937%, TSFR1M + 6.631%, 05/15/39 (A)(B)

     2,172,711  

 

8

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Commercial Mortgage-Backed Obligations — 16.2% (continued)

  
       

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

        
  $ 917,727  

7.921%, TSFR1M + 3.614%, 11/15/31 (A)(B)

   $ 366,630  
       

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

        
    2,234,664  

8.921%, TSFR1M + 4.614%, 11/15/31 (A)(B)

     780,130  
       

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

        
    4,790,000  

4.758%, 05/10/47 (A)(B)

     4,233,881  
       

COMM Mortgage Trust, Series 2012-LC4, Class C

        
    17,000  

5.375%, 12/10/44 (A)

     15,177  
       

COMM Mortgage Trust, Series 2012-LC4, Class D

        
    1,605,000  

5.375%, 12/10/44 (A)(B)

     1,148,698  
       

COMM Mortgage Trust, Series 2012-CCRE3, Class D

        
    1,005,000  

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

     700,003  
       

COMM Mortgage Trust, Series 2014-UBS4, Class AM

        
    762,000  

3.968%, 08/10/47

    727,710  
       

CSMC OA, Series 2014-USA, Class C

        
    985,000  

4.336%, 09/15/37 (B)

     816,025  
       

CSMC OA, Series 2014-USA, Class D

        
    660,000  

4.373%, 09/15/37 (B)

     496,928  
       

CSMC OA, Series 2014-USA, Class E

        
    5,475,000  

4.373%, 09/15/37 (B)

     3,050,600  
       

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

        
    1,510,000  

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

     1,563,615  
       

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

        
    1,370,000  

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

     1,386,043  
       

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

        
    2,603,051  

8.121%, TSFR1M + 3.814%, 07/15/38 (A)(B)

     2,616,066  
       

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

        
    100,000  

5.125%, 08/10/44 (A)(B)

     79,219  
       

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

        
    4,972,728  

5.125%, 08/10/44 (A)(B)

     2,984,999  
       

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

        
    3,828,362  

2.954%, 11/05/34 (B)

     3,214,343  
       

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

        
    1,005,000  

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

     868,784  
       

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

        
    610,000  

3.874%, 07/10/46 (A)(B)

     536,800  
       

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

        
    3,000,000  

4.617%, 06/10/47 (A)(B)

     946,581  
       

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

        
    3,440,000  

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

     3,427,770  

 

9

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Commercial Mortgage-Backed Obligations — 16.2% (continued)

  
       

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

        
  $ 3,375,000  

4.155%, 08/05/34 (B)

   $ 3,293,256  
       

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

        
    2,490,000  

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

     2,262,371  
       

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

        
    945,000  

3.958%, 04/15/46 (A)

     557,550  
       

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

        
    3,330,000  

4.077%, 08/15/46 (A)

     2,206,125  
       

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

        
    2,930,000  

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

     2,761,144  
       

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

        
    453,729  

5.336%, 03/15/45 (A)(B)

     447,818  
       

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

        
    2,500,000  

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

     2,057,272  
       

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

        
    830,000  

4.281%, 10/15/30 (A)(B)

     553,062  
       

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

        
    400,000  

4.281%, 10/15/30 (A)(B)

     167,340  
       

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

        
    342,670  

7.500%, PRIME + 0.000%, 11/15/27 (A)(B)

     191,895  
       

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

        
    3,185,000  

7.500%, PRIME + 0.000%, 11/15/27 (A)(B)(D)

     63,700  
       

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

        
    3,040,405  

7.500%, PRIME + 0.000%, 11/15/27 (A)(B)(D)

     15,202  
       

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

        
    1,885,000  

5.208%, 12/15/51 (A)

     1,651,243  
       

VOLT XCIV, Series 2021-NPL3, Class A2

        
    1,719,581  

8.949%, 02/27/51 (B)(E)

     1,718,538  
       

VOLT XCVI, Series 2021-NPL5, Class A2

        
    671,580  

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

     669,025  
       

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

        
    1,485,000  

4.458%, 08/15/50

    946,688  
       

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

        
    500,000  

4.117%, 11/15/59 (A)

     398,119  
       

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

        
    2,902,000  

5.051%, 06/15/49 (A)

     2,748,805  

 

10

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Commercial Mortgage-Backed Obligations — 16.2% (continued)

  
       

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

        
  $ 525,872  

4.995%, 06/15/44 (A)(B)

   $ 494,320  
       

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

        
    854,828  

6.050%, 03/15/44 (A)(B)

     341,931  
       

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

        
    1,680,000  

4.995%, 06/15/44 (A)(B)

     1,524,684  
       

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

        
    2,130,000  

4.306%, 12/15/45 (A)

     1,753,630  
       

Total Commercial Mortgage-Backed Obligations

        
       

(Cost $76,805,127)

     64,454,766  
       

 

        
                 
 

Residential Mortgage-Backed Obligations — 9.2%

  
       

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

        
    166,688  

5.500%, 04/25/34

    163,483  
       

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

        
    170,655  

6.000%, 09/25/34

    169,473  
       

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

        
    93,847  

5.750%, 01/25/35

     90,919  
       

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

        
    150,656  

5.500%, 08/25/34

    146,587  
       

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

        
    244,757  

5.500%, 10/25/33

    240,734  
       

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

        
    238,205  

5.750%, 11/25/35

    234,100  
       

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

        
    54,398  

5.500%, 11/25/34

    46,542  
       

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

        
    184,156  

6.854%, 08/25/34 (A)

     173,686  
       

CIM TRUST, Series 2022-R2, Class A1

        
    788,511  

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

     733,839  
       

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

        
    438,670  

6.128%, 08/25/35 (A)

     357,452  
       

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

        
    128,837  

7.320%, 09/25/34 (A)(B)

     115,652  
       

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

        
    226,378  

6.310%, T1Y + 2.400%, 11/25/35 (A)(B)

     216,368  
       

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

        
    1,005,000  

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

     864,783  

 

11

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Residential Mortgage-Backed Obligations — 9.2% (continued)

  
       

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

        
  $ 730,000  

7.451%, SOFR30A + 3.100%, 10/25/41 (A)(B)

   $ 750,988  
       

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

        
    585,160  

6.160%, 12/25/33 (E)

     566,652  
       

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

        
    71,839  

4.775%, TSFR1M + 0.464%, 06/25/34 (A)

     64,044  
       

FHLMC POOL, Series 2023-2326

        
    6,920,000  

4.450%, 12/01/32

    6,676,329  
       

FHLMC REMIC, Series 2023-5365, Class LY

        
    3,110,000  

6.500%, 12/25/53

    3,215,269  
       

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

        
    1,845,000  

9.351%, SOFR30A + 5.000%, 03/25/52 (A)(B)

     2,020,339  
       

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

        
    529,625  

6.150%, 10/25/34 (A)

     508,017  
       

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

        
    838,331  

3.847%, 08/25/35 (A)

     605,217  
       

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

        
    767,178  

6.000%, 09/25/34

    777,113  
       

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

        
    58,336  

6.000%, 10/25/37

    54,336  
       

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

        
    416,015  

4.945%, TSFR1M + 0.634%, 02/25/46 (A)

     366,290  
       

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

        
    655,897  

4.661%, 03/25/35 (A)

     600,966  
       

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

        
    330,446  

6.827%, 04/25/36 (A)

     317,699  
       

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

        
    167,437  

5.250%, 11/25/33

    164,195  
       

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

        
    1,627,930  

5.500%, 03/25/34

    1,454,054  
       

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

        
    127,077  

5.500%, 06/25/34

    125,537  
       

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

        
    207,463  

6.000%, 06/25/34

    208,101  
       

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

        
    472,435  

6.000%, 09/25/34

    462,785  
       

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

        
    730,000  

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

     598,399  

 

12

 

Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Residential Mortgage-Backed Obligations — 9.2% (continued)

  
       

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

        
  $ 100,084  

5.500%, 11/25/35

  $ 90,957  
       

PRPM, Series 2020-4, Class A2

        
    1,438,365  

9.193%, 10/25/25 (B)(E)

     1,435,027  
       

PRPM, Series 2021-4, Class A2

        
    584,223  

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

     580,602  
       

PRPM, Series 2024-2, Class A1

        
    1,076,797  

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

     1,083,705  
       

PRPM, Series 2024-5, Class A2

        
    3,730,000  

9.076%, 09/25/29 (B)(E)

     3,684,153  
       

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

        
    1,418,087  

5.168%, 03/25/35 (A)

     887,495  
       

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

        
    2,627,984  

4.735%, TSFR1M + 0.424%, 07/25/35 (A)

     1,552,820  
       

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

        
    1,100,000  

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

     919,999  
       

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

        
    505,000  

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

     420,094  
       

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

        
    890,000  

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

     768,876  
       

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

        
    2,300,000  

2.875%, 10/25/60 (B)

     1,826,021  
       

Total Residential Mortgage-Backed Obligations

        
       

(Cost $38,175,883)

     36,339,697  
       

 

        
 

U.S. Treasury Obligation — 5.0%

  
       

U.S. Treasury Bill

        
    20,000,000  

4.271%, 03/27/25 (F)

     19,877,848  
       

Total U.S. Treasury Obligation

        
       

(Cost $19,873,220)

     19,877,848  
 

Corporate Obligations — 1.4%

  
       

Gitsit Solutions

        
    2,875,000  

8.000%, 11/15/29 (B)

     2,876,566  
       

PG&E Wildfire Recovery Funding

        
    3,000,000  

4.263%, 06/01/36

    2,785,224  
       

Total Corporate Obligations

        
       

(Cost $5,874,850)

     5,661,790  

 

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Portfolio of Investments — as of January 31, 2025 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

 

Principal Amount

  

Description

  

Value

  
 

Other Investment — 0.0%

        
       

ECAF I BLOCKER Ltd.

        
  $ 900  

03/15/40 (C)(D)

   $ —  
       

Total Other Investment

        
       

(Cost $9,000,000)

     —  
       

 

        
 

Shares

            
 

Short-Term Investment — 1.9%

  
       

First American Treasury Obligations Fund, X Class

        
    7,457,280  

4.300% (G)

    7,457,280  
       

Total Short-Term Investment

        
       

(Cost $7,457,280)

     7,457,280  
       

Total Investments — 101.3%

        
       

(Cost $401,171,448)

     402,066,109  
       

Other Assets and Liabilities, net — (1.3)%

     (5,309,234 )
       

Net Assets — 100.0%

   $ 396,756,875  

  

(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, 2025, was $312,908,645, representing 78.9% of Net Assets of the Portfolio. All securities are considered liquid unless otherwise noted.

(C)

No interest rate available.

(D)

Level 3 security in accordance with fair value hierarchy.

(E)

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.

(F)

Interest rate represents the security's effective yield at the time of purchase.

(G)

The rate reported is the 7-day effective yield as of January 31, 2054.

 

 

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

 

14

 

Portfolio of Investments — as of January 31, 2025 (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.

 

15