N-CSR 1 d302271dncsr.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)

 

 

Natalie Wagner, 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) 449-2810

Date of fiscal year end: September 30

Date of reporting period: September 30, 2022

 

 

 


Item 1. Reports to Stockholders.

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


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Loomis Sayles Fixed Income Fund

Loomis Sayles Global Bond Fund

Loomis Sayles Inflation Protected Securities Fund

Loomis Sayles Institutional High Income Fund

Annual Report

September 30, 2022

TABLE OF CONTENTS  
Portfolio Review     1  
Portfolio of Investments     19  
Financial Statements     57  
Notes to Financial Statements     67  

 


LOOMIS SAYLES FIXED INCOME FUND

 

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

 

 

Investment Objective

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

 

 

Market Conditions

Fixed income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, increased in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though still has yet to meaningfully recover.

The US Federal Reserve (Fed) responded with an aggressive series of interest rate increases, bringing its benchmark Fed funds rate to a range of 3.0% to 3.25% from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” (the level at which the Fed was likely to stop raising rates) in 2023.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (spread) over Treasuries faced an additional headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell, given the inverse relationship between yield and price). Longer-term bonds also lost ground, : the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Investment grade corporate bonds lagged considerably due to both the increase in prevailing yields and rising yield spreads (particularly for lower-quality issues in the category). Notably, major corporate bond indexes fell to levels last seen in 2009 during the immediate aftermath of the global financial crisis. The yield on the ICE BofA US Corporate Index reached 5.75% in the final week of September – another level not seen since 2009.*

High yield corporate bonds posted double-digit losses due to a sizable increase in yield spreads. High yield issuers are particularly vulnerable to slower economic growth due to their smaller average size and generally weaker balance sheets. The category outperformed investment grade corporate issues, however, which is unusual for a time of heightened investor risk aversion. This outperformance is due to high yield’s generally shorter duration profile compared to investment grade debt. Also, energy issuers tend to be heavily represented in the high yield space, which supported relative performance on the strength of rising oil prices.

Amidst rising inflation, geopolitical instability, and a broad selloff in rates and risk markets, securitized credit markets have generally produced negative total and excess returns over the past 12 months. Lower-rated CLOs (collateralized loan obligations) have suffered the most as prices on underlying bank loans have dropped significantly. Sectors like consumer ABS (asset-backed securities) with lower interest rate sensitivity and less direct impact from geopolitical instability have underperformed less. Sectors like commercial ABS, namely aircraft, have been negatively impacted. Pockets of the CMBS (commercial mortgage-backed securities) market have held in relatively well amidst a longer-term recovery from Covid-19 related shocks. Senior tranches of RMBS (residential mortgage-backed securities) have provided positive excess returns while subordinates have sold off.

Emerging market bonds, which tend to have a higher correlation to global growth trends than the broader fixed income market, underperformed in relation to the US. The asset class was pressured not just by slowing growth and investors’ increased aversion to risk, but also the effects of the Russia-Ukraine war and pronounced weakness in emerging market currencies relative to the US dollar.

 

*   Source: Federal Reserve Bank of St. Louis Economic Database

Performance Results

For the 12 months ended September 30, 2022, Institutional Class shares of Loomis Sayles Fixed Income Fund returned -13.63% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Government/Credit Bond Index, which returned -14.95%.

Explanation of Fund Performance

Despite a challenging year for fixed income markets, the Fund posted positive relative returns versus its benchmark. Yield curve positioning was the primary source of outperformance. The Fund is targeting an overall duration shorter than that of the benchmark which has been a

 

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positive contributor given the sharp upward movement in interest rates. Securitized credit was also beneficial given the asset class’s shorter duration profile. Here, holdings in ABS (asset-backed securities) and collateralized loan obligations aided returns. An allocation to equities, particularly in the energy and consumer non-cyclical sectors, was helpful. For equities, the team has employed a basket approach seeking a diversified allocation that provides attractive dividend yields and capital appreciation potential versus fixed income. This exposure was reduced during the year as fixed income yields increased. Finally, performance was aided by defensive, reserve-like positions as risk-off sentiment prevailed.

An allocation to emerging market credit was the biggest detractor of relative returns, with selected holdings in Mexico (capital goods sector) and Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China have exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector have been limited, resulting in further bond price erosion. High yield credit was also a laggard as aggressive central bank policy and an increasingly slower growth outlook has put pressure on risk assets. In addition, a handful of our higher conviction positions, particularly in the finance companies and communications sectors, have underperformed the broader market.

Outlook

After a strong rally in risk assets early in the third quarter, volatility returned to markets as the Federal Reserve (Fed) retained its hawkish stance amid stubborn inflation prints. The macroeconomic environment and outlook remains challenging. Global growth forecasts have been challenged by geopolitics, war, shutdowns in China, and a looming energy crisis in Europe. Domestically, market participants have adjusted their interest rate expectations to incorporate repeated affirmations by the Fed of a clear path to higher policy rates. Stubborn inflation and a determined Fed continue to put pressure on risk assets.

In our view, the credit cycle1 has slid deeper into the late expansion cycle. We expect slowing growth and stubborn inflation. Fed actions have elevated the risks of a downturn and should that evolve we expect inflation to recede slowly. US hiring remains resilient, putting pressure on wages, but ultimately we believe higher rates may temper those pressures. Oil prices have slid on global growth concerns alleviating the pressure on US gas prices. However, natural gas supplies to Europe this winter are a significant risk and supply chain effects from that remain unknown. In summary, we do expect inflation to moderate but at a very slow pace.

We expect the Fed to stay on a tightening course through the end of this year and into early 2023, likely elevating the policy rate to the 4.50-4.75% range. In our view the Fed will largely be driven by the extent to which there is firm evidence of inflation moderating. We also believe the Fed may be increasingly sensitive to its impact on global financial markets, although a policy pivot seems unlikely. We expect the US 10-year bond yield to move only modestly higher from here and eventually be below the short-term policy rate. Our portfolios remain positioned defensively on rate risk while edging closer to levels where rate sensitivity becomes less of a concern.

While the Fed path seems firm at this point, a critical question is how the growth outlook for 2023 evolves and what impact that could have on corporate earnings and balance sheets. We expect slowing growth with an elevated risk of recession. Corporate fundamentals have remained reasonably strong, with solid second quarter earnings. Nonetheless, we anticipate slowing growth to be a drag on corporate earnings going forward. That said, given the strong starting point for corporate fundamentals we expect credit losses to move closer to historical averages.

Regionally, we are largely focused on US fixed income markets. An aggressive Fed and safe haven inflows have created strong momentum in the US dollar. Given global growth concerns, a committed Fed, and policies abroad that have weakened domestic currencies, we remain cautious in non-dollar-denominated assets. We have largely been avoiding Europe and anticipate a deep recession there. Should that unfold, however, opportunities may present themselves.

We believe that value is returning to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. Dollar prices on bonds are currently at post-global financial crisis lows. Corporate bond spreads in both investment grade and high yield are currently above long-term averages, and overall yields could offer favorable levels with high yield approaching 10% and BBB-rated bonds around 6%. We believe the combination of discount-to-par, wider spreads and overall yield is increasing the potential value opportunity in bonds.

We believe the corporate bond spreads could edge wider from here with some modest further elevation in yields. However, future interest rate and spread risk is being mitigated by generally higher yields and wider spreads. We have been holding larger than average liquid reserves and maintaining an up-in-quality bias. As opportunities develop, we will consider redeploying reserves, a process that has already begun. At the same time, short-term yields have risen meaningfully, and we are comfortable with how we are being paid.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

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LOOMIS SAYLES FIXED INCOME FUND

 

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2012 through September 30, 20222

 

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Average Annual Total Returns — September 30, 20222

 

         
                           Expense Ratios3  
      1 Year      5 Years      10 Years      Gross      Net  
     
Institutional Class      -13.63      0.66      2.82      0.59      0.59
   
Comparative Performance                 
Bloomberg U.S. Government/Credit Bond Index1      -14.95        -0.05        1.02                    

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. 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 a broad-based flagship benchmark that measures the non-securitized component of the U.S. Aggregate Index. The 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 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 1/31/23. 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.

 

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LOOMIS SAYLES GLOBAL BOND FUND

 

Managers   Symbols   
David W. Rolley, CFA®   Institutional Class    LSGBX
Lynda L. Schweitzer, CFA®   Retail Class    LSGLX
Scott M. Service, CFA®   Class N    LSGNX

 

 

Investment Objective

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

 

 

Market Conditions

The Omicron variant of Covid-19 was a key driver of investor sentiment in the fourth quarter of 2021. While the number of global cases surged in December, it soon became evident that omicron was less virulent than previous strains of the virus and risk assets quickly recovered in response. Inflation weighed on investor sentiment and prompted the US Federal Reserve (Fed) to abandon its use of the word “transitory” in its discussion of increasing price pressures. The hawkish rhetoric led many investors to believe that future rate hikes would be pulled forward which led to a flattening of the treasury curve.

Russia’s invasion of Ukraine was a key driver of the negative tone during the first quarter of 2022. After building up troops near Ukraine’s border over several weeks in the early part of the year, Russia ultimately launched the invasion on February 23. The military action, together with the sanctions that followed, intensified disruptions in global supply chains and led to concerns about the supplies of oil, natural gas and other key commodities. Rising prices, in turn, led to worries that consumer spending would decline and that Europe could move into a recession. China’s Covid zero strategy led to renewed lockdowns in several cities throughout the year and contributed to continued global supply chain bottlenecks. China’s policy to curtail lending to property developers in an effort to deleverage the property market was another factor that led to slowdown in growth in the world’s second largest economy. Finally, the prospect of tighter Fed policy caused the global bond market to finish with one of its worst quarterly returns in history. Inflationary concerns across the major markets and the intensifying conflict in Ukraine caused US, Euro, and Sterling investment grade spreads to widen.

Central banks began tightening monetary policy aggressively to combat surging inflation. The Fed raised interest rates five times in 2022, and brought the Fed Funds rate to a range of 3.0% to 3.25% by the end of the period. Bond yields rose sharply in response (as prices fell), adding to the losses experienced in the first six months of the year. Many overseas central banks joined the Fed in tightening policy, highlighted by surprise interest-rate hikes by both the Bank of England and the Swiss National Bank. While central banks typically prepare the markets prior to making a move, the rapidly shifting landscape has led to greater urgency to dampen inflation. Rising rates were accompanied by concerns about economic growth. The US economy shrank 1.6% year-over-year in the first quarter. Europe’s economies also lost momentum, with the conflict in Ukraine contributing to uncertainty and leading to a sharp increase in energy prices across the region.

In Europe, the gas cutoff from Russia drove overall risk sentiment lower. The shutoff of gas from Russia to Europe from Nord Stream 1 and the mysterious sabotage of several other underwater pipelines is expected to cause significant spikes in energy costs for residential consumers and businesses that rely on Russian supplied natural gas. The European Central Bank also raised rates by 75 basis points in September to combat soaring food and energy prices. The gilt market and the British pound experienced extreme volatility in September after Prime Minister Truss’s proposed unfunded tax cuts sparked a historic selloff in gilts and the pound falling to a record low versus the dollar. The Bank of England was forced to intervene to calm the markets.

Dollar strength was another prominent theme during the period. The greenback surged against other major currencies due to differences in economic growth rates and concerns about possible policy errors in the United Kingdom, Japan and other nations. In the final week of September, the US Dollar Index reached its highest level in more than 20 years.

Performance Results

For the 12 months ended September 30, 2022, Institutional Class shares of Loomis Sayles Global Bond Fund returned -21.73%. The Fund underperformed its benchmark, the Bloomberg Global Aggregate Bond Index, which returned -20.43%.

Explanation of Fund Performance

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) and stance with respect to duration and corresponding interest rate sensitivity led positive contributions to relative performance during the period. The underweight to duration in the belly of the US dollar-pay curve was additive as yields rose given the Fed’s rate hikes throughout the period. The Fed embarked on an aggressive monetary tightening path in an effort to tame persistently high inflation, hiking rates 300 basis points so far in 2022.

Security selection was a modest positive contributor. In particular, issues held within European REITs, banking and insurance sectors were additive. Specific banking issuers such as Unicredit and Deutsche Bank stand to benefit from rising rates while still maintaining healthy balance sheets with strong liquidity.

 

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LOOMIS SAYLES GLOBAL BOND FUND

 

Underweight allocations to the British pound sterling and Russian ruble proved beneficial as the US dollars strengthened during the period as risk-off sentiment led investors towards safe haven assets. The unfunded tax cuts announced by the British government roiled markets and the pound fell to a record low versus the dollar in September.

Currency allocation was the largest detractor from performance during the period. Overweight allocations to the Swedish krona, New Zealand dollar and Australian dollar detracted as the majority of global currencies weakened against the US dollar.

Currency and yield curve markets experienced elevated levels of volatility in the period and this resulted in derivatives driving a higher than typical level of total return. The Fund’s use of forward currency contracts in managing relative exposures detracted from total return.

Targeted risk-adjusted overweight allocations to the banking, transportation and insurance sectors weighed on performance during the period. The global risk-off tone persisted throughout the year and global investment grade credit spreads (the incremental yield provided by lower quality securities relative to Treasuries) generally widened.

Security selection detracted within the electric and consumer non-cyclical sectors. Within the electric sector, issuers such as National Grid faced many headwinds including gas shortages due to the Russia-Ukraine war, elevated liquidity requirements, risk of price caps and the risk of rising bad debt. Security selection was overall negative, however, issues held within European REITs, banking and insurance sectors were additive. Specific banking issuers such as Unicredit and Deutsche Bank stand to benefit from rising rates while still maintaining healthy balance sheets with strong liquidity.

Outlook

Tighter global monetary policies have increased the odds of a recession. Decelerating, but positive global growth in 2022 remains the base case, however recession risks continue to rise as central bank tightening bites and demand destruction from higher inflation slows the global economy. Consensus expectations for corporate profit growth have held up well for the time being as underlying fundamentals are currently favorable, but they will likely start to decline heading into 2023.

Inflation is expected to remain sticky given the volatile geopolitical backdrop, tight labor markets, and only partially resolved supply chain issues. Wage pressure, service sector prices, and home price impacts on core inflation are expected to decelerate yet remain elevated. Gas prices have come down which has helped ease the pain for consumers in the US, but core inflation is likely to remain stubbornly high. We anticipate headline inflation in most countries will peak in Q4, but in the 6-12 month horizon will decline by 3-5% while core inflation will subside gradually by about 1.0-1.25%. In the US, we see headline and core inflation nearing 3.25-3.5% in twelve months’ time. Near-term consensus inflation forecasts indicate that the Fed and other central banks will not be able to bring inflation down to their target levels until 2024 and we expect the Fed to continue on its hawkish path. The near-term squeeze in European energy markets and depth of the economic downturn are key inputs into the path of prices and do remain difficult to predict with any precision leaving fixed income markets to continue to exhibit above average volatility.

The US dollar could continue to strengthen over the short term, led by a hawkish Fed, rising US Treasury yields, and the continued volatile geopolitical backdrop. The US is benefitting from having a relatively less exposed economy to rising energy prices. Other factors contributing to dollar strength include more non-US headwinds to growth such as China’s zero-Covid policy and property market issues, and Europe’s acute energy supply shortage. Until global growth begins to improve, we expect the dollar to remain strong.

Europe remains a source of potential risk if a worsening of the region’s energy crisis leads to an accelerating decline in industrial production. The potential escalation of the crisis in Ukraine remains an important risk, as well. We are keeping a close eye on these developments, as well as the nature of the policy responses from the region’s governments and central banks.

We believe China’s GDP growth target of 5.5% for 2022 is now beyond reach, and we expect an expansion of approximately 3.5% for the full year. China continues to enact strict lockdowns where outbreaks of Covid-19 occur, even at the expense of economic growth. The Chinese property market is not making front-page news like it used to, but it also remains a risk. China has a hefty weight in the global economy, and a crisis in China could have spillover effects to the rest of the world if a crisis were to occur.

 

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Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2012 through September 30, 20222

 

LOGO

Average Annual Total Returns — September 30, 20222

 

           
                          

Life of
Class N

 

     Expense Ratios3  
     

1 Year

    

5 Years

    

10 Years

     Gross      Net  
     
Institutional Class      -21.73      -2.21      -0.71           0.75      0.69
     
Retail Class      -21.96        -2.45        -0.96               1.00        0.94  
     
Class N (Inception 2/1/13)      -21.73        -2.16               -0.65        0.66        0.64  
   
Comparative Performance                    
Bloomberg Global Aggregate Bond Index1      -20.43        -2.32        -0.93        -0.81                    

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 Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

 

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 1/31/23. 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.

 

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LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

 

Managers   Symbols   
Elaine Kan, CFA®   Institutional Class    LSGSX
Kevin P. Kearns   Retail Class    LIPRX
  Class N    LIPNX

 

 

Investment Objective

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

 

 

 

Market Conditions

The fixed-income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, took another leg higher in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though still has yet to meaningfully decline.

The US Federal Reserve (Fed) responded with an aggressive series of interest-rate increases, bringing its benchmark fed funds rate to a range of 3.0% to 3.25%, u from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” in 2023; or in other words, the level at which the Fed was likely to stop raising rates.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (or “spread”) over Treasuries faced an additional headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell). Longer-term bonds also lost ground, but to a lesser extent: the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022.

One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Investment-grade corporate bonds lagged considerably due to both the increase in prevailing yields and rising yield spreads (particularly for lower-quality issues in the category). Notably, major corporate bond indexes fell to levels last seen in 2009 during the immediate aftermath of the Global Financial Crisis. The yield on the ICE BofA US Corporate Index reached 5.75% in the final week of September – another level not seen since 2009.

Performance Results

For the 12 months ended September 30, 2022, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned -12.55%. The Fund underperformed its benchmark, the Bloomberg U.S. Treasury Inflation Protected Securities Index (Series-L), which returned -11.57%.

Explanation of Fund Performance

The Fund was positioned to benefit from an increase in inflation expectations, which was the main positive contributor for the year. The Fund’s short front-end rates position also contributed positively as the European Central Bank tightened policy. Finally, security selection within the Fund’s core TIPS allocation proved additive to performance.

On the downside, the Fund’s out-of-benchmark exposure to both investment grade and high yield corporate bonds detracted from relative return as credit sentiment weakened during the period. In addition, efforts to tactically hedge duration and corresponding interest rate risk weighed on performance.

Outlook

After a strong rally in risk assets early in the third quarter, volatility returned to markets as the Federal Reserve retained its hawkish stance amid stubborn inflation prints. The macroeconomic environment and outlook remains challenging. Global growth forecasts have been challenged by geopolitics, war, shutdowns in China, and a looming energy crisis in Europe. Domestically, market participants have adjusted their interest rate expectations to incorporate repeated affirmations by the US central bank of a clear path to higher policy rates. Stubborn inflation and a determined Fed continue to put pressure on risk assets.

In our view, the credit cycle1 has slid deeper into late cycle. We expect slowing growth and stubborn inflation. Fed actions have elevated the risks of a downturn, and should that evolve we expect inflation to recede slowly. US hiring remains resilient, putting pressure on wages, but

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

7  |


 

ultimately we believe higher rates may temper those pressures. Oil prices have slid on global growth concerns, alleviating the pressure on US gas prices. However, natural gas supplies to Europe this winter are a significant risk and supply chain effects from that remain unknown. In summary, we do expect inflation to moderate but at a very slow pace.

We expect the US central bank to stay on a tightening course through the end of this year and into early 2023, likely elevating the policy rate to the 4.50-4.75% range. In our view the Fed will largely be driven by the extent to which there is firm evidence of inflation moderating. We also believe that the Fed may be increasingly sensitive to its impact on global financial markets, although a policy pivot seems unlikely. We expect the US 10-year bond yield to move only modestly higher from here and eventually be below the short-term policy rate. Our portfolios remain positioned defensively on rate risk while edging closer to levels where rate sensitivity becomes less of a concern.

While the Fed path seems firm at this point, a critical question is how the growth outlook for 2023 evolves and what impact that could have on corporate earnings and balance sheets. We expect slowing growth with an elevated risk of recession. Corporate fundamentals have remained reasonably strong, with solid second quarter earnings. Nonetheless, we anticipate slowing growth to be a drag on corporate earnings going forward. That said, given the strong starting point for corporate fundamentals we expect credit loss experience to move closer to historical averages.

Regionally, we are largely focused on US fixed income markets. An aggressive Fed and safe haven inflows have created strong momentum in the US dollar. Given global growth concerns, a committed Fed, and policies abroad that have weakened domestic currencies we remain cautious in non-dollar-denominated assets. We have largely been avoiding Europe and anticipate a deep recession there. However, should that unfold opportunities may present themselves.

We believe that value is returning to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. Dollar prices on bonds are currently at post-Global Financial Crisis lows. Corporate bond spreads in both investment grade and high yield are currently above long-term averages, and overall yields could offer favorable levels with high yield approaching 10% and BBB-rated bonds around 6%. We believe the combination of discount-to-par, wider spreads and overall yield is increasing the potential value opportunity in bonds.

We believe the corporate bond spreads could edge wider from here with some modest further elevation in yields. However, future interest rate and spread risk is being mitigated by generally higher yields and wider spreads. We have been holding larger than average liquid reserves and maintaining an up-in-quality bias. As opportunities develop, we will consider redeploying reserves, a process that has already begun. At the same time, short-term yields have risen meaningfully and we are comfortable with how we are being paid as opportunities likely develop.

 

 

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2012 through September 30, 20222

 

LOGO

See notes to charts on page 9.

 

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LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

 

Average Annual Total Returns — September 30, 20222

 

           
                      

Life of
Class N

 

    Expense Ratios3  
     1 Year     5 Years     10 Years     Gross     Net  
     
Institutional Class     -12.55     2.08     0.90         0.52     0.40
     
Retail Class     -12.79       1.84       0.63             0.77       0.65  
     
Class N (Inception 2/1/17)     -12.49       2.15             2.14       0.46       0.35  
   
Comparative Performance              
Bloomberg U.S. Treasury Inflation Protected Securities Index (Series L)1     -11.57       1.95       0.98       1.89                  

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. Treasury Inflation Protected Securities Index (Series-L) is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury. The Index is a rules-based, market value weighted index that tracks inflation protected securities issued by the U.S. Treasury. The liquidity constraint for all securities in the Index is $300 million.

 

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 1/31/23. 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.

 

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LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

 

Managers   Symbol   
Brian P. Kennedy   Institutional Class    LSHIX
Matthew J. Eagan, CFA®     
Elaine M. Stokes     
Todd P. Vandam, CFA®     

 

 

Investment Objective

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

 

 

Market Conditions

Fixed income markets experienced significant, broad-based weakness in the 12-month period that ended on September 30, 2022. Inflation, which had already been increasing throughout 2021, increased in February 2022 after Russia’s invasion of Ukraine created additional supply-chain pressures and led to a spike in commodity prices. Consumer price inflation remained elevated long after the conflict began. Inflation has seemingly peaked at 9.1% in June, though still has yet to meaningfully recover.

The US Federal Reserve (Fed) responded with an aggressive series of interest rate increases, bringing its benchmark Fed funds rate to a range of 3.0% to 3.25% from 0% to 0.25% at the start of 2022. This marked the largest move in such a short interval since 1980. Perhaps even more important for the markets, investors continued to ratchet up their expectations for the “terminal rate” (the level at which the Fed was likely to stop raising rates) in 2023.

Tighter Fed policy not only led to a rise in prevailing yields, but also fueled an increase in investors’ aversion to risk more generally. As a result, more volatile asset categories that trade based on their yield advantage (spread) over Treasuries faced an additional headwind.

US Treasuries endured one of their worst stretches of performance in over 40 years. The two-year note, which is more sensitive to Fed policy shifts than other portions of the yield curve, soared from 0.28% to 4.22% over the course of the 12-month period (as its price fell, given the inverse relationship between yield and price). Longer-term bonds also lost ground, : the yield on the 10-year issue climbed from 1.52% at the start of the period to 3.83% on September 30, 2022. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt). In late September, in fact, the yield curve moved to its largest inversion since 1982.

Investment grade corporate bonds lagged considerably due to both the increase in prevailing yields and rising yield spreads (particularly for lower-quality issues in the category). Notably, major corporate bond indexes fell to levels last seen in 2009 during the immediate aftermath of the global financial crisis. The yield on the ICE BofA US Corporate Index reached 5.75% in the final week of September – another level not seen since 2009.*

High yield corporate bonds posted double-digit losses due to a sizable increase in yield spreads. High yield issuers are particularly vulnerable to slower economic growth due to their smaller average size and generally weaker balance sheets. The category outperformed investment grade corporate issues, however, which is unusual for a time of heightened investor risk aversion. This outperformance is due to high yield’s generally shorter duration profile compared to investment grade debt. Also, energy issuers tend to be heavily represented in the high yield space, which supported relative performance on the strength of rising oil prices.

Amidst rising inflation, geopolitical instability, and a broad selloff in rates and risk markets, securitized credit markets have generally produced negative total and excess returns over the past 12 months. Lower-rated CLOs (collateralized loan obligations) have suffered the most as prices on underlying bank loans have dropped significantly. Sectors like consumer ABS (asset-backed securities) with lower interest rate sensitivity and less direct impact from geopolitical instability have underperformed less. Sectors like commercial ABS, namely aircraft, have been negatively impacted. Pockets of the CMBS (commercial mortgage-backed securities) market have held in relatively well amidst a longer-term recovery from Covid-19 related shocks. Senior tranches of RMBS (residential mortgage-backed securities) have provided positive excess returns while subordinates have sold off.

Emerging market bonds, which tend to have a higher correlation to global growth trends than the broader fixed income market, underperformed in relation to the US. The asset class was pressured not just by slowing growth and investors’ increased aversion to risk, but also the effects of the Russia-Ukraine war and pronounced weakness in emerging market currencies relative to the US dollar.

 

*   Source: Federal Reserve Bank of St. Louis Economic Database

Performance Results

For the 12 months ended September 30, 2022, Institutional Class shares of Loomis Sayles Institutional High Income Fund returned -14.06% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Corporate High-Yield Bond Index, which returned -14.14%.

 

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LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

 

Explanation of Fund Performance

Despite a challenging year for fixed income markets, the Fund posted positive relative returns versus its benchmark. Holdings in securitized credit were positive for performance as this asset class held up better than high yield. Here, selected CMBS (commercial mortgage-backed securities) were helpful for relative returns. An allocation to defensive, reserve-like positions and US Treasuries was beneficial as risk-off sentiment prevailed. Exposure to equities, particularly in the energy and consumer non-cyclical sectors, was helpful. For equities, the team has employed a basket approach seeking a diversified allocation that provides attractive dividend yields and capital appreciation potential versus fixed income. This exposure was reduced during the year as fixed income yields increased.

Security selection within high yield credit was the biggest detractor of performance. High yield has lagged as aggressive central bank policy and an increasingly slower growth outlook has put pressure on risk assets. In addition, a handful of our higher conviction positions in the communications and consumer non-cyclical sectors have underperformed the broader market. An allocation to emerging market credit was also a detractor, with selected holdings in Israel (consumer non-cyclical), Mexico (capital goods) and Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China have exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector have been limited, resulting in further bond price erosion. Finally, convertible securities, particularly within the communications sector, weighed on returns given the tumultuous equity market backdrop.

Outlook

After a strong rally in risk assets early in the third quarter, volatility returned to markets as the Federal Reserve (Fed) retained its hawkish stance amid stubborn inflation prints. The macroeconomic environment and outlook remains challenging. Global growth forecasts have been challenged by geopolitics, war, shutdowns in China, and a looming energy crisis in Europe. Domestically, market participants have adjusted their interest rate expectations to incorporate repeated affirmations by the Fed of a clear path to higher policy rates. Stubborn inflation and a determined Fed continue to put pressure on risk assets.

In our view, the credit cycle1 has slid deeper into the late expansion cycle. We expect slowing growth and stubborn inflation. Fed actions have elevated the risks of a downturn and should that evolve we expect inflation to recede slowly. US hiring remains resilient, putting pressure on wages, but ultimately we believe higher rates may temper those pressures. Oil prices have slid on global growth concerns alleviating the pressure on US gas prices. However, natural gas supplies to Europe this winter are a significant risk and supply chain effects from that remain unknown. In summary, we do expect inflation to moderate but at a very slow pace.

We expect the Fed to stay on a tightening course through the end of this year and into early 2023, likely elevating the policy rate to the 4.50-4.75% range. In our view the Fed will largely be driven by the extent to which there is firm evidence of inflation moderating. We also believe the Fed may be increasingly sensitive to its impact on global financial markets, although a policy pivot seems unlikely. We expect the US 10-year bond yield to move only modestly higher from here and eventually be below the short-term policy rate. Our portfolios remain positioned defensively on rate risk while edging closer to levels where rate sensitivity becomes less of a concern.

While the Fed path seems firm at this point, a critical question is how the growth outlook for 2023 evolves and what impact that could have on corporate earnings and balance sheets. We expect slowing growth with an elevated risk of recession. Corporate fundamentals have remained reasonably strong, with solid second quarter earnings. Nonetheless, we anticipate slowing growth to be a drag on corporate earnings going forward. That said, given the strong starting point for corporate fundamentals we expect credit losses to move closer to historical averages.

Regionally, we are largely focused on US fixed income markets. An aggressive Fed and safe haven inflows have created strong momentum in the US dollar. Given global growth concerns, a committed Fed, and policies abroad that have weakened domestic currencies, we remain cautious in non-dollar-denominated assets. We have largely been avoiding Europe and anticipate a deep recession there. Should that unfold, however, opportunities may present themselves.

We believe that value is returning to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. Dollar prices on bonds are currently at post-global financial crisis lows. Corporate bond spreads in both investment grade and high yield are currently above long-term averages, and overall yields could offer favorable levels with high yield approaching 10% and BBB-rated bonds around 6%. We believe the combination of discount-to-par, wider spreads and overall yield is increasing the potential value opportunity in bonds.

We believe the corporate bond spreads could edge wider from here with some modest further elevation in yields. However, future interest rate and spread risk is being mitigated by generally higher yields and wider spreads. We have been holding larger than average liquid reserves and maintaining an up-in-quality bias. As opportunities develop, we will consider redeploying reserves, a process that has already begun. At the same time, short-term yields have risen meaningfully, and we are comfortable with how we are being paid.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

11  |


 

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2012 through September 30, 20222

 

LOGO

Average Annual Total Returns — September 30, 20222

 

         
                           Expense Ratios3  
      1 Year      5 Years      10 Years      Gross      Net  
     
Institutional Class      -14.06      0.55      3.91      0.71      0.71
   
Comparative Performance                 
Bloomberg U.S. Corporate High-Yield Bond Index1      -14.14        1.57        3.94                    

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. 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. Corporate High-Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices.

 

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 1/31/23. 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.

 

|  12


ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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 Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available through the Funds’ 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 fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in each Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds 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 April 1, 2022 through September 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 = 8.60) 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.

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 Fixed Income Fund

 

Institutional Class

  Beginning
Account Value
4/1/2022
     Ending
Account Value
9/30/2022
     Expenses Paid
During Period*
4/1/2022 – 9/30/2022
 

Actual

    $1,000.00        $904.50        $2.77  

Hypothetical (5% return before expenses)

    $1,000.00        $1,022.16        $2.94  

* Expenses are equal to the Fund’s annualized expense ratio of 0.58%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

  

 

13  |


Loomis Sayles Global Bond Fund

 

Institutional Class

  Beginning
Account Value
4/1/2022
     Ending
Account Value
9/30/2022
     Expenses Paid
During Period*
4/1/2022 – 9/30/2022
 

Actual

    $1,000.00        $838.80        $3.23  

Hypothetical (5% return before expenses)

    $1,000.00        $1,021.56        $3.55  

Retail Class

                   

Actual

    $1,000.00        $837.80        $4.38  

Hypothetical (5% return before expenses)

    $1,000.00        $1,020.31        $4.81  

Class N

                   

Actual

    $1,000.00        $838.70        $3.00  

Hypothetical (5% return before expenses)

    $1,000.00        $1,021.81        $3.29  

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 0.95% and 0.65% for Institutional Class, Retail 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 (183), divided by 365 (to reflect the half-year period).

  

Loomis Sayles Inflation Protected Securities Fund

 

Institutional Class

  Beginning
Account Value
4/1/2022
     Ending
Account Value
9/30/2022
     Expenses Paid
During Period*
4/1/2022 – 9/30/2022
 

Actual

    $1,000.00        $887.50        $1.89  

Hypothetical (5% return before expenses)

    $1,000.00        $1,023.06        $2.03  

Retail Class

                   

Actual

    $1,000.00        $886.10        $3.07  

Hypothetical (5% return before expenses)

    $1,000.00        $1,021.81        $3.29  

Class N

                   

Actual

    $1,000.00        $887.90        $1.66  

Hypothetical (5% return before expenses)

    $1,000.00        $1,023.31        $1.78  

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40%, 0.65% and 0.35% for Institutional Class, Retail 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 (183), divided by 365 (to reflect the half-year period).

  

Loomis Sayles Institutional High Income Fund

 

Institutional Class

  Beginning
Account Value
4/1/2022
     Ending
Account Value
9/30/2022
     Expenses Paid
During Period*
4/1/2022 – 9/30/2022
 

Actual

    $1,000.00        $886.50        $3.26  

Hypothetical (5% return before expenses)

    $1,000.00        $1,021.61        $3.50  

* Expenses are equal to the Fund’s annualized expense ratio of 0.69%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

  

 

|  14


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.

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

 

15  |


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 Fixed Income Fund

     41%          25%          24%  

Loomis Sayles Global Bond Fund

     48%          18%          11%  

Loomis Sayles Inflation Protected Securities Fund

     75%          10%          10%  

Loomis Sayles Institutional High Income Fund

     8%          77%          70%  

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 had outperformed its relevant benchmark for the one-year period ended December 31, 2021; (3) that the Fund’s mid- and long-term performance was strong relative to its category; and (4) that the Fund’s long-term (10-year) relative performance remains strong. The Board also considered information about the Funds’ 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 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 all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Fixed Income Fund and Loomis Sayles Institutional High Income Fund were below each Fund’s expense limitation. The Trustees further noted that the Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, and Loomis Sayles Inflation Protected Securities Fund had total advisory fee rates that were at or below the medians of their respective peer groups of funds.

The Trustees noted that the Loomis Sayles Institutional High Income Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified the relatively higher advisory fee rate, including that the Fund has a more flexible investment strategy than its peers.

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.

 

|  16


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.

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 Global Bond Fund has 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.

 

17  |


LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2021 and ending December 31, 2021 (including updates through September 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, which is the adviser of the Funds.

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 Fixed Income Fund, Loomis Sayles Global Bond Fund and Loomis Sayles Institutional High Income Fund have established an HLIM.

During the period from January 1, 2021 to December 31, 2021, there were no material changes to the Program 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 September 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.

 

|  18


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – 87.1% of Net Assets  
  Non-Convertible Bonds – 82.4%  
  ABS Car Loan – 4.1%

 

$ 675,000     American Credit Acceptance Receivables Trust,
Series 2021-3, Class D,
1.340%, 11/15/2027, 144A
  $ 633,444  
  120,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2018-1A, Class C,
4.730%, 9/20/2024, 144A
    118,027  
  130,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2019-2A, Class C,
4.240%, 9/22/2025, 144A
    123,708  
  475,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2019-3A, Class C,
3.150%, 3/20/2026, 144A
    435,578  
  210,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2020-1A, Class B,
2.680%, 8/20/2026, 144A
    190,374  
  685,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2020-2A, Class A,
2.020%, 2/20/2027, 144A
    610,505  
  305,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2020-2A, Class B,
2.960%, 2/20/2027, 144A
    273,795  
  630,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2020-2A, Class C,
4.250%, 2/20/2027, 144A
    568,922  
  145,000     Avis Budget Rental Car Funding AESOP LLC,
Series 2021-1A, Class C,
2.130%, 8/20/2027, 144A
    121,190  
  100,000     CarMax Auto Owner Trust,
Series 2022-1, Class D,
2.470%, 7/17/2028
    90,237  
  480,000     Carvana Auto Receivables Trust,
Series 2021-N3, Class C,
1.020%, 6/12/2028
    461,298  
  420,000     Carvana Auto Receivables Trust,
Series 2021-P3, Class C,
1.930%, 10/12/2027
    349,119  
  525,000     Credit Acceptance Auto Loan Trust,
Series 2020-2A, Class C,
2.730%, 11/15/2029, 144A
    507,111  
  900,000     Credit Acceptance Auto Loan Trust,
Series 2021-2A, Class C,
1.640%, 6/17/2030, 144A
    813,881  
  335,000     Credit Acceptance Auto Loan Trust,
Series 2021-3A, Class C,
1.630%, 9/16/2030, 144A
    298,096  
  1,400,000     Drive Auto Receivables Trust,
Series 2021-2, Class D,
1.390%, 3/15/2029
    1,283,829  
Principal
Amount (‡)
    Description   Value (†)  
  ABS Car Loan – continued  
$ 305,000     DT Auto Owner Trust,
Series 2021-2A, Class C,
1.500%, 2/16/2027, 144A
  $ 280,677  
  1,380,000     DT Auto Owner Trust,
Series 2021-3A, Class D,
1.310%, 5/17/2027, 144A
    1,229,307  
  815,000     Exeter Automobile Receivables Trust,
Series 2021-1A, Class D,
1.080%, 11/16/2026
    770,385  
  1,000,000     Exeter Automobile Receivables Trust, Series 2021-3A, Class D,
1.550%, 6/15/2027
    915,831  
  100,000     Exeter Automobile Receivables Trust,
Series 2022-2A, Class D,
4.560%, 7/17/2028
    94,036  
  435,000     Flagship Credit Auto Trust,
Series 2021-2, Class D,
1.590%, 6/15/2027, 144A
    387,805  
  335,000     Foursight Capital Automobile Receivables Trust,
Series 2021-2, Class D,
1.920%, 9/15/2027, 144A
    303,198  
  1,975,000     GLS Auto Receivables Issuer Trust,
Series 2021-1A, Class D,
1.680%, 1/15/2027, 144A
    1,858,693  
  725,000     GLS Auto Receivables Issuer Trust,
Series 2021-2A, Class D,
1.420%, 4/15/2027, 144A
    660,434  
  675,000     GLS Auto Receivables Issuer Trust,
Series 2021-3A, Class D,
1.480%, 7/15/2027, 144A
    595,123  
  935,000     Hertz Vehicle Financing III LLC,
Series 2022-1 1A, Class D,
4.850%, 6/25/2026, 144A
    816,220  
  599,000     Hertz Vehicle Financing III LLC,
Series 2022-3 3A, Class D,
6.310%, 3/25/2025, 144A
    569,448  
  455,000     Hertz Vehicle Financing LLC,
Class D, Series 2022-4A,
6.560%, 9/25/2026, 144A
    410,764  
  155,517     JPMorgan Chase Bank NA,
Series 2021-1, Class D,
1.174%, 9/25/2028, 144A
    149,661  
  146,673     JPMorgan Chase Bank NA,
Series 2021-3, Class D,
1.009%, 2/26/2029, 144A
    138,521  
  179,825     Santander Bank NA,
Series 2021-1A, Class B,
1.833%, 12/15/2031, 144A
    173,362  
   

 

 

 
      16,232,579  
   

 

 

 
  ABS Credit Card – 0.3%

 

  480,000     Brex Commercial Charge Card Master Trust, Series 2021-1, Class A,
2.090%, 7/15/2024, 144A
    470,806  
  700,000     Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A,
1.540%, 3/20/2026, 144A
    665,000  
  100,000     Mission Lane Credit Card Master Trust, Series 2021-A, Class B,
2.240%, 9/15/2026, 144A
    96,483  
   

 

 

 
      1,232,289  
   

 

 

 

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  ABS Home Equity – 5.2%

 

$ 969,762     510 Asset Backed Trust,
Series 2021-NPL1, Class A1,
2.240%, 6/25/2061, 144A(a)
  $ 880,934  
  512,997     CIM Trust,
Series 2021-NR2, Class A1,
2.568%, 7/25/2059, 144A(a)
    483,368  
  210,000     CoreVest American Finance Trust,
Series 2021-1, Class C,
2.800%, 4/15/2053, 144A
    164,934  
  300,000     CoreVest American Finance Trust,
Series 2021-2, Class C,
2.478%, 7/15/2054, 144A
    224,189  
  150,000     CoreVest American Finance Trust,
Series 2021-3, Class D,
3.469%, 10/15/2054, 144A
    116,047  
  569,362     Credit Suisse Mortgage Trust,
Series 2021-RPL1, Class A1,
1.668%, 9/27/2060, 144A(a)
    534,720  
  1,338,604     Credit Suisse Mortgage Trust,
Series 2021-RPL4, Class A1,
1.796%, 12/27/2060, 144A(a)
    1,230,522  
  301,119     Federal Home Loan Mortgage Corp.,
Series 2022-DNA3, Class M1A,
30-day Average SOFR + 2.000%,
4.281%, 4/25/2042, 144A(b)
    298,113  
  675,000     FirstKey Homes Trust,
Series 2021-SFR1, Class E1,
2.389%, 8/17/2038, 144A
    563,230  
  315,000     FirstKey Homes Trust,
Series 2021-SFR2, Class E1,
2.258%, 9/17/2038, 144A
    261,984  
  205,000     FirstKey Homes Trust,
Series 2021-SFR2, Class E2,
2.358%, 9/17/2038, 144A
    168,418  
  300,000     FirstKey Homes Trust,
Series 2022- SFR2, Class D,
4.500%, 7/17/2039, 144A
    274,778  
  145,000     FRTKL, Series 2021-SFR1, Class E1,
2.372%, 9/17/2038, 144A
    121,379  
  130,000     FRTKL, Series 2021-SFR1, Class E2,
2.522%, 9/17/2038, 144A
    108,498  
  334,994     GCAT Trust,
Series 2019-RPL1, Class A1,
2.650%, 10/25/2068, 144A(a)
    315,958  
  88,835     Home Partners of America Trust,
Series 2021-1, Class E,
2.577%, 9/17/2041, 144A
    71,418  
  809,524     Home Partners of America Trust,
Series 2021-2, Class E1,
2.852%, 12/17/2026, 144A
    697,641  
  419,392     Home Partners of America Trust,
Series 2021-2, Class E2,
2.952%, 12/17/2026, 144A
    358,963  
  143,404     Legacy Mortgage Asset Trust,
Series 2020-GS5, Class A1,
3.250%, 6/25/2060, 144A(a)
    139,796  
  1,215,000     Legacy Mortgage Asset Trust,
Series 2020-RPL1, Class A2,
3.250%, 9/25/2059, 144A(a)
    1,066,973  
Principal
Amount (‡)
    Description   Value (†)  
  ABS Home Equity – continued

 

$ 620,478     Legacy Mortgage Asset Trust,
Series 2021-GS2, Class A1,
1.750%, 4/25/2061, 144A(a)
  $ 575,663  
  115,000     Mill City Mortgage Loan Trust,
Series 2019-GS1, Class M2,
3.250%, 7/25/2059, 144A(a)
    99,681  
  705,000     Progress Residential Trust,
Series 2021-SFR2, Class E1,
2.547%, 4/19/2038, 144A
    598,431  
  240,000     Progress Residential Trust,
Series 2021-SFR3, Class E1,
2.538%, 5/17/2026, 144A
    204,123  
  200,000     Progress Residential Trust,
Series 2021-SFR3, Class E2,
2.688%, 5/17/2026, 144A
    169,629  
  125,000     Progress Residential Trust,
Series 2021-SFR4, Class E1,
2.409%, 5/17/2038, 144A
    105,666  
  100,000     Progress Residential Trust,
Series 2021-SFR4, Class E2,
2.559%, 5/17/2038, 144A
    84,411  
  295,000     Progress Residential Trust,
Series 2021-SFR5, Class E1,
2.209%, 7/17/2038, 144A
    246,980  
  100,000     Progress Residential Trust,
Series 2021-SFR5, Class E2,
2.359%, 7/17/2038, 144A
    83,220  
  380,000     Progress Residential Trust,
Series 2021-SFR6, Class E1,
2.425%, 7/17/2038, 144A
    321,058  
  200,000     Progress Residential Trust,
Series 2021-SFR6, Class E2,
2.525%, 7/17/2038, 144A
    167,462  
  340,000     Progress Residential Trust,
Series 2021-SFR7, Class E1,
2.591%, 8/17/2040, 144A
    266,225  
  100,000     Progress Residential Trust,
Series 2021-SFR7, Class E2,
2.640%, 8/17/2040, 144A
    77,884  
  955,716     PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026, 144A(a)
    886,737  
  374,491     PRPM LLC, Series 2021-2, Class A1,
2.115%, 3/25/2026, 144A(a)
    348,309  
  749,991     PRPM LLC, Series 2021-3, Class A1,
1.867%, 4/25/2026, 144A(a)
    682,880  
  184,991     PRPM LLC, Series 2021-4, Class A1,
1.867%, 4/25/2026, 144A(a)
    168,327  
  893,326     PRPM LLC, Series 2021-5, Class A1,
1.793%, 6/25/2026, 144A(a)
    803,445  
  1,000,000     PRPM LLC, Series 2022-5, Class A1,
6.900%, 9/27/2027, 144A(a)
    991,034  
  1,030,000     Toorak Mortgage Corp.,
Series 2021-1, Class A1,
2.240%, 6/25/2024, 144A(a)
    977,177  
  240,000     Towd Point Mortgage Trust,
Series 2016-3, Class M2,
4.000%, 4/25/2056, 144A(a)
    232,248  
  495,000     Towd Point Mortgage Trust,
Series 2018-5, Class M1,
3.250%, 7/25/2058, 144A(a)
    398,809  

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

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

 

$ 703,897     Towd Point Mortgage Trust,
Series 2019-4, Class A1,
2.900%, 10/25/2059, 144A(a)
  $ 662,746  
  100,000     Towd Point Mortgage Trust,
Series 2020-1, Class A2B,
3.250%, 1/25/2060, 144A(a)
    84,985  
  260,215     VCAT LLC,
Series 2021-NPL1, Class A1,
2.289%, 12/26/2050, 144A(a)
    249,145  
  311,129     VOLT XCII LLC,
Series 2021-NPL1, Class A1,
1.893%, 2/27/2051, 144A(a)
    282,459  
  800,473     VOLT XCIII LLC,
Series 2021-NPL2, Class A1,
1.893%, 2/27/2051, 144A(a)
    743,045  
  668,936     VOLT XCIV LLC,
Series 2021-NPL3, Class A1,
2.240%, 2/27/2051, 144A(a)
    620,315  
  478,572     VOLT XCVI LLC,
Series 2021-NPL5, Class A1,
2.116%, 3/27/2051, 144A(a)
    438,881  
  1,060,709     VOLT XCVII LLC,
Series 2021-NPL6, Class A1,
2.240%, 4/25/2051, 144A(a)
    966,641  
   

 

 

 
      20,619,479  
   

 

 

 
  ABS Other – 2.5%

 

  100,000     Affirm Asset Securitization Trust,
Series 2021-B, Class C,
1.400%, 8/17/2026, 144A
    89,916  
  160,000     Aqua Finance Trust,
Series 2021-A, Class B,
2.400%, 7/17/2046, 144A
    132,280  
  116,454     Business Jet Securities LLC,
Series 2021-1A, Class B,
2.918%, 4/15/2036, 144A
    98,846  
  776,050     CAL Funding IV Ltd.,
Series 2020-1A, Class A,
2.220%, 9/25/2045, 144A
    677,354  
  894,169     CLI Funding VIII LLC,
Series 2021-1A, Class A,
1.640%, 2/18/2046, 144A
    765,494  
  135,000     Freedom Financial Trust,
Series 2021-2, Class C,
1.940%, 6/19/2028, 144A
    130,105  
  370,000     Freedom Financial Trust,
Series 2021-3FP, Class D,
2.370%, 11/20/2028, 144A
    328,172  
  300,000     HPEFS Equipment Trust,
Series 2021-1A, Class D,
1.030%, 3/20/2031, 144A
    282,924  
  1,775,967     MAPS Trust,
Series 2021-1A, Class A,
2.521%, 6/15/2046, 144A
    1,480,084  
  110,000     Marlette Funding Trust,
Series 2021-2A, Class C,
1.500%, 9/15/2031, 144A
    101,011  
  202,158     Merlin Aviation Holdings DAC,
Series 2016-1, Class A,
4.500%, 12/15/2032, 144A(a)
    153,766  
Principal
Amount (‡)
    Description   Value (†)  
  ABS Other – continued

 

$ 350,000     OneMain Financial Issuance Trust,
Series 2018-2A, Class A,
3.570%, 3/14/2033, 144A
  $ 343,577  
  345,000     OneMain Financial Issuance Trust,
Series 2021-1A, Class D,
2.470%, 6/16/2036, 144A
    265,877  
  380,000     OneMain Financial Issuance Trust,
Series 2022-S1, Class D,
5.200%, 5/14/2035, 144A
    347,018  
  1,369,732     S-Jets Ltd., Series 2017-1, Class A,
3.967%, 8/15/2042, 144A
    1,101,251  
  100,000     SCF Equipment Leasing LLC,
Series 2021-1A, Class D,
1.930%, 9/20/2030, 144A
    88,140  
  158,875     Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C,
3.120%, 5/20/2036, 144A
    148,660  
  106,121     Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C,
3.000%, 8/20/2036, 144A
    99,147  
  93,548     Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C,
1.790%, 11/20/2037, 144A
    85,578  
  1,304,489     SLAM Ltd., Series 2021-1A, Class A,
2.434%, 6/15/2046, 144A
    1,068,037  
  100,000     SoFi Consumer Loan Program Trust,
Series 2021-1, Class D,
2.040%, 9/25/2030, 144A
    89,607  
  661,833     TIF Funding II LLC,
Series 2021-1A, Class A,
1.650%, 2/20/2046, 144A
    547,589  
  230,000     Towd Point Mortgage Trust,
Series 2011-1, Class M1,
3.750%, 10/25/2056, 144A(a)
    213,956  
  678,296     Wave Trust, Series 2017-1A, Class A,
3.844%, 11/15/2042, 144A
    516,929  
  1,165,001     Willis Engine Structured Trust,
Series 2021-A, Class A,
3.104%, 5/15/2046, 144A
    935,490  
   

 

 

 
      10,090,808  
   

 

 

 
  ABS Student Loan – 0.8%

 

  320,000     College Ave Student Loans LLC,
Series 2021-A, Class C,
2.920%, 7/25/2051, 144A
    284,326  
  263,914     Commonbond Student Loan Trust,
Series 2019-AGS, Class B,
3.040%, 1/25/2047, 144A
    234,278  
  246,290     EDvestinU Private Education Loan Issue No. 3 LLC,
Series 2021-A, Class A,
1.800%, 11/25/2045, 144A
    210,952  
  102,950     Navient Private Education Refi Loan Trust, Series 2020-HA, Class A,
1.310%, 1/15/2069, 144A
    93,517  
  258,137     Navient Private Education Refi Loan Trust, Series 2021-A, Class A,
0.840%, 5/15/2069, 144A
    227,072  

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

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

 

$ 100,000     Navient Private Education Refi Loan Trust, Series 2021-A, Class B,
2.240%, 5/15/2069, 144A
  $ 83,537  
  170,000     Navient Private Education Refi Loan Trust, Series 2021-EA, Class B,
2.030%, 12/16/2069, 144A
    114,496  
  385,000     Navient Private Education Refi Loan Trust, Series 2021-FA, Class B,
2.120%, 2/18/2070, 144A
    265,762  
  264,579     SMB Private Education Loan Trust,
Series 2016-C, Class A2A,
2.340%, 9/15/2034, 144A
    252,683  
  73,143     SMB Private Education Loan Trust,
Series 2020-A, Class A2A,
2.230%, 9/15/2037, 144A
    68,237  
  932,700     SMB Private Education Loan Trust,
Series 2021-A, Class A2A2,
1-month LIBOR + 0.730%,
3.548%, 1/15/2053, 144A(b)
    895,582  
  475,000     SMB Private Education Loan Trust,
Series 2021-B, Class B,
2.650%, 7/17/2051, 144A
    378,323  
   

 

 

 
      3,108,765  
   

 

 

 
  ABS Whole Business – 0.6%

 

  57,300     Domino’s Pizza Master Issuer LLC,
Series 2017-1A, Class A23,
4.118%, 7/25/2047, 144A
    52,687  
  134,750     Domino’s Pizza Master Issuer LLC,
Series 2018-1A, Class A2II,
4.328%, 7/25/2048, 144A
    124,116  
  1,555,313     Domino’s Pizza Master Issuer LLC,
Series 2021-1A, Class A2I,
2.662%, 4/25/2051, 144A
    1,280,775  
  296,250     Hardee’s Funding LLC,
Series 2021-1A, Class A2,
2.865%, 6/20/2051, 144A
    234,651  
  261,938     Wendy’s Funding LLC,
Series 2018-1A, Class A2II,
3.884%, 3/15/2048, 144A
    232,808  
  676,438     Wendy’s Funding LLC,
Series 2021-1A, Class A2I,
2.370%, 6/15/2051, 144A
    537,747  
   

 

 

 
      2,462,784  
   

 

 

 
  Aerospace & Defense – 0.9%

 

  1,520,000     Boeing Co. (The),
3.825%, 3/01/2059
    915,617  
  1,265,000     Embraer Netherlands Finance BV,
5.400%, 2/01/2027
    1,159,290  
  807,000     Leonardo U.S. Holdings, Inc.,
6.250%, 1/15/2040, 144A
    740,665  
  722,000     Leonardo U.S. Holdings, Inc.,
7.375%, 7/15/2039, 144A
    758,901  
   

 

 

 
      3,574,473  
   

 

 

 
  Airlines – 1.2%

 

  367,387     American Airlines Pass Through Trust,
Series 2016-3, Class B,
3.750%, 4/15/2027
    318,066  
Principal
Amount (‡)
    Description   Value (†)  
  Airlines – continued  
$ 1,121,213     American Airlines Pass Through Trust,
Series 2017-1B, Class B,
4.950%, 8/15/2026
  $ 1,019,465  
  774,248     American Airlines Pass Through
Trust, Series 2017-2, Class B,
3.700%, 4/15/2027
    676,134  
  429,514     U.S. Airways Pass Through
Trust, Series 2012-1A, Class A,
5.900%, 4/01/2026
    415,941  
  1,118,192     U.S. Airways Pass Through
Trust, Series 2012-2A, Class A,
4.625%, 12/03/2026
    1,010,363  
  1,040,265     United Airlines Pass Through
Trust, Series 2014-1, Class A,
4.000%, 10/11/2027
    950,996  
  515,726     United Airlines Pass Through
Trust, Series 2020-1, Class A,
5.875%, 4/15/2029
    494,525  
   

 

 

 
      4,885,490  
   

 

 

 
  Automotive  –  1.0%  
  550,000     Ford Motor Co.,
3.250%, 2/12/2032
    396,182  
  1,735,000     General Motors Co.,
5.200%, 4/01/2045
    1,321,065  
  185,000     General Motors Co.,
6.250%, 10/02/2043
    160,696  
  2,270,000     General Motors Financial Co., Inc.,
3.600%, 6/21/2030
    1,838,746  
  60,000     General Motors Financial Co., Inc.,
Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c)
    48,673  
  100,000     General Motors Financial Co., Inc.,
Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c)
    85,712  
   

 

 

 
      3,851,074  
   

 

 

 
  Banking  –  5.7%  
  1,146,000     Ally Financial, Inc.,
8.000%, 11/01/2031
    1,201,417  
  1,585,000     Ally Financial, Inc.,
Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c)
    1,235,523  
  1,500,000     Ally Financial, Inc.,
Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c)
    1,068,750  
  3,340,000     Bank of America Corp.,
6.110%, 1/29/2037
    3,214,658  
  611,000     Bank of America Corp.,
(fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036
    441,319  
  915,000     Barclays PLC,
(fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027
    766,332  
  1,125,000     Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter),
4.375%(c)
    693,337  
  1,175,000     BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter),
2.591%, 1/20/2028, 144A
    1,003,422  

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

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

 

$ 2,250,000     Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter),
2.014%, 1/25/2026
  $ 2,067,607  
  685,000     Credit Agricole S.A.,
3.250%, 1/14/2030, 144A
    542,958  
  495,000     Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033     426,585  
  795,000     Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter),
6.373%, 7/15/2026, 144A
    768,471  
  780,000     Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter),
6.442%, 8/11/2028, 144A
    725,517  
  370,000     Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter),
3.742%, 1/07/2033
    239,843  
  1,202,000     Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter),
3.729%, 1/14/2032
    809,484  
  235,000     Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter),
4.875%, 12/01/2032
    184,322  
  2,260,000     Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025     2,147,322  
  2,075,000     Goldman Sachs Group, Inc. (The), (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028     1,947,380  
  290,000     Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter),
4.198%, 6/01/2032, 144A
    196,101  
  1,495,000     Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter),
2.475%, 1/21/2028
    1,306,630  
  530,000     NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter),
5.516%, 9/30/2028
    503,009  
  320,000     Synchrony Bank, 5.400%, 8/22/2025     311,997  
  650,000     Synchrony Bank,
5.625%, 8/23/2027
    621,147  
  200,000     UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter),
1.982%, 6/03/2027, 144A
    163,224  
  405,000     UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter),
5.861%, 6/19/2032, 144A
    335,769  
   

 

 

 
      22,922,124  
   

 

 

 
Principal
Amount (‡)
    Description   Value (†)  
  Brokerage  –  0.4%

 

$ 1,670,000     Jefferies Group LLC,
6.250%, 1/15/2036
  $ 1,559,751  
   

 

 

 
  Building Materials  –  1.5%

 

  4,500,000     Cemex SAB de CV,
3.875%, 7/11/2031, 144A
    3,545,903  
  780,000     Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter),
5.125%, 144A(c)
    624,979  
  140,000     JELD-WEN, Inc.,
4.875%, 12/15/2027, 144A
    100,100  
  213,000     Masco Corp., 6.500%, 8/15/2032     213,731  
  380,000     Masco Corp., 7.750%, 8/01/2029     414,850  
  1,188,000     Owens Corning,
7.000%, 12/01/2036
    1,224,490  
   

 

 

 
      6,124,053  
   

 

 

 
  Cable Satellite  –  3.5%

 

  375,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031, 144A
    290,108  
  3,385,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 1/15/2034, 144A
    2,422,915  
  50,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
2.300%, 2/01/2032
    35,704  
  1,780,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
2.800%, 4/01/2031
    1,345,587  
  230,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
4.400%, 4/01/2033
    190,455  
  180,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
3.700%, 4/01/2051
    109,089  
  2,625,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
3.950%, 6/30/2062
    1,556,606  
  2,710,000     CSC Holdings LLC,
4.625%, 12/01/2030, 144A
    1,842,800  
  2,045,000     CSC Holdings LLC,
5.375%, 2/01/2028, 144A
    1,784,263  
  1,020,000     DISH DBS Corp.,
5.125%, 6/01/2029
    599,250  
  2,215,000     DISH DBS Corp.,
5.250%, 12/01/2026, 144A
    1,814,632  
  270,000     DISH DBS Corp.,
7.750%, 7/01/2026
    207,109  
  375,000     Time Warner Cable LLC,
4.500%, 9/15/2042
    258,902  
  1,500,000     Time Warner Cable LLC,
6.550%, 5/01/2037
    1,353,435  
   

 

 

 
      13,810,855  
   

 

 

 

 

See accompanying notes to financial statements.

 

23  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Chemicals – 0.5%

 

$ 775,000     Ashland LLC,
3.375%, 9/01/2031, 144A
  $ 599,009  
  200,000     Braskem Netherlands Finance BV,
4.500%, 1/31/2030, 144A
    161,640  
  705,000     Braskem Netherlands Finance BV,
5.875%, 1/31/2050, 144A
    499,493  
  310,000     Celanese U.S. Holdings LLC,
6.330%, 7/15/2029
    288,928  
  230,000     Celanese U.S. Holdings LLC,
6.379%, 7/15/2032
    213,732  
  200,000     INEOS Quattro Finance 2 PLC,
3.375%, 1/15/2026, 144A
    166,500  
   

 

 

 
      1,929,302  
   

 

 

 
  Construction Machinery – 0.5%

 

  200,000     Ashtead Capital, Inc.,
5.500%, 8/11/2032, 144A
    185,623  
  415,000     John Deere Capital Corp., MTN,
0.900%, 1/10/2024
    396,358  
  645,000     John Deere Capital Corp., MTN,
1.250%, 1/10/2025
    598,561  
  965,000     Toro Co. (The),
6.625%, 5/01/2037
    975,979  
   

 

 

 
      2,156,521  
   

 

 

 
  Consumer Cyclical Services – 1.4%

 

  700,000     Expedia Group, Inc.,
2.950%, 3/15/2031
    543,045  
  155,000     Expedia Group, Inc.,
3.250%, 2/15/2030
    125,707  
  1,010,000     Go Daddy Operating Co. LLC/GD Finance Co., Inc.,
3.500%, 3/01/2029, 144A
    826,059  
  2,965,000     Uber Technologies, Inc.,
4.500%, 8/15/2029, 144A
    2,492,453  
  1,420,000     Uber Technologies, Inc.,
6.250%, 1/15/2028, 144A
    1,320,600  
  390,000     Uber Technologies, Inc.,
7.500%, 9/15/2027, 144A
    382,200  
  120,000     Uber Technologies, Inc.,
8.000%, 11/01/2026, 144A
    119,810  
   

 

 

 
      5,809,874  
   

 

 

 
  Consumer Products –  0.4%

 

  880,000     Avon Products, Inc.,
8.450%, 3/15/2043
    849,429  
  730,000     Natura Cosmeticos S.A.,
4.125%, 5/03/2028, 144A
    576,700  
   

 

 

 
      1,426,129  
   

 

 

 
  Diversified Manufacturing –  0.3%

 

  380,000     GE Capital Funding LLC,
4.550%, 5/15/2032
    352,098  
  757,000     GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035     678,212  
  165,000     General Electric Co.,
Series D, 3-month LIBOR +
3.330%, 6.623%(b)(c)
    154,306  
   

 

 

 
      1,184,616  
   

 

 

 
Principal
Amount (‡)
    Description   Value (†)  
  Electric –  0.4%

 

$ 1,157,462     Alta Wind Holdings LLC,
7.000%, 6/30/2035, 144A
  $ 1,155,646  
  255,000     Edison International,
4.950%, 4/15/2025
    249,828  
  100,000     Enel Finance International NV,
6.800%, 9/15/2037, 144A
    95,277  
  265,000     Pacific Gas & Electric Co.,
5.450%, 6/15/2027
    249,632  
   

 

 

 
      1,750,383  
   

 

 

 
  Finance Companies –  3.8%

 

  630,000     AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.000%, 10/29/2028
    505,238  
  795,000     AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.300%, 1/30/2032
    597,894  
  300,000     AGFC Capital Trust I,
3-month LIBOR + 1.750%, 4.262%, 1/15/2067, 144A(b)
    174,276  
  612,000     Air Lease Corp.,
4.625%, 10/01/2028
    549,356  
  985,000     Air Lease Corp.,
Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(c)
    822,356  
  460,000     Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter),
5.250%, 144A(c)
    345,043  
  2,290,000     Ares Capital Corp.,
3.200%, 11/15/2031
    1,632,288  
  225,000     Aviation Capital Group LLC,
1.950%, 1/30/2026, 144A
    188,867  
  655,000     Barings BDC, Inc.,
3.300%, 11/23/2026, 144A
    543,282  
  780,000     FS KKR Capital Corp.,
3.125%, 10/12/2028
    605,699  
  815,000     FS KKR Capital Corp.,
3.400%, 1/15/2026
    719,101  
  1,925,000     Navient Corp., MTN,
5.625%, 8/01/2033
    1,293,947  
  1,490,000     Owl Rock Capital Corp.,
4.250%, 1/15/2026
    1,362,668  
  2,075,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
2.875%, 10/15/2026, 144A
    1,701,500  
  1,345,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A
    1,035,179  
  3,345,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A
    2,424,636  
  1,080,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
4.000%, 10/15/2033, 144A
    742,515  
   

 

 

 
      15,243,845  
   

 

 

 
  Financial Other –  1.1%

 

  630,000     Agile Group Holdings Ltd.,
6.050%, 10/13/2025
    177,156  
  200,000     Central China Real Estate Ltd.,
7.250%, 4/24/2023
    82,777  

 

See accompanying notes to financial statements.

 

|  24


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

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

 

$ 205,000     Central China Real Estate Ltd.,
7.250%, 7/16/2024
  $ 48,169  
  200,000     Central China Real Estate Ltd.,
7.250%, 8/13/2024
    46,152  
  200,000     Central China Real Estate Ltd.,
7.500%, 7/14/2025
    44,916  
  200,000     CIFI Holdings Group Co. Ltd.,
6.000%, 7/16/2025
    43,452  
  200,000     CIFI Holdings Group Co. Ltd.,
6.450%, 11/07/2024
    47,426  
  600,000     Country Garden Holdings Co. Ltd.,
3.300%, 1/12/2031
    168,396  
  2,510,000     Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
4.375%, 2/01/2029
    2,020,249  
  1,285,000     Kaisa Group Holdings Ltd.,
9.375%, 6/30/2024(d)
    138,767  
  200,000     Kaisa Group Holdings Ltd.,
9.950%, 7/23/2025(d)
    21,418  
  200,000     Kaisa Group Holdings Ltd.,
10.500%, 1/15/2025(d)
    22,088  
  1,810,000     Kaisa Group Holdings Ltd.,
11.250%, 4/16/2025(d)
    195,172  
  400,000     Logan Group Co. Ltd.,
4.250%, 7/12/2025(e)
    65,796  
  400,000     Logan Group Co. Ltd.,
4.850%, 12/14/2026(e)
    65,600  
  840,000     Nationstar Mortgage Holdings, Inc.,
5.500%, 8/15/2028, 144A
    659,605  
  405,000     Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(d)
    45,927  
  425,000     Shimao Group Holdings Ltd.,
5.600%, 7/15/2026(d)
    51,450  
  200,000     Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(d)
    24,784  
  410,000     Sunac China Holdings Ltd.,
6.500%, 1/10/2025(d)
    58,220  
  230,000     Sunac China Holdings Ltd.,
6.500%, 1/26/2026(d)
    32,717  
  445,000     Sunac China Holdings Ltd.,
7.000%, 7/09/2025(d)
    63,266  
  200,000     Times China Holdings Ltd.,
5.750%, 1/14/2027
    19,848  
  400,000     Times China Holdings Ltd.,
6.200%, 3/22/2026
    44,288  
  400,000     Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(d)
    24,636  
  370,000     Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(d)
    23,192  
  225,000     Yuzhou Group Holdings Co. Ltd.,
8.300%, 5/27/2025(d)
    14,301  
   

 

 

 
      4,249,768  
   

 

 

 
  Food & Beverage  –  0.4%

 

  70,000     Darling Ingredients, Inc.,
6.000%, 6/15/2030, 144A
    66,618  
  350,000     JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.,
3.000%, 2/02/2029, 144A
    286,362  
Principal
Amount (‡)
    Description   Value (†)  
  Food & Beverage – continued  
$ 1,230,000     Pilgrim’s Pride Corp.,
3.500%, 3/01/2032, 144A
  $ 927,690  
  280,000     Pilgrim’s Pride Corp.,
4.250%, 4/15/2031, 144A
    223,516  
   

 

 

 
      1,504,186  
   

 

 

 
  Gaming  –  1.1%

 

  925,000     Genm Capital Labuan Ltd.,
3.882%, 4/19/2031, 144A
    633,322  
  385,000     GLP Capital LP/GLP Financing II,
Inc., 3.250%, 1/15/2032
    289,413  
  1,460,000     Scientific Games International, Inc.,
7.000%, 5/15/2028, 144A
    1,376,561  
  30,000     Scientific Games International, Inc.,
7.250%, 11/15/2029, 144A
    27,921  
  710,000     VICI Properties LP/VICI Note Co.,
Inc., 4.250%, 12/01/2026, 144A
    640,842  
  575,000     VICI Properties LP/VICI Note Co.,
Inc., 4.500%, 9/01/2026, 144A
    525,105  
  505,000     VICI Properties LP/VICI Note Co.,
Inc., 4.625%, 6/15/2025, 144A
    475,219  
  415,000     VICI Properties LP/VICI Note Co.,
Inc., 5.625%, 5/01/2024, 144A
    407,841  
   

 

 

 
      4,376,224  
   

 

 

 
  Government Owned  –  No Guarantee  –  0.5%

 

  730,000     Antares Holdings LP,
3.750%, 7/15/2027, 144A
    589,318  
  570,000     EcoPetrol S.A.,
4.625%, 11/02/2031
    399,000  
  870,000     Pertamina Persero PT,
6.450%, 5/30/2044, 144A
    810,319  
  200,000     Sino-Ocean Land Treasure IV Ltd.,
4.750%, 8/05/2029
    47,860  
  400,000     Sino-Ocean Land Treasure IV Ltd.,
4.750%, 1/14/2030
    95,724  
   

 

 

 
      1,942,221  
   

 

 

 
  Health Insurance  –  0.7%

 

  2,490,000     Centene Corp.,
2.500%, 3/01/2031
    1,876,916  
  625,000     Centene Corp.,
2.625%, 8/01/2031
    471,046  
  430,000     Molina Healthcare, Inc.,
3.875%, 5/15/2032, 144A
    352,225  
   

 

 

 
      2,700,187  
   

 

 

 
  Healthcare  –  0.2%

 

  235,000     Catalent Pharma Solutions, Inc.,
3.125%, 2/15/2029, 144A
    181,244  
  700,000     HCA, Inc.,
4.125%, 6/15/2029
    613,893  
  185,000     Tenet Healthcare Corp.,
6.125%, 10/01/2028, 144A
    162,076  
   

 

 

 
      957,213  
   

 

 

 
  Home Construction – 0.4%

 

  1,745,000     PulteGroup, Inc.,
6.375%, 5/15/2033
    1,647,513  
   

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Independent Energy – 2.8%

 

$ 1,385,000     Aker BP ASA,
3.750%, 1/15/2030, 144A
  $ 1,177,316  
  555,000     Continental Resources, Inc.,
2.875%, 4/01/2032, 144A
    406,424  
  3,635,000     Continental Resources, Inc.,
5.750%, 1/15/2031, 144A
    3,285,526  
  740,000     Energean Israel Finance Ltd.,
5.375%, 3/30/2028, 144A
    627,150  
  965,000     Energean Israel Finance Ltd.,
5.875%, 3/30/2031, 144A
    788,887  
  50,000     EQT Corp.,
3.125%, 5/15/2026, 144A
    45,536  
  840,000     EQT Corp.,
3.625%, 5/15/2031, 144A
    700,279  
  1,025,000     EQT Corp., 3.900%, 10/01/2027     932,747  
  160,000     EQT Corp., 5.000%, 1/15/2029     149,286  
  235,000     EQT Corp., 5.678%, 10/01/2025     233,554  
  160,000     EQT Corp., 5.700%, 4/01/2028     156,856  
  45,000     Occidental Petroleum Corp.,
6.125%, 1/01/2031
    44,325  
  65,000     Occidental Petroleum Corp.,
7.875%, 9/15/2031
    69,388  
  975,000     Occidental Petroleum Corp.,
8.875%, 7/15/2030
    1,085,467  
  1,040,000     Ovintiv, Inc., 6.500%, 8/15/2034     1,013,140  
  65,000     Ovintiv, Inc., 6.500%, 2/01/2038     63,115  
  310,000     Ovintiv, Inc., 6.625%, 8/15/2037     303,398  
  40,000     Ovintiv, Inc., 7.200%, 11/01/2031     40,785  
  125,000     Ovintiv, Inc., 7.375%, 11/01/2031     130,217  
  130,000     Southwestern Energy Co.,
4.750%, 2/01/2032
    108,953  
   

 

 

 
      11,362,349  
   

 

 

 
  Industrial Other – 0.1%

 

  395,000     TopBuild Corp.,
4.125%, 2/15/2032, 144A
    300,789  
   

 

 

 
  Leisure – 0.7%

 

  620,000     Carnival Corp.,
5.750%, 3/01/2027, 144A
    434,341  
  395,000     Carnival Corp.,
6.000%, 5/01/2029, 144A
    259,345  
  770,000     NCL Corp. Ltd.,
5.875%, 3/15/2026, 144A
    585,770  
  485,000     NCL Corp. Ltd.,
5.875%, 2/15/2027, 144A
    403,820  
  280,000     NCL Finance Ltd.,
6.125%, 3/15/2028, 144A
    206,493  
  140,000     Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026, 144A
    102,912  
  1,195,000     Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028, 144A
    837,265  
   

 

 

 
      2,829,946  
   

 

 

 
  Life Insurance – 2.2%

 

  1,860,000     Athene Global Funding,
1.716%, 1/07/2025, 144A
    1,700,207  
  434,000     Brighthouse Financial, Inc.,
4.700%, 6/22/2047
    307,212  
  1,745,000     Brighthouse Financial, Inc.,
5.625%, 5/15/2030
    1,635,645  
Principal
Amount (‡)
    Description   Value (†)  
  Life Insurance – continued  
$ 2,270,000     MetLife, Inc.,
9.250%, 4/08/2068, 144A
  $ 2,620,935  
  1,115,000     MetLife, Inc.,
10.750%, 8/01/2069
    1,452,016  
  1,165,000     Penn Mutual Life Insurance Co. (The),
6.650%, 6/15/2034, 144A
    1,164,069  
   

 

 

 
      8,880,084  
   

 

 

 
  Lodging – 0.8%

 

  855,000     Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032, 144A
    654,843  
  200,000     Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
4.875%, 7/01/2031, 144A
    152,712  
  685,000     Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
5.000%, 6/01/2029, 144A
    552,864  
  530,000     Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029, 144A
    418,862  
  620,000     Travel & Leisure Co.,
4.500%, 12/01/2029, 144A
    480,745  
  870,000     Travel & Leisure Co.,
4.625%, 3/01/2030, 144A
    687,681  
  110,000     Travel & Leisure Co.,
6.000%, 4/01/2027
    99,125  
  125,000     Travel & Leisure Co.,
6.625%, 7/31/2026, 144A
    117,093  
   

 

 

 
      3,163,925  
   

 

 

 
  Media Entertainment – 1.4%

 

  540,000     iHeartCommunications, Inc.,
4.750%, 1/15/2028, 144A
    450,090  
  195,000     iHeartCommunications, Inc.,
5.250%, 8/15/2027, 144A
    166,579  
  470,000     iHeartCommunications, Inc.,
8.375%, 5/01/2027
    395,230  
  185,000     Netflix, Inc., 4.875%, 4/15/2028     173,144  
  1,510,000     Netflix, Inc.,
4.875%, 6/15/2030, 144A
    1,379,895  
  200,000     Netflix, Inc.,
5.375%, 11/15/2029, 144A
    188,000  
  915,000     Netflix, Inc., 5.875%, 11/15/2028     892,839  
  1,185,000     Netflix, Inc., 6.375%, 5/15/2029     1,176,431  
  300,000     Warnermedia Holdings, Inc.,
4.054%, 3/15/2029, 144A
    259,479  
  465,000     Warnermedia Holdings, Inc.,
4.279%, 3/15/2032, 144A
    382,862  
   

 

 

 
      5,464,549  
   

 

 

 
  Metals & Mining – 2.3%

 

  1,910,000     Anglo American Capital PLC,
2.875%, 3/17/2031, 144A
    1,479,657  
  2,680,000     First Quantum Minerals Ltd.,
6.875%, 10/15/2027, 144A
    2,412,000  
  615,000     First Quantum Minerals Ltd.,
7.500%, 4/01/2025, 144A
    591,937  
  430,000     FMG Resources August 2006 Pty Ltd.,
4.375%, 4/01/2031, 144A
    330,093  

 

See accompanying notes to financial statements.

 

|  26


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – continued  
  Metals & Mining$ – continued

 

$ 5,000     Freeport-McMoRan, Inc.,
4.250%, 3/01/2030
  $ 4,276  
  5,000     Freeport-McMoRan, Inc.,
4.625%, 8/01/2030
    4,381  
  2,080,000     Freeport-McMoRan, Inc.,
5.400%, 11/14/2034
    1,848,725  
  2,905,000     Glencore Funding LLC,
2.850%, 4/27/2031, 144A
    2,247,586  
  215,000     Volcan Cia Minera SAA,
4.375%, 2/11/2026, 144A
    177,375  
   

 

 

 
      9,096,030  
   

 

 

 
  Midstream – 1.0%

 

  530,000     DCP Midstream Operating LP,
3.250%, 2/15/2032
    418,975  
  10,000     DCP Midstream Operating LP,
5.125%, 5/15/2029
    9,370  
  575,000     DCP Midstream Operating LP,
6.450%, 11/03/2036, 144A
    525,324  
  1,040,000     Energy Transfer LP,
5.000%, 5/15/2044
    808,049  
  550,000     Hess Midstream Operations LP,
4.250%, 2/15/2030, 144A
    444,125  
  285,000     Hess Midstream Operations LP,
5.625%, 2/15/2026, 144A
    270,538  
  95,000     NGPL PipeCo LLC,
7.768%, 12/15/2037, 144A
    96,015  
  35,000     Targa Resources Corp.,
5.200%, 7/01/2027
    33,669  
  395,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.000%, 1/15/2032
    326,487  
  100,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.875%, 2/01/2031
    86,000  
  105,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
5.500%, 3/01/2030
    94,239  
  170,000     Western Midstream Operating LP,
4.300%, 2/01/2030
    145,394  
  405,000     Western Midstream Operating LP,
5.300%, 3/01/2048
    333,113  
  80,000     Western Midstream Operating LP,
5.450%, 4/01/2044
    65,627  
  55,000     Western Midstream Operating LP,
5.500%, 8/15/2048
    44,481  
  230,000     Western Midstream Operating LP,
5.500%, 2/01/2050
    185,725  
   

 

 

 
      3,887,131  
   

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities – 2.0%

 

  710,000     BANK, Series 2021-BN35, Class AS,
2.457%, 6/15/2064
    551,217  
  740,000     BPR Trust, Series 2021-NRD, Class F,
1-month SOFR + 6.870%,
9.792%, 12/15/2023, 144A(b)
    688,049  
  570,000     BPR Trust, Series 2022-STAR, Class A, 1-month SOFR + 3.232%,
6.077%, 8/15/2024, 144A(b)
    562,925  
Principal
Amount (‡)
    Description   Value (†)  
  Non-Agency Commercial Mortgage-Backed Securities – continued

 

$ 240,000     Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM,
3.416%, 10/15/2045, 144A
  $ 238,794  
  110,000     Commercial Mortgage Pass Through Certificates,
Series 2012-LTRT, Class A2,
3.400%, 10/05/2030, 144A
    103,400  
  155,365     Commercial Mortgage Trust,
Series 2012-LC4, Class B,
4.934%, 12/10/2044(a)
    155,098  
  185,000     Credit Suisse Mortgage Trust,
Series 2014-USA, Class B,
4.185%, 9/15/2037, 144A
    162,192  
  100,000     Credit Suisse Mortgage Trust,
Series 2014-USA, Class C,
4.336%, 9/15/2037, 144A
    84,415  
  200,000     Credit Suisse Mortgage Trust,
Series 2014-USA, Class D,
4.373%, 9/15/2037, 144A
    158,601  
  258,410     Extended Stay America Trust,
Series 2021-ESH, Class D,
1-month LIBOR + 2.250%,
5.068%, 7/15/2038, 144A(b)
    247,402  
  295,000     GS Mortgage Securities Corp. Trust,
Series 2013-PEMB, Class A,
3.668%, 3/05/2033, 144A(a)
    269,024  
  315,000     GS Mortgage Securities Corp. Trust,
Series 2013-PEMB, Class B,
3.668%, 3/05/2033, 144A(a)
    276,581  
  255,000     GS Mortgage Securities Trust,
Series 2014-GC18, Class B,
4.885%, 1/10/2047(a)
    233,729  
  1,030,000     JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class C,
4.472%, 12/15/2047, 144A(a)
    1,016,657  
  100,000     JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class D,
4.472%, 12/15/2047, 144A(a)
    94,307  
  400,000     MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%,
4.618%, 11/15/2038, 144A(b)
    380,960  
  104,841     Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust,
Series 2012-CKSV, Class A2,
3.277%, 10/15/2030, 144A
    100,119  
  535,000     Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C11, Class A4,
4.295%, 8/15/2046(a)
    528,242  
  800,000     RBS Commercial Funding Trust,
Series 2013-GSP, Class A,
3.961%, 1/15/2032, 144A(a)
    772,482  
  175,000     UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC,
4.798%, 5/10/2063, 144A(a)
    165,723  

 

See accompanying notes to financial statements.

 

27  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

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

 

$ 165,355     UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A,
2.892%, 6/05/2030, 144A
  $ 159,204  
  285,000     Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B,
4.432%, 7/15/2046(a)
    267,501  
  275,000     Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B,
3.671%, 11/15/2059(a)
    232,704  
  380,000     WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class B,
4.671%, 8/15/2046(a)
    360,721  
  390,000     WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class B,
4.378%, 5/15/2047
    351,406  
   

 

 

 
      8,161,453  
   

 

 

 
  Paper – 0.4%

 

  350,000     WestRock MWV LLC,
7.950%, 2/15/2031
    393,890  
  1,035,000     WestRock MWV LLC,
8.200%, 1/15/2030
    1,162,104  
   

 

 

 
      1,555,994  
   

 

 

 
  Pharmaceuticals – 1.0%

 

  165,000     Bausch Health Cos., Inc.,
4.875%, 6/01/2028, 144A
    106,376  
  355,000     Bausch Health Cos., Inc.,
5.000%, 1/30/2028, 144A
    130,715  
  35,000     Bausch Health Cos., Inc.,
5.000%, 2/15/2029, 144A
    13,571  
  290,000     Bausch Health Cos., Inc.,
5.250%, 1/30/2030, 144A
    108,310  
  915,000     Bausch Health Cos., Inc.,
5.250%, 2/15/2031, 144A
    344,086  
  40,000     Bausch Health Cos., Inc.,
6.250%, 2/15/2029, 144A
    14,925  
  65,000     Bausch Health Cos., Inc.,
7.000%, 1/15/2028, 144A
    24,762  
  620,000     Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036     510,622  
  340,000     Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026
    278,970  
  1,710,000     Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046
    1,021,863  
  1,160,000     Teva Pharmaceutical Finance Netherlands III BV,
4.750%, 5/09/2027
    985,200  
  695,000     Teva Pharmaceutical Finance Netherlands III BV,
5.125%, 5/09/2029
    573,347  
   

 

 

 
      4,112,747  
   

 

 

 
  Property & Casualty Insurance – 0.3%

 

  1,630,000     MBIA Insurance Corp.,
3-month LIBOR + 11.260%,
13.772%, 1/15/2033, 144A(b)(e)(f)
    199,675  
Principal
Amount (‡)
    Description   Value (†)  
  Property & Casualty Insurance – continued

 

$ 1,135,000     Stewart Information Services Corp.,
3.600%, 11/15/2031
  $ 874,838  
   

 

 

 
      1,074,513  
   

 

 

 
  REITs – Diversified – 0.0%

 

  270,000     EPR Properties, 3.600%, 11/15/2031     192,904  
   

 

 

 
  Retailers – 0.3%

 

  1,025,000     Dillard’s, Inc., 7.750%, 7/15/2026     1,063,171  
   

 

 

 
  Technology – 3.1%

 

  1,070,000     Avnet, Inc., 5.500%, 6/01/2032     971,555  
  735,000     Block, Inc., 3.500%, 6/01/2031     569,857  
  550,000     Broadcom, Inc.,
2.600%, 2/15/2033, 144A
    392,822  
  240,000     Broadcom, Inc.,
3.137%, 11/15/2035, 144A
    168,168  
  715,000     Broadcom, Inc., 4.150%, 11/15/2030     618,865  
  180,000     CDW LLC/CDW Finance Corp.,
2.670%, 12/01/2026
    156,127  
  210,000     CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029
    170,538  
  1,825,000     CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031
    1,420,895  
  45,000     CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028
    40,050  
  1,820,000     CommScope, Inc.,
4.750%, 9/01/2029, 144A
    1,484,501  
  1,295,000     Entegris Escrow Corp.,
4.750%, 4/15/2029, 144A
    1,140,668  
  475,000     Fidelity National Information Services, Inc., 5.100%, 7/15/2032     446,347  
  140,000     Global Payments, Inc.,
2.900%, 11/15/2031
    107,040  
  255,000     Global Payments, Inc.,
5.300%, 8/15/2029
    239,813  
  455,000     Global Payments, Inc.,
5.400%, 8/15/2032
    422,227  
  1,215,000     Iron Mountain, Inc.,
4.875%, 9/15/2029, 144A
    998,110  
  290,000     MSCI, Inc.,
3.250%, 8/15/2033, 144A
    223,947  
  145,000     NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027     136,777  
  1,270,000     Oracle Corp., 3.950%, 3/25/2051     842,271  
  615,000     Sensata Technologies BV,
4.000%, 4/15/2029, 144A
    508,906  
  970,000     Western Digital Corp.,
2.850%, 2/01/2029
    753,826  
  75,000     Western Digital Corp.,
3.100%, 2/01/2032
    50,992  
  625,000     Western Digital Corp.,
4.750%, 2/15/2026
    578,737  
   

 

 

 
      12,443,039  
   

 

 

 
  Treasuries – 22.4%

 

  16,275,000     U.S. Treasury Bond,
3.250%, 5/15/2042
    14,444,062  
  2,560,000     U.S. Treasury Note,
0.125%, 12/31/2022
    2,539,145  
  20,545,000     U.S. Treasury Note,
0.125%, 4/30/2023
    20,085,145  

 

See accompanying notes to financial statements.

 

|  28


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

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

 

$ 10,310,000     U.S. Treasury Note,
0.125%, 5/31/2023
  $ 10,042,584  
  15,495,000     U.S. Treasury Note,
0.125%, 7/31/2023
    14,976,886  
  9,340,000     U.S. Treasury Note,
0.500%, 11/30/2023
    8,939,037  
  12,585,000     U.S. Treasury Note,
0.875%, 1/31/2024(g)
    12,023,099  
  6,710,000     U.S. Treasury Note,
1.500%, 2/29/2024
    6,452,609  
   

 

 

 
      89,502,567  
   

 

 

 
  Wireless – 2.2%

 

  585,000     IHS Holding Ltd.,
5.625%, 11/29/2026, 144A
    460,688  
  935,000     SBA Communications Corp.,
3.125%, 2/01/2029
    751,992  
  600,000     SoftBank Group Corp.,
4.625%, 7/06/2028
    475,500  
  210,000     SoftBank Group Corp.,
5.250%, 7/06/2031
    156,450  
  150,000     T-Mobile USA, Inc.,
2.400%, 3/15/2029
    122,426  
  265,000     T-Mobile USA, Inc.,
2.700%, 3/15/2032
    206,824  
  3,275,000     T-Mobile USA, Inc.,
3.375%, 4/15/2029
    2,829,535  
  1,620,000     T-Mobile USA, Inc.,
3.500%, 4/15/2031
    1,361,302  
  2,965,000     T-Mobile USA, Inc.,
3.875%, 4/15/2030
    2,630,001  
   

 

 

 
      8,994,718  
   

 

 

 
  Total Non-Convertible Bonds  
  (Identified Cost $380,844,296)     329,438,415  
   

 

 

 
  Convertible Bonds – 3.8%  
  Airlines – 0.4%

 

  245,000     JetBlue Airways Corp.,
0.500%, 4/01/2026
    173,950  
  1,160,000     Southwest Airlines Co.,
1.250%, 5/01/2025
    1,324,140  
   

 

 

 
      1,498,090  
   

 

 

 
  Cable Satellite – 0.9%

 

  15,000     Cable One, Inc., Zero Coupon,
6.042%, 3/15/2026(h)
    11,393  
  1,055,000     DISH Network Corp.,
2.375%, 3/15/2024
    941,060  
  4,100,000     DISH Network Corp.,
3.375%, 8/15/2026
    2,820,800  
  75,000     DISH Network Corp., Zero Coupon,
6.944%-9.514%, 12/15/2025(i)
    49,360  
   

 

 

 
      3,822,613  
   

 

 

 
  Consumer Cyclical Services – 0.3%

 

  90,000     Peloton Interactive, Inc., Zero Coupon,
0.519%-0.799%, 2/15/2026(i)
    60,285  
Principal
Amount (‡)
    Description   Value (†)  
  Consumer Cyclical Services – continued

 

$ 1,270,000     Uber Technologies, Inc.,
Zero Coupon, 0.000%-5.582%, 12/15/2025(i)
  $ 1,052,538  
   

 

 

 
      1,112,823  
   

 

 

 
  Gaming – 0.1%

 

  215,000     Penn Entertainment, Inc.,
2.750%, 5/15/2026
    300,893  
   

 

 

 
  Healthcare – 0.4%

 

  2,405,000     Teladoc Health, Inc.,
1.250%, 6/01/2027
    1,758,776  
   

 

 

 
  Leisure – 0.2%

 

  1,280,000     NCL Corp. Ltd.,
1.125%, 2/15/2027, 144A
    793,037  
   

 

 

 
  Media Entertainment – 0.2%

 

  605,000     Snap, Inc., Zero Coupon,
6.697%-7.641%, 5/01/2027(i)
    417,147  
  540,000     Spotify USA, Inc., Zero Coupon,
5.189%-5.873%, 3/15/2026(i)
    423,900  
  160,000     Twitter, Inc., Zero Coupon,
0.000%, 3/15/2026(h)
    146,468  
   

 

 

 
      987,515  
   

 

 

 
  Pharmaceuticals – 1.0%

 

  820,000     BioMarin Pharmaceutical, Inc.,
0.599%, 8/01/2024
    812,483  
  2,205,000     BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
    2,189,785  
  580,000     Ionis Pharmaceuticals, Inc.,
Zero Coupon, 0.000%, 4/01/2026(h)
    573,113  
  485,000     Livongo Health, Inc.,
0.875%, 6/01/2025
    407,177  
   

 

 

 
      3,982,558  
   

 

 

 
  Technology – 0.3%

 

  35,000     Bentley Systems, Inc.,
0.375%, 7/01/2027
    26,373  
  480,000     RingCentral, Inc., Zero Coupon,
7.146%-8.016%, 3/15/2026(i)
    369,120  
  465,000     Splunk, Inc.,
1.125%, 6/15/2027
    365,851  
  440,000     Unity Software, Inc., Zero Coupon,
7.085%-7.592%, 11/15/2026, 144A(i)
    319,000  
   

 

 

 
      1,080,344  
   

 

 

 
  Total Convertible Bonds  
  (Identified Cost $19,463,310)     15,336,649  
   

 

 

 
  Municipals – 0.9%  
  Virginia – 0.9%

 

  3,865,000     Tobacco Settlement Financing Corp.,
Series A-1, 6.706%, 6/01/2046
(Identified Cost $3,848,450)
    3,368,595  
   

 

 

 
  Total Bonds and Notes  
  (Identified Cost $404,156,056)     348,143,659  
   

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)
    Description   Value (†)  
  Senior Loans – 0.3%  
  Independent Energy – 0.3%

 

$ 1,282,000    

Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan,
3-month LIBOR + 9.000%,
11.455%, 11/01/2025(b)(j)

(Identified Cost $1,282,579)

  $ 1,343,959  
   

 

 

 
  Collateralized Loan Obligations – 3.2%  
  555,000     522 Funding CLO Ltd., Series 2021-7A, Class D,
3-month LIBOR + 2.900%,
5.683%, 4/23/2034, 144A(b)
    468,746  
  1,090,000     AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%,
5.709%, 4/22/2034, 144A(b)
    935,704  
  1,005,000     AIMCO CLO Ltd., Series 2017-AA, Class DR, 3-month LIBOR + 3.150%,
5.860%, 4/20/2034, 144A(b)
    889,692  
  1,940,000     AIMCO CLO Ltd., Series 2021-14A, Class D, 3-month LIBOR + 2.900%,
5.610%, 4/20/2034, 144A(b)
    1,695,335  
  2,100,000     Ares XLII CLO Ltd., Series 2017-42A, Class BR, 3-month LIBOR + 1.500%,
4.259%, 1/22/2028, 144A(b)
    2,010,057  
  255,000     Atrium XV, Series 15A, Class D,
3-month LIBOR + 3.000%,
5.783%, 1/23/2031, 144A(b)
    228,343  
  370,000     Carlyle U.S. CLO Ltd., Series 2018-4A, Class C,
3-month LIBOR + 2.900%,
5.610%, 1/20/2031, 144A(b)
    319,583  
  305,000     CarVal CLO I Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.890%,
5.630%, 7/16/2031, 144A(b)
    263,795  
  503,000     CIFC Funding Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.650%,
5.390%, 4/18/2031, 144A(b)
    442,743  
  340,000     Elmwood CLO VIII Ltd., Series 2021-1A, Class D2,
3-month LIBOR + 2.850%,
5.560%, 1/20/2034, 144A(b)
    299,819  
  365,000     Invesco CLO Ltd., Series 2021-1A, Class D,, 3-month LIBOR + 3.050%
5.562%, 4/15/2034, 144A(b)
    318,014  
  500,000     Madison Park Funding XXXI Ltd., Series 2018-31A, Class D,
3-month LIBOR + 3.000%,
5.783%, 1/23/2031, 144A(b)
    448,203  
  1,930,000     Oaktree CLO Ltd., Series 2019-2A, Class BR, 3-month LIBOR + 2.700%,
5.212%, 4/15/2031, 144A(b)
    1,795,195  
  255,000     OCP CLO Ltd., Series 2018-15A, Class C, 3-month LIBOR + 2.950%,
5.660%, 7/20/2031, 144A(b)
    219,953  
  1,835,000     OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%,
6.262%, 4/15/2034, 144A(b)
    1,579,476  
  250,000     Recette CLO Ltd., Series 2015-1A, Class DRR,
3-month LIBOR + 3.250%,
5.960%, 4/20/2034, 144A(b)
    214,369  
Principal
Amount (‡)
    Description   Value (†)  
  Collateralized Loan Obligations – continued  
$ 575,000     Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D,
3-month LIBOR + 2.900%,
5.610%, 4/20/2034, 144A(b)
  $ 506,256  
   

 

 

 
  Total Collateralized Loan Obligations

 

  (Identified Cost $14,158,000)     12,635,283  
   

 

 

 
  Shares              
  Common Stocks – 1.8%  
  Aerospace & Defense – 0.0%

 

  409     Lockheed Martin Corp.     157,993  
   

 

 

 
  Air Freight & Logistics – 0.0%

 

  761     United Parcel Service, Inc., Class B     122,932  
   

 

 

 
  Beverages – 0.0%

 

  1,893     Coca-Cola Co. (The)     106,046  
   

 

 

 
  Biotechnology – 0.1%

 

  1,306     AbbVie, Inc.     175,278  
   

 

 

 
  Capital Markets – 0.1%

 

  212     BlackRock, Inc.     116,660  
  1,227     Morgan Stanley     96,945  
   

 

 

 
      213,605  
   

 

 

 
  Communications Equipment – 0.0%

 

  1,374     Cisco Systems, Inc.     54,960  
   

 

 

 
  Containers & Packaging – 0.0%

 

  442     Packaging Corp. of America     49,632  
   

 

 

 
  Electric Utilities – 0.1%

 

  868     Duke Energy Corp.     80,741  
  1,478     NextEra Energy, Inc.     115,890  
   

 

 

 
      196,631  
   

 

 

 
  Electrical Equipment –  0.0%

 

  726     Emerson Electric Co.     53,158  
   

 

 

 
  Food & Staples Retailing – 0.1%

 

  85     Costco Wholesale Corp.     40,143  
  1,020     Walmart, Inc.     132,294  
   

 

 

 
      172,437  
   

 

 

 
  Health Care Equipment & Supplies – 0.0%

 

  835     Abbott Laboratories     80,795  
   

 

 

 
  Health Care Providers & Services – 0.1%

 

  226     Elevance Health, Inc.     102,658  
  215     UnitedHealth Group, Inc.     108,584  
   

 

 

 
      211,242  
   

 

 

 
  Hotels, Restaurants & Leisure – 0.0%

 

  1,453     Starbucks Corp.     122,430  
   

 

 

 
  Household Products – 0.0%

 

  1,257     Procter & Gamble Co. (The)     158,696  
   

 

 

 
  IT Services – 0.0%

 

  311     Accenture PLC, Class A     80,020  
   

 

 

 
  Life Sciences Tools & Services – 0.0%

 

  104     Thermo Fisher Scientific, Inc.     52,748  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  30


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

 

    
Shares
    Description   Value (†)  
  Common Stocks – continued  
  Machinery – 0.1%

 

  414     Cummins, Inc.   $ 84,253  
  287     Deere & Co.     95,827  
   

 

 

 
      180,080  
   

 

 

 
  Media – 0.3%

 

  138,910     Altice USA, Inc., Class A(e)     809,845  
  1,635     Comcast Corp., Class A     47,955  
  34,625     iHeartMedia, Inc., Class A(e)     253,801  
   

 

 

 
      1,111,601  
   

 

 

 
  Metals & Mining – 0.0%

 

  1,712     Newmont Corp.     71,955  
   

 

 

 
  Oil, Gas & Consumable Fuels – 0.1%

 

  939     Battalion Oil Corp.(e)     11,174  
  332     Devon Energy Corp.     19,963  
  588     Pioneer Natural Resources Co.     127,320  
  3,038     Williams Cos., Inc. (The)     86,978  
   

 

 

 
      245,435  
   

 

 

 
  Pharmaceuticals – 0.1%

 

  1,146     Bristol-Myers Squibb Co.     81,469  
  1,060     Johnson & Johnson     173,162  
  1,088     Merck & Co., Inc.     93,698  
   

 

 

 
      348,329  
   

 

 

 
  Professional Services – 0.0%

 

  456     Clarivate PLC(e)     4,282  
   

 

 

 
  REITs – Diversified – 0.0%

 

  308     American Tower Corp.     66,128  
   

 

 

 
  Road & Rail – 0.0%

 

  564     Union Pacific Corp.     109,878  
   

 

 

 
  Semiconductors & Semiconductor Equipment – 0.1%

 

  212     Broadcom, Inc.     94,130  
  1,558     Microchip Technology, Inc.     95,085  
  1,020     QUALCOMM, Inc.     115,239  
   

 

 

 
      304,454  
   

 

 

 
  Software – 0.0%

 

  518     Microsoft Corp.     120,642  
   

 

 

 
  Specialty Retail – 0.0%

 

  304     Home Depot, Inc. (The)     83,886  
   

 

 

 
  Technology Hardware, Storage & Peripherals – 0.0%

 

  851     Apple, Inc.     117,608  
   

 

 

 
  Wireless Telecommunication Services – 0.6%

 

  18,888     T-Mobile US, Inc.(e)     2,534,203  
   

 

 

 
  Total Common Stocks  
  (Identified Cost $9,646,466)     7,307,084  
   

 

 

 
  Preferred Stocks – 1.2%  
  Convertible Preferred Stocks – 1.1%  
  Banking – 0.5%

 

  1,109     Bank of America Corp., Series L, 7.250%     1,300,857  
    
Shares
    Description   Value (†)  
  Banking – continued  
  834     Wells Fargo & Co., Class A, Series L, 7.500%   $ 1,004,136  
   

 

 

 
      2,304,993  
   

 

 

 
  Midstream – 0.1%

 

  5,333     El Paso Energy Capital Trust I, 4.750%     244,625  
   

 

 

 
  Technology – 0.1%

 

  8,046     Clarivate PLC, Series A, 5.250%     343,081  
   

 

 

 
  Wireless – 0.4%

 

  1,413     2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A     1,589,484  
   

 

 

 
  Total Convertible Preferred Stocks  
  (Identified Cost $5,432,621)     4,482,183  
   

 

 

 
  Non-Convertible Preferred Stocks – 0.1%  
  Electric – 0.1%

 

  4,670     Union Electric Co.,
4.500%
(Identified Cost $246,342)
    404,001  
   

 

 

 
  Total Preferred Stocks  
  (Identified Cost $5,678,963)     4,886,184  
   

 

 

 
 
Principal
Amount (‡)

 
           
  Short-Term Investments – 5.7%  
$ 5,430,738     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $5,431,236 on 10/03/2022 collateralized by $4,626,200 U.S. Treasury Inflation Indexed Note, 0.375% due 7/15/2025 valued at $5,539,356 including accrued interest (Note 2 of Notes to Financial Statements)     5,430,738  
  17,370,000     U.S. Treasury Bills,
2.395%-2.415%, 10/20/2022(k)(l)
    17,349,053  
   

 

 

 
  Total Short-Term Investments  
  (Identified Cost $22,778,601)     22,779,791  
   

 

 

 
  Total Investments – 99.3%  
  (Identified Cost $457,700,665)     397,095,960  
  Other assets less liabilities – 0.7%     2,602,407  
   

 

 

 
  Net Assets – 100.0%   $ 399,698,367  
   

 

 

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

 

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

 

 

See accompanying notes to financial statements.

 

31  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Fixed Income Fund – continued

 

  (a)     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 September 30, 2022 is disclosed.
  (b)     Variable rate security. Rate as of September 30, 2022 is disclosed.
  (c)     Perpetual bond with no specified maturity date.
  (d)     The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
  (e)     Non-income producing security.
  (f)     Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (g)     Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
  (h)     Interest rate represents annualized yield at time of purchase; not a coupon rate.
  (i)     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.
  (j)     Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 1.00%, to which the spread is added.
  (k)     Interest rate represents discount rate at time of purchase; not a coupon rate.
  (l)     The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
  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 September 30, 2022, the value of Rule 144A holdings amounted to $148,776,077 or 37.2% of net assets.
  ABS     Asset-Backed Securities
  EMTN     Euro Medium Term Note
  LIBOR     London Interbank Offered Rate
  MTN     Medium Term Note
  REITs     Real Estate Investment Trusts
  SOFR     Secured Overnight Financing Rate

 

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

Financial Futures

     Expiration
Date
       Contracts        Notional
Amount
       Value        Unrealized
Appreciation
(Depreciation)
 

Ultra Long U.S. Treasury Bond

       12/20/2022          117        $  17,479,197        $ 16,029,000        $ (1,450,197
                        

 

 

 
At September 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

       12/20/2022          96        $ 11,685,437        $ 11,374,500        $ 310,937  
                        

 

 

 

 

Industry Summary at September 30, 2022

 

Treasuries

       22.4

Banking

       6.2  

ABS Home Equity

       5.2  

Cable Satellite

       4.4  

ABS Car Loan

       4.1  

Finance Companies

       3.8  

Technology

       3.5  

Independent Energy

       3.1  

Wireless

       2.6  

ABS Other

       2.5  

Metals & Mining

       2.3  

Life Insurance

       2.2  

Pharmaceuticals

       2.1  

Non-Agency Commercial Mortgage-Backed Securities

       2.0  

Other Investments, less than 2% each

       24.0  

Short-Term Investments

       5.7  

Collateralized Loan Obligations

       3.2  
    

 

 

 

Total Investments

       99.3  

Other assets less liabilities (including futures contracts)

       0.7  
    

 

 

 

Net Assets

       100.0
    

 

 

 

 

 

See accompanying notes to financial statements.

 

|  32


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – 94.5% of Net Assets  
  Australia – 2.0%

 

  3,840,000     Australia Government Bond, Series 164,
0.500%, 9/21/2026, (AUD)
  $ 2,172,231  
  4,845,000     New South Wales Treasury Corp., Series 26,
4.000%, 5/20/2026, (AUD)
    3,096,085  
  8,485,000     Queensland Treasury Corp., Series 27, 2.750%, 8/20/2027, 144A, (AUD)     5,104,493  
   

 

 

 
      10,372,809  
   

 

 

 
  Belgium – 0.7%

 

  305,000     Anheuser-Busch InBev Finance, Inc., 4.700%, 2/01/2036     274,879  
  1,605,000     Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050     1,322,567  
  2,485,000     Kingdom of Belgium Government Bond, 1.700%, 6/22/2050, 144A, (EUR)     1,809,959  
   

 

 

 
      3,407,405  
   

 

 

 
  Brazil – 1.9%

 

  1,020,000     Banco do Brasil S.A.,
4.625%, 1/15/2025, 144A
    985,830  
  22,836(††)     Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)     3,997,253  
  3,525,000     Brazilian Government International Bond,
4.625%, 1/13/2028
    3,271,130  
  1,710,000     Suzano Austria GmbH,
3.750%, 1/15/2031
    1,339,700  
  200,000     Suzano Austria GmbH,
5.000%, 1/15/2030
    173,342  
   

 

 

 
      9,767,255  
   

 

 

 
  Canada – 2.0%

 

  11,030,000     Canadian Government Bond,
0.500%, 12/01/2030, (CAD)
    6,444,088  
  504,357     CNH Capital Canada Receivables Trust, Series 2021-1A, Class A2,
1.001%, 11/16/2026, 144A, (CAD)
    349,440  
  393,404     Ford Auto Securitization Trust,
Series 2019-AA, Class A3,
2.552%, 9/15/2024, 144A, (CAD)
    282,678  
  1,260,000     Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)     923,982  
  5,245,000     Province of Ontario Canada,
1.900%, 12/02/2051, (CAD)
    2,381,067  
   

 

 

 
      10,381,255  
   

 

 

 
  Chile – 0.1%

 

  680,000     Engie Energia Chile S.A.,
3.400%, 1/28/2030
    512,096  
   

 

 

 
  China – 7.8%

 

  42,910,000     China Development Bank, Series 2103, 3.300%, 3/03/2026, (CNY)     6,164,449  
  41,870,000     China Development Bank, Series 2115, 3.120%, 9/13/2031, (CNY)     5,902,852  
Principal
Amount (‡)
    Description   Value (†)  
  China – continued  
  84,570,000     China Government Bond,
1.990%, 4/09/2025, (CNY)
  $ 11,752,974  
  33,010,000     China Government Bond,
3.270%, 11/19/2030, (CNY)
    4,806,068  
  49,010,000     China Government Bond,
3.280%, 12/03/2027, (CNY)
    7,107,742  
  20,670,000     China Government Bond,
3.720%, 4/12/2051, (CNY)
    3,149,669  
  1,450,000     NXP BV/NXP Funding LLC/NXP USA, Inc., 5.000%, 1/15/2033     1,301,339  
   

 

 

 
      40,185,093  
   

 

 

 
  Colombia – 1.0%

 

  1,845,000     EcoPetrol S.A.,
4.625%, 11/02/2031
    1,291,500  
  19,798,100,000     Titulos De Tesoreria, Series B,
7.500%, 8/26/2026, (COP)
    3,670,013  
   

 

 

 
      4,961,513  
   

 

 

 
  France – 1.7%

 

  300,000     Electricite de France S.A.,
5.000%, 9/21/2048, 144A
    233,208  
  300,000     Electricite de France S.A., EMTN,
2.000%, 12/09/2049, (EUR)
    165,867  
  300,000     Electricite de France S.A., EMTN,
5.125%, 9/22/2050, (GBP)
    266,347  
  3,275,000     French Republic Government Bond OAT,
0.500%, 6/25/2044, 144A, (EUR)
    1,953,337  
  6,685,000     French Republic Government Bond OAT, Zero Coupon,
2.371%, 5/25/2032, (EUR)(a)
    5,081,776  
  1,600,000     Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres Et Salaries De L Industrie Et Du Commerce (MACIF), (fixed rate to 3/21/2032, variable rate thereafter),
2.125%, 6/21/2052, (EUR)
    1,042,387  
   

 

 

 
      8,742,922  
   

 

 

 
  Germany – 10.4%

 

  7,675,000     Bundesrepublik Deutschland Bundesanleihe, Zero Coupon,
0.000%-1.110%, 8/15/2026, (EUR)(b)
    7,018,986  
  6,065,000     Bundesrepublik Deutschland Bundesanleihe,
0.250%, 8/15/2028, (EUR)
    5,383,484  
  5,560,000     Bundesrepublik Deutschland Bundesanleihe,
0.500%, 8/15/2027, (EUR)
    5,100,730  
  16,400,000     Bundesrepublik Deutschland Bundesanleihe,
1.000%, 8/15/2024, (EUR)
    15,883,355  
  1,710,000     Bundesrepublik Deutschland Bundesanleihe,
1.000%, 8/15/2025, (EUR)
    1,640,468  
  2,345,000     Bundesrepublik Deutschland Bundesanleihe,
1.250%, 8/15/2048, (EUR)
    1,916,123  
  1,975,000     Bundesrepublik Deutschland Bundesanleihe,
1.500%, 5/15/2023, (EUR)
    1,936,815  

 

See accompanying notes to financial statements.

 

33  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

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

 

  555,000     Bundesrepublik Deutschland Bundesanleihe,
4.750%, 7/04/2040, (EUR)
  $ 744,700  
  2,660,000     Bundesrepublik Deutschland Bundesanleihe, Zero Coupon,
0.308%, 8/15/2050, (EUR)(a)
    1,461,697  
  1,680,000     Bundesrepublik Deutschland Bundesanleihe, Zero Coupon,
1.365%, 8/15/2052, (EUR)(a)
    885,119  
  1,805,000     Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter),
3.742%, 1/07/2033
    1,170,044  
  815,000     Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter),
3.729%, 1/14/2032
    548,860  
  3,500,000     Deutsche Bank AG, EMTN, (fixed rate to 2/19/2026, variable rate thereafter), 5.625%, 5/19/2031, (EUR)     3,263,476  
  4,375,000     Fraport AG Frankfurt Airport Services Worldwide,
1.875%, 3/31/2028, (EUR)
    3,602,327  
  211,000     Fraport AG Frankfurt Airport Services Worldwide,
2.125%, 7/09/2027, (EUR)
    187,432  
  32,680,000     Kreditanstalt fuer Wiederaufbau, EMTN, 1.250%, 8/28/2023, (NOK)     2,945,789  
   

 

 

 
      53,689,405  
   

 

 

 
  Indonesia – 0.7%

 

  38,485,000,000     Indonesia Treasury Bond,
6.500%, 2/15/2031, (IDR)
    2,388,812  
  18,722,000,000     Indonesia Treasury Bond,
8.250%, 5/15/2029, (IDR)
    1,289,116  
   

 

 

 
      3,677,928  
   

 

 

 
  Ireland – 0.9%

 

  400,000     Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter), 2.029%, 9/30/2027, 144A     330,595  
  3,205,000     Ireland Government Bond,
1.000%, 5/15/2026, (EUR)
    3,022,015  
  1,310,000     Ireland Government Bond, Zero Coupon, 0.029%, 10/18/2031, (EUR)(a)     1,016,282  
   

 

 

 
      4,368,892  
   

 

 

 
  Israel – 0.2%

 

  3,425,000     State of Israel, 1.000%, 3/31/2030, (ILS)     811,231  
   

 

 

 
  Italy – 4.4%

 

  1,295,000     Autostrade per l’Italia SpA,
2.000%, 12/04/2028, (EUR)
    976,978  
  2,485,000     Autostrade per l’Italia SpA,
2.000%, 1/15/2030, (EUR)
    1,817,679  
  770,000     Autostrade per l’Italia SpA, EMTN, 1.875%, 9/26/2029, (EUR)     555,164  
Principal
Amount (‡)
    Description   Value (†)  
  Italy – continued  
$ 1,600,000     Enel Finance International NV,
6.000%, 10/07/2039, 144A
  $ 1,381,568  
  2,605,000     Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A     1,761,527  
  2,625,000     Intesa Sanpaolo SpA, EMTN,
5.148%, 6/10/2030, (GBP)
    2,179,637  
  13,830,000     Italy Buoni Poliennali Del Tesoro,
1.350%, 4/01/2030, (EUR)
    11,176,705  
  300,000     UniCredit SpA, (fixed rate to 1/15/2027, variable rate thereafter), 2.731%, 1/15/2032, (EUR)     233,844  
  605,000     UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A     513,455  
  200,000     UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A     148,708  
  2,355,000     UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035     1,735,499  
   

 

 

 
      22,480,764  
   

 

 

 
  Japan – 4.4%

 

  565,000,000     Japan Government Five Year Bond, Series 139, 0.100%, 3/20/2024, (JPY)     3,913,971  
  389,700,000     Japan Government Thirty Year Bond, Series 26, 2.400%, 3/20/2037, (JPY)     3,327,327  
  468,600,000     Japan Government Thirty Year Bond, Series 41, 1.700%, 12/20/2043, (JPY)     3,622,528  
  480,200,000     Japan Government Thirty Year Bond, Series 51, 0.300%, 6/20/2046, (JPY)     2,717,229  
  724,400,000     Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)     4,103,248  
  731,750,000     Japan Government Two Year Bond, Series 436, 0.005%, 5/01/2024, (JPY)     5,061,224  
   

 

 

 
      22,745,527  
   

 

 

 
  Korea – 1.0%

 

  9,400,000,000     Korea Treasury Bond,
1.375%, 6/10/2030, (KRW)
    5,385,476  
   

 

 

 
  Luxembourg – 0.9%

 

  450,000     Blackstone Property Partners Europe Holdings S.a.r.l., EMTN,
1.000%, 5/04/2028, (EUR)
    334,519  
  1,960,000     Blackstone Property Partners Europe Holdings S.a.r.l., EMTN,
1.625%, 4/20/2030, (EUR)
    1,399,705  
  550,000     Blackstone Property Partners Europe Holdings S.a.r.l., EMTN,
1.750%, 3/12/2029, (EUR)
    412,353  
  1,510,000     Logicor Financing S.a.r.l., EMTN,
0.875%, 1/14/2031, (EUR)
    984,239  
  2,180,000     Logicor Financing S.a.r.l., EMTN,
1.625%, 1/17/2030, (EUR)
    1,605,881  
   

 

 

 
      4,736,697  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  34


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

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

 

  7,770,000     Malaysia Government Bond, Series 0119, 3.906%, 7/15/2026, (MYR)   $ 1,667,199  
   

 

 

 
  Mexico – 1.3%

 

  405,000     America Movil SAB de CV,
2.875%, 5/07/2030
    340,127  
  996,320(†††)     Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)     4,668,919  
  1,450,000     Mexico Government International Bond, 3.500%, 2/12/2034     1,101,802  
  1,025,000     Orbia Advance Corp. SAB de CV,
5.875%, 9/17/2044, 144A
    797,142  
   

 

 

 
      6,907,990  
   

 

 

 
  New Zealand – 1.2%

 

  1,045,000     New Zealand Government Bond, Series 0423, 5.500%, 4/15/2023, (NZD)     589,279  
  9,580,000     New Zealand Government Bond, Series 0427, 4.500%, 4/15/2027, (NZD)     5,416,241  
   

 

 

 
      6,005,520  
   

 

 

 
  Norway – 1.2%

 

  320,000     Aker BP ASA, 3.750%, 1/15/2030, 144A     272,015  
  2,755,000     Aker BP ASA, 4.000%, 1/15/2031, 144A     2,337,899  
  2,000,000     City of Oslo Norway,
2.300%, 3/14/2024, (NOK)
    179,325  
  2,000,000     City of Oslo Norway,
2.350%, 9/04/2024, (NOK)
    177,881  
  1,000,000     City of Oslo Norway,
3.650%, 11/08/2023, (NOK)
    91,512  
  4,100,000     Norway Government Bond, Series 475, 2.000%, 5/24/2023, 144A, (NOK)     374,395  
  33,565,000     Norway Government Bond, Series 477, 1.750%, 3/13/2025, 144A, (NOK)     2,980,637  
   

 

 

 
      6,413,664  
   

 

 

 
  Portugal – 0.3%

 

  1,085,000     EDP Finance BV,
1.710%, 1/24/2028, 144A
    882,474  
  405,000     EDP Finance BV,
3.625%, 7/15/2024, 144A
    390,848  
  230,000     EDP Finance BV, EMTN,
0.375%, 9/16/2026, (EUR)
    199,232  
   

 

 

 
      1,472,554  
   

 

 

 
  Singapore – 0.4%

 

  2,780,000     Singapore Government Bond,
2.125%, 6/01/2026, (SGD)
    1,840,752  
   

 

 

 
  South Africa – 1.6%

 

  440,000     Anglo American Capital PLC,
5.625%, 4/01/2030, 144A
    416,282  
  180,540,000     Republic of South Africa, Series R213, 7.000%, 2/28/2031, (ZAR)     7,709,357  
   

 

 

 
      8,125,639  
   

 

 

 
Principal
Amount (‡)
    Description   Value (†)  
  Spain – 1.6%

 

$ 400,000     Banco Santander S.A.,
4.250%, 4/11/2027
  $ 367,540  
  2,600,000     Banco Santander S.A.,
5.179%, 11/19/2025
    2,516,254  
  2,460,000     Spain Government Bond,
1.950%, 7/30/2030, 144A, (EUR)
    2,238,378  
  2,835,000     Spain Government Bond,
4.200%, 1/31/2037, 144A, (EUR)
    3,015,988  
   

 

 

 
      8,138,160  
   

 

 

 
  Supranationals – 1.5%

 

  2,665,000     Inter-American Development Bank,
4.400%, 1/26/2026, (CAD)
    1,960,179  
  18,000,000     Nordic Investment Bank, EMTN,
0.200%, 1/16/2023, (SEK)
    1,613,652  
  44,510,000     Nordic Investment Bank, EMTN,
1.500%, 3/13/2025, (NOK)
    3,896,899  
   

 

 

 
      7,470,730  
   

 

 

 
  Sweden – 0.6%

 

  2,410,000     Heimstaden Bostad Treasury BV, EMTN, 0.750%, 9/06/2029, (EUR)     1,612,233  
  805,000     Heimstaden Bostad Treasury BV, EMTN, 1.625%, 10/13/2031, (EUR)     518,233  
  9,900,000     Sweden Government Bond, Series 1057, 1.500%, 11/13/2023, 144A, (SEK)     884,337  
   

 

 

 
      3,014,803  
   

 

 

 
  Switzerland – 0.2%

 

  195,000     Credit Suisse Group AG, (fixed rate to 1/14/2027, variable rate thereafter), 0.650%, 1/14/2028, (EUR)     152,257  
  715,000     Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A     501,957  
  715,000     Credit Suisse Group AG, EMTN,
0.625%, 1/18/2033, (EUR)
    417,590  
   

 

 

 
      1,071,804  
   

 

 

 
  Thailand – 0.4%

 

  74,870,000     Thailand Government Bond,
1.600%, 12/17/2029, (THB)
    1,796,850  
   

 

 

 
  United Arab Emirates – 0.3%

 

  1,180,000     DP World Ltd., MTN,
4.700%, 9/30/2049
    890,666  
  800,000     DP World Ltd., MTN,
5.625%, 9/25/2048
    698,354  
   

 

 

 
      1,589,020  
   

 

 

 
  United Kingdom – 3.7%

 

  1,030,000     Aviva PLC, (fixed rate to 3/03/2035, variable rate thereafter), 4.000%, 6/03/2055, (GBP)     762,927  

 

See accompanying notes to financial statements.

 

35  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

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

 

$ 1,050,000     Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035   $ 771,560  
  635,000     Barclays PLC, EMTN, (fixed rate to 2/07/2023, variable rate thereafter),
2.000%, 2/07/2028, (EUR)
    612,462  
  373,022     Brass PLC, Series 8A, Class A1,
3-month LIBOR + 0.700%,
3.622%, 11/16/2066, 144A(c)
    373,001  
  1,055,000     Channel Link Enterprises Finance PLC, Series A8, (fixed rate to 6/20/2027, variable rate thereafter), 2.706%, 6/30/2050, (EUR)     945,095  
  3,350,000     CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A     3,079,286  
  1,070,000     Lanark Master Issuer PLC,
Series 2020-1A, Class 1A,
2.277%, 12/22/2069, 144A(d)
    1,066,777  
  123,500     Lanark Master Issuer PLC,
Series 2020-1A, Class 2A,
SONIA Index + 0.570%,
2.558%, 12/22/2069, 144A, (GBP)(c)
    137,728  
  1,720,000     Legal & General Group PLC, (fixed rate to 11/01/2030, variable rate thereafter), 4.500%, 11/01/2050, (GBP)     1,470,904  
  490,000     Legal & General Group PLC, EMTN, (fixed rate to 11/26/2029, variable rate thereafter),
3.750%, 11/26/2049, (GBP)
    405,639  
  175,000     National Grid Electricity Transmission PLC, EMTN,
1.125%, 7/07/2028, (GBP)
    144,639  
  630,000     National Grid Electricity Transmission PLC, EMTN,
2.750%, 2/06/2035, (GBP)
    483,430  
  1,095,000     United Kingdom Gilt,
0.125%, 1/31/2023, (GBP)
    1,211,007  
  3,005,000     United Kingdom Gilt,
0.125%, 1/30/2026, (GBP)
    2,912,879  
  3,090,000     United Kingdom Gilt,
4.750%, 12/07/2030, (GBP)
    3,603,774  
  600,000     Virgin Money U.K. PLC, EMTN (fixed rate to 5/19/2026, variable rate thereafter), 2.625%, 8/19/2031, (GBP)     517,816  
  885,000     Western Power Distribution South Wales PLC, EMTN,
1.625%, 10/07/2035, (GBP)
    576,815  
   

 

 

 
      19,075,739  
   

 

 

 
  United States – 39.8%

 

  750,000     AES Corp. (The),
3.950%, 7/15/2030, 144A
    642,225  
  290,000,000     Aflac, Inc., 0.932%, 1/25/2027, (JPY)     1,996,117  
  390,000,000     Aflac, Inc., (fixed rate to 10/23/2027, variable rate thereafter), 2.108%, 10/23/2047, (JPY)     2,769,154  
Principal
Amount (‡)
    Description   Value (†)  
  United States – continued

 

$ 275,000     Ally Financial, Inc.,
3.875%, 5/21/2024
  $ 268,670  
  310,000     Ally Financial, Inc.,
4.625%, 3/30/2025
    303,004  
  145,000     Ally Financial, Inc.,
5.800%, 5/01/2025
    145,608  
  1,910,542     Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class A, 2.798%, 1/15/2047, 144A     1,510,105  
  1,325,000     Ares Capital Corp.,
2.875%, 6/15/2028
    1,042,857  
  2,325,000     AT&T, Inc., 3.650%, 6/01/2051     1,570,669  
  595,000     Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, 4.000%, 3/20/2025, 144A     584,581  
  165,000     Boeing Co. (The),
2.196%, 2/04/2026
    146,427  
  85,000     Boeing Co. (The),
2.250%, 6/15/2026
    74,703  
  65,000     Boeing Co. (The),
3.250%, 3/01/2028
    56,272  
  10,000     Boeing Co. (The),
3.250%, 2/01/2035
    7,063  
  120,000     Boeing Co. (The),
3.550%, 3/01/2038
    82,197  
  757,000     Boeing Co. (The),
3.625%, 2/01/2031
    628,347  
  40,000     Boeing Co. (The),
3.625%, 3/01/2048
    24,876  
  510,000     Boeing Co. (The),
3.750%, 2/01/2050
    329,409  
  195,000     Boeing Co. (The),
3.825%, 3/01/2059
    117,464  
  235,000     Boeing Co. (The),
3.850%, 11/01/2048
    152,106  
  390,000     Boeing Co. (The),
3.900%, 5/01/2049
    254,730  
  175,000     Boeing Co. (The),
3.950%, 8/01/2059
    108,719  
  1,385,000     BPR Trust, Series 2022-OANA, Class A, 1-month SOFR + 1.898%,
4.743%, 4/15/2037, 144A(c)
    1,364,241  
 
1,484,000
 
  Broadcom, Inc.,
3.187%, 11/15/2036, 144A
    1,014,976  
  215,000     Centene Corp.,
2.450%, 7/15/2028
    175,057  
  1,345,000     Centene Corp.,
2.500%, 3/01/2031
    1,013,836  
  2,566,000     Centene Corp.,
4.625%, 12/15/2029
    2,305,808  
  355,000     CF Industries, Inc.,
4.950%, 6/01/2043
    286,035  
  380,000     CF Industries, Inc.,
5.150%, 3/15/2034
    341,593  
  500,000     CF Industries, Inc.,
5.375%, 3/15/2044
    424,893  
  1,185,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051     718,169  

 

See accompanying notes to financial statements.

 

|  36


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

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

 

$ 210,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050   $ 151,492  
  2,320,000     Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.050%, 3/30/2029     2,135,374  
  1,250,204     Citigroup Mortgage Loan Trust,
Series 2019-E, Class A1,
3.228%, 11/25/2070, 144A(d)
    1,206,672  
  2,930,000     Citigroup, Inc., Series MPLE,
4.090%, 6/09/2025, (CAD)
    2,045,856  
  1,100,000     Continental Resources, Inc.,
2.875%, 4/01/2032, 144A
    805,524  
  1,725,000     Continental Resources, Inc.,
4.375%, 1/15/2028
    1,548,145  
  1,510,000     Continental Resources, Inc.,
5.750%, 1/15/2031, 144A
    1,364,826  
  600,000,000     Corning, Inc., 0.698%, 8/09/2024, (JPY)     4,126,622  
  415,000     DCP Midstream Operating LP,
3.250%, 2/15/2032
    328,065  
  2,990,000     Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A     2,784,753  
  140,710     Diamond Resorts Owner Trust,
Series 2018-1, Class A,
3.700%, 1/21/2031, 144A
    137,018  
  85,000     Diamondback Energy, Inc.,
3.125%, 3/24/2031
    68,946  
  1,690,000     Digital Dutch Finco BV,
1.000%, 1/15/2032, (EUR)
    1,128,245  
  865,000     Energy Transfer LP,
5.300%, 4/15/2047
    690,057  
  2,775,000     EQT Corp., 3.625%, 5/15/2031, 144A     2,313,423  
  190,000     EQT Corp., 3.900%, 10/01/2027     172,899  
  580,000     EQT Corp., 5.000%, 1/15/2029     541,161  
  585,000     Ferguson Finance PLC,
3.250%, 6/02/2030, 144A
    480,890  
  6,721,801     FHLMC, 2.500%, 12/01/2051     5,658,383  
  23,873,286     FNMA, 2.000%, with various maturities from 2051 to 2052(e)     19,403,342  
  5,229,657     FNMA, 2.500%, 5/01/2052     4,398,470  
  9,577,324     FNMA, 3.000%, with various maturities from 2046 to 2051(e)     8,378,783  
  5,159,864     FNMA, 3.500%, with various maturities from 2045 to 2052(e)     4,668,762  
  6,469,489     FNMA, 4.000%, with various maturities from 2048 to 2050(e)     6,114,017  
  8,440,771     FNMA, 4.500%, with various maturities from 2043 to 2052(e)     8,072,266  
  3,019,586     FNMA, 5.000%, 8/01/2052     2,948,374  
  5,060,000     HCA, Inc., 2.375%, 7/15/2031     3,743,010  
  1,842,972     Legacy Mortgage Asset Trust,
Series 2019-GS7, Class A1,
3.250%, 11/25/2059, 144A(d)
    1,841,265  
  1,602,948     Legacy Mortgage Asset Trust,
Series 2020-GS1, Class A1,
2.882%, 10/25/2059, 144A(d)
    1,592,514  
Principal
Amount (‡)
    Description   Value (†)  
  United States – continued

 

$ 55,000     Lennar Corp., 4.750%, 5/30/2025   $ 54,157  
  420,000     Lennar Corp., 5.000%, 6/15/2027     399,290  
  2,344,479     Navigator Aircraft ABS Ltd.,
Series 2021-1, Class A,
2.771%, 11/15/2046, 144A(d)
    1,992,290  
  1,215,000     Oracle Corp., 3.950%, 3/25/2051     805,795  
  472,000     Ovintiv, Inc., 6.500%, 8/15/2034     459,810  
  87,000     Ovintiv, Inc., 7.375%, 11/01/2031     90,631  
  740,000     Owl Rock Capital Corp.,
2.875%, 6/11/2028
    563,545  
  530,000,000     Prologis Yen Finance LLC,
0.972%, 9/25/2028, (JPY)
    3,636,247  
  1,760,724     PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026, 144A(d)
    1,633,642  
  991,613     PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(d)     903,727  
  593,000     PulteGroup, Inc.,
5.000%, 1/15/2027
    575,086  
  1,410,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A
    1,085,206  
  1,690,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A
    1,225,003  
  10,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031
    7,249  
  305,000     Santander Holdings USA, Inc.,
3.244%, 10/05/2026
    272,924  
  625,000     T-Mobile USA, Inc.,
3.300%, 2/15/2051
    407,187  
  350,000     T-Mobile USA, Inc.,
3.400%, 10/15/2052
    231,066  
  2,020,000     T-Mobile USA, Inc.,
3.875%, 4/15/2030
    1,791,772  
  840,000     T-Mobile USA, Inc.,
4.375%, 4/15/2040
    683,998  
  1,585,000     Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, 1-month SOFR + 2.186%,
5.031%, 5/15/2037, 144A(c)
    1,526,880  
  1,755,000     U.S. Treasury Bond,
1.250%, 5/15/2050
    982,252  
  7,839,000     U.S. Treasury Bond,
1.625%, 11/15/2050
    4,866,917  
  8,510,000     U.S. Treasury Bond,
1.875%, 2/15/2041
    6,027,806  
  985,000     U.S. Treasury Bond,
1.875%, 2/15/2051
    652,101  
  8,075,000     U.S. Treasury Bond,
2.875%, 5/15/2043(f)
    6,655,251  
  11,390,505     U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2027(g)     10,502,105  
  20,380,000     U.S. Treasury Note,
0.125%, 6/30/2023
    19,787,706  
  3,600,000     U.S. Treasury Note,
1.125%, 2/15/2031
    2,915,016  

 

See accompanying notes to financial statements.

 

37  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

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

 

$ 8,560,000     U.S. Treasury Note,
1.250%, 8/15/2031
  $ 6,917,884  
  5,315,000     U.S. Treasury Note,
2.500%, 5/31/2024
    5,161,363  
  2,280,000     U.S. Treasury Note,
2.750%, 7/31/2027
    2,146,941  
  1,165,000     U.S. Treasury Note,
2.750%, 8/15/2032
    1,065,247  
  786,667     United Airlines Pass Through Trust, Series 2016-1, Class B,
3.650%, 7/07/2027
    689,447  
  1,004,844     United Airlines Pass Through Trust, Series 2016-2, Class B,
3.650%, 4/07/2027
    874,616  
  2,992,441     Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A1,
1.868%, 8/25/2051, 144A(d)
    2,712,338  
  350,000     Verizon Communications, Inc.,
2.850%, 9/03/2041
    233,366  
  1,885,000     VMware, Inc.,
2.200%, 8/15/2031
    1,372,026  
  2,682,285     VOLT XCIII LLC, Series 2021-NPL2, Class A1,
1.893%, 2/27/2051, 144A(d)
    2,489,854  
  1,187,994     VOLT XCVII LLC, Series 2021-NPL6, Class A1,
2.240%, 4/25/2051, 144A(d)
    1,082,638  
   

 

 

 
      204,789,444  
   

 

 

 
  Total Bonds and Notes
(Identified Cost $595,881,494)
    485,606,136  
   

 

 

 
  Short-Term Investments – 1.1%  
  5,918,846     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $5,919,389 on 10/03/2022 collateralized by $6,910,800 U.S. Treasury Bond, 3.000% due 8/15/2052 valued at $6,037,233 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $5,918,846)
    5,918,846  
   

 

 

 
  Total Investments – 95.6%  
  (Identified Cost $601,800,340)     491,524,982  
  Other assets less liabilities – 4.4%     22,521,583  
   

 

 

 
  Net Assets – 100.0%   $ 514,046,565  
   

 

 

 
  (‡)     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   Interest rate represents annualized yield at time of purchase; not a coupon rate.
  (b   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.
  (c   Variable rate security. Rate as of September 30, 2022 is disclosed.
  (d   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 September 30, 2022 is disclosed.
  (e   The Fund’s investment in mortgage related securities of Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
  (f   Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
  (g   Treasury Inflation Protected Security (TIPS).
  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 September 30, 2022, the value of Rule 144A holdings amounted to $66,898,533 or 13.0% of net assets.
  ABS     Asset-Backed Securities
  EMTN     Euro Medium Term Note
  FHLMC     Federal Home Loan Mortgage Corp.
  FNMA     Federal National Mortgage Association
  LIBOR     London Interbank Offered Rate
  MTN     Medium Term Note
  SOFR     Secured Overnight Financing Rate
  SONIA     Sterling Overnight Index
  AUD     Australian Dollar
  BRL     Brazilian Real
  CAD     Canadian Dollar
  CHF     Swiss Franc
  CNH     Chinese Yuan Renminbi Offshore
  CNY     Chinese Yuan Renminbi
  COP     Colombian Peso
  EUR     Euro
  GBP     British Pound
  IDR     Indonesian Rupiah
  ILS     Israeli Shekel
  JPY     Japanese Yen
  KRW     South Korean Won
  MXN     Mexican Peso
  MYR     Malaysian Ringgit
  NOK     Norwegian Krone
  NZD     New Zealand Dollar
  PLN     Polish Zloty
  SEK     Swedish Krona
  SGD     Singapore Dollar
  THB     Thai Baht
  ZAR     South African Rand

 

See accompanying notes to financial statements.

 

|  38


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

At September 30, 2022, the Fund had the following open forward foreign currency contracts:

 

Counterparty  

Delivery
Date

  Currency
Bought/
Sold (B/S)
   Units of Currency      In Exchange for      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 
Bank of America, N.A.   12/02/2022   BRL      S        21,971,000      $ 4,237,416      $ 4,019,667      $ 217,749  
BNP Paribas S.A.   12/21/2022   CNH      S        8,252,000        1,185,786        1,157,422        28,364  
Citibank N.A.   12/21/2022   ZAR      S        69,001,000        3,897,965        3,786,158        111,807  
Credit Suisse International   12/21/2022   CHF      B        3,258,000        3,416,330        3,328,533        (87,797
Credit Suisse International   12/21/2022   JPY      B        3,871,136,000        27,237,353        26,984,982        (252,371
HSBC Bank USA   12/21/2022   CAD      B        8,276,000        6,283,268        5,993,377        (289,891
HSBC Bank USA   12/21/2022   SGD      B        2,816,000        2,000,767        1,962,721        (38,046
Morgan Stanley Capital
Services, Inc.
  12/21/2022   GBP      S        3,813,000        4,419,458        4,262,408        157,050  
Morgan Stanley Capital
Services, Inc.
  12/21/2022   GBP      S        4,202,000        4,646,149        4,697,256        (51,107
Standard Chartered Bank   12/21/2022   EUR      S        20,236,000        20,652,679        19,953,437        699,242  
UBS AG   12/21/2022   AUD      B        4,030,000        2,710,316        2,581,264        (129,052
UBS AG   12/21/2022   COP      S        22,072,575,000        4,937,262        4,719,353        217,909  
UBS AG   12/21/2022   IDR      S        21,947,060,000        1,468,463        1,437,624        30,839  
UBS AG   12/21/2022   MXN      S        79,373,000        3,889,722        3,886,126        3,596  
                  

 

 

 
Total                    $ 618,292  
                  

 

 

 

At September 30, 2022, the Fund had the following open forward cross currency contracts:

 

Counterparty  

Settlement Date

  Deliver/Units
of Currency
     Receive/Units
of Currency
     Notional
Value
     Unrealized
Appreciation
(Depreciation)
 
BNP Paribas S.A.   12/21/2022   EUR      2,409,119      SEK      25,627,000      $ 2,320,636      $ (54,843
Citibank N.A.   12/21/2022   GBP      2,722,813      SEK      33,804,000        3,061,099        17,370  
Credit Suisse International   12/21/2022   EUR      1,148,919      PLN      5,502,000        1,095,428        (37,447
HSBC Bank USA   12/21/2022   NOK      115,025,000      EUR      11,490,665        11,330,216        746,445  
UBS AG   12/21/2022   ZAR      45,615,000      EUR      2,579,096        2,543,083        40,139  
                  

 

 

 

Total

     $ 711,664  
  

 

 

 

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

 

Financial Futures  

 

     Expiration
Date
     Contracts      Notional
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 

German Euro Bund

       12/08/2022        42      $ 5,960,072      $ 5,700,540      $ (259,532

Euro-Buxl® 30 Year Bond

       12/08/2022        4        631,314        574,858        (56,456

Ultra Long U.S. Treasury Bond

       12/20/2022        50        7,469,742        6,850,000        (619,742

5 Year U.S. Treasury Note

       12/30/2022        69        7,680,154        7,418,039        (262,115

10 Year U.S. Treasury Note

       12/20/2022        65        7,636,309        7,284,063        (352,246

UK Long Gilt

       12/28/2022        23        2,823,617        2,475,614        (348,003

2 Year U.S. Treasury Note

       12/30/2022        202        42,166,294        41,488,907        (677,387
                  

 

 

 

Total

     $ (2,575,481
                  

 

 

 

At September 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

       12/20/2022        132      $ 16,561,620      $ 15,639,938      $ 921,682  

30 Year U.S. Treasury Bond

       12/20/2022        134        18,302,529        16,938,438        1,364,091  
                  

 

 

 

Total

     $ 2,285,773  
                  

 

 

 

 

See accompanying notes to financial statements.

 

39  |


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Global Bond Fund – continued

 

Industry Summary at September 30, 2022

 

Treasuries

       48.8

Mortgage Related

       11.6  

Banking

       4.1  

Government Owned – No Guarantee

       3.2  

ABS Home Equity

       2.9  

Local Authorities

       2.2  

Independent Energy

       2.0  

Other Investments, less than 2% each

       19.7  

Short-Term Investments

       1.1  
    

 

 

 

Total Investments

       95.6  

Other assets less liabilities (including forward foreign currency and futures contracts)

       4.4  
    

 

 

 

Net Assets

       100.0
    

 

 

 

Currency Exposure Summary at September 30, 2022

 

United States Dollar

       44.9

Euro

       18.1  

Yuan Renminbi

       7.5  

Japanese Yen

       6.8  

British Pound

       2.8  

Canadian Dollar

       2.8  

Norwegian Krone

       2.1  

Australian Dollar

       2.0  

Other, less than 2% each

       8.6  
    

 

 

 

Total Investments

       95.6  

Other assets less liabilities (including forward foreign currency and futures contracts)

       4.4  
    

 

 

 

Net Assets

       100.0
    

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Portfolio of Investments – as of September 30, 2022

Loomis Sayles Inflation Protected Securities Fund

 

Principal
Amount (‡)
    Description   Value (†)  
  Bonds and Notes – 96.5% of Net Assets  
  Aerospace & Defense – 0.5%  
$ 1,315,000     Boeing Co. (The),
5.705%, 5/01/2040
  $ 1,148,603  
   

 

 

 
  Automotive – 0.5%

 

  1,055,000     General Motors Financial Co., Inc.,
5.000%, 4/09/2027
    1,000,044  
   

 

 

 
  Banking – 1.6%  
  600,000     Banco Santander S.A., (fixed rate to 3/24/2027, variable rate thereafter),
4.175%, 3/24/2028
    540,673  
  1,290,000     Bank of America Corp., (fixed rate to 7/22/2032, variable rate thereafter),
5.015%, 7/22/2033
    1,196,672  
  645,000     Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter),
6.537%, 8/12/2033, 144A
    580,874  
  445,000     NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter),
3.032%, 11/28/2035
    316,115  
  870,000     Synchrony Financial,
4.875%, 6/13/2025
    839,291  
   

 

 

 
      3,473,625  
   

 

 

 
  Brokerage – 0.2%  
  510,000     KKR Group Finance Co. XII LLC,
4.850%, 5/17/2032, 144A
    469,236  
   

 

 

 
  Finance Companies – 1.0%  
  985,000     Ares Capital Corp.,
2.875%, 6/15/2028
    775,256  
  1,520,000     Owl Rock Core Income Corp.,
5.500%, 3/21/2025
    1,430,024  
   

 

 

 
      2,205,280  
   

 

 

 
  Healthcare – 0.0%  
  30,000     Cigna Corp.,
2.400%, 3/15/2030
    24,432  
   

 

 

 
  Life Insurance – 0.0%  
  30,000     Prudential Financial, Inc., (fixed rate to 6/15/2023, variable rate thereafter),
5.625%, 6/15/2043
    29,558  
   

 

 

 
  Natural Gas – 0.2%  
  385,000     Sempra Energy,
3.700%, 4/01/2029
    343,848  
   

 

 

 
  Railroads – 0.0%  
  15,000     Canadian Pacific Railway Co.,
2.050%, 3/05/2030
    12,025  
   

 

 

 
  Retailers – 0.4%  
  1,200,000     Macy’s Retail Holdings LLC,
5.875%, 4/01/2029, 144A
    963,000  
   

 

 

 
  Sovereigns – 0.1%  
  200,000     Abu Dhabi Government International Bond, 3.875%, 4/16/2050, 144A     163,000  
   

 

 

 
  Technology – 0.4%  
  133,000     Dell International LLC/EMC Corp.,
8.350%, 7/15/2046
    143,455  
Principal
Amount (‡)
    Description   Value (†)  
  Technology – continued  
$ 695,000     NXP BV/NXP Funding LLC/NXP USA, Inc., 5.000%, 1/15/2033   $ 623,745  
   

 

 

 
      767,200  
   

 

 

 
  Treasuries – 90.5%  
  30,936,178     U.S. Treasury Inflation Indexed Bond, 0.250%, 2/15/2050(a)     20,272,562  
  8,391,616     U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2042(a)     6,746,564  
  5,084,663     U.S. Treasury Inflation Indexed Note,
0.125%, 7/15/2024(a)
    4,910,672  
  31,518,765     U.S. Treasury Inflation Indexed Note,
0.125%, 7/15/2026(a)
    29,465,531  
  17,838,780     U.S. Treasury Inflation Indexed Note,
0.125%, 4/15/2027(a)
    16,447,448  
  41,564,168     U.S. Treasury Inflation Indexed Note,
0.125%, 7/15/2031(a)
    36,239,977  
  32,778,747     U.S. Treasury Inflation Indexed Note,
0.375%, 1/15/2027(a)
    30,618,679  
  17,122,848     U.S. Treasury Inflation Indexed Note,
0.625%, 1/15/2024(a)
    16,720,640  
  3,059,160     U.S. Treasury Inflation Indexed Note,
0.625%, 7/15/2032(a)
    2,775,590  
  12,747,348     U.S. Treasury Inflation Indexed Note,
0.750%, 7/15/2028(a)
    11,978,648  
  25,227,240     U.S. Treasury Inflation Indexed Note,
0.875%, 1/15/2029(a)
    23,722,474  
   

 

 

 
      199,898,785  
   

 

 

 
  Wireless – 0.3%  
  780,000     T-Mobile USA, Inc.,
5.650%, 1/15/2053
    736,800  
   

 

 

 
  Wirelines – 0.8%  
  910,000     AT&T, Inc.,
3.550%, 9/15/2055
    597,721  
  365,000     AT&T, Inc.,
3.650%, 9/15/2059
    236,484  
  225,000     AT&T, Inc.,
3.800%, 12/01/2057
    151,997  
  1,240,000     Verizon Communications, Inc.,
3.550%, 3/22/2051
    871,921  
   

 

 

 
      1,858,123  
   

 

 

 
  Total Bonds and Notes  
  (Identified Cost $256,057,447)     213,093,559  
   

 

 

 
  Senior Loans – 2.4%  
  Cable Satellite – 0.4%  
  928,390     DirecTV Financing LLC, Term Loan, 1-month LIBOR + 5.000%,
8.115%, 8/02/2027(b)(c)
    862,595  
   

 

 

 
  Chemicals – 0.3%  
  681,484     Ineos Finance PLC, 2021 EUR Term Loan B, 1-month EURIBOR + 2.750%,
3.435%, 11/08/2028, (EUR)(b)(d)
    589,412  
   

 

 

 
  Consumer Cyclical Services – 0.3%  
  754,300     Albion Financing 3 S.a.r.l., USD Term Loan, 3-month LIBOR + 5.250%,
8.009%, 8/17/2026(b)(d)
    713,130