N-CSRS 1 d293983dncsrs.htm LOOMIS SAYLES FUNDS I Loomis Sayles Funds I

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

 

 

Loomis Sayles Funds I

(Exact name of Registrant as specified in charter)

 

 

 

888 Boylston Street, Suite 800

Boston, Massachusetts

  02199-8197
(Address of principal executive offices)   (Zip code)

 

 

Susan McWhan Tobin, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2022

 

 

 


Item 1. Reports to Stockholders.

 

(a)

The Registrant’s semiannual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:


LOGO

 

Loomis Sayles Bond Fund

Loomis Sayles Investment Grade Fixed Income Fund

Semiannual Report

June 30, 2022

TABLE OF CONTENTS  
Portfolio Review     1  
Portfolio of Investments     9  
Financial Statements     40  
Notes to Financial Statements     49  

 

 

LOGO


LOOMIS SAYLES BOND FUND

 

Managers   Symbols   
Matthew J. Eagan, CFA®   Institutional Class    LSBDX

Brian P. Kennedy

  Retail Class    LSBRX

Elaine M. Stokes

  Admin Class    LBFAX
  Class N    LSBNX

 

 

Investment Objective

The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.

 

 

 

Average Annual Total Returns — June 30, 20222

 

             
                             Life of     Expense Ratios3  
     6 Months     1 Year     5 Years     10 Years    

Class N

   

Gross

    Net  
     
Institutional Class     -12.51     -12.12     0.28     2.67           0.68     0.67
     
Retail Class     -12.69       -12.35       0.03       2.41             0.93       0.92  
     
Admin Class     -12.78       -12.61       -0.22       2.15             1.16       1.15  
     
Class N (Inception 2/1/13)     -12.50       -12.08       0.34             1.87       0.61       0.61  
   
Comparative Performance                
Bloomberg U.S. Government/Credit Bond Index1     -11.05       -10.85       1.05       1.67       1.64                  

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

 

1    Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, U.S. dollar-denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the U.S. Aggregate Index.

 

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

 

3    Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

1  |


LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

 

Managers   Symbols   
Matthew J. Eagan, CFA®   Institutional Class    LSIGX
Brian P. Kennedy     
Elaine M. Stokes     

 

 

Investment Objective

The Fund’s investment objective is above-average total investment return through a combination of current income and capital appreciation.

 

 

Average Annual Total Returns — June 30, 20222

 

           
                             Expense Ratios3  
     6 Months     1 Year     5 Years     10 Years     Gross     Net  
     
Institutional Class     -10.52     -9.89     1.14     2.63     0.52     0.52
   
Comparative Performance              
Bloomberg U.S. Government/Credit Bond Index1     -11.05       -10.85       1.05       1.67                  

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

 

1    Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, U.S. dollar-denominated, fixed-rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg U.S. Aggregate Index.

 

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

 

3    Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2


ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

Additional Index Information

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

Proxy Voting Information

A description of the Fund’s proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles Funds at 800-633-3330; on the Fund’s website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Fund’s website and the SEC’s website.

Quarterly Portfolio Schedules

The Loomis Sayles Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at loomissayles.com. A hard copy may be requested from the Fund at no charge by calling 800-633-3330.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2022 through June 30, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

3  |


Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

Loomis Sayles Bond Fund

 

Institutional Class

   Beginning
Account Value
1/1/2022
       Ending
Account Value
6/30/2022
       Expenses Paid
During Period*
1/1/2022 – 6/30/2022
 

Actual

     $1,000.00          $874.90          $3.11  

Hypothetical (5% return before expenses)

     $1,000.00          $1,021.47          $3.36  

Retail Class

 

Actual

     $1,000.00          $873.10          $4.27  

Hypothetical (5% return before expenses)

     $1,000.00          $1,020.23          $4.61  

Admin Class

 

Actual

     $1,000.00          $872.20          $5.11  

Hypothetical (5% return before expenses)

     $1,000.00          $1,019.34          $5.51  

Class N

 

Actual

     $1,000.00          $875.00          $2.79  

Hypothetical (5% return before expenses)

     $1,000.00          $1,021.82          $3.01  

* Expenses are equal to the Fund’s annualized expense ratio: 0.67%, 0.92%, 1.10% and 0.60% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

  

Loomis Sayles Investment Grade Fixed Income Fund

 

Institutional Class

   Beginning
Account Value
1/1/2022
       Ending
Account Value
6/30/2022
       Expenses Paid
During Period*
1/1/2022 – 6/30/2022
 

Actual

     $1,000.00          $894.80          $2.30  

Hypothetical (5% return before expenses)

     $1,000.00          $1,022.37          $2.46  

*  Expenses are equal to the Fund’s annualized expense ratio of 0.49%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

   

 

|  4


BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements at its June Board meeting.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ advisory fees to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser, including how profitability is determined for the Funds, and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay for research and other similar services, (iv) the Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting, liquidity and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, where available, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category of funds, total return information for various periods, third-party performance rankings for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2022. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates. The Trustees also considered their experience with other funds advised or sub-advised by the Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements, such as new rules relating to the fair valuation of investments and the use of derivatives.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

 

5  |


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

The Board noted that through December 31, 2021, each Fund’s one-, three- and five-year performance, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

      One-Year        Three-Year        Five-Year  

Loomis Sayles Bond Fund

     39%          68%          76%  

Loomis Sayles Investment Grade Fixed Income Fund

     10%          50%          23%  

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s shorter-term performance has been strong relative to its category; (3) relatively recent changes to the composition of the Fund’s portfolio management team; and (4) that the Fund had outperformed its relevant benchmark for the one-year period ended December 31, 2021. The Board also considered information about each Fund’s more recent performance, including how that performance had been impacted by the Covid-19 crisis.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that both of the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for Loomis Sayles Bond Fund under its expense limitation agreement. The Trustees also considered that Loomis Sayles Investment Grade Fixed Income Fund’s current expenses are at its limitation. The Trustees further noted that the Loomis Sayles Bond Fund had a total advisory fee rate that was at the median of its peer group of funds.

The Trustees noted that the Loomis Sayles Investment Grade Fixed Income Fund had an advisory fee rate that was above the median of its peer group of funds. In this regard, the Trustees considered the factors that management believed justified such a relatively higher advisory fee rate, including that the advisory fee was only two basis points higher than the median of the peer group of funds.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

 

|  6


Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that the Loomis Sayles Bond Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

 

The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, as well as more recent market volatility, on the performance, asset levels and expense ratios of each Fund.

 

 

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

 

 

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

 

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2023.

 

7  |


LIQUIDITY RISK MANAGEMENT PROGRAM

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

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser of the Fund.

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

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Bond Fund and Loomis Sayles Investment Grade Fixed Income Fund have established an HLIM.

During the period from January 1, 2021 to December 31, 2021, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

During the period January 1, 2022 through June 30, 2022, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Programs, assessed their adequacy and effectiveness and described any material changes made to the Programs.

 

|  8


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

Loomis Sayles Bond Fund

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – 87.5% of Net Assets  
  Non-Convertible Bonds – 80.5%  
  ABS Car Loan – 3.9%

 

$ 12,980,000     American Credit Acceptance Receivables Trust, Series 2021-4, Class D, 1.820%, 2/14/2028, 144A   $ 12,029,646  
  3,685,000     American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A     3,413,688  
  1,102,500     Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class C, 4.150%, 9/20/2023, 144A     1,102,750  
  13,000,000     Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A     12,461,137  
  1,680,000     Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A     1,642,185  
  6,300,000     Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class C, 3.150%, 3/20/2026, 144A     5,878,053  
  3,880,000     Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A     3,751,052  
  1,745,000     Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class C, 2.130%, 8/20/2027, 144A     1,533,144  
  3,470,000     Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class C, 2.350%, 2/20/2028, 144A     3,062,074  
  1,255,000     CarMax Auto Owner Trust, Series 2022-1, Class D,
2.470%, 7/17/2028
    1,166,765  
  7,288,000     Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028(a)     7,002,379  
  2,825,000     Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028     2,699,863  
  6,410,000     Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028     5,984,763  
  6,400,000     Carvana Auto Receivables Trust, Series 2021-P3, Class C, 1.930%, 10/12/2027(a)     5,551,758  
  3,032,000     Carvana Auto Receivables Trust, Series 2021-P4, Class C, 2.330%, 2/10/2028     2,607,227  
  4,020,000     Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030, 144A     3,684,463  
  8,080,000     Credit Acceptance Auto Loan Trust, Series 2021-4, Class C, 1.940%, 2/18/2031, 144A(a)     7,285,130  
  21,420,000     Drive Auto Receivables Trust, Series 2021-2, Class D, 1.390%, 3/15/2029(a)     19,702,311  
  3,680,000     DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A(a)     3,577,643  
  ABS Car Loan – continued  
7,980,000     DT Auto Owner Trust,
Series 2021-4A, Class D, 1.990%, 9/15/2027, 144A
  7,278,506  
  11,340,000     Exeter Automobile Receivables Trust, Series 2021-2A, Class D, 1.400%, 4/15/2027(a)     10,568,424  
  15,295,000     Exeter Automobile Receivables Trust, Series 2021-3A, Class D, 1.550%, 6/15/2027     14,317,917  
  5,245,000     Flagship Credit Auto Trust, Series 2021-2, Class D,
1.590%, 6/15/2027, 144A
    4,776,105  
  6,565,000     Flagship Credit Auto Trust, Series 2021-3, Class D,
1.650%, 9/15/2027, 144A
    5,931,179  
  5,951,000     Flagship Credit Auto Trust, Series 2021-4, Class C,
1.960%, 12/15/2027, 144A(a)
    5,513,013  
  5,260,000     Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027, 144A     4,835,998  
  10,265,000     GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D, 1.480%, 7/15/2027, 144A     9,280,669  
  16,820,000     GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A     15,515,256  
  8,425,000     GLS Auto Receivables Trust, Series 2021-2A, Class D, 1.420%, 4/15/2027, 144A     7,701,896  
  8,234,000     Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D,
4.850%, 6/25/2026, 144A
    7,364,544  
  8,512,000     Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D,
6.310%, 3/25/2025, 144A
    8,168,448  
  2,395,453     JPMorgan Chase Bank NA, Series 2021-3, Class D,
1.009%, 2/26/2029, 144A
    2,296,700  
  3,209,421     Santander Bank NA,
Series 2021-1A, Class B,
1.833%, 12/15/2031, 144A
    3,119,027  
  9,435,000     Santander Drive Auto Receivables Trust, Series 2021-4, Class D, 1.670%, 10/15/2027(a)     8,775,778  
  10,510,000     Westlake Automobile Receivables Trust, Series 2021-3A, Class D, 2.120%, 1/15/2027, 144A     9,769,259  
   

 

 

 
      229,348,750  
   

 

 

 
  ABS Credit Card – 0.1%

 

  1,445,000     Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A     1,417,135  
  5,000,000     Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A     4,789,152  
  1,245,000     Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A     1,201,482  
   

 

 

 
      7,407,769  
   

 

 

 

 

See accompanying notes to financial statements.

 

9  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Home Equity – 4.1%

 

$ 12,221,328     510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(b)   $ 11,705,087  
  12,850,000     CAFL Issuer LLC,
Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(b)
    12,035,102  
  2,715,000     CoreVest American Finance Trust, Series 2021-1, Class C,
2.800%, 4/15/2053, 144A
    2,254,105  
  4,647,000     CoreVest American Finance Trust, Series 2021-2, Class C,
2.478%, 7/15/2054, 144A
    3,709,788  
  2,280,000     CoreVest American Finance Trust, Series 2021-3, Class D,
3.469%, 10/15/2054, 144A
    1,882,093  
  17,900,001     Credit Suisse Mortgage Trust,
Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(b)
    16,949,440  
  3,716,673     Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A     3,137,724  
  7,995,000     FirstKey Homes Trust,
Series 2021-SFR1, Class E1, 2.389%, 8/17/2038, 144A
    6,945,003  
  5,272,000     FirstKey Homes Trust,
Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A
    4,550,739  
  3,120,000     FirstKey Homes Trust,
Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A
    2,657,822  
  2,210,000     FRTKL, Series 2021-SFR1,
Class E1, 2.372%, 9/17/2038, 144A
    1,920,643  
  1,930,000     FRTKL, Series 2021-SFR1, Class E2, 2.522%, 9/17/2038, 144A     1,671,709  
  1,333,497    

Home Partners of America Trust, Series 2021-1, Class E,

2.577%, 9/17/2041, 144A

    1,121,559  
  12,812,417     Home Partners of America Trust, Series 2021-2, Class E1,
2.852%, 12/17/2026, 144A
    11,282,920  
  6,411,117     Home Partners of America Trust, Series 2021-2, Class E2,
2.952%, 12/17/2026, 144A
    5,578,815  
  1,915,557     Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1,
3.250%, 6/25/2060, 144A(b)
    1,885,812  
  8,438,902    

Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1,

1.750%, 4/25/2061, 144A(b)

    7,911,092  
  2,740,591     Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1,
1.650%, 11/25/2060, 144A(b)
    2,540,419  
  1,720,000     Mill City Mortgage Loan Trust, Series 2019-GS1, Class M2, 3.250%, 7/25/2059, 144A(b)     1,591,255  
  1,635,000     Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038, 144A     1,456,352  
  ABS Home Equity – continued  
1,145,000     Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038, 144A   1,013,010  
  3,535,000     Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A     3,056,511  
  925,000     Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A     795,744  
  4,495,000     Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A     3,880,233  
  2,300,000     Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A     1,969,974  
  5,280,000     Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A     4,341,871  
  1,445,000     Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A     1,157,375  
  1,705,000     Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A     1,367,655  
  1,175,000     Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A     937,882  
  7,542,049     PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(b)     7,126,278  
  13,072,408     PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(b)     12,324,377  
  12,593,384     PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(b)     11,831,018  
  11,087,283     PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(b)     10,375,738  
  8,048,733     PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(b)     7,487,093  
  8,785,378     PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(b)     8,301,382  
  12,050,000     Toorak Mortgage Corp., Series 2021-1, Class A1,
2.240%, 6/25/2024, 144A(b)
    11,290,210  
  170,000     Towd Point Mortgage Trust, Series 2015-4, Class M2,
3.750%, 4/25/2055, 144A(b)
    168,728  
  3,660,000     Towd Point Mortgage Trust, Series 2016-3, Class M2,
4.000%, 4/25/2056, 144A(a)(b)
    3,600,051  
  430,000     Towd Point Mortgage Trust, Series 2017-3, Class A2,
3.000%, 7/25/2057, 144A(b)
    417,791  
  1,690,000     Towd Point Mortgage Trust, Series 2017-4, Class M2,
3.250%, 6/25/2057, 144A(a)(b)
    1,530,436  

 

See accompanying notes to financial statements.

 

|  10


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Home Equity – continued  
$ 1,960,000     Towd Point Mortgage Trust, Series 2018-5, Class M1,
3.250%, 7/25/2058, 144A(b)
  $ 1,682,883  
  1,195,000     Towd Point Mortgage Trust, Series 2019-4, Class M1,
3.500%, 10/25/2059, 144A(a)(b)
    1,055,516  
  905,000     Towd Point Mortgage Trust, Series 2020-1, Class A2B,
3.250%, 1/25/2060, 144A(b)
    805,952  
  495,000     Towd Point Mortgage Trust, Series 2020-2, Class A2B,
3.000%, 4/25/2060, 144A(b)
    425,019  
  2,015,000     Tricon Residential Trust, Series 2021-SFR1, Class E1,
2.794%, 7/17/2038, 144A
    1,784,032  
  5,360,000     Tricon Residential Trust, Series 2021-SFR1, Class E2, 2.894%, 7/17/2038, 144A     4,765,078  
  17,283,169     VCAT Asset Securitization LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(b)     16,216,207  
  333,855     VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)     321,429  
  10,982,978     VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b)     10,374,400  
  9,196,973     VOLT XCIV LLC,
Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)
    8,735,411  
   

 

 

 
      241,926,763  
   

 

 

 
  ABS Other – 2.8%

 

  1,290,000     Affirm Asset Securitization Trust, Series 2021-B, Class C,
1.400%, 8/17/2026, 144A
    1,170,704  
  7,738,456     Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(a)     6,474,087  
  2,410,000     Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046, 144A     2,059,524  
  13,505,000     BHG Securitization Trust, Series 2022-A, Class B,
2.700%, 2/20/2035, 144A(a)
    12,356,855  
  2,119,943     Castlelake Aircraft Structured Trust, Series 2017-1R, Class A,
2.741%, 8/15/2041, 144A
    1,894,693  
  15,974,748     CLI Funding VIII LLC, Series 2021-1A, Class A,
1.640%, 2/18/2046, 144A(a)
    14,088,440  
  10,805,700     DB Master Finance LLC,
Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A
    9,308,505  
  890,770     Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C,
2.090%, 8/27/2035, 144A
    818,947  
  3,565,000     FREED ABS Trust,
Series 2022-1FP, Class D,
3.350%, 3/19/2029, 144A
    3,325,466  
  ABS Other – continued  
1,630,000     Freedom Financial Trust, Series 2021-2, Class C,
1.940%, 6/19/2028, 144A
  1,578,862  
  3,495,000     Freedom Financial Trust, Series 2021-3FP, Class D,
2.370%, 11/20/2028, 144A
    3,126,114  
  81,885     HIN Timeshare Trust,
Series 2020-A, Class C,
3.420%, 10/09/2039, 144A
    76,741  
  3,980,000     HPEFS Equipment Trust, Series 2021-1A, Class D,
1.030%, 3/20/2031, 144A(a)
    3,730,890  
  3,645,000     HPEFS Equipment Trust, Series 2022-1A, Class D,
2.400%, 11/20/2029, 144A(a)
    3,404,281  
  10,427,570     Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A(a)     9,252,435  
  21,392,842     MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A(a)     18,623,881  
  1,733,000     Marlette Funding Trust, Series 2021-2A, Class C,
1.500%, 9/15/2031, 144A
    1,614,047  
  3,210,000     Marlette Funding Trust, Series 2021-3A, Class C,
1.810%, 12/15/2031, 144A
    2,854,333  
  13,860,876     MVW LLC, Series 2021-2A, Class C, 2.230%, 5/20/2039, 144A     12,644,778  
  15,943,318     Navigator Aircraft ABS Ltd., Series 2021-1, Class A,
2.771%, 11/15/2046, 144A(a)(b)
    14,193,454  
  3,250,000     Nelnet Student Loan Trust, Series 2021-A, Class B2,
2.850%, 4/20/2062, 144A(a)
    2,809,347  
  1,145,000     OneMain Financial Issuance Trust, Series 2018-2A, Class A,
3.570%, 3/14/2033, 144A(a)
    1,125,614  
  1,835,000     OneMain Financial Issuance Trust, Series 2020-2A, Class A,
1.750%, 9/14/2035, 144A(a)
    1,634,040  
  5,485,000     OneMain Financial Issuance Trust, Series 2021-1A, Class D,
2.470%, 6/16/2036, 144A
    4,629,710  
  800,000     Republic Finance Issuance Trust, Series 2021-A, Class C,
3.530%, 12/22/2031, 144A
    728,433  
  725,000     SCF Equipment Leasing LLC, Series 2021-1A, Class D,
1.930%, 9/20/2030, 144A(a)
    654,792  
  15,478,125     SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A(a)     13,283,946  
  1,440,000     SoFi Consumer Loan Program Trust, Series 2021-1, Class D, 2.040%, 9/25/2030, 144A     1,327,303  
  3,500,000     Towd Point Mortgage Trust, Series 2011-1, Class M1,
3.750%, 10/25/2056, 144A(a)(b)
    3,394,444  
  12,524,973     Willis Engine Structured Trust, Series 2021-A, Class A,
3.104%, 5/15/2046, 144A
    9,908,794  
   

 

 

 
      162,093,460  
   

 

 

 

 

See accompanying notes to financial statements.

 

11  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Student Loan – 0.4%

 

$ 2,760,000     College Ave Student Loans LLC, Series 2021-A, Class C,
2.920%, 7/25/2051, 144A
  $ 2,522,175  
  2,157,000     College Ave Student Loans LLC, Series 2021-C, Class D,
4.110%, 7/26/2055, 144A
    1,886,042  
  876,405     ELFI Graduate Loan Program LLC, Series 2021-A, Class B,
2.090%, 12/26/2046, 144A(a)(b)
    782,331  
  2,565,000     Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A     2,098,742  
  5,895,000     Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A(a)     4,502,784  
  2,120,000     Nelnet Student Loan Trust, Series 2021-DA, Class C,
3.500%, 4/20/2062, 144A
    1,825,761  
  863,000     Nelnet Student Loan Trust, Series 2021-DA, Class D, 4.380%, 4/20/2062, 144A     732,032  
  5,735,000     SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051, 144A(a)     4,878,925  
  7,070,000     SMB Private Education Loan Trust, Series 2021-E, Class B,
2.490%, 2/15/2051, 144A(a)
    5,740,045  
  630,000     SoFi Professional Loan Program LLC, Series 2017-A, Class C, 4.430%, 3/26/2040, 144A(a)(b)     619,990  
   

 

 

 
      25,588,827  
   

 

 

 
  ABS Whole Business – 0.3%

 

  7,266,600     Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I,
2.662%, 4/25/2051, 144A
    6,333,852  
  3,440,250     Hardee’s Funding LLC,
Series 2021-1A, Class A2,
2.865%, 6/20/2051, 144A
    2,945,249  
  10,998,900     Wendy’s Funding LLC,
Series 2021-1A, Class A2I,
2.370%, 6/15/2051, 144A
    9,322,679  
   

 

 

 
      18,601,780  
   

 

 

 
  Aerospace & Defense – 1.5%

 

  22,105,000     Boeing Co. (The),
3.625%, 2/01/2031(a)
    19,080,145  
  2,995,000     Boeing Co. (The),
3.625%, 3/01/2048
    2,005,939  
  3,525,000     Boeing Co. (The),
3.750%, 2/01/2050
    2,485,618  
  6,180,000     Boeing Co. (The),
3.825%, 3/01/2059
    3,981,481  
  1,200,000     Boeing Co. (The),
3.850%, 11/01/2048
    847,320  
  8,855,000     Boeing Co. (The),
3.900%, 5/01/2049
    6,282,209  
  6,035,000     Boeing Co. (The),
3.950%, 8/01/2059
    4,062,548  
  Aerospace & Defense – continued

 

4,830,000     Boeing Co. (The),
5.150%, 5/01/2030
  4,636,211  
  14,503,000     Boeing Co. (The),
5.805%, 5/01/2050
    13,320,595  
  4,055,000     Embraer Netherlands Finance BV, 5.400%, 2/01/2027     3,841,208  
  10,576,000     Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(c)(d)     10,714,017  
  10,821,000     Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A     12,261,275  
  328,000     Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039     371,657  
  5,995,000     TransDigm, Inc.,
6.250%, 3/15/2026, 144A
    5,777,681  
   

 

 

 
      89,667,904  
   

 

 

 
  Airlines – 1.9%

 

  23,661,740     Air Canada Pass Through Trust, Series 2020-2A,
5.250%, 10/01/2030, 144A(a)
    23,477,415  
  3,140,860     American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027     2,722,654  
  2,921,296     American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027     2,600,120  
  4,055,000     American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A     3,725,673  
  4,670,000     American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A     3,987,059  
  41,995,000     Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A     41,272,686  
  4,256,467     United Airlines Pass Through Trust, Series 2014-1, Class A,
4.000%, 10/11/2027
    4,005,790  
  27,297,941     United Airlines Pass Through Trust, Series 2020-1, Class A,
5.875%, 4/15/2029(a)
    26,828,417  
  3,992,300     United Airlines Pass Through Trust, Series 2020-1, Class B,
4.875%, 7/15/2027
    3,778,033  
   

 

 

 
      112,397,847  
   

 

 

 
  Automotive – 1.4%

 

  8,110,000     Ford Motor Co.,
3.250%, 2/12/2032
    6,065,469  
  30,125,000     Ford Motor Co.,
4.750%, 1/15/2043
    21,459,072  
  2,440,000     Ford Motor Co.,
5.291%, 12/08/2046
    1,871,248  
  1,560,000     Ford Motor Co.,
6.625%, 2/15/2028
    1,574,024  
  1,580,000     Ford Motor Co.,
7.500%, 8/01/2026
    1,653,897  
  3,505,000     General Motors Co.,
5.200%, 4/01/2045
    2,944,011  
  3,170,000     General Motors Co.,
6.250%, 10/02/2043
    3,020,017  

 

See accompanying notes to financial statements.

 

|  12


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Automotive – continued  
$ 44,900,000     General Motors Financial Co., Inc., 3.600%, 6/21/2030(a)   $ 38,794,170  
  815,000     General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(e)     682,563  
  1,305,000     General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(e)     1,135,350  
   

 

 

 
      79,199,821  
   

 

 

 
  Banking – 2.8%

 

  20,700,000     Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(e)     16,415,409  
  15,605,000     Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(e)     11,512,589  
  17,805,000     Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(e)     13,654,005  
  47,298,000     Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)     38,994,743  
  14,253,000     BNP Paribas S.A., (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A(a)     11,238,063  
  8,140,000     Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033     7,435,633  
  4,195,000     Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033     3,053,562  
  25,209,000     Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032     18,951,833  
  2,275,000     Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032     1,956,373  
  3,380,000     Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A     2,493,392  
  22,550,000     NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035(a)     18,166,506  
  2,900,000     NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028     2,920,657  
  22,400,000     UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A     18,103,315  
   

 

 

 
      164,896,080  
   

 

 

 
  Brokerage – 0.1%

 

  5,731,000     Jefferies Group LLC,
6.250%, 1/15/2036(a)
    5,762,379  
   

 

 

 
  Building Materials – 1.2%

 

  57,099,000     Cemex SAB de CV,
3.875%, 7/11/2031, 144A
    42,824,250  
  Building Materials – continued  
3,605,000    

Cemex SAB de CV,

5.200%, 9/17/2030, 144A

  3,086,493  
  9,035,000     Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(e)     7,665,746  
  4,057,000     Masco Corp., 6.500%, 8/15/2032     4,365,176  
  4,534,000     Masco Corp., 7.750%, 8/01/2029     5,119,093  
  6,344,000     Owens Corning, 7.000%, 12/01/2036     7,088,524  
   

 

 

 
      70,149,282  
   

 

 

 
  Cable Satellite – 4.0%

 

  50,750,000     CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A     39,204,375  
  1,735,000     Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032     1,312,750  
  20,182,000     Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031     16,162,912  
  6,805,000     Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033     6,075,761  
  42,975,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051(a)     29,080,974  
  11,302,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061     7,432,597  
  47,260,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062(a)     31,571,291  
  5,935,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049     4,912,525  
  45,882,000     CSC Holdings LLC, 4.625%, 12/01/2030, 144A     30,683,129  
  1,875,000     CSC Holdings LLC, 5.000%, 11/15/2031, 144A     1,263,820  
  22,585,000     CSC Holdings LLC, 5.375%, 2/01/2028, 144A     19,536,025  
  1,390,000     CSC Holdings LLC, 5.750%, 1/15/2030, 144A     1,011,267  
  9,430,000     DISH DBS Corp., 5.125%, 6/01/2029     5,730,045  
  26,600,000     DISH DBS Corp.,
5.250%, 12/01/2026, 144A
    20,850,144  
  14,719,000     DISH DBS Corp.,
7.750%, 7/01/2026
    11,473,460  
  6,190,000     Time Warner Cable LLC,
4.500%, 9/15/2042
    4,832,038  
  535,000     Time Warner Cable LLC,
5.875%, 11/15/2040
    490,267  
   

 

 

 
      231,623,380  
   

 

 

 

 

See accompanying notes to financial statements.

 

13  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Chemicals – 0.7%

 

$ 6,315,000     Alpek SAB de CV,
3.250%, 2/25/2031, 144A
  $ 5,063,114  
  11,740,000     Ashland LLC, 3.375%, 9/01/2031, 144A     9,549,010  
  1,995,000     Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A     1,701,496  
  10,170,000     Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A     8,033,385  
  1,360,000     INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A     1,142,046  
  9,275,000     Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A     8,076,206  
  3,450,000     SPCM S.A., 3.125%, 3/15/2027, 144A     2,906,073  
  3,200,000     SPCM S.A., 3.375%, 3/15/2030, 144A     2,504,000  
   

 

 

 
      38,975,330  
   

 

 

 
  Construction Machinery – 0.5%

 

  27,030,000     Toro Co. (The), 6.625%, 5/01/2037(c)(d)     28,887,238  
   

 

 

 
  Consumer Cyclical Services – 2.2%

 

  2,100,000     Expedia Group, Inc., 2.950%, 3/15/2031     1,670,337  
  2,255,000     Expedia Group, Inc., 3.250%, 2/15/2030     1,880,623  
  16,135,000     Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A     13,603,257  
  8,919,000     Terminix Co. LLC (The), 7.450%, 8/15/2027     9,944,685  
  14,700,000     TriNet Group, Inc., 3.500%, 3/01/2029, 144A     12,107,949  
  33,255,000     Uber Technologies, Inc., 4.500%, 8/15/2029, 144A     27,352,238  
  20,723,000     Uber Technologies, Inc., 6.250%, 1/15/2028, 144A     19,165,459  
  44,403,000     Uber Technologies, Inc., 7.500%, 9/15/2027, 144A     43,016,738  
  1,720,000     Uber Technologies, Inc., 8.000%, 11/01/2026, 144A     1,712,260  
   

 

 

 
      130,453,546  
   

 

 

 
  Consumer Products – 0.3%

 

  12,778,000     Avon Products, Inc., 8.450%, 3/15/2043     12,330,770  
  9,385,000     Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A     7,727,609  
   

 

 

 
      20,058,379  
   

 

 

 
  Diversified Manufacturing – 0.7%

 

  40,530,000     GE Capital Funding LLC, 4.550%, 5/15/2032(a)     39,092,914  
  2,080,000     General Electric Co., Series D, 3-month LIBOR + 3.330%, 5.159%(e)(f)     1,822,496  
   

 

 

 
      40,915,410  
   

 

 

 
  Electric – 1.0%

 

28,202,613     Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A   29,314,390  
  8,663,000     Enel Generacion Chile S.A., 7.875%, 2/01/2027     9,268,197  
  10,900,000     Pacific Gas & Electric Co., 4.300%, 3/15/2045     7,924,457  
  11,200,000     Pacific Gas & Electric Co., 4.750%, 2/15/2044     8,585,822  
  3,790,000     Pacific Gas & Electric Co., 5.450%, 6/15/2027     3,667,694  
   

 

 

 
      58,760,560  
   

 

 

 
  Finance Companies – 4.5%

 

  12,050,000     AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032     9,645,921  
  3,100,000     AGFC Capital Trust I, 3-month LIBOR + 1.750%, 2.794%, 1/15/2067, 144A(c)(d)(f)     1,764,303  
  6,606,000     Air Lease Corp., 4.625%, 10/01/2028     6,108,766  
  17,166,000     Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(e)     14,254,470  
  5,325,000     Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(e)     4,394,876  
  12,465,000     Ares Capital Corp., 2.875%, 6/15/2028     9,875,284  
  17,495,000     Ares Capital Corp., 3.200%, 11/15/2031     12,711,982  
  9,790,000     Barings BDC, Inc., 3.300%, 11/23/2026, 144A     8,492,062  
  22,260,000     Blackstone Secured Lending Fund, 2.125%, 2/15/2027     18,614,898  
  11,475,000     FS KKR Capital Corp., 3.125%, 10/12/2028     9,152,056  
  10,705,000     FS KKR Capital Corp., 3.400%, 1/15/2026     9,501,237  
  445,000     Navient Corp., 5.000%, 3/15/2027     366,026  
  19,021,000     Navient Corp., 6.750%, 6/15/2026     16,833,585  
  5,750,000     Navient Corp., MTN, 5.625%, 8/01/2033     3,990,538  
  3,162,000     Navient Corp., MTN, 6.125%, 3/25/2024     2,998,019  
  10,145,000     OneMain Finance Corp., 7.125%, 3/15/2026     9,376,313  
  7,975,000     Owl Rock Capital Corp., 2.875%, 6/11/2028     6,262,414  
  14,750,000     Owl Rock Capital Corp., 4.250%, 1/15/2026     13,567,815  
  13,420,000     Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A     12,614,635  
  30,029,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A     24,816,266  
  19,614,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A     15,422,880  
  53,876,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A     40,368,748  

 

See accompanying notes to financial statements.

 

|  14


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Finance Companies – continued  
$ 15,738,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A   $ 11,173,980  
   

 

 

 
      262,307,074  
   

 

 

 
  Financial Other – 1.3%

 

  9,560,000     Agile Group Holdings Ltd., 6.050%, 10/13/2025     3,077,555  
  2,700,000     Central China Real Estate Ltd., 7.250%, 4/24/2023     1,325,700  
  3,680,000     Central China Real Estate Ltd., 7.250%, 7/16/2024     1,142,677  
  1,455,000     Central China Real Estate Ltd., 7.250%, 8/13/2024     449,348  
  3,675,000     Central China Real Estate Ltd., 7.500%, 7/14/2025(c)(d)     1,134,399  
  945,000     Central China Real Estate Ltd., 7.650%, 8/27/2023     405,244  
  730,000     Central China Real Estate Ltd., 7.750%, 5/24/2024     230,592  
  2,815,000     CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025     1,676,333  
  990,000     CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024     630,313  
  7,770,000     Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031     3,196,733  
  36,625,000     Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029     29,598,860  
  5,390,000     Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027     4,774,678  
  19,485,000     Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(g)     2,679,188  
  1,845,000     Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(g)     251,492  
  2,400,000     Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(g)     325,752  
  24,005,000     Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(c)(d)(g)     3,256,518  
  1,305,000     Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(g)     176,710  
  1,735,000     Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(g)     236,376  
  5,965,000     Logan Group Co. Ltd., 4.250%, 7/12/2025(c)(d)     1,268,099  
  5,148,000     Logan Group Co. Ltd., 4.850%, 12/14/2026     1,103,268  
  14,125,000     Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A     11,330,210  
  6,195,000     Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c)(d)     639,262  
  400,000     Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c)(d)     42,828  
  1,515,000     Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c)(d)     162,211  
  4,675,000     Shimao Group Holdings Ltd., 5.600%, 7/15/2026(c)(d)     522,899  
  1,465,000     Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c)(d)     161,619  
  Financial Other – continued  
575,000     Sunac China Holdings Ltd., 5.950%, 4/26/2024(g)   87,521  
  6,810,000     Sunac China Holdings Ltd., 6.500%, 1/10/2025(g)     1,017,482  
  3,575,000     Sunac China Holdings Ltd., 6.500%, 1/26/2026(c)(d)(g)     527,062  
  460,000     Sunac China Holdings Ltd., 6.650%, 8/03/2024(g)     69,906  
  5,930,000     Sunac China Holdings Ltd., 7.000%, 7/09/2025(c)(d)(g)     883,155  
  1,120,000     Times China Holdings Ltd., 5.750%, 1/14/2027(c)(d)     146,821  
  7,485,000     Times China Holdings Ltd., 6.200%, 3/22/2026(c)(d)     1,084,202  
  440,000     Times China Holdings Ltd., 6.750%, 7/08/2025(c)(d)     66,660  
  3,175,000     Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c)(d)(g)     206,375  
  6,250,000     Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(c)(d)(g)     462,000  
  1,585,000     Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(c)(d)(g)     115,578  
  4,025,000     Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(c)(d)(g)     291,853  
   

 

 

 
      74,757,479  
   

 

 

 
  Food & Beverage – 0.6%

 

  965,000     Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A     961,767  
  5,695,000     JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A     4,810,585  
  16,285,000     Kraft Heinz Foods Co., 4.375%, 6/01/2046     13,566,545  
  17,905,000     Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A     14,036,983  
  995,000     Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A     830,308  
   

 

 

 
      34,206,188  
   

 

 

 
  Gaming – 1.0%

 

  19,755,000     Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A     15,636,342  
  5,810,000     GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032     4,656,542  
  4,850,000     Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A     3,680,180  
  6,676,000     Scientific Games International, Inc., 7.000%, 5/15/2028, 144A     6,264,959  
  415,000     Scientific Games International, Inc., 7.250%, 11/15/2029, 144A     389,191  
  10,068,000     VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A     9,195,205  
  8,621,000     VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A     7,931,320  
  7,500,000     VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A     7,134,375  
  6,163,000     VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A     6,085,962  
   

 

 

 
      60,974,076  
   

 

 

 

 

See accompanying notes to financial statements.

 

15  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Government Owned – No Guarantee – 1.2%

 

$ 27,210,000     Antares Holdings LP, 8.500%, 5/18/2025, 144A   $ 28,259,704  
  8,670,000     EcoPetrol S.A., 4.625%, 11/02/2031     6,567,438  
  8,465,000     Pertamina Persero PT, 6.450%, 5/30/2044, 144A     8,548,910  
  28,145,000     Petroleos Mexicanos, 5.950%, 1/28/2031(a)     20,584,690  
  2,735,000     Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029     1,187,127  
  5,250,000     Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030     2,263,117  
   

 

 

 
      67,410,986  
   

 

 

 
  Health Insurance – 0.8%

 

  32,650,000     Centene Corp., 2.500%, 3/01/2031     25,916,264  
  8,940,000     Centene Corp., 2.625%, 8/01/2031     7,111,770  
  6,921,000     Centene Corp., 3.000%, 10/15/2030     5,735,779  
  6,470,000     Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A     5,425,653  
   

 

 

 
      44,189,466  
   

 

 

 
  Healthcare – 0.4%

 

  14,545,000     Avantor Funding, Inc., 3.875%, 11/01/2029, 144A     12,721,784  
  9,725,000     HCA, Inc., 4.125%, 6/15/2029     8,867,113  
   

 

 

 
      21,588,897  
   

 

 

 
  Home Construction – 0.9%

 

  52,605,000     PulteGroup, Inc., 6.000%, 2/15/2035(a)     51,572,094  
   

 

 

 
  Independent Energy – 3.2%

 

  17,555,000     Aker BP ASA, 4.000%, 1/15/2031, 144A     15,768,634  
  7,960,000     Continental Resources, Inc., 2.875%, 4/01/2032, 144A     6,216,123  
  32,790,000     Continental Resources, Inc., 5.750%, 1/15/2031, 144A(a)     31,705,963  
  3,985,000     Devon Energy Corp., 4.500%, 1/15/2030     3,764,233  
  9,555,000     Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A     8,086,396  
  12,510,000     Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A     10,164,375  
  2,690,000     EQT Corp., 3.125%, 5/15/2026, 144A     2,518,674  
  11,721,000     EQT Corp., 3.625%, 5/15/2031, 144A     10,127,647  
  9,072,000     EQT Corp., 3.900%, 10/01/2027     8,442,312  
  2,329,000     EQT Corp., 5.000%, 1/15/2029     2,254,658  
  1,724,000     Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A     1,624,836  
  16,125,000     Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A     14,858,059  
  27,050,000     Mesquite Energy, Inc., 6.125%, 1/15/2023(c)(g)(h)(i)     1,541,850  
  12,420,000     Mesquite Energy, Inc., 7.750%, 6/15/2021(c)(g)(h)(i)     707,940  
  Independent Energy – continued  
620,000     Occidental Petroleum Corp., 6.125%, 1/01/2031   628,324  
  37,985,000     Occidental Petroleum Corp., 6.625%, 9/01/2030     39,124,550  
  985,000     Occidental Petroleum Corp., 7.875%, 9/15/2031     1,081,038  
  980,000     Occidental Petroleum Corp., 8.875%, 7/15/2030     1,125,116  
  15,296,000     Ovintiv, Inc., 6.500%, 8/15/2034     15,964,945  
  828,000     Ovintiv, Inc., 6.500%, 2/01/2038     854,463  
  4,156,000     Ovintiv, Inc., 6.625%, 8/15/2037     4,360,233  
  553,000     Ovintiv, Inc., 7.200%, 11/01/2031     604,636  
  1,815,000     Ovintiv, Inc., 7.375%, 11/01/2031     1,995,286  
  2,285,000     Ovintiv, Inc., 8.125%, 9/15/2030     2,624,881  
  190,000     Range Resources Corp., 4.875%, 5/15/2025     185,326  
  2,150,000     Southwestern Energy Co., 4.750%, 2/01/2032     1,837,229  
   

 

 

 
      188,167,727  
   

 

 

 
  Industrial Other – 0.1%

 

  1,845,000     GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A     1,546,110  
  315,000     GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A     286,795  
  5,995,000     TopBuild Corp., 4.125%, 2/15/2032, 144A     4,615,196  
   

 

 

 
      6,448,101  
   

 

 

 
  Leisure – 0.7%

 

  13,160,000     Carnival Corp., 5.750%, 3/01/2027, 144A     9,505,205  
  3,415,000     Carnival Corp., 6.000%, 5/01/2029, 144A     2,399,413  
  10,030,000     NCL Corp. Ltd., 5.875%, 3/15/2026, 144A     7,872,447  
  7,630,000     NCL Corp. Ltd., 5.875%, 2/15/2027, 144A     6,523,726  
  3,695,000     NCL Finance Ltd., 6.125%, 3/15/2028, 144A     2,688,112  
  18,780,000     Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A     13,052,100  
   

 

 

 
      42,041,003  
   

 

 

 
  Life Insurance – 3.1%

 

  5,935,000     Athene Global Funding, 1.716%, 1/07/2025, 144A(a)     5,538,008  
  6,099,000     Brighthouse Financial, Inc., 4.700%, 6/22/2047     4,854,454  
  20,335,000     Brighthouse Financial, Inc., 5.625%, 5/15/2030(a)     19,744,175  
  2,030,000     MetLife, Inc., 9.250%, 4/08/2068, 144A     2,385,062  
  10,175,000     MetLife, Inc., 10.750%, 8/01/2069     13,496,425  
  57,985,000     Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A(a)     63,104,464  
  38,476,000     National Life Insurance Co., 10.500%, 9/15/2039, 144A(c)(d)     53,664,401  
  12,950,000     NLV Financial Corp., 7.500%, 8/15/2033, 144A(c)(d)     15,730,883  
   

 

 

 
      178,517,872  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  16


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Lodging – 0.9%

 

$ 11,490,000     Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A   $ 9,127,369  
  2,475,000     Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A     1,889,136  
  8,090,000     Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A     6,552,900  
  11,290,000     Marriott International, Inc., Series HH, 2.850%, 4/15/2031     9,362,580  
  6,155,000     Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A     5,118,979  
  10,815,000     Travel & Leisure Co., 4.500%, 12/01/2029, 144A     8,366,380  
  11,584,000     Travel & Leisure Co., 4.625%, 3/01/2030, 144A     8,977,600  
  1,465,000     Travel & Leisure Co., 6.000%, 4/01/2027     1,326,889  
  1,695,000     Travel & Leisure Co., 6.625%, 7/31/2026, 144A     1,607,081  
   

 

 

 
      52,328,914  
   

 

 

 
  Media Entertainment – 1.3%

 

  5,896,000     iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A     4,858,776  
  2,905,000     iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A     2,486,186  
  6,670,000     iHeartCommunications, Inc., 8.375%, 5/01/2027     5,300,516  
  4,640,000     Magallanes, Inc., 4.054%, 3/15/2029, 144A     4,253,813  
  7,130,000     Magallanes, Inc., 4.279%, 3/15/2032, 144A     6,369,871  
  2,110,000     Netflix, Inc., 4.875%, 4/15/2028     1,985,615  
  22,040,000     Netflix, Inc., 4.875%, 6/15/2030, 144A     20,172,000  
  2,757,000     Netflix, Inc., 5.375%, 11/15/2029, 144A     2,605,365  
  13,137,000     Netflix, Inc., 5.875%, 11/15/2028     12,844,176  
  17,879,000     Netflix, Inc., 6.375%, 5/15/2029     18,056,896  
   

 

 

 
      78,933,214  
   

 

 

 
  Metals & Mining – 3.2%

 

  22,660,000     Anglo American Capital PLC, 2.875%, 3/17/2031, 144A(a)     18,854,698  
  30,635,000     ArcelorMittal S.A., 6.750%, 3/01/2041     30,308,535  
  1,145,000     ArcelorMittal S.A., 7.000%, 10/15/2039     1,155,019  
  3,950,000     Barrick Gold Corp., Series A, 5.800%, 11/15/2034     4,198,221  
  7,370,000     First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A     6,787,770  
  31,810,000     First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A     28,440,049  
  9,200,000     First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A     8,698,250  
  Metals & Mining – continued  
14,665,000     FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A   11,968,693  
  34,855,000     Freeport-McMoRan, Inc., 5.400%, 11/14/2034     34,015,343  
  18,565,000     Glencore Funding LLC, 2.500%, 9/01/2030, 144A     15,132,888  
  28,195,000     Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a)     23,278,343  
  2,865,000     Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A     2,493,982  
   

 

 

 
      185,331,791  
   

 

 

 
  Midstream – 0.6%

 

  7,685,000     DCP Midstream Operating LP, 3.250%, 2/15/2032     6,027,960  
  55,000     DCP Midstream Operating LP, 5.125%, 5/15/2029     49,500  
  9,050,000     DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A     8,869,000  
  3,745,000     Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A     3,136,307  
  205,000     NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A     223,089  
  5,300,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032     4,545,121  
  1,365,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031     1,244,337  
  1,380,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030     1,316,768  
  2,635,000     Western Midstream Operating LP, 4.550%, 2/01/2030     2,279,275  
  6,105,000     Western Midstream Operating LP, 5.300%, 3/01/2048     4,921,546  
  1,130,000     Western Midstream Operating LP, 5.450%, 4/01/2044     939,188  
  840,000     Western Midstream Operating LP, 5.500%, 8/15/2048     684,600  
  3,495,000     Western Midstream Operating LP, 5.750%, 2/01/2050     2,806,690  
   

 

 

 
      37,043,381  
   

 

 

 
  Mortgage Related – 0.0%

 

  4,067     FHLMC, 5.000%, 12/01/2031     4,159  
   

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities – 1.7%

 

  10,990,000     BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064(a)     9,025,808  
  505,000     BBSG Mortgage Trust,
Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A
    462,803  
  11,095,000     BPR Trust, Series 2021-NRD,
Class F, 1-month Term SOFR + 6.870%, 8.204%, 12/15/2023, 144A(f)
    10,429,562  
  3,475,000     Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A(a)     3,458,350  

 

See accompanying notes to financial statements.

 

17  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Non-Agency Commercial Mortgage-Backed Securities – continued

 

$ 190,000     Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A   $ 182,933  
  2,617,721     Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(b)     2,613,840  
  6,710,000     Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A(a)     6,174,434  
  630,000     Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A     559,697  
  2,530,000     Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A     2,123,790  
  4,293,575     Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 3.025%, 7/15/2038, 144A(f)     4,153,405  
  3,086,007     Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 3.575%, 7/15/2038, 144A(f)     2,977,516  
  3,760,000     GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.668%, 3/05/2033, 144A(b)     3,335,772  
  3,815,000     GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.720%, 4/10/2031, 144A(a)(b)     3,668,484  
  435,000     JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.509%, 12/15/2047, 144A(b)     428,111  
  6,060,000     MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 3.125%, 11/15/2038, 144A(a)(f)     5,778,503  
  1,415,000     Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A(a)     1,401,659  
  11,786,000     Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C11, Class A4, 4.295%, 8/15/2046(a)(b)
    11,729,004  
  1,705,000     Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C11, Class B, 4.495%, 8/15/2046(b)
    1,287,735  
  5,770,000     RBS Commercial Funding Trust, Series 2013-GSP, Class A,
3.961%, 1/15/2032, 144A(a)(b)
    5,677,822  
  611,614     UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)     596,925  
  9,076,751     Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(b)     8,511,817  
  Non-Agency Commercial Mortgage-Backed Securities – continued

 

4,970,000     Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(b)   4,353,179  
  1,955,000     WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045     1,929,242  
  7,575,000     WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.670%, 8/15/2046(b)     7,209,812  
  2,915,000     WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047     2,761,857  
   

 

 

 
      100,832,060  
   

 

 

 
  Paper – 1.2%

 

  10,685,000     Georgia-Pacific LLC, 7.750%, 11/15/2029(a)     12,893,629  
  9,625,000     International Paper Co., 8.700%, 6/15/2038     12,437,277  
  8,214,000     WestRock MWV LLC, 7.950%, 2/15/2031     9,806,518  
  25,138,000     WestRock MWV LLC, 8.200%, 1/15/2030(a)     29,945,854  
  4,127,000     Weyerhaeuser Co., 6.950%, 10/01/2027     4,539,749  
  2,252,000     Weyerhaeuser Co., 7.375%, 3/15/2032     2,604,922  
   

 

 

 
      72,227,949  
   

 

 

 
  Pharmaceuticals – 1.1%

 

  2,675,000     Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A     2,093,294  
  5,560,000     Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A     2,960,700  
  580,000     Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A     301,600  
  4,435,000     Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A     2,291,472  
  14,210,000     Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A     7,272,323  
  640,000     Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A     340,608  
  1,045,000     Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A     598,262  
  9,370,000     Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036     7,833,414  
  4,338,000     Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026     3,557,160  
  25,967,000     Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046     16,170,949  
  14,570,000     Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027     12,444,501  
  10,545,000     Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029     8,686,444  
   

 

 

 
      64,550,727  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  18


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Property & Casualty Insurance – 0.3%

 

$ 13,985,000     MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.304%, 1/15/2033, 144A(c)(h)(i)(j)   $ 1,713,162  
  80,000     MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.304%, 1/15/2033(c)(h)(i)(j)     9,800  
  17,110,000     Stewart Information Services Corp., 3.600%, 11/15/2031     14,192,061  
   

 

 

 
      15,915,023  
   

 

 

 
  REITs – Diversified – 0.1%

 

  4,125,000     EPR Properties, 3.600%, 11/15/2031     3,260,707  
   

 

 

 
  Retailers – 0.5%

 

  4,680,000     Dillard’s, Inc., 7.000%, 12/01/2028     4,931,550  
  7,182,000     Dillard’s, Inc., 7.750%, 7/15/2026     7,318,099  
  2,250,000     Dillard’s, Inc., 7.750%, 5/15/2027     2,341,485  
  5,975,000     Lithia Motors, Inc., 3.875%, 6/01/2029, 144A     5,085,621  
  9,245,000     Marks & Spencer PLC, 7.125%, 12/01/2037, 144A     8,966,356  
  3,860,000     Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A     3,280,035  
   

 

 

 
      31,923,146  
   

 

 

 
  Supermarkets – 0.0%

 

  2,705,000     Safeway, Inc., 7.250%, 2/01/2031     2,644,138  
   

 

 

 
  Technology – 2.8%

 

  15,580,000     Avnet, Inc., 5.500%, 6/01/2032     15,286,867  
  8,675,000     Block, Inc., 3.500%, 6/01/2031, 144A     6,912,760  
  8,900,000     Broadcom, Inc., 4.150%, 11/15/2030     8,154,300  
  1,001,000     CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026     891,825  
  2,558,000     CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029     2,156,828  
  27,510,000     CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031     22,727,799  
  637,000     CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028     574,893  
  14,400,000     CommScope Technologies LLC, 5.000%, 3/15/2027, 144A     10,645,880  
  16,765,000     CommScope, Inc., 4.750%, 9/01/2029, 144A     13,524,242  
  19,780,000     Entegris Escrow Corp., 4.750%, 4/15/2029, 144A     18,419,692  
  945,000     Gartner, Inc., 3.625%, 6/15/2029, 144A     818,720  
  20,540,000     Iron Mountain, Inc., 4.875%, 9/15/2029, 144A     17,457,562  
  8,630,000     Marvell Technology, Inc., 2.950%, 4/15/2031     7,236,807  
  2,080,000     NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027     2,047,612  
  18,900,000     Oracle Corp., 3.950%, 3/25/2051     13,881,989  
  1,475,000     Seagate HDD Cayman, 4.091%, 6/01/2029     1,260,624  
  Technology – continued  
12,050,000     Western Digital Corp., 2.850%, 2/01/2029   9,811,050  
  1,135,000     Western Digital Corp., 3.100%, 2/01/2032     870,318  
  9,046,000     Western Digital Corp., 4.750%, 2/15/2026     8,630,879  
   

 

 

 
      161,310,647  
   

 

 

 
  Transportation Services – 0.4%

 

  5,895,000     Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A     4,588,963  
  19,345,000     Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A     18,011,355  
   

 

 

 
      22,600,318  
   

 

 

 
  Treasuries – 16.7%

 

  217,665(††)     Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)     39,184,109  
  4,482,411(†††)     Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a)     21,892,586  
  7,158,285(†††)     Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)     33,750,498  
  29,600,000     U.S. Treasury Note, 0.125%, 12/31/2022(k)     29,246,188  
  187,560,000     U.S. Treasury Note, 0.125%, 1/31/2023(a)     184,915,111  
  158,300,000     U.S. Treasury Note, 0.125%, 2/28/2023(a)(k)     155,610,136  
  269,355,000     U.S. Treasury Note, 0.125%, 6/30/2023(a)     262,000,345  
  76,545,000     U.S. Treasury Note, 0.500%, 11/30/2023     73,943,666  
  73,585,000     U.S. Treasury Note, 0.875%, 1/31/2024     71,204,985  
  103,730,000     U.S. Treasury Note, 1.500%, 2/29/2024     101,286,672  
   

 

 

 
      973,034,296  
   

 

 

 
  Wireless – 1.5%

 

  9,835,000     IHS Holding Ltd., 5.625%, 11/29/2026, 144A     8,055,258  
  24,995,000     SBA Communications Corp., 3.125%, 2/01/2029     20,458,407  
  8,000,000     SoftBank Group Corp., 4.625%, 7/06/2028     6,200,000  
  3,695,000     SoftBank Group Corp., 5.250%, 7/06/2031     2,724,250  
  35,370,000     T-Mobile USA, Inc., 3.375%, 4/15/2029     30,948,750  
  20,890,000     T-Mobile USA, Inc., 3.500%, 4/15/2031     18,037,053  
   

 

 

 
      86,423,718  
   

 

 

 
  Wirelines – 0.5%

 

  3,825,000     Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028     3,415,228  
  9,878,000     Telecom Italia Capital S.A., 6.000%, 9/30/2034     7,450,679  

 

See accompanying notes to financial statements.

 

19  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Wirelines – continued  
$ 20,855,000     Telecom Italia Capital S.A., 6.375%, 11/15/2033   $ 16,104,231  
   

 

 

 
      26,970,138  
   

 

 

 
  Total Non-Convertible Bonds  
  (Identified Cost $5,358,129,497)     4,704,229,794  
   

 

 

 
  Convertible Bonds – 5.6%  
  Airlines – 0.4%

 

  5,645,000     JetBlue Airways Corp., 0.500%, 4/01/2026     4,151,898  
  17,869,000     Southwest Airlines Co., 1.250%, 5/01/2025(a)     21,040,747  
   

 

 

 
      25,192,645  
   

 

 

 
  Cable Satellite – 2.8%

 

  195,000     Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(l)     160,680  
  44,825,000     DISH Network Corp., 2.375%, 3/15/2024     39,446,000  
  184,765,000     DISH Network Corp., 3.375%, 8/15/2026     124,808,757  
   

 

 

 
      164,415,437  
   

 

 

 
  Consumer Cyclical Services – 0.3%

 

  1,520,000     Peloton Interactive, Inc., Zero Coupon, 0.519%-0.987%, 2/15/2026(m)     975,019  
  18,940,000     Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025     15,135,333  
   

 

 

 
      16,110,352  
   

 

 

 
  Gaming – 0.1%

 

  3,339,000     Penn National Gaming, Inc., 2.750%, 5/15/2026     4,946,061  
   

 

 

 
  Healthcare – 0.5%

 

  36,387,000     Teladoc Health, Inc., 1.250%, 6/01/2027     26,653,478  
   

 

 

 
  Leisure – 0.2%

 

  19,300,000     NCL Corp. Ltd., 1.125%, 2/15/2027, 144A     12,380,950  
   

 

 

 
  Media Entertainment – 0.3%

 

  8,240,000     Snap, Inc., Zero Coupon, 6.697%-7.114%, 5/01/2027(m)     5,706,200  
  7,780,000     Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(m)     6,138,420  
  3,155,000     Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(l)     2,792,374  
   

 

 

 
      14,636,994  
   

 

 

 
  Pharmaceuticals – 0.9%

 

  13,963,000     BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024     13,823,370  
  27,688,000     BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027     27,516,334  
  Pharmaceuticals – continued  
7,650,000     Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(l)   6,956,145  
  6,370,000     Livongo Health, Inc., 0.875%, 6/01/2025     5,399,212  
   

 

 

 
      53,695,061  
   

 

 

 
  Technology – 0.1%

 

  475,000     Bentley Systems, Inc., 0.375%, 7/01/2027, 144A     368,125  
  1,420,000     RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(m)     1,066,420  
  7,165,000     Splunk, Inc., 1.125%, 6/15/2027     5,911,125  
  305,000     Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(l)     224,175  
   

 

 

 
      7,569,845  
   

 

 

 
  Total Convertible Bonds  
  (Identified Cost $432,454,070)     325,600,823  
   

 

 

 
  Municipals – 1.4%  
  Virginia – 1.4%

 

  89,440,000     Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046
(Identified Cost $88,790,540)
    83,077,229  
   

 

 

 
  Total Bonds and Notes  
  (Identified Cost $5,879,374,107)     5,112,907,846  
   

 

 

 
  Senior Loans – 0.5%  
  Cable Satellite – 0.1%

 

  4,402,526     DirecTV Financing LLC, Term Loan, 1-month LIBOR + 5.000%, 6.666%, 8/02/2027(f)(n)     4,041,166  
   

 

 

 
  Chemicals – 0.1%  
  10,864,295     Aruba Investments, Inc., 2020 2nd Lien Term Loan, 1-month LIBOR + 7.750%, 9.383%, 11/24/2028(f)(n)     10,266,759  
   

 

 

 
  Independent Energy – 0.3%  
  16,469,000     Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.021%, 11/01/2025(f)(o)     17,264,947  
   

 

 

 
  Total Senior Loans  
  (Identified Cost $31,599,887)     31,572,872  
   

 

 

 
  Collateralized Loan Obligations – 3.4%  
  9,977,000     522 Funding CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 10/20/2031, 144A(f)     9,188,797  
  7,140,000     AGL CLO 12 Ltd.,
Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 2.663%, 7/20/2034, 144A(a)(f)
    6,701,090  

 

See accompanying notes to financial statements.

 

|  20


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Collateralized Loan Obligations – continued  
$ 7,240,000     AGL CLO 12 Ltd.,
Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 3.913%, 7/20/2034, 144A(f)
  $ 6,592,006  
  1,805,000     AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 4.144%, 7/15/2034, 144A(f)     1,672,060  
  10,050,000     AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 4.086%, 4/22/2034, 144A(f)     9,156,535  
  5,605,000     AIG CLO LLC, Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 4.113%, 7/20/2034, 144A(f)     5,138,176  
  3,955,000     ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 4.044%, 10/15/2034, 144A(f)     3,663,683  
  5,225,000     Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 4.284%, 7/25/2034, 144A(f)     4,938,550  
  1,340,000     Ballyrock CLO Ltd.,
Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 2.878%, 11/20/2030, 144A(a)(f)
    1,275,345  
  10,720,000     Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class CR, 3-month LIBOR + 2.000%, 3.044%, 1/17/2032, 144A(a)(f)     10,033,170  
  2,245,000     Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 4.044%, 1/17/2032, 144A(f)     2,069,475  
  5,225,000     CarVal CLO III Ltd.,
Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 4.013%, 7/20/2032, 144A(f)
    4,885,892  
  4,305,000     CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 4.294%, 7/15/2034, 144A(f)     4,010,069  
  6,075,000     Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 4.483%, 7/20/2034, 144A(f)     5,518,609  
  7,745,000     Elmwood CLO V Ltd.,
Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 10/20/2034, 144A(f)
    7,249,452  
  4,085,000     Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 3.913%, 1/20/2034, 144A(f)     3,781,611  
  3,365,000     KVK CLO Ltd., Series 2013-1A, Class DR, 3-month LIBOR + 2.950%, 3.988%, 1/14/2028, 144A(f)     3,259,171  
  Collateralized Loan Obligations – continued  
8,760,000     LCM 30 Ltd., Series 30A, Class BR, 3-month LIBOR + 1.500%, 2.563%, 4/20/2031, 144A(a)(f)   8,271,008  
  1,470,000     LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 3.063%, 4/20/2031, 144A(f)     1,369,012  
  4,215,000     LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 4.063%, 4/20/2031, 144A(f)     3,670,371  
  15,835,000     Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 4.425%, 7/27/2031, 144A(f)     14,954,146  
  1,260,000     Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(f)     1,191,358  
  9,225,000     Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 2.694%, 7/15/2034, 144A(a)(f)     8,749,451  
  11,920,000     OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 7/20/2032, 144A(f)     10,361,055  
  10,585,000     Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 4.194%, 7/15/2034, 144A(f)     9,803,562  
  4,920,000     Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 4.344%, 7/15/2036, 144A(f)     4,440,979  
  12,430,000     OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 2.713%, 7/02/2035, 144A(a)(f)     11,819,165  
  9,720,000     OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 3.963%, 7/02/2035, 144A(f)     8,987,763  
  12,640,000     Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 2.544%, 10/17/2031, 144A(a)(f)     12,061,720  
  5,120,000     Palmer Square CLO Ltd., Series 2013-2A, Class CR3, 3-month LIBOR + 2.700%, 3.744%, 10/17/2031, 144A(f)     4,757,222  
  2,970,000     Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 3.205%, 5/21/2034, 144A(a)(f)     2,824,817  
  1,710,000     Parallel Ltd., Series 2015-1A, Class DR, 3-month LIBOR + 2.550%, 3.613%, 7/20/2027, 144A(f)     1,627,062  
  700,000     THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 4.013%, 1/20/2031, 144A(f)     629,859  

 

See accompanying notes to financial statements.

 

21  |


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

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Collateralized Loan Obligations – continued  
$ 2,135,000     Vibrant CLO XIV Ltd.,
Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 4.813%, 10/20/2034, 144A(f)
  $ 1,988,129  
   

 

 

 
  Total Collateralized Loan Obligations  
  (Identified Cost $211,706,707)     196,640,370  
   

 

 

 
  Shares              
  Common Stocks – 5.3%  
  Aerospace & Defense – 0.2%

 

  4,353     L3Harris Technologies, Inc.     1,052,120  
  17,876     Lockheed Martin Corp.     7,685,965  
   

 

 

 
      8,738,085  
   

 

 

 
  Air Freight & Logistics – 0.1%

 

  31,979     United Parcel Service, Inc., Class B     5,837,447  
   

 

 

 
  Beverages – 0.1%

 

  111,018     Coca-Cola Co. (The)     6,984,142  
   

 

 

 
  Biotechnology – 0.2%

 

  57,540     AbbVie, Inc.     8,812,826  
   

 

 

 
  Capital Markets – 0.2%

 

  11,299     BlackRock, Inc.     6,881,543  
  66,178     Morgan Stanley     5,033,499  
   

 

 

 
      11,915,042  
   

 

 

 
  Communications Equipment – 0.1%

 

  126,791     Cisco Systems, Inc.     5,406,368  
   

 

 

 
  Electric Utilities – 0.2%

 

  53,005     Duke Energy Corp.     5,682,666  
  93,934     NextEra Energy, Inc.     7,276,128  
   

 

 

 
      12,958,794  
   

 

 

 
  Electronic Equipment, Instruments &
Components –
0.3%

 

  491,039     Corning, Inc.     15,472,639  
   

 

 

 
  Food & Staples Retailing – 0.1%

 

  54,109     Walmart, Inc.     6,578,572  
   

 

 

 
  Health Care Equipment & Supplies – 0.1%

 

  40,914     Abbott Laboratories     4,445,306  
   

 

 

 
  Health Care Providers & Services – 0.1%

 

  9,353     Elevance Health, Inc.     4,513,571  
  6,808     UnitedHealth Group, Inc.     3,496,793  
   

 

 

 
      8,010,364  
   

 

 

 
  Hotels, Restaurants & Leisure – 0.1%

 

  85,881     Starbucks Corp.     6,560,450  
   

 

 

 
  Household Products – 0.1%

 

  52,389     Procter & Gamble Co. (The)     7,533,014  
   

 

 

 
  IT Services – 0.1%

 

  18,870     Accenture PLC, Class A     5,239,255  
   

 

 

 
  Life Sciences Tools & Services – 0.1%

 

  5,344     Thermo Fisher Scientific, Inc.   2,903,288  
   

 

 

 
  Machinery – 0.2%

 

  21,967     Cummins, Inc.     4,251,273  
  14,516     Deere & Co.     4,347,107  
   

 

 

 
      8,598,380  
   

 

 

 
  Media – 0.5%

 

  2,006,877     Altice USA, Inc., Class A(j)     18,563,612  
  192,580     Comcast Corp., Class A     7,556,839  
  705,779     iHeartMedia, Inc., Class A(j)     5,568,597  
   

 

 

 
      31,689,048  
   

 

 

 
  Metals & Mining – 0.1%

 

  89,035     Newmont Corp.     5,312,718  
   

 

 

 
  Oil, Gas & Consumable Fuels – 0.2%

 

  93,585     Battalion Oil Corp.(j)     798,280  
  25,353     Pioneer Natural Resources Co.     5,655,747  
  150,488     Williams Cos., Inc. (The)     4,696,731  
   

 

 

 
      11,150,758  
   

 

 

 
  Pharmaceuticals – 0.4%

 

  77,170     Bristol-Myers Squibb Co.     5,942,090  
  52,587     Johnson & Johnson     9,334,719  
  114,154     Merck & Co., Inc.     10,407,420  
   

 

 

 
      25,684,229  
   

 

 

 
  Professional Services – 0.0%

 

  7,905     Clarivate PLC(j)     109,563  
   

 

 

 
  REITs – Diversified – 0.1%

 

  27,086     American Tower Corp.     6,922,911  
   

 

 

 
  Road & Rail – 0.1%

 

  28,307     Union Pacific Corp.     6,037,317  
   

 

 

 
  Semiconductors & Semiconductor
Equipment –
0.2%

 

  7,250     Broadcom, Inc.     3,522,123  
  69,763     Microchip Technology, Inc.     4,051,835  
  30,723     QUALCOMM, Inc.     3,924,556  
   

 

 

 
      11,498,514  
   

 

 

 
  Software – 0.1%

 

  17,622     iQor Holdings, Inc.(c)(d)(j)     79,299  
  26,438     Microsoft Corp.     6,790,071  
   

 

 

 
      6,869,370  
   

 

 

 
  Specialty Retail – 0.1%

 

  15,174     Home Depot, Inc. (The)     4,161,773  
   

 

 

 
  Technology Hardware, Storage &
Peripherals –
0.1%

 

  42,287     Apple, Inc.     5,781,479  
   

 

 

 
  Wireless Telecommunication Services – 1.1%

 

  495,584     T-Mobile US, Inc.(j)     66,675,871  
   

 

 

 
  Total Common Stocks  
  (Identified Cost $342,733,942)     307,887,523  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  22


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

Loomis Sayles Bond Fund – continued

 

    
Shares
    Description   Value (†)  
  Preferred Stocks – 2.0%  
  Convertible Preferred Stocks – 1.7%  
  Banking – 0.8%

 

  27,889     Bank of America Corp., Series L, 7.250%(a)   $ 33,592,300  
  11,335     Wells Fargo & Co., Class A, Series L, 7.500%     13,777,806  
   

 

 

 
      47,370,106  
   

 

 

 
  Midstream – 0.3%

 

  433,942     El Paso Energy Capital Trust I, 4.750%     20,156,606  
   

 

 

 
  Technology – 0.2%

 

  170,945     Clarivate PLC, Series A, 5.250%     9,780,464  
   

 

 

 
  Wireless – 0.4%

 

  19,569     2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d)     22,437,816  
   

 

 

 
  Total Convertible Preferred Stocks

 

  (Identified Cost $105,703,344)     99,744,992  
   

 

 

 
  Non-Convertible Preferred Stocks – 0.3%  
  Electric – 0.0%

 

  2,925     Connecticut Light & Power Co. (The), Series 1947, 1.900%     121,369  
   

 

 

 
  Home Construction – 0.0%

 

  52,867     Hovnanian Enterprises, Inc., 7.625%     1,004,473  
   

 

 

 
  REITs – Diversified – 0.0%

 

  16,004     iStar, Inc., Series G, 7.650%     400,350  
   

 

 

 
  REITs – Office Property – 0.1%

 

  2,318     Highwoods Properties, Inc., Series A, 8.625%(c)(d)     2,723,650  
   

 

 

 
  REITs – Warehouse/Industrials – 0.2%

 

  169,007     Prologis, Inc., Series Q, 8.540%(c)(d)     10,816,448  
   

 

 

 
  Total Non-Convertible Preferred Stocks  
  (Identified Cost $11,111,452)     15,066,290  
   

 

 

 
  Total Preferred Stocks  
  (Identified Cost $116,814,796)     114,811,282  
   

 

 

 
  Closed-End Investment Companies – 0.0%  
  170,568     NexPoint Diversified Real Estate Trust,
(Identified Cost $9,816,437)
    2,812,666  
   

 

 

 
  Short-Term Investments – 0.5%  
$ 11,560,267     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $11,560,379 on 7/01/2022 collateralized by $11,738,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $11,791,486 including accrued interest (Note 2 of Notes to Financial Statements)   11,560,267  
  14,920,000     U.S. Treasury Bills, 0.809%, 7/21/2022(p)     14,911,587  
   

 

 

 
  Total Short-Term Investments  
  (Identified Cost $26,473,566)     26,471,854  
   

 

 

 
  Total Investments – 99.2%  
  (Identified Cost $6,618,519,442)     5,793,104,413  
  Other assets less liabilities—0.8%     47,662,189  
   

 

 

 
  Net Assets – 100.0%   $ 5,840,766,602  
   

 

 

 
  (‡)     Principal Amount stated in U.S. dollars unless otherwise noted.

 

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

 

  (††)     Amount shown represents units. One unit represents a principal amount of 1,000.

 

  (†††)     Amount shown represents units. One unit represents a principal amount of 100.

 

  (a)     Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (b)     Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.

 

  (c)     Illiquid security.

 

  (d)     Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $157,789,596 or 2.7% of net assets. See Note 2 of Notes to Financial Statements.

 

  (e)     Perpetual bond with no specified maturity date.

 

  (f)     Variable rate security. Rate as of June 30, 2022 is disclosed.

 

  (g)     The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

 

  (h)     Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (i)     Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $3,972,752 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (j)     Non-income producing security.

 

  (k)     Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  (l)     Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

  (m)     Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.

 

  (n)     Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.

 

  (o)     Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added.

 

 

See accompanying notes to financial statements.

 

23  |


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

Loomis Sayles Bond Fund – continued

 

  (p)     Interest rate represents discount rate at time of purchase; not a coupon rate.
  144A     All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $2,278,082,628 or 39.0% of net assets.
  ABS     Asset-Backed Securities
  EMTN     Euro Medium Term Note
  FHLMC     Federal Home Loan Mortgage Corp.
  LIBOR     London Interbank Offered Rate
  MTN     Medium Term Note
  REITs     Real Estate Investment Trusts
  SOFR     Secured Overnight Financing Rate
 
  BRL     Brazilian Real
  MXN     Mexican Peso

 

At June 30, 2022, open long futures contracts were as follows:

 

Financial Futures

     Expiration
Date
       Contracts        Notional
Amount
       Value        Unrealized
Appreciation
(Depreciation)
 

10 Year U.S. Treasury Note

       9/21/2022          4,114        $ 493,967,840        $ 487,637,562        $ (6,330,278
                        

 

 

 

At June 30, 2022, open short futures contracts were as follows:

 

Financial Futures

     Expiration
Date
       Contracts        Notional
Amount
       Value        Unrealized
Appreciation
(Depreciation)
 

Ultra 10 Year U.S. Treasury Note

       9/21/2022          5,738        $ 740,579,009        $ 730,877,750        $ 9,701,259  
                        

 

 

 

Industry Summary at June 30, 2022 (Unaudited)

 

Treasuries

       16.7

Cable Satellite

       6.9  

Finance Companies

       4.5  

ABS Home Equity

       4.1  

ABS Car Loan

       3.9  

Banking

       3.6  

Independent Energy

       3.5  

Metals & Mining

       3.3  

Technology

       3.1  

Life Insurance

       3.1  

ABS Other

       2.8  

Consumer Cyclical Services

       2.5  

Pharmaceuticals

       2.4  

Airlines

       2.3  

Other Investments, less than 2% each

       32.6  

Collateralized Loan Obligations

       3.4  

Short-Term Investments

       0.5  

Closed-End Investment Companies

       0.0
    

 

 

 

Total Investments

       99.2  

Other assets less liabilities (including futures contracts)

       0.8  
    

 

 

 

Net Assets

       100.0
    

 

 

 

* Less than 0.1%

 

See accompanying notes to financial statements.

 

|  24


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

Loomis Sayles Investment Grade Fixed Income Fund

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – 91.0% of Net Assets  
  Non-Convertible Bonds – 89.5%  
  ABS Car Loan – 8.5%

 

$ 100,000     American Credit Acceptance Receivables Trust, Series 2020-3, Class D,
2.400%, 6/15/2026, 144A
  $ 97,019  
  335,000     American Credit Acceptance Receivables Trust, Series 2021-3, Class D,
1.340%, 11/15/2027, 144A
    312,501  
  100,000     American Credit Acceptance Receivables Trust, Series 2022-1, Class D,
2.460%, 3/13/2028, 144A
    92,637  
  230,000     AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D,
4.040%, 11/18/2024(a)
    229,959  
  235,000     AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D,
1.210%, 12/18/2026
    219,846  
  100,000     Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A,
3.350%, 9/22/2025, 144A
    98,294  
  620,000     Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A,
2.360%, 3/20/2026, 144A(a)
    590,736  
  100,000     Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B,
2.680%, 8/20/2026, 144A
    92,979  
  600,000     Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A,
2.020%, 2/20/2027, 144A(a)
    551,093  
  100,000     CarMax Auto Owner Trust, Series 2021-3, Class D,
1.500%, 1/18/2028
    91,811  
  100,000     CarMax Auto Owner Trust, Series 2022-1, Class D,
2.470%, 7/17/2028
    92,969  
  345,671     CPS Auto Receivables Trust, Series 2020-C, Class C,
1.710%, 8/17/2026, 144A(a)
    343,973  
  370,000     Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C,
2.730%, 11/15/2029, 144A
    357,284  
  250,000     Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C,
2.280%, 2/15/2030, 144A
    234,004  
  260,000     Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C,
1.640%, 6/17/2030, 144A
    235,312  
  250,000     Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C,
1.630%, 9/16/2030, 144A
    229,133  
  119,358     Drive Auto Receivables Trust, Series 2018-5, Class D,
4.300%, 4/15/2026
    119,877  
  70,220     Drive Auto Receivables Trust, Series 2019-1, Class D,
4.090%, 6/15/2026
    70,331  
  340,000     Drive Auto Receivables Trust, Series 2021-1, Class D,
1.450%, 1/16/2029
    318,372  
  ABS Car Loan – continued  
$ 690,000     Drive Auto Receivables Trust, Series 2021-2, Class D,
1.390%, 3/15/2029
  $ 634,668  
  115,000     DT Auto Owner Trust, Series 2021-2A, Class C, 1.500%, 2/16/2027, 144A     106,109  
  690,000     DT Auto Owner Trust, Series 2021-3A, Class D, 1.310%, 5/17/2027, 144A     625,054  
  315,000     Exeter Automobile Receivables Trust, Series 2019-4A, Class D,
2.580%, 9/15/2025, 144A(a)
    311,144  
  150,000     Exeter Automobile Receivables Trust, Series 2021-1A, Class D,
1.080%, 11/16/2026
    140,563  
  495,000     Exeter Automobile Receivables Trust, Series 2021-3A, Class D,
1.550%, 6/15/2027
    463,378  
  105,000     Exeter Automobile Receivables Trust, Series 2022-2A, Class D,
4.560%, 7/17/2028
    99,765  
  235,000     First Investors Auto Owner Trust, Series 2019-1A, Class D,
3.550%, 4/15/2025, 144A
    234,171  
  285,000     First Investors Auto Owner Trust, Series 2021-1A, Class D,
1.620%, 3/15/2027, 144A
    263,740  
  165,000     Flagship Credit Auto Trust, Series 2021-1, Class D,
1.270%, 3/15/2027, 144A
    151,346  
  175,000     Flagship Credit Auto Trust, Series 2021-2, Class D,
1.590%, 6/15/2027, 144A
    159,355  
  210,000     Flagship Credit Auto Trust, Series 2021-3, Class D,
1.650%, 9/15/2027, 144A
    189,725  
  1,125,000     Ford Credit Auto Owner Trust, Series 2021-A, Class A3,
0.300%, 8/15/2025(a)
    1,095,066  
  270,000     Foursight Capital Automobile Receivables Trust, Series 2021-1, Class D, 1.320%, 3/15/2027, 144A     251,787  
  170,000     Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027, 144A     156,297  
  244,205     GLS Auto Receivables Trust, Series 2019-2A, Class C,
3.540%, 2/18/2025, 144A
    243,860  
  285,000     GLS Auto Receivables Trust, Series 2021-2A, Class D,
1.420%, 4/15/2027, 144A
    260,539  
  473,170     GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024(a)     471,341  
  425,000     GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025(a)     414,515  
  840,000     GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026(a)     812,750  
  298,000     Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D,
4.850%, 6/25/2026, 144A
    266,533  

 

See accompanying notes to financial statements.

 

25  |


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Car Loan – continued  
$ 305,000     Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D,
6.310%, 3/25/2025, 144A
  $ 292,690  
  1,300,000     Honda Auto Receivables Owner Trust, Series 2020-1, Class A4,
1.630%, 10/21/2026(a)
    1,284,348  
  670,000     Honda Auto Receivables Owner Trust, Series 2021-1, Class A3,
0.270%, 4/21/2025(a)
    654,070  
  330,000     Honda Auto Receivables Owner Trust, Series 2021-2, Class A3,
0.330%, 8/15/2025(a)
    319,657  
  131,566     JPMorgan Chase Bank NA, Series 2021-1, Class D,
1.174%, 9/25/2028, 144A
    127,189  
  170,000     Prestige Auto Receivables Trust, Series 2020-1A, Class E,
3.670%, 2/15/2028, 144A
    167,000  
  427,600     Santander Drive Auto Receivables Trust, Series 2019-2, Class D,
3.220%, 7/15/2025(a)
    426,549  
  200,000     Santander Drive Auto Receivables Trust, Series 2020-1, Class C,
4.110%, 12/15/2025(a)
    200,101  
  225,000     Santander Drive Auto Receivables Trust, Series 2020-2, Class D,
2.220%, 9/15/2026
    220,275  
  315,000     Santander Drive Auto Receivables Trust, Series 2021-1, Class D,
1.130%, 11/16/2026
    303,234  
  485,000     Santander Drive Auto Receivables Trust, Series 2021-3, Class D,
1.330%, 9/15/2027
    458,455  
  250,484     Toyota Auto Receivables Owner Trust, Series 2019-B, Class A3,
2.570%, 8/15/2023(a)
    250,579  
  350,351     Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3,
1.660%, 5/15/2024(a)
    348,633  
  125,000     Westlake Automobile Receivables Trust, Series 2020-3A, Class D,
1.650%, 2/17/2026, 144A
    120,186  
  275,000     Westlake Automobile Receivables Trust, Series 2021-2A, Class D,
1.230%, 12/15/2026, 144A
    251,322  
  1,085,000     World Omni Auto Receivables Trust, Series 2021-B, Class A3,
0.420%, 6/15/2026(a)
    1,040,526  
   

 

 

 
      18,194,650  
   

 

 

 
  ABS Credit Card – 0.2%

 

  240,000     Brex Commercial Charge Card Master Trust, Series 2021-1, Class A,
2.090%, 7/15/2024, 144A
    235,372  
  265,000     Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A,
1.540%, 3/20/2026, 144A
    252,135  
   

 

 

 
      487,507  
   

 

 

 
  ABS Home Equity – 4.7%

 

$ 300,000     BINOM Securitization Trust, Series 2022-RPL1, Class M1,
3.000%, 2/25/2061, 144A(b)
  $ 274,643  
  398,768     CIM Trust, Series 2021-NR2, Class A1,
2.568%, 7/25/2059, 144A(b)
    379,617  
  100,000     CoreVest American Finance Trust, Series 2021-1, Class C,
2.800%, 4/15/2053, 144A
    83,024  
  160,000     CoreVest American Finance Trust, Series 2021-2, Class C,
2.478%, 7/15/2054, 144A
    127,731  
  100,000     CoreVest American Finance Trust, Series 2021-3, Class D,
3.469%, 10/15/2054, 144A
    82,548  
  225,948     Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1,
1.668%, 9/27/2060, 144A(b)
    213,838  
  100,000     Credit Suisse Mortgage Trust, Series 2021-RPL3, Class M2,
3.750%, 1/25/2060, 144A
    89,714  
  569,929     Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1,
1.796%, 12/27/2060, 144A(b)
    539,664  
  281,066     Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A,
30-day Average SOFR + 2.000%, 2.926%, 4/25/2042, 144A(c)
    276,652  
  260,000     FirstKey Homes Trust, Series 2021-SFR1, Class E1,
2.389%, 8/17/2038, 144A
    225,854  
  205,000     FirstKey Homes Trust, Series 2021-SFR2, Class E1,
2.258%, 9/17/2038, 144A
    176,954  
  105,000     FirstKey Homes Trust, Series 2021-SFR2, Class E2,
2.358%, 9/17/2038, 144A
    89,446  
  360,000     FirstKey Homes Trust, Series 2022- SFR2, Class D,
4.500%, 7/17/2039, 144A
    336,123  
  100,000     FRTKL, Series 2021-SFR1, Class E1,
2.372%, 9/17/2038, 144A
    86,907  
  100,000     FRTKL, Series 2021-SFR1, Class E2,
2.522%, 9/17/2038, 144A
    86,617  
  176,892     GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)     169,973  
  90,714     Home Partners of America Trust, Series 2021-1, Class E,
2.577%, 9/17/2041, 144A
    76,297  
  407,445     Home Partners of America Trust, Series 2021-2, Class E1,
2.852%, 12/17/2026, 144A
    358,806  
  211,086     Home Partners of America Trust, Series 2021-2, Class E2,
2.952%, 12/17/2026, 144A
    183,682  
  94,410     Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1,
3.250%, 11/25/2059, 144A(b)
    93,954  
  497,496     Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1,
3.250%, 6/25/2060, 144A(b)
    489,771  

 

See accompanying notes to financial statements.

 

|  26


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Home Equity – continued  
$ 485,000     Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2,
3.250%, 9/25/2059, 144A(a)(b)
  $ 445,296  
  250,042     Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1,
1.750%, 4/25/2061, 144A(b)
    234,403  
  9,411     Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A,
3.158%, 7/25/2035(b)(d)(e)
    8,181  
  235,000     Progress Residential Trust, Series 2021-SFR2, Class E1,
2.547%, 4/19/2038, 144A
    208,337  
  100,000     Progress Residential Trust, Series 2021-SFR3, Class E1,
2.538%, 5/17/2026, 144A
    87,051  
  100,000     Progress Residential Trust, Series 2021-SFR3, Class E2,
2.688%, 5/17/2026, 144A
    86,722  
  100,000     Progress Residential Trust, Series 2021-SFR4, Class E1,
2.409%, 5/17/2038, 144A
    89,074  
  100,000     Progress Residential Trust, Series 2021-SFR4, Class E2,
2.559%, 5/17/2038, 144A
    88,473  
  120,000     Progress Residential Trust, Series 2021-SFR5, Class E1,
2.209%, 7/17/2038, 144A
    103,757  
  150,000     Progress Residential Trust, Series 2021-SFR6, Class E1,
2.425%, 7/17/2038, 144A
    129,485  
  100,000     Progress Residential Trust, Series 2021-SFR6, Class E2,
2.525%, 7/17/2038, 144A
    85,651  
  165,000     Progress Residential Trust, Series 2021-SFR7, Class E1,
2.591%, 8/17/2040, 144A
    135,683  
  100,000     Progress Residential Trust, Series 2021-SFR7, Class E2,
2.640%, 8/17/2040, 144A
    80,095  
  100,000     Progress Residential Trust, Series 2021-SFR9, Class E1,
2.811%, 11/17/2040, 144A
    80,214  
  387,555     PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026, 144A(b)
    368,128  
  150,708     PRPM LLC, Series 2021-2, Class A1,
2.115%, 3/25/2026, 144A(b)
    144,110  
  311,248     PRPM LLC, Series 2021-3, Class A1,
1.867%, 4/25/2026, 144A(b)
    293,438  
  108,765     PRPM LLC, Series 2021-4, Class A1,
1.867%, 4/25/2026, 144A(b)
    102,180  
  379,612     PRPM LLC, Series 2021-5, Class A1,
1.793%, 6/25/2026, 144A(b)
    355,250  
  390,000     Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(b)     365,409  
  120,000     Towd Point Mortgage Trust, Series 2016-3, Class M2,
4.000%, 4/25/2056, 144A(b)
    118,034  
  ABS Home Equity – continued  
$ 240,000     Towd Point Mortgage Trust, Series 2018-5, Class M1,
3.250%, 7/25/2058, 144A(b)
  $ 206,067  
  284,092     Towd Point Mortgage Trust, Series 2019-4, Class A1,
2.900%, 10/25/2059, 144A(a)(b)
    275,077  
  135,805     VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)     130,751  
  356,252     VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b)     336,511  
  118,768     VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)     112,726  
  296,787     VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b)     281,151  
  264,890     VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)     251,596  
  187,044     VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)     178,518  
  369,116     VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b)     350,952  
   

 

 

 
      10,174,135  
   

 

 

 
  ABS Other – 2.7%

 

  100,000     Affirm Asset Securitization Trust, Series 2021-B, Class C,
1.400%, 8/17/2026, 144A
    90,752  
  254,614     Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A,
2.950%, 11/16/2041, 144A
    213,013  
  100,000     Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046, 144A     85,457  
  430,000     BHG Securitization Trust, Series 2022-A, Class B,
2.700%, 2/20/2035, 144A
    393,443  
  148,467     Business Jet Securities LLC, Series 2021-1A, Class A,
2.162%, 4/15/2036, 144A
    134,230  
  353,225     DB Master Finance LLC, Series 2021-1A, Class A2II,
2.493%, 11/20/2051, 144A
    304,284  
  155,000     Dell Equipment Finance Trust, Series 2020-2, Class D,
1.920%, 3/23/2026, 144A
    151,940  
  100,000     Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A     96,863  
  215,000     Freedom Financial Trust, Series 2021-3FP, Class D,
2.370%, 11/20/2028, 144A
    192,307  
  38,144     HPEFS Equipment Trust, Series 2019-1A, Class C,
2.490%, 9/20/2029, 144A(a)
    38,144  
  115,000     HPEFS Equipment Trust, Series 2021-1A, Class D,
1.030%, 3/20/2031, 144A
    107,802  
  330,531     Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A,
2.636%, 10/15/2046, 144A
    293,282  
  100,000     Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A     93,136  

 

See accompanying notes to financial statements.

 

27  |


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Other – continued  
$ 105,000     Marlette Funding Trust, Series 2021-3A, Class C,
1.810%, 12/15/2031, 144A
  $ 93,366  
  122,493     Merlin Aviation Holdings DAC, Series 2016-1, Class A,
4.500%, 12/15/2032, 144A(b)
    98,356  
  70,648     MVW LLC, Series 2021-1WA, Class C,
1.940%, 1/22/2041, 144A
    64,692  
  145,000     OneMain Financial Issuance Trust, Series 2018-2A, Class B,
3.890%, 3/14/2033, 144A
    140,200  
  240,000     OneMain Financial Issuance Trust, Series 2021-1A, Class D,
2.470%, 6/16/2036, 144A
    202,576  
  310,000     OneMain Financial Issuance Trust, Series 2022-S1, Class D,
5.200%, 5/14/2035, 144A
    303,515  
  462,571     S-Jets Ltd., Series 2017-1, Class A,
3.967%, 8/15/2042, 144A
    406,279  
  100,000     SCF Equipment Leasing LLC, Series 2022-1A, Class D,
3.790%, 11/20/2031, 144A
    93,588  
  67,903     Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C,
3.120%, 5/20/2036, 144A
    65,139  
  46,493     Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C,
3.000%, 8/20/2036, 144A
    44,349  
  49,444     Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C,
1.790%, 11/20/2037, 144A
    45,933  
  510,938     SLAM Ltd., Series 2021-1A, Class A,
2.434%, 6/15/2046, 144A
    438,507  
  534,939     SoFi Consumer Loan Program Trust, Series 2019-3, Class C,
3.350%, 5/25/2028, 144A(a)
    534,102  
  90,119     SoFi Consumer Loan Program Trust, Series 2019-4, Class C,
2.840%, 8/25/2028, 144A
    89,725  
  236,733     Textainer Marine Containers VII Ltd., Series 2021-1A, Class A,
1.680%, 2/20/2046, 144A
    206,464  
  380,800     Textainer Marine Containers VII Ltd., Series 2021-2A, Class A,
2.230%, 4/20/2046, 144A
    338,360  
  258,160     TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A     222,035  
  115,000     Towd Point Mortgage Trust, Series 2011-1, Class M1,
3.750%, 10/25/2056, 144A(b)
    111,532  
  194,566     Wave Trust, Series 2017-1A, Class A,
3.844%, 11/15/2042, 144A
    174,665  
   

 

 

 
      5,868,036  
   

 

 

 
  ABS Student Loan – 0.9%

 

  100,000     College Ave Student Loans LLC, Series 2021-A, Class C,
2.920%, 7/25/2051, 144A
    91,383  
  ABS Student Loan – continued

 

$ 104,985     Commonbond Student Loan Trust, Series 2019-AGS, Class B,
3.040%, 1/25/2047, 144A
  $ 96,867  
  44,409     Navient Private Education Refi Loan Trust, Series 2020-HA, Class A,
1.310%, 1/15/2069, 144A
    41,391  
  212,933     Navient Private Education Refi Loan Trust, Series 2021-A, Class A,
0.840%, 5/15/2069, 144A(a)
    194,903  
  135,000     Navient Private Education Refi Loan Trust, Series 2021-A, Class B,
2.240%, 5/15/2069, 144A
    112,158  
  100,000     Navient Private Education Refi Loan Trust, Series 2021-EA, Class B,
2.030%, 12/16/2069, 144A
    81,822  
  195,000     Navient Private Education Refi Loan Trust, Series 2021-FA, Class B,
2.120%, 2/18/2070, 144A
    148,947  
  149,884     SMB Private Education Loan Trust, Series 2018-C, Class A2A,
3.630%, 11/15/2035, 144A(a)
    147,646  
  517,917     SMB Private Education Loan Trust, Series 2020-A, Class A2A,
2.230%, 9/15/2037, 144A(a)
    494,350  
  194,564     SMB Private Education Loan Trust, Series 2021-A, Class A2A2,
1-month LIBOR + 0.730%, 2.054%, 1/15/2053, 144A(a)(c)
    189,103  
  210,000     SMB Private Education Loan Trust, Series 2021-B, Class B,
2.650%, 7/17/2051, 144A
    178,653  
  100,000     SoFi Professional Loan Program LLC, Series 2017-A, Class C,
4.430%, 3/26/2040, 144A(b)
    98,411  
   

 

 

 
      1,875,634  
   

 

 

 
  ABS Whole Business – 0.9%

 

  239,375     DB Master Finance LLC, Series 2017-1A, Class A2II,
4.030%, 11/20/2047, 144A
    224,804  
  163,085     Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II,
4.328%, 7/25/2048, 144A
    157,932  
  97,750     Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2,
3.668%, 10/25/2049, 144A
    88,474  
  603,900     Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I,
2.662%, 4/25/2051, 144A
    526,383  
  99,000     Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A     84,756  
  192,500     Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II,
4.666%, 9/05/2048, 144A
    187,199  
  457,700     Taco Bell Funding LLC, Series 2021-1A, Class A2II,
2.294%, 8/25/2051, 144A
    383,797  
  262,350     Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A     222,368  
   

 

 

 
      1,875,713  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  28


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Aerospace & Defense – 1.9%

 

$ 1,215,000     Boeing Co. (The), 2.196%, 2/04/2026   $ 1,095,159  
  85,000     Boeing Co. (The), 3.100%, 5/01/2026     79,157  
  510,000     Boeing Co. (The), 3.625%, 2/01/2031     440,211  
  85,000     Boeing Co. (The), 3.625%, 3/01/2048     56,930  
  45,000     Boeing Co. (The), 3.750%, 2/01/2050     31,731  
  390,000     Boeing Co. (The), 3.850%, 11/01/2048     275,379  
  260,000     Boeing Co. (The), 3.950%, 8/01/2059     175,023  
  115,000     Boeing Co. (The), 5.150%, 5/01/2030     110,386  
  510,000     Boeing Co. (The), 5.805%, 5/01/2050     468,421  
  376,000     Embraer Netherlands Finance BV,
5.400%, 2/01/2027
    356,176  
  1,125,000     Textron, Inc., 3.000%, 6/01/2030     978,556  
   

 

 

 
      4,067,129  
   

 

 

 
  Airlines – 1.3%

 

  1,209,053     Air Canada Pass Through Trust, Series 2020-2A,
5.250%, 10/01/2030, 144A
    1,199,635  
  42,159     American Airlines Pass Through Trust, Series 2016-3, Class B,
3.750%, 4/15/2027
    36,545  
  455,000     Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.,
6.500%, 6/20/2027, 144A
    447,174  
  178,054     U.S. Airways Pass Through Trust, Series 2011-1, Class A,
7.125%, 4/22/2025
    179,002  
  399,934     U.S. Airways Pass Through Trust, Series 2012-2A, Class A,
4.625%, 12/03/2026
    367,659  
  215,104     United Airlines Pass Through Trust, Series 2016-2, Class B,
3.650%, 4/07/2027
    189,991  
  431,889     United Airlines Pass Through Trust, Series 2020-1, Class A,
5.875%, 4/15/2029
    424,461  
   

 

 

 
      2,844,467  
   

 

 

 
  Automotive – 1.1%

 

  715,000     Ford Motor Co., 3.250%, 2/12/2032     534,748  
  1,614,000     General Motors Co.,
5.200%, 4/01/2045(a)
    1,355,673  
  250,000     General Motors Co.,
6.250%, 10/02/2043
    238,172  
  315,000     General Motors Financial Co., Inc.,
1.050%, 3/08/2024
    298,619  
   

 

 

 
      2,427,212  
   

 

 

 
  Banking – 8.6%

 

  200,000     Ally Financial, Inc.,
2.200%, 11/02/2028
    162,870  
  305,000     Ally Financial, Inc.,
5.750%, 11/20/2025
    300,481  
  420,000     Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A     421,382  
  370,000     Bank of America Corp., (fixed rate to 10/24/2030, variable rate thereafter), MTN, 1.922%, 10/24/2031     295,552  
  Banking – continued  
$ 635,000     Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter),
3.004%, 12/20/2023
  $ 632,918  
  1,244,000     Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter),
3.419%, 12/20/2028(a)
    1,158,485  
  335,000     Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter),
2.592%, 4/29/2031
    284,128  
  235,000     Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031     187,815  
  314,000     Bank of America Corp., MTN,
4.250%, 10/22/2026
    309,575  
  536,000     Bank of America Corp., Series L, MTN,
4.183%, 11/25/2027
    520,915  
  950,000     Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter),
2.279%, 11/24/2027
    842,187  
  555,000     Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(f)     425,609  
  1,245,000     Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),
3.564%, 9/23/2035
    1,026,438  
  1,145,000     BNP Paribas S.A.,
2.824%, 1/26/2041, 144A
    789,615  
  415,000     BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter),
2.591%, 1/20/2028, 144A
    373,287  
  1,040,000     BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter),
4.375%, 3/01/2033, 144A
    964,633  
  1,060,000     Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter),
4.412%, 3/31/2031
    1,012,373  
  80,000     Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter),
2.572%, 6/03/2031
    67,247  
  640,000     Credit Agricole S.A.,
2.811%, 1/11/2041, 144A
    441,783  
  250,000     Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033     228,367  
  265,000     Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter),
3.742%, 1/07/2033
    192,895  
  400,000     Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter),
3.729%, 1/14/2032
    300,715  
  220,000     JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter),
2.739%, 10/15/2030
    191,951  
  740,000     JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter),
1.764%, 11/19/2031
    585,161  
  482,000     Morgan Stanley, 3.950%, 4/23/2027     466,738  
  1,205,000     Morgan Stanley, (fixed rate to 2/13/2031, variable rate thereafter), MTN, 1.794%, 2/13/2032     947,849  
  953,000     Morgan Stanley, GMTN,
4.350%, 9/08/2026
    943,151  

 

See accompanying notes to financial statements.

 

29  |


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Banking – continued  
$ 1,727,000     Morgan Stanley, MTN,
6.250%, 8/09/2026
  $ 1,836,113  
  655,000     NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter),
1.642%, 6/14/2027
    574,269  
  200,000     NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter),
5.516%, 9/30/2028
    201,425  
  1,685,000     Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter),
3.653%, 7/08/2035, 144A(a)
    1,372,885  
  540,000     UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter),
5.459%, 6/30/2035, 144A
    436,419  
   

 

 

 
      18,495,231  
   

 

 

 
  Brokerage – 0.4%

 

  733,000     Jefferies Group LLC,
6.250%, 1/15/2036
    737,013  
   

 

 

 
  Building Materials – 1.5%

 

  2,210,000     Cemex SAB de CV,
3.875%, 7/11/2031, 144A
    1,657,500  
  310,000     Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter),
5.125%, 144A(f)
    263,019  
  211,000     Masco Corp.,
6.500%, 8/15/2032
    227,028  
  104,000     Masco Corp.,
7.750%, 8/01/2029
    117,421  
  778,000     Owens Corning,
7.000%, 12/01/2036
    869,305  
   

 

 

 
      3,134,273  
   

 

 

 
  Cable Satellite – 2.1%

 

  30,000     CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A     23,175  
  565,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 5/01/2032
    457,481  
  55,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
2.300%, 2/01/2032
    41,615  
  760,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
2.800%, 4/01/2031
    608,652  
  220,000     Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033     196,424  
  1,535,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
3.700%, 4/01/2051
    1,038,727  
  255,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
3.850%, 4/01/2061
    167,697  
  Cable Satellite – continued

 

$ 1,595,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
3.950%, 6/30/2062
  $ 1,065,514  
  165,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
5.125%, 7/01/2049
    136,574  
  800,000     CSC Holdings LLC,
4.625%, 12/01/2030, 144A
    534,992  
  70,000     DISH DBS Corp.,
5.125%, 6/01/2029
    42,535  
  150,000     DISH DBS Corp.,
5.250%, 12/01/2026, 144A
    117,576  
  145,000     Time Warner Cable LLC,
5.500%, 9/01/2041
    126,572  
   

 

 

 
      4,557,534  
   

 

 

 
  Chemicals – 0.5%

 

  200,000     Alpek SAB de CV,
3.250%, 2/25/2031, 144A
    160,352  
  200,000     Braskem Netherlands Finance BV,
4.500%, 1/31/2030, 144A
    170,576  
  400,000     Braskem Netherlands Finance BV,
5.875%, 1/31/2050, 144A
    315,964  
  525,000     Orbia Advance Corp. SAB de CV,
2.875%, 5/11/2031, 144A
    420,446  
   

 

 

 
      1,067,338  
   

 

 

 
  Collateralized Mortgage Obligations – 0.1%

 

  147,245     Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH,
5.500%, 1/15/2035(a)
    156,540  
   

 

 

 
  Construction Machinery – 1.8%

 

  2,680,000     Caterpillar Financial Services Corp., MTN, 0.450%, 5/17/2024     2,538,800  
  895,000     Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024     864,319  
  220,000     John Deere Capital Corp., MTN,
0.900%, 1/10/2024
    212,359  
  340,000     John Deere Capital Corp., MTN,
1.250%, 1/10/2025
    322,410  
   

 

 

 
      3,937,888  
   

 

 

 
  Consumer Cyclical Services – 1.0%

 

  255,000     Expedia Group, Inc.,
2.950%, 3/15/2031
    202,827  
  1,210,000     Expedia Group, Inc.,
3.250%, 2/15/2030
    1,009,115  
  535,000     Expedia Group, Inc.,
3.800%, 2/15/2028
    487,576  
  210,000     Uber Technologies, Inc.,
4.500%, 8/15/2029, 144A
    172,725  
  375,000     Uber Technologies, Inc.,
7.500%, 9/15/2027, 144A
    363,292  
   

 

 

 
      2,235,535  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  30


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Consumer Products – 0.3%

 

$ 360,000     Hasbro, Inc., 6.600%, 7/15/2028   $ 388,797  
  300,000     Natura Cosmeticos S.A.,
4.125%, 5/03/2028, 144A
    247,020  
   

 

 

 
      635,817  
   

 

 

 
  Diversified Manufacturing – 0.3%

 

  510,000     GE Capital Funding LLC,
4.550%, 5/15/2032
    491,917  
  241,000     GE Capital International Funding Co. Unlimited Co.,
4.418%, 11/15/2035
    225,093  
   

 

 

 
      717,010  
   

 

 

 
  Electric – 0.7%

 

  605,000     Calpine Corp.,
3.750%, 3/01/2031, 144A
    492,107  
  95,000     Edison International,
4.950%, 4/15/2025
    95,238  
  140,000     Pacific Gas & Electric Co.,
3.250%, 6/01/2031
    113,073  
  45,000     Pacific Gas & Electric Co.,
3.500%, 8/01/2050
    30,058  
  225,000     Pacific Gas & Electric Co.,
4.250%, 3/15/2046
    164,324  
  290,000     Pacific Gas & Electric Co.,
4.300%, 3/15/2045
    210,834  
  310,000     Pacific Gas & Electric Co.,
4.750%, 2/15/2044
    237,643  
  100,000     Pacific Gas & Electric Co.,
5.450%, 6/15/2027
    96,773  
   

 

 

 
      1,440,050  
   

 

 

 
  Finance Companies – 3.7%

 

  315,000     AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.000%, 10/29/2028
    265,330  
  400,000     AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.300%, 1/30/2032
    320,197  
  290,000     Air Lease Corp.,
3.125%, 12/01/2030
    237,025  
  196,000     Air Lease Corp.,
4.625%, 10/01/2028
    181,247  
  125,000     Air Lease Corp., MTN,
3.000%, 2/01/2030
    102,008  
  395,000     Ares Capital Corp.,
2.875%, 6/15/2028
    312,935  
  565,000     Ares Capital Corp.,
3.200%, 11/15/2031
    410,533  
  225,000     Aviation Capital Group LLC,
1.950%, 1/30/2026, 144A
    195,706  
  310,000     Barings BDC, Inc.,
3.300%, 11/23/2026, 144A
    268,901  
  1,110,000     Blackstone Secured Lending Fund,
2.125%, 2/15/2027
    928,236  
  390,000     FS KKR Capital Corp.,
3.125%, 10/12/2028
    311,050  
  15,000     Navient Corp., 5.000%, 3/15/2027     12,338  
  95,000     Navient Corp., 5.875%, 10/25/2024     87,323  
  110,000     Navient Corp., 6.750%, 6/15/2026     97,350  
  Finance Companies – continued

 

$ 84,000     Navient Corp., MTN,
5.625%, 8/01/2033
  $ 58,297  
  6,000     Navient Corp., MTN,
6.125%, 3/25/2024
    5,689  
  155,000     Oaktree Specialty Lending Corp.,
2.700%, 1/15/2027
    134,231  
  440,000     Owl Rock Capital Corp.,
2.875%, 6/11/2028
    345,512  
  1,920,000     Owl Rock Capital Corp.,
4.250%, 1/15/2026
    1,766,116  
  110,000     Owl Rock Technology Finance Corp.,
2.500%, 1/15/2027
    92,816  
  375,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
2.875%, 10/15/2026, 144A
    309,904  
  330,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A
    259,486  
  995,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A
    745,544  
  865,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
4.000%, 10/15/2033, 144A
    614,150  
   

 

 

 
      8,061,924  
   

 

 

 
  Financial Other – 0.3%

 

  200,000     CIFI Holdings Group Co. Ltd.,
6.450%, 11/07/2024
    127,336  
  200,000     Country Garden Holdings Co. Ltd.,
3.300%, 1/12/2031
    82,284  
  180,000     Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029     145,469  
  200,000     Logan Group Co. Ltd.,
4.850%, 12/14/2026
    42,862  
  200,000     Shimao Group Holdings Ltd.,
4.750%, 7/03/2022
    23,100  
  200,000     Shimao Group Holdings Ltd.,
5.200%, 1/16/2027(g)(h)
    21,414  
  200,000     Shimao Group Holdings Ltd.,
5.600%, 7/15/2026(g)(h)
    22,370  
  200,000     Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(g)(h)
    22,064  
  200,000     Times China Holdings Ltd.,
5.750%, 1/14/2027(g)(h)
    26,218  
  200,000     Times China Holdings Ltd.,
6.200%, 3/22/2026(g)(h)
    28,970  
   

 

 

 
      542,087  
   

 

 

 
  Food & Beverage – 0.4%

 

  185,000     JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.,
3.000%, 2/02/2029, 144A
    156,270  
  225,000     JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.,
3.750%, 12/01/2031, 144A
    184,587  
  190,000     Kraft Heinz Foods Co.,
4.375%, 6/01/2046
    158,283  
  300,000     Pilgrim’s Pride Corp.,
3.500%, 3/01/2032, 144A
    235,191  

 

See accompanying notes to financial statements.

 

31  |


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Food & Beverage – continued

 

$ 5,000     Pilgrim’s Pride Corp.,
4.250%, 4/15/2031, 144A
  $ 4,173  
   

 

 

 
      738,504  
   

 

 

 
  Gaming – 0.7%

 

  425,000     Genm Capital Labuan Ltd.,
3.882%, 4/19/2031, 144A
    336,393  
  190,000     GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032
    152,279  
  350,000     VICI Properties LP/VICI Note Co.,Inc.,
4.250%, 12/01/2026, 144A
    319,659  
  295,000     VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A     271,400  
  265,000     VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A     252,081  
  215,000     VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A     212,313  
   

 

 

 
      1,544,125  
   

 

 

 
  Government Guaranteed – 0.8%

 

  1,760,000     U.S. Department of Housing and Urban Development, Series A,
2.450%, 8/01/2022(a)
    1,759,648  
   

 

 

 
  Government Owned – No Guarantee – 0.8%

 

  955,000     Antares Holdings LP,
3.750%, 7/15/2027, 144A
    802,912  
  780,000     Pertamina Persero PT,
6.450%, 5/30/2044, 144A
    787,732  
  200,000     Sino-Ocean Land Treasure IV Ltd.,
4.750%, 1/14/2030
    86,214  
   

 

 

 
      1,676,858  
   

 

 

 
  Health Insurance – 0.7%

 

  810,000     Centene Corp., 2.500%, 3/01/2031     642,946  
  155,000     Centene Corp., 2.625%, 8/01/2031     123,302  
  110,000     Centene Corp., 3.000%, 10/15/2030     91,162  
  565,000     Centene Corp., 4.250%, 12/15/2027     527,411  
   

 

 

 
      1,384,821  
   

 

 

 
  Healthcare – 0.6%

 

  10,000     Cigna Corp., 7.875%, 5/15/2027     11,522  
  195,000     HCA, Inc., 3.500%, 9/01/2030     165,888  
  1,192,000     HCA, Inc., 4.500%, 2/15/2027     1,145,992  
   

 

 

 
      1,323,402  
   

 

 

 
  Home Construction – 0.9%

 

  195,000     MDC Holdings, Inc.,
3.966%, 8/06/2061
    112,199  
  510,000     MDC Holdings, Inc.,
6.000%, 1/15/2043
    416,594  
  260,000     Meritage Homes Corp.,
3.875%, 4/15/2029, 144A
    215,517  
  1,226,000     PulteGroup, Inc.,
6.000%, 2/15/2035(a)
    1,201,927  
   

 

 

 
      1,946,237  
   

 

 

 
  Hybrid ARMs – 0.0%

 

$ 1,720     FNMA, 6-month LIBOR + 1.460%, 1.786%, 2/01/2037(c)   $ 1,742  
  7,130     FNMA, 12-month LIBOR + 1.811%, 2.123%, 9/01/2036(c)     7,393  
   

 

 

 
      9,135  
   

 

 

 
  Independent Energy – 2.4%

 

  1,160,000     Aker BP ASA,
3.750%, 1/15/2030, 144A
    1,039,205  
  765,000     Continental Resources, Inc.,
2.875%, 4/01/2032, 144A
    597,404  
  13,000     Continental Resources, Inc.,
4.500%, 4/15/2023
    13,045  
  960,000     Continental Resources, Inc.,
5.750%, 1/15/2031, 144A
    928,262  
  190,000     Diamondback Energy, Inc.,
3.125%, 3/24/2031
    165,481  
  280,000     Energean Israel Finance Ltd.,
5.375%, 3/30/2028, 144A
    236,964  
  370,000     Energean Israel Finance Ltd.,
5.875%, 3/30/2031, 144A
    300,625  
  100,000     EQT Corp., 3.125%, 5/15/2026, 144A     93,631  
  385,000     EQT Corp., 3.625%, 5/15/2031, 144A     332,663  
  325,000     EQT Corp., 3.900%, 10/01/2027     302,442  
  75,000     EQT Corp., 5.000%, 1/15/2029     72,606  
  40,000     Leviathan Bond Ltd.,
6.125%, 6/30/2025, 144A
    37,699  
  450,000     Leviathan Bond Ltd.,
6.500%, 6/30/2027, 144A
    414,643  
  440,000     Ovintiv, Inc., 6.500%, 8/15/2034     459,243  
  40,000     Ovintiv, Inc., 7.375%, 11/01/2031     43,973  
  65,000     Southwestern Energy Co.,
4.750%, 2/01/2032
    55,544  
   

 

 

 
      5,093,430  
   

 

 

 
  Leisure – 0.2%

 

  80,000     NCL Corp. Ltd.,
5.875%, 3/15/2026, 144A
    62,791  
  250,000     NCL Corp. Ltd.,
5.875%, 2/15/2027, 144A
    213,753  
  110,000     Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028, 144A
    76,450  
   

 

 

 
      352,994  
   

 

 

 
  Life Insurance – 2.5%

 

  490,000     Athene Global Funding,
1.608%, 6/29/2026, 144A
    427,524  
  975,000     Athene Global Funding,
1.716%, 1/07/2025, 144A
    909,782  
  159,000     Brighthouse Financial, Inc.,
4.700%, 6/22/2047
    126,555  
  1,488,000     National Life Insurance Co.,
10.500%, 9/15/2039, 144A(g)(h)
    2,075,388  
  1,560,000     NLV Financial Corp.,
7.500%, 8/15/2033, 144A(g)(h)
    1,894,994  
   

 

 

 
      5,434,243  
   

 

 

 
  Lodging – 0.2%

 

  165,000     Marriott International, Inc.,
Series HH, 2.850%, 4/15/2031
    136,832  
  40,000     Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029, 144A
    33,267  

 

See accompanying notes to financial statements.

 

|  32


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Lodging – continued

 

$ 285,000     Travel & Leisure Co.,
4.500%, 12/01/2029, 144A
  $ 220,473  
  65,000     Travel & Leisure Co.,
4.625%, 3/01/2030, 144A
    50,375  
  10,000     Travel & Leisure Co.,
6.000%, 4/01/2027
    9,057  
  10,000     Travel & Leisure Co.,
6.625%, 7/31/2026, 144A
    9,481  
   

 

 

 
      459,485  
   

 

 

 
  Media Entertainment – 1.3%

 

  55,000     iHeartCommunications, Inc.,
4.750%, 1/15/2028, 144A
    45,324  
  25,000     iHeartCommunications, Inc.,
5.250%, 8/15/2027, 144A
    21,396  
  335,000     Magallanes, Inc.,
3.755%, 3/15/2027, 144A
    314,394  
  155,000     Magallanes, Inc.,
4.054%, 3/15/2029, 144A
    142,099  
  240,000     Magallanes, Inc.,
4.279%, 3/15/2032, 144A
    214,414  
  110,000     Netflix, Inc.,
4.875%, 4/15/2028
    103,515  
  935,000     Netflix, Inc.,
4.875%, 6/15/2030, 144A
    855,754  
  60,000     Netflix, Inc.,
5.375%, 11/15/2029, 144A
    56,700  
  425,000     Netflix, Inc.,
5.875%, 11/15/2028
    415,527  
  645,000     Netflix, Inc.,
6.375%, 5/15/2029
    651,418  
   

 

 

 
      2,820,541  
   

 

 

 
  Metals & Mining – 1.7%

 

  735,000     Anglo American Capital PLC,
2.875%, 3/17/2031, 144A
    611,571  
  200,000     First Quantum Minerals Ltd.,
6.875%, 10/15/2027, 144A
    178,812  
  260,000     FMG Resources August 2006 Pty Ltd.,
4.375%, 4/01/2031, 144A
    212,196  
  275,000     Freeport-McMoRan, Inc.,
4.250%, 3/01/2030
    250,233  
  305,000     Freeport-McMoRan, Inc.,
4.625%, 8/01/2030
    282,973  
  500,000     Freeport-McMoRan, Inc.,
5.400%, 11/14/2034
    487,955  
  1,250,000     Glencore Funding LLC,
2.500%, 9/01/2030, 144A
    1,018,912  
  645,000     Glencore Funding LLC,
2.850%, 4/27/2031, 144A
    532,525  
  85,000     Volcan Cia Minera SAA,
4.375%, 2/11/2026, 144A
    73,993  
   

 

 

 
      3,649,170  
   

 

 

 
  Midstream – 0.7%

 

  240,000     DCP Midstream Operating LP,
3.250%, 2/15/2032
    188,251  
  50,000     DCP Midstream Operating LP,
5.125%, 5/15/2029
    45,000  
  Midstream – continued

 

$ 125,000     DCP Midstream Operating LP,
6.450%, 11/03/2036, 144A
  $ 122,500  
  588,000     Energy Transfer LP,
5.000%, 5/15/2044
    492,485  
  43,000     ONEOK Partners LP,
6.200%, 9/15/2043
    40,389  
  27,000     Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023     26,876  
  55,000     Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030     48,616  
  10,000     Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043     7,535  
  45,000     Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045     36,190  
  70,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.875%, 2/01/2031
    63,812  
  80,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
5.500%, 3/01/2030
    76,334  
  85,000     Western Midstream Operating LP,
4.550%, 2/01/2030
    73,525  
  195,000     Western Midstream Operating LP,
5.300%, 3/01/2048
    157,199  
  35,000     Western Midstream Operating LP,
5.450%, 4/01/2044
    29,090  
  25,000     Western Midstream Operating LP,
5.500%, 8/15/2048
    20,375  
  120,000     Western Midstream Operating LP,
5.750%, 2/01/2050
    96,367  
   

 

 

 
      1,524,544  
   

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities – 2.1%

 

  345,000     BANK, Series 2021-BN35, Class AS,
2.457%, 6/15/2064(a)
    283,340  
  95,000     BPR Trust, Series 2021-NRD, Class B,
1-month Term SOFR + 2.124%, 3.458%, 12/15/2023, 144A(c)
    91,535  
  105,000     BPR Trust, Series 2021-NRD, Class C,
1-month Term SOFR + 2.424%, 3.758%, 12/15/2023, 144A(c)
    100,450  
  65,000     BPR Trust, Series 2021-NRD, Class D,
1-month Term SOFR + 3.723%, 5.057%, 12/15/2023, 144A(c)
    61,667  
  215,000     Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM,
3.416%, 10/15/2045, 144A
    213,970  
  100,000     Credit Suisse Mortgage Trust, Series 2014-USA, Class B,
4.185%, 9/15/2037, 144A
    92,018  
  139,144     Extended Stay America Trust, Series 2021-ESH, Class C,
1-month LIBOR + 1.700%, 3.025%, 7/15/2038, 144A(c)
    134,601  
  99,388     Extended Stay America Trust, Series 2021-ESH, Class D,
1-month LIBOR + 2.250%, 3.575%, 7/15/2038, 144A(c)
    95,894  

 

See accompanying notes to financial statements.

 

33  |


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Non-Agency Commercial Mortgage-Backed Securities – continued

 

$ 115,000     GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A,
3.668%, 3/05/2033, 144A(b)
  $ 106,695  
  125,000     GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B,
3.668%, 3/05/2033, 144A(b)
    110,897  
  125,000     GS Mortgage Securities Trust, Series 2014-GC18, Class AS,
4.383%, 1/10/2047
    120,348  
  185,000     GS Mortgage Securities Trust, Series 2014-GC18, Class B,
4.885%, 1/10/2047(b)
    169,368  
  420,000     JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.509%, 12/15/2047, 144A(b)     415,794  
  200,000     MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 3.125%, 11/15/2038, 144A(c)     190,710  
  100,000     Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A     99,057  
  55,000     Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.921%, 10/15/2046(b)     52,019  
  495,000     Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class C, 4.235%, 9/15/2049(b)     435,546  
  350,000     RBS Commercial Funding Trust, Series 2013-GSP, Class A,
3.961%, 1/15/2032, 144A(a)(b)
    344,409  
  65,000     UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC,
4.889%, 5/10/2063, 144A(b)
    61,557  
  39,845     UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A,
2.892%, 6/05/2030, 144A
    38,888  
  110,000     Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B,
4.434%, 7/15/2046(b)
    103,154  
  155,000     Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS,
4.020%, 8/15/2050
    150,321  
  73,239     WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D,
5.415%, 3/15/2044, 144A(b)
    31,200  
  145,000     WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B,
4.670%, 8/15/2046(b)
    138,010  
  175,000     WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B,
4.378%, 5/15/2047
    165,806  
  655,000     WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B,
4.204%, 11/15/2047(b)
    606,809  
   

 

 

 
      4,414,063  
   

 

 

 
  Paper – 0.4%

 

$ 552,000     Georgia-Pacific LLC,
7.250%, 6/01/2028
  $ 632,891  
  137,000     WestRock MWV LLC,
7.550%, 3/01/2047(g)(h)
    164,302  
  104,000     WestRock MWV LLC,
8.200%, 1/15/2030
    123,891  
   

 

 

 
      921,084  
   

 

 

 
  Pharmaceuticals – 0.4%

 

  20,000     Bausch Health Cos., Inc.,
4.875%, 6/01/2028, 144A
    15,651  
  35,000     Bausch Health Cos., Inc.,
5.000%, 1/30/2028, 144A
    18,638  
  5,000     Bausch Health Cos., Inc.,
5.000%, 2/15/2029, 144A
    2,600  
  5,000     Bausch Health Cos., Inc.,
5.250%, 1/30/2030, 144A
    2,583  
  50,000     Bausch Health Cos., Inc.,
5.250%, 2/15/2031, 144A
    25,589  
  5,000     Bausch Health Cos., Inc.,
6.250%, 2/15/2029, 144A
    2,661  
  5,000     Bausch Health Cos., Inc.,
7.000%, 1/15/2028, 144A
    2,863  
  150,000     Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
    125,401  
  425,000     Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046
    264,669  
  240,000     Teva Pharmaceutical Finance Netherlands III BV,
4.750%, 5/09/2027
    204,988  
  200,000     Teva Pharmaceutical Finance Netherlands III BV,
5.125%, 5/09/2029
    164,750  
   

 

 

 
      830,393  
   

 

 

 
  Property & Casualty Insurance – 0.8%

 

  1,286,000     Old Republic International Corp.,
4.875%, 10/01/2024
    1,305,916  
  555,000     Stewart Information Services Corp.,
3.600%, 11/15/2031
    460,350  
   

 

 

 
      1,766,266  
   

 

 

 
  REITs – Apartments – 0.0%

 

  85,000     American Homes 4 Rent,
2.375%, 7/15/2031
    67,778  
   

 

 

 
  REITs – Office Property – 0.0%

 

  85,000     Corporate Office Properties LP,
2.750%, 4/15/2031
    68,725  
   

 

 

 
  REITs – Shopping Centers – 0.0%

 

  70,000     Brixmor Operating Partnership LP,
2.250%, 4/01/2028
    60,028  
   

 

 

 
  Retailers – 1.5%

 

  2,680,000     Amazon.com, Inc.,
0.450%, 5/12/2024(a)
    2,548,134  
  650,000     AutoZone, Inc., 4.000%, 4/15/2030     617,172  
  125,000     Tapestry, Inc., 3.050%, 3/15/2032     101,839  
   

 

 

 
      3,267,145  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  34


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Supermarkets – 0.0%

 

$ 39,000     Koninklijke Ahold Delhaize NV,
5.700%, 10/01/2040
  $ 40,747  
   

 

 

 
  Technology – 4.8%

 

  1,065,000     Avnet, Inc., 4.625%, 4/15/2026     1,070,847  
  240,000     Broadcom, Inc.,
3.187%, 11/15/2036, 144A
    182,442  
  250,000     Broadcom, Inc., 4.150%, 11/15/2030     229,053  
  85,000     Broadcom, Inc., 4.300%, 11/15/2032     77,200  
  45,000     CDW LLC/CDW Finance Corp.,
2.670%, 12/01/2026
    40,092  
  110,000     CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029
    92,749  
  890,000     CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031
    735,287  
  25,000     CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028
    22,563  
  155,000     CommScope Technologies LLC,
5.000%, 3/15/2027, 144A
    114,591  
  250,000     CommScope, Inc.,
4.750%, 9/01/2029, 144A
    201,674  
  670,000     Entegris Escrow Corp.,
4.750%, 4/15/2029, 144A
    623,923  
  1,325,000     Equinix, Inc., 1.450%, 5/15/2026     1,176,147  
  885,000     Equinix, Inc., 2.000%, 5/15/2028     759,738  
  1,175,000     Equinix, Inc., 2.150%, 7/15/2030     950,570  
  130,000     Jabil, Inc., 1.700%, 4/15/2026     116,401  
  375,000     Jabil, Inc., 3.600%, 1/15/2030     333,978  
  330,000     Jabil, Inc., 3.950%, 1/12/2028     314,471  
  295,000     Marvell Technology, Inc.,
2.450%, 4/15/2028
    257,417  
  250,000     Marvell Technology, Inc.,
2.950%, 4/15/2031
    209,641  
  295,000     Microchip Technology, Inc.,
0.983%, 9/01/2024
    275,100  
  120,000     Micron Technology, Inc.,
4.663%, 2/15/2030
    115,075  
  155,000     Micron Technology, Inc.,
5.327%, 2/06/2029
    154,165  
  75,000     NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027     73,832  
  110,000     Open Text Holdings, Inc.,
4.125%, 2/15/2030, 144A
    95,156  
  600,000     Oracle Corp.,
3.950%, 3/25/2051
    440,698  
  545,000     TD SYNNEX Corp.,
1.750%, 8/09/2026, 144A
    480,114  
  630,000     TSMC Arizona Corp.,
2.500%, 10/25/2031
    540,203  
  420,000     Western Digital Corp.,
2.850%, 2/01/2029
    341,962  
  35,000     Western Digital Corp.,
3.100%, 2/01/2032
    26,838  
  330,000     Western Digital Corp.,
4.750%, 2/15/2026
    314,856  
   

 

 

 
      10,366,783  
   

 

 

 
  Transportation Services – 0.5%

 

$ 300,000     Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A   $ 233,535  
  210,000     Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A     195,523  
  562,000     ERAC USA Finance LLC,
6.700%, 6/01/2034, 144A
    634,916  
   

 

 

 
      1,063,974  
   

 

 

 
  Treasuries – 20.1%

 

  6,412(††)     Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)     1,154,290  
  129,744(†††)     Mexican Fixed Rate Bonds,
6.750%, 3/09/2023, (MXN)
    633,684  
  245,720(†††)     Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)     1,158,542  
  2,810,000     U.S. Treasury Bond,
2.000%, 11/15/2041
    2,231,755  
  6,495,000     U.S. Treasury Bond,
2.250%, 2/15/2052
    5,345,182  
  5,045,000     U.S. Treasury Note,
0.125%, 12/31/2022(a)(i)
    4,984,696  
  3,205,000     U.S. Treasury Note,
0.125%, 4/30/2023(a)
    3,132,887  
  1,120,000     U.S. Treasury Note,
0.125%, 8/31/2023(a)
    1,083,556  
  4,890,000     U.S. Treasury Note,
0.500%, 11/30/2023
    4,723,816  
  4,225,000     U.S. Treasury Note,
0.875%, 1/31/2024
    4,088,348  
  15,220,000     U.S. Treasury Note,
1.500%, 2/29/2024
    14,861,498  
   

 

 

 
      43,398,254  
   

 

 

 
  Wireless – 1.5%

 

  1,415,000     Crown Castle International Corp.,
2.250%, 1/15/2031
    1,147,758  
  55,000     Crown Castle International Corp.,
3.300%, 7/01/2030
    48,505  
  100,000     T-Mobile USA, Inc.,
2.400%, 3/15/2029
    86,357  
  180,000     T-Mobile USA, Inc.,
2.700%, 3/15/2032
    151,018  
  620,000     T-Mobile USA, Inc.,
3.375%, 4/15/2029
    542,500  
  305,000     T-Mobile USA, Inc.,
3.500%, 4/15/2031
    263,346  
  1,120,000     T-Mobile USA, Inc.,
3.875%, 4/15/2030
    1,045,247  
   

 

 

 
      3,284,731  
   

 

 

 
  Total Non-Convertible Bonds  
  (Identified Cost $214,029,030)     192,799,831  
   

 

 

 
  Convertible Bonds – 1.1%  
  Airlines – 0.1%

 

  210,000     Southwest Airlines Co.,
1.250%, 5/01/2025
    247,275  
   

 

 

 

 

See accompanying notes to financial statements.

 

35  |


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

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Cable Satellite – 0.4%

 

$ 965,000     DISH Network Corp.,
3.375%, 8/15/2026
  $ 651,858  
  180,000     DISH Network Corp.,
Zero Coupon,
6.944%-9.514%, 12/15/2025(j)
    126,437  
   

 

 

 
      778,295  
   

 

 

 
  Consumer Cyclical Services – 0.1%

 

  45,000     Peloton Interactive, Inc.,
Zero Coupon,
0.519%-0.799%, 2/15/2026(j)
    28,866  
  245,000     Uber Technologies, Inc.,
Zero Coupon, 0.000%-1.922%, 12/15/2025(j)
    195,784  
   

 

 

 
      224,650  
   

 

 

 
  Healthcare – 0.2%