0001193125-23-290576.txt : 20231207 0001193125-23-290576.hdr.sgml : 20231207 20231207131613 ACCESSION NUMBER: 0001193125-23-290576 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 35 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231207 DATE AS OF CHANGE: 20231207 EFFECTIVENESS DATE: 20231207 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS I CENTRAL INDEX KEY: 0000917469 IRS NUMBER: 043219179 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-08282 FILM NUMBER: 231471742 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 617-449-2810 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II DATE OF NAME CHANGE: 20031119 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES INVESTMENT TRUST DATE OF NAME CHANGE: 20031015 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I DATE OF NAME CHANGE: 20030718 0000917469 S000006639 Loomis Sayles Securitized Asset Fund C000018125 Institutional Class LSSAX 0000917469 S000006640 Loomis Sayles Fixed Income Fund C000018126 Institutional Class LSFIX 0000917469 S000006641 Loomis Sayles Global Bond Fund C000018127 Institutional Class LSGBX C000018128 Retail Class LSGLX C000125494 Class N LSGNX 0000917469 S000006642 Loomis Sayles High Income Opportunities Fund C000018129 Institutional Class LSIOX 0000917469 S000006643 Loomis Sayles Inflation Protected Securities Fund C000018130 Institutional Class LSGSX C000089752 Retail Class LIPRX C000182246 Class N LIPNX 0000917469 S000006644 Loomis Sayles Institutional High Income Fund C000018131 Institutional Class LSHIX 0000917469 S000006645 Loomis Sayles Intermediate Duration Bond Fund C000018132 Class Y LSDIX C000089753 Class A LSDRX C000173092 Class C LSCDX C000211126 Class N LSDNX 0000917469 S000006647 Loomis Sayles Small Cap Value Fund C000018134 Institutional Class LSSCX C000018135 Retail Class LSCRX C000018136 Admin Class LSVAX C000125495 Class N LSCNX N-CSR 1 d593309dncsr.htm LOOMIS SAYLES FUNDS I Loomis Sayles Funds I

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

 

 

Loomis Sayles Funds I

(Exact name of Registrant as specified in charter)

 

 

888 Boylston Street, Suite 800 Boston, Massachusetts  02199-8197

(Address of principal executive offices)      (Zip code)

 

 

Susan McWhan Tobin, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30

Date of reporting period: September 30, 2023

 

 

 

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:

 
  
Loomis Sayles Small Cap Growth Fund
Loomis Sayles Small Cap Value Fund
Loomis Sayles Small/Mid Cap Growth Fund
Annual Report
September 30, 2023

Loomis Sayles Small Cap Growth Fund
 
Managers
Mark F. Burns, CFA®
John J. Slavik, CFA®
 
Symbols
Institutional Class
LSSIX
Retail Class
LCGRX
Class N
LSSNX
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
Despite weakness in the final two months of the period, US equities produced strong performance in the 12 months ended September 30, 2023. One reason for the robust returns was timing:  when the reporting period began in October 2022, stocks were near the end of a protracted, ten-month decline brought about by the US Federal Reserve’s (Fed) aggressive interest-rate increases. By the fourth quarter of 2022, however, cooler inflation prompted the Fed to begin decelerating the pace of rate hikes, which provided relief to risk assets.
Building off a rally that initially started in the second half of 2022, the Russell 2000® Growth Index had a strong start to 2023, returning 6.1%, during what shaped up to be another volatile quarter in Q1 2023. The ‘January Effect’ was on full display with the Russell 2000® Growth Index up 9.9% in January, led by a powerful rally in some of the hardest hit areas from 2022. The Russell 2000® Growth Index had another positive quarter in Q2 2023, returning 7.1%. Within the small cap growth space, lower quality drove performance during Q2 2023 where non-revenue companies in particular were the most dominant group in terms of performance. However, most of the gains during the first half of 2023 were mostly reversed in Q3 2023 with equity markets including small cap growth stocks broadly declining. The Russell 2000® Growth Index fell by 7.3% in Q3 2023 where high quality held up relatively better with highest return on equity (ROE) names noticeably outperforming the broader indices.
The overall market continues to be volatile and make little forward progress. At one point, the market seems to be enthusiastic about the future for reasons such as generative AI, new weight loss drugs, and declining inflation. The next period, we have reasons to be pessimistic – including sticky inflation, higher interest rates, and geopolitical concerns. Enthusiasm around generative artificial intelligence (AI) in the second quarter and the strength from the first half of the year were largely reversed during the third quarter, leaving broader measures of the market relatively unchanged YTD 2023. In fact, the broader market remains essentially at the same level it was more than two years ago, with small caps actually at their pre-pandemic levels.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Small Cap Growth Fund returned 11.64% at net asset value. The Fund outperformed its benchmark, the Russell 2000® Growth Index, which returned 9.59%.
Explanation of Fund Performance
Stock selection in the consumer staples, financials and energy sectors contributed most strongly to positive relative performance during the period. Conversely, stock selection within the healthcare and industrials sectors detracted from relative performance.
The Fund’s top contributors to relative performance at the individual stock level were Weatherford International, Rambus and e.l.f. Beauty. Weatherford International is an oilfield services company with a focus on international and offshore markets. Relatively new management has sold off underperforming assets and refocused the portfolio on growth areas of the market. The company has also significantly paid down debt, creating earnings leverage on a go- forward basis. Rambus sells memory controller chips, as well as intellectual property, which benefits from the growing demand for computer power. We believe that the transition to the next generation (DDR5) should drive the business, which is being partly driven by data center spend. e.l.f Beauty is a multi-brand beauty company that makes prestigious quality products accessible to everyone. The company is benefiting from continued momentum in its makeup and skincare category and has been gaining market share as its innovation and marketing investments bear fruit.
Conversely, the largest detractors from relative performance among individual stocks were Advanced Drainage Systems, Evolent Health and Axonics. Advanced Drainage Systems is a leading manufacturer and provider of plastic pipes for the commercial and residential wastewater market. The company saw a slowdown in its residential business as distributors drastically cut orders in order to work down their inventory. This prompted the company to slightly lower guidance and introduced a level of uncertainty going forward. The stock triggered our stop loss and was ultimately sold. Evolent Health is a technology and services company that enables healthcare providers and payers to deliver high quality care in a cost-effective manner by directing providers to the best course of care. While the company has executed on delivering its growth targets and margin progression, the investment thesis has become more complicated due to a large acquisition, as well as the perceived risk of patients losing Medicaid coverage, as many of the patients they serve are on Medicaid. These perceived risks have weighed on the stock over the last year. Axonics is a medical device company that is a leader in the treatment of urinary incontinence. The stock has been a
1 |

detractor due to the company facing concerns around the introduction of new technology. We believe the lack of proper reimbursement and worse clinical outcomes for the competitor will limit uptake.
Outlook
The economy has remained resilient well past the time that liquidity began to be removed via interest rate increases and quantitative tightening. The labor market remains strong and earnings continue to grow, albeit modestly. Various outcomes are still on the table, including both soft and hard landings, and these paths could all lead the market in multiple directions. If it is a soft landing, the market would likely move higher at a moderate pace with earnings growth. If it is a hard landing, it’s likely the market would retrench for a period, and then possibly bounce meaningfully higher if the Fed cuts interest rates, even if not by much. Our belief is that regardless of the scenario, the easy money period is over and quality companies that can generate superior returns and have durable revenue growth will likely outperform. We believe higher rates will reward more disciplined and well-managed companies going forward. We also believe small caps are likely to outperform large caps. Small caps are further out on the risk spectrum, and therefore should earn a higher return over the long term. Having underperformed large caps for a sustained period of time and given the absolute and relative valuation levels, we believe we are close to a pivot point for small caps to return to strength. Regardless, our philosophy and process remain consistent - focused on driving alpha via stock selection in high quality secular growth companies.
 
Top Ten Holdings as of September 30, 2023
Security Name
% of
Net Assets
  1 Weatherford International PLC
1.93%
  2 MACOM Technology Solutions Holdings, Inc.
1.90
  3 Option Care Health, Inc.
1.83
  4 Rambus, Inc.
1.66
  5 Casella Waste Systems, Inc., Class A
1.59
  6 Kinsale Capital Group, Inc.
1.55
  7 BellRing Brands, Inc.
1.54
  8 Cactus, Inc., Class A
1.49
  9 KBR, Inc.
1.48
 10 Merit Medical Systems, Inc.
1.48
 
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The
holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
 
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1
September 30, 2013 through September 30, 2023
 
See notes to chart on page 3.
| 2

Loomis Sayles Small Cap Growth Fund
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios3
 
Gross
Net
Institutional Class
11.64
%
3.79
%
8.04
%
0.93
%
0.93
%
Retail Class
11.32
3.53
7.77
1.18
1.18
Class N
11.77
3.90
8.16
0.82
0.82
Comparative Performance
Russell 2000® Growth Index2
9.59
1.55
6.72
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Russell 2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes
those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.
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
1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements
for more information about the Fund’s expense limitations.
3 |

Loomis Sayles Small Cap Value Fund
 
Managers
Joseph R. Gatz, CFA®
Jeffrey Schwartz, CFA®
 
Symbols
Institutional Class
LSSCX
Retail Class
LSCRX
Admin Class
LSVAX
Class N
LSCNX
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
US equity markets have rebounded over the past twelve months after posting a negative return for the prior one-year period. Investors have responded positively to a moderating inflation rate, corporate earnings which proved to be more resilient than previously expected and the consensus that the US Federal Reserve (Fed) may finally be nearing the end of its interest rate increases to combat a higher than target inflation rate.
To combat higher levels of inflation, the Fed raised short-term interest rates a total of six times to a Fed Funds target rate of 5.25% to 5.50% from about 3% one year ago and essentially a 0% rate two years ago. In response, market interest rates rose quite dramatically across the interest rate curve, creating a difficult environment for fixed-income investors, higher risk equites and regional bank balance sheets.
Rising interest rate environments have generally favored higher quality investments as the higher cost of capital negatively affects companies with high debt levels, low to no profitability and riskier business models. This held true over the past year as the most profitable companies drastically outperformed those with lower levels of profitability in the benchmark index, and companies with no earnings performed poorly.
During the period, large cap growth stocks led the market, augmented by outsized gains in several well-known mega cap stocks in information technology or technology-enabled businesses. Small cap value was one of the weaker-performing market segments as a larger concentration of bank stocks and utility stocks weighed down index returns.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Small Cap Value Fund returned 20.73% at net asset value. The Fund outperformed its benchmark, the Russell 2000® Value Index, which returned 7.84%.
Explanation of Fund Performance
The Fund’s relative performance benefited from a market environment that favored larger capitalization and higher quality stocks, positive sector allocation and strong stock selection metrics. As a result of the Fund’s long-term fundamental approach and the investment team’s valuation work, the Fund had overweight positions in the three best performing index sectors (energy, industrials and information technology) and underweight allocations to the underperforming financials and utilities sectors. Of particular significance regarding changes to the Fund over the last 12 months was the addition of several new energy stocks, as energy was the best performing index sector during the period.
Stock selection measures also contributed positively to performance, with notable contributions in health care, information technology, consumer staples and energy. Among individual stocks, Super Micro Computer, Inc., Weatherford International and Rambus, Inc. made the largest positive contributions to performance for the period.
Super Micro is a vertically integrated supplier of servers for data centers and cloud computing, as well as related accessories including cables and power supplies. Being vertically integrated provides certain competitive advantages, establishing Super Micro as a low-cost provider and allowing the company to provide custom designs and configurations to customers more quickly. The rise of artificial intelligence and Chat GPT has created increased demand for innovative, power efficient solutions at the lowest total cost which drove accelerating market share gains and strong stock price performance for the company.
Weatherford International provides equipment and services to the oil and natural gas industry, with a significant presence in international and off-shore markets. The company has a long history, but the current business composition emerged from bankruptcy in late 2019 with a streamlined business, new management and a dramatically improved financial footing. Since this emergence, the company has demonstrated solid progress in improving business practices, increasing margins, and paying down high cost debt with ample free cash flow. The stock was added to the Fund during the third quarter of 2022 and has steadily gained attention from Wall Street and the broader investment community, with attractive exposure to international and off-shore production where growth rates are accelerating and oil field service capacity remains tight. Stock price appreciation has been driven by meaningful increases in earnings and cash flow of the business, as well as increased investor awareness.
| 4

Loomis Sayles Small Cap Value Fund
Rambus develops semiconductors and intellectual property mainly for data centers. The company’s products facilitate high speed communication between memory and microprocessors. A subset of memory processing is reaching an inflection point as the industry transitions to the next generation of memory technology, which investors expect to drastically increase the company’s market share as well as the overall size of the market for interface technology. The share price of Rambus increased as the latest generation processors from Intel and AMD ushered in the era of new technology.
Detracting from relative return was an overweight position to the health care sector, an underweight to the consumer discretionary sector and lagging stock selection within the industrials sector. Over the past year, Pacira Biosciences, Inc., LSB Industries, Inc. and Viavi Solutions, Inc. detracted the most from performance.
Pacira Biosciences is a pharmaceutical company that focuses on non-opioid pain management treatments, with its main product used in operating rooms following various elective procedures. The company has been negatively affected by two events. First, elective procedure volumes and broad health care utilization has struggled to rebound back to pre-pandemic volumes. Second was Pacira's strategic decision to enter into a favorable pricing agreement with numerous hospitals, which lowers margins in the near term but could increase volume over time.
LSB is a US based producer of nitrogen chemicals with a favorable cost structure with access to ample natural gas which is the largest input in the production process. The decline in nitrogen prices to below mid-cycle levels negatively impacted the company’s share price even though the company remains profitable and has opportunistically repurchased equity and debt while investigating cost effective options to expand production.
Viavi Solutions provides test and measurement solutions to the telecommunications industry in addition to manufacturing optical pigmentation used to prevent the counterfeiting of currency. Elongated lead times in prior periods caused telecommunication customers to order excess test and measurement equipment which are only now being utilized, in turn depressing current revenue. Additionally, some customers have paused network investments ahead of stimulus programs that will begin in 2024.
Outlook
We remain committed to identifying inefficiencies in the small cap market that result in stock prices and valuations that do not accurately reflect our assessment of the underlying value of corporate enterprises. This approach is applied consistently over time, regardless of the current market environment.
While many forms of inefficiency may exist, we focus on companies that are misunderstood, underfollowed or in the midst of a “special situation” where we believe we can use our strengths consistent with our time horizon, resource deployment or a willingness to solve complex situations. We require fundamentally sound business models, capable management teams and financial stability. Key to our process is identifying distinct, company-specific catalysts on the horizon to sustain, enhance or highlight the fundamental outlook.
Our goal is to achieve an attractive total return for our investors, while managing to an appropriate level of risk over a market cycle.
 
Top Ten Holdings as of September 30, 2023
Security Name
% of
Net Assets
  1 Weatherford International PLC
2.58%
  2 Northern Oil & Gas, Inc.
1.74
  3 Noble Corp. PLC
1.71
  4 Clean Harbors, Inc.
1.63
  5 Vontier Corp.
1.55
  6 Moog, Inc., Class A
1.48
  7 Tidewater, Inc.
1.44
  8 Federal Agricultural Mortgage Corp., Class C
1.43
  9 Kadant, Inc.
1.39
 10 U.S. Cellular Corp.
1.32
 
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The
holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
5 |

 
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1
September 30, 2013 through September 30, 2023
 
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios4
 
Gross
Net
Institutional Class
20.73
%
4.97
%
7.35
%
0.93
%
0.90
%
Retail Class
20.47
4.71
7.08
1.18
1.15
Admin Class
20.18
4.44
6.81
1.43
1.40
Class N
20.80
5.02
7.41
0.84
0.84
Comparative Performance
Russell 2000® Value Index2
7.84
2.59
6.19
Russell 2000® Index3
8.93
2.40
6.65
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes
those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.
3
Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.
4
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
1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements
for more information about the Fund’s expense limitations.
| 6

Loomis Sayles Small/Mid Cap Growth Fund
 
Managers
Mark F. Burns, CFA®
John J. Slavik, CFA®
 
Symbols
Institutional Class
LSMIX
Class N
LSMNX
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
Despite weakness in the final two months of the period, US equities produced strong performance in the 12 months ended September 30, 2023. One reason for the robust returns was timing:  when the reporting period began in October 2022, stocks were near the end of a protracted, ten-month decline brought about by the US Federal Reserve’s (Fed) aggressive interest-rate increases. By the fourth quarter of 2022, however, cooler inflation prompted the Fed to begin decelerating the pace of rate hikes, which provided relief to risk assets.
Building off a rally that initially started in the second half of 2022, the Russell 2500® Growth Index had a strong start to 2023, returning 6.5%, during what shaped up to be another volatile quarter in Q1 2023. The ‘January Effect’ was on full display with the Russell 2500® Growth Index up 10% in January, led by a powerful rally in some of the hardest hit areas from 2022. The Russell 2500® Growth Index had another positive quarter in Q2 2023, returning 6.4%. Within the small/mid cap growth space, lower quality drove performance during Q2 2023 where non-revenue companies in particular were the most dominant group in terms of performance. However, most of the gains during the first half of 2023 were reversed in Q3 2023 with equity markets including small/mid cap growth stocks broadly declining. The Russell 2500® Growth Index fell by 6.8% in Q3 2023 where high quality held up relatively better with highest return on equity (ROE) names noticeably outperforming the broader indices.
The overall market continues to be volatile and make little forward progress. At one point, the market seems to be enthusiastic about the future for reasons such as generative AI, new weight loss drugs, and declining inflation. The next period, we have reasons to be pessimistic – including sticky inflation, higher interest rates, and geopolitical concerns. Enthusiasm around generative artificial intelligence (AI) in the second quarter and the strength from the first half of the year were largely reversed during the third quarter, leaving broader measures of the market relatively unchanged YTD 2023. In fact, the broader market remains essentially at the same level it was more than two years ago, with small caps actually at their pre-pandemic levels.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Small/Mid Cap Growth Fund returned 4.06% at net asset value. The Fund underperformed its benchmark, the Russell 2500® Growth Index, which returned 10.61%.
Explanation of Fund Performance
Stock selection within the information technology and healthcare sectors were the largest detractors from relative performance. Conversely, stock selection in the financials and energy sectors contributed most strongly to positive relative performance during the period.
The Fund’s largest detractors of relative performance among individual stocks were R1 RCM, Paylocity Holding and AngioDynamics. R1 RCM is a healthcare technology and services company that manages account receivables for healthcare providers. The company’s value proposition is that it can do it better and more efficiently, and at a lower price. It is a complicated service with very large clients that take a while to bring on board. In the fall of 2022, the company announced that some of their new clients were costing more and taking more time to bring on board than expected, causing them to lower their earnings estimates and the stock to fall. It triggered our stop loss and was sold. Paylocity is a payroll and human capital management software provider to small and mid-sized businesses. Their best in class product has allowed them to gain share and maintain a high level of recurring revenue growth. However, the stock has seen its multiple compress, along with other software companies, as uncertainty abounds for spending priorities in an uncertain market. AngioDynamics is a medical device company focused on addressing venous and arterial diseases. A combination of competition and supply chain issues weighed on the top and bottom line performance. As a result, the stock triggered the stop-loss and we exited the position.
Conversely, the Fund’s top contributors to relative performance at the individual stock level were Axon Enterprises, ChampionX and Deckers Outdoor. Axon designs and sells products that address the law enforcement market. Products include tasers, body cameras, patrol car cameras, and various software applications. The company has executed consistently by producing superior products that solve their customers' problems. Additionally, the company has expanded their addressable market to other end markets with similar demand trends. This has led to a consistent increase in earnings revisions, which has driven the stock. ChampionX is an oilfield services provider that operates mainly in the production phase of wells through its production chemicals and artificial lift businesses. Management has positioned the company well in the current spending upcycle, while showing improved margin expansion. Deckers Outdoor is a global footwear and lifestyle brand company serving casual and high performance needs. Its two signature brands are Ugg, representing approximately 60% of sales and Hoka, representing
7 |

about 30% of sales. Ugg is a steady grower generating healthy cash flow. Hoka is the growth engine. The Hoka brand is capitalizing on the success of its popular ultra-cushioned performance running sneakers and expanding into new geographies and categories including outdoor.
Outlook
The economy has remained resilient well past the time that liquidity began to be removed via interest rate increases and quantitative tightening. The labor market remains strong and earnings continue to grow, albeit modestly. Various outcomes are still on the table, including both soft and hard landings, and these paths could all lead the market in multiple directions. If it is a soft landing, the market would likely move higher at a moderate pace with earnings growth. If it is a hard landing, it’s likely the market would retrench for a period, and then possibly bounce meaningfully higher if the Fed cuts interest rates, even if not by much. Our belief is that regardless of the scenario, the easy money period is over and quality companies that can generate superior returns and have durable revenue growth will likely outperform. We believe higher rates will reward more disciplined and well-managed companies going forward. We also believe small caps are set to outperform large caps. Small caps are further out on the risk spectrum, and therefore should earn a higher return over the long term. Having underperformed large caps for a sustained period of time and given the absolute and relative valuation levels, we believe we are close to a pivot point for small caps to return to strength. Regardless, our philosophy and process remain consistent - focused on driving alpha via stock selection in high quality secular growth companies.
 
Top Ten Holdings as of September 30, 2023
Security Name
% of
Net Assets
  1 Kinsale Capital Group, Inc.
2.19%
  2 ChampionX Corp.
1.95
  3 KBR, Inc.
1.88
  4 Hexcel Corp.
1.85
  5 Tetra Tech, Inc.
1.78
  6 Pure Storage, Inc., Class A
1.68
  7 CyberArk Software Ltd.
1.66
  8 Five Below, Inc.
1.63
  9 Advanced Energy Industries, Inc.
1.59
 10 CONMED Corp.
1.59
 
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The
holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
 
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1
June 30, 2015 (inception) through September 30, 2023
 
See notes to chart on page 9.
| 8

Loomis Sayles Small/Mid Cap Growth Fund
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
Life of
Class I
Life of
Class N
Expense Ratios3
 
Gross
Net
Institutional Class (Inception 6/30/15)
4.06
%
3.27
%
7.55
%
—
%
0.91
%
0.85
%
Class N (Inception 10/1/19)
4.06
—
—
5.37
0.91
0.83
Comparative Performance
Russell 2500™ Growth Index2
10.61
4.05
7.21
6.61
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Russell 2500™ Growth Index measures the performance of the small-to-mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500™
Index companies with higher price-to-book ratios and higher forecasted growth values. The Index is constructed to provide a comprehensive and unbiased
barometer of the small-to-mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance
and characteristics of the true small-to-mid-cap opportunity set and that the represented companies continue to reflect growth characteristics. Indices are
unmanaged.
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
1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements
for more information about the Fund’s expense limitations.
9 |

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 Funds at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission (“SEC”) website at www.sec.gov. Information regarding 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 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 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.
| 10

Understanding Your Fund's Expenses
As a mutual fund shareholder, you incur different costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service fees ("12b-1 fees"), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ 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 of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2023 through September 30, 2023. 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 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 each Fund and 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, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning funds. If transaction costs were included, total costs would be higher. 
Loomis Sayles Small Cap Growth Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$991.20
$4.69
Hypothetical (5% return before expenses)
$1,000.00
$1,020.36
$4.76
Retail Class
Actual
$1,000.00
$989.90
$5.94
Hypothetical (5% return before expenses)
$1,000.00
$1,019.10
$6.02
Class N
Actual
$1,000.00
$991.30
$4.14
Hypothetical (5% return before expenses)
$1,000.00
$1,020.91
$4.20
 
*
Expenses are equal to the Fund's annualized expense ratio:  0.94%, 1.19% and 0.83% 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).
 
11 |

Loomis Sayles Small Cap Value Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$1,044.50
$4.61
Hypothetical (5% return before expenses)
$1,000.00
$1,020.56
$4.56
Retail Class
Actual
$1,000.00
$1,043.60
$5.89
Hypothetical (5% return before expenses)
$1,000.00
$1,019.30
$5.82
Admin Class
Actual
$1,000.00
$1,042.20
$7.17
Hypothetical (5% return before expenses)
$1,000.00
$1,018.05
$7.08
Class N
Actual
$1,000.00
$1,044.90
$4.36
Hypothetical (5% return before expenses)
$1,000.00
$1,020.81
$4.31
 
*
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement):  0.90%, 1.15%, 1.40% and 0.85% for Institutional Class,
Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the
most recent fiscal half–year (183), divided by 365 (to reflect the half–year period).
 
Loomis Sayles Small/Mid Cap Growth Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$952.20
$4.16
Hypothetical (5% return before expenses)
$1,000.00
$1,020.81
$4.31
Class N
Actual
$1,000.00
$952.30
$4.06
Hypothetical (5% return before expenses)
$1,000.00
$1,020.91
$4.20
 
*
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement):  0.85% and 0.83% for Institutional 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).
| 12

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 and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.
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. The information received by the Trustees 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, performance rankings provided by a third-party data provider 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 2023. In the case of Loomis Sayles Institutional High Income Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective July 1, 2023. 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 recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.
13 |

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 categories of funds and the Funds’ respective performance benchmarks. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. The Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third-party rating organization 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, 2022, 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 Small Cap Growth Fund
18%
39%
37%
Loomis Sayles Small Cap Value Fund
17%
47%
73%
Loomis Sayles Small/Mid Cap Growth Fund
40%
50%
62%
In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for certain 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; and (2) that the Fund’s shorter-term (one- and three-year) performance was stronger relative to its category. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and 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 have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their respective expense limitation agreements. The Trustees also considered that Loomis Sayles Small Cap Growth Fund’s current expenses are below its expense limitation. They also noted that management had proposed to reduce the expense limitation for Loomis Sayles Small Cap Growth Fund on all share classes, effective as of July 1, 2023. The Trustees further noted that the Funds had total advisory fee rates that were at or below the medians of their respective peer groups of funds. The Board also
| 14

considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.
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. The Board also noted the competitive nature of the global asset management industry.
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, which reduced the total expenses borne by shareholders of certain Funds. With respect to economies of scale, the Trustees noted that although none of the Funds’ advisory fees were subject to breakpoints, each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Small Cap Growth Fund. 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 various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign bank policies, and lingering effects of the Covid-19 crisis, as applicable, 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 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, 2024.
15 |

LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through September 30, 2023)
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”). None of the Funds has established an HLIM.
During the period from January 1, 2022 to December 31, 2022, 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 illiquid security violations.
During the period January 1, 2023 through September 30, 2023, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any 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.
| 16

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small Cap Growth Fund
 
Shares
Description
Value (†)
Common Stocks— 96.5% of Net Assets
Aerospace & Defense — 3.3%
402,065
AAR Corp.(a)
$23,934,930
413,730
Hexcel Corp.
26,950,372
1,453,547
Kratos Defense & Security Solutions,
Inc.(a)
21,832,276
 
72,717,578
Automobile Components — 2.7%
235,893
Dorman Products, Inc.(a)
17,871,254
353,690
Gentherm, Inc.(a)
19,191,219
279,658
Patrick Industries, Inc.
20,991,130
 
58,053,603
Banks — 1.1%
690,709
Bancorp, Inc.(a)
23,829,461
Beverages — 0.7%
616,279
Vita Coco Co., Inc.(a)
16,047,905
Biotechnology — 4.5%
659,845
Inhibrx, Inc.(a)
12,108,156
924,815
Insmed, Inc.(a)
23,351,579
762,757
Replimune Group, Inc.(a)
13,050,772
695,968
Vericel Corp.(a)
23,328,847
602,584
Xencor, Inc.(a)
12,142,068
431,891
Xenon Pharmaceuticals, Inc.(a)
14,753,396
 
98,734,818
Building Products — 1.2%
868,149
AZEK Co., Inc.(a)
25,818,751
Capital Markets — 2.7%
356,072
Hamilton Lane, Inc., Class A
32,203,152
329,873
PJT Partners, Inc., Class A
26,205,111
 
58,408,263
Commercial Services & Supplies — 2.5%
1,269,765
ACV Auctions, Inc., Class A(a)
19,275,033
456,106
Casella Waste Systems, Inc., Class A(a)
34,800,888
 
54,075,921
Communications Equipment — 1.8%
466,923
Calix, Inc.(a)
21,403,750
763,774
Extreme Networks, Inc.(a)
18,490,969
 
39,894,719
Construction & Engineering — 2.0%
334,934
Arcosa, Inc.
24,081,755
499,723
WillScot Mobile Mini Holdings Corp.(a)
20,783,479
 
44,865,234
Diversified Consumer Services — 0.8%
156,997
Grand Canyon Education, Inc.(a)
18,349,809
Electronic Equipment, Instruments &
Components — 3.0%
260,405
Advanced Energy Industries, Inc.
26,852,964
Shares
Description
Value (†)
Electronic Equipment, Instruments &
Components — continued
240,855
Itron, Inc.(a)
$14,590,996
174,219
Novanta, Inc.(a)
24,989,973
 
66,433,933
Energy Equipment & Services — 5.5%
650,814
Cactus, Inc., Class A
32,677,371
557,628
Noble Corp. PLC
28,243,858
706,826
Oceaneering International, Inc.(a)
18,179,565
468,883
Weatherford International PLC(a)
42,354,201
 
121,454,995
Financial Services — 2.6%
858,203
EVERTEC, Inc.
31,907,988
786,297
Flywire Corp.(a)
25,075,011
 
56,982,999
Food Products — 1.9%
518,329
Simply Good Foods Co.(a)
17,892,717
1,038,246
Sovos Brands, Inc.(a)
23,412,447
 
41,305,164
Ground Transportation — 0.8%
927,594
Marten Transport Ltd.
18,282,878
Health Care Equipment & Supplies — 7.9%
508,604
AtriCure, Inc.(a)
22,276,855
496,993
Axonics, Inc.(a)
27,891,247
227,259
CONMED Corp.
22,919,070
118,177
Inspire Medical Systems, Inc.(a)
23,451,044
351,930
LivaNova PLC(a)
18,610,059
469,305
Merit Medical Systems, Inc.(a)
32,391,431
506,520
PROCEPT BioRobotics Corp.(a)
16,618,921
665,880
Treace Medical Concepts, Inc.(a)
8,729,687
 
172,888,314
Health Care Providers & Services — 5.4%
285,612
Acadia Healthcare Co., Inc.(a)
20,081,380
285,413
Ensign Group, Inc.
26,523,430
1,237,321
Option Care Health, Inc.(a)
40,027,334
597,125
Progyny, Inc.(a)
20,314,192
387,793
RadNet, Inc.(a)
10,931,885
 
117,878,221
Health Care Technology — 1.4%
803,743
Evolent Health, Inc., Class A(a)
21,885,922
482,053
Phreesia, Inc.(a)
9,004,750
 
30,890,672
Hotels, Restaurants & Leisure — 3.1%
1,408,708
Life Time Group Holdings, Inc.(a)
21,426,449
259,810
Papa John's International, Inc.
17,724,238
297,521
Texas Roadhouse, Inc.
28,591,768
 
67,742,455
Household Durables — 1.2%
212,274
Installed Building Products, Inc.
26,510,900
See accompanying notes to financial statements.
17 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small Cap Growth Fund (continued)
Shares
Description
Value (†)
Insurance — 3.2%
934,144
BRP Group, Inc., Class A(a)
$21,700,165
187,548
Goosehead Insurance, Inc., Class A(a)
13,977,953
82,170
Kinsale Capital Group, Inc.
34,029,062
 
69,707,180
Leisure Products — 0.7%
326,499
Malibu Boats, Inc., Class A(a)
16,004,981
Life Sciences Tools & Services — 1.1%
96,064
Medpace Holdings, Inc.(a)
23,259,976
Machinery — 4.3%
337,018
Albany International Corp., Class A
29,077,913
205,734
ESCO Technologies, Inc.
21,486,859
332,453
Helios Technologies, Inc.
18,444,492
105,889
RBC Bearings, Inc.(a)
24,791,792
 
93,801,056
Oil, Gas & Consumable Fuels — 1.0%
954,984
Magnolia Oil & Gas Corp., Class A
21,878,683
Personal Care Products — 3.7%
821,506
BellRing Brands, Inc.(a)
33,870,692
210,312
elf Beauty, Inc.(a)
23,098,567
173,273
Inter Parfums, Inc.
23,277,495
 
80,246,754
Pharmaceuticals — 1.6%
767,123
Supernus Pharmaceuticals, Inc.(a)
21,149,581
423,357
Ventyx Biosciences, Inc.(a)
14,703,189
 
35,852,770
Professional Services — 5.5%
122,065
FTI Consulting, Inc.(a)
21,777,617
280,253
Huron Consulting Group, Inc.(a)
29,191,152
164,043
ICF International, Inc.
19,818,035
549,754
KBR, Inc.
32,402,501
240,855
WNS Holdings Ltd., ADR(a)
16,488,933
 
119,678,238
Semiconductors & Semiconductor Equipment — 5.8%
509,398
MACOM Technology Solutions Holdings,
Inc.(a)
41,556,689
198,182
Onto Innovation, Inc.(a)
25,272,169
651,509
Rambus, Inc.(a)
36,347,687
203,243
Silicon Laboratories, Inc.(a)
23,553,831
 
126,730,376
Software — 5.8%
818,132
Box, Inc., Class A(a)
19,806,976
327,693
Clearwater Analytics Holdings, Inc.,
Class A(a)
6,337,583
458,388
Intapp, Inc.(a)
15,365,166
404,402
Model N, Inc.(a)
9,871,453
574,462
Tenable Holdings, Inc.(a)
25,735,897
841,749
Varonis Systems, Inc.(a)
25,707,014
237,135
Workiva, Inc.(a)
24,031,261
 
126,855,350
Shares
Description
Value (†)
Specialty Retail — 0.9%
246,809
Boot Barn Holdings, Inc.(a)
$20,038,423
Technology Hardware, Storage & Peripherals — 1.4%
890,523
Pure Storage, Inc., Class A(a)
31,720,429
Textiles, Apparel & Luxury Goods — 1.6%
217,633
Columbia Sportswear Co.
16,126,605
187,067
Oxford Industries, Inc.
17,982,751
 
34,109,356
Trading Companies & Distributors — 3.8%
205,922
Applied Industrial Technologies, Inc.
31,837,600
240,160
McGrath RentCorp
24,073,638
169,799
SiteOne Landscape Supply, Inc.(a)
27,753,647
 
83,664,885
Total Common Stocks

(Identified Cost $1,879,352,008)
2,114,715,050
 
Principal
Amount
 
 
Short-Term Investments — 4.2%
$92,344,958
Tri-Party Repurchase Agreement with
Fixed Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$92,364,197 on 10/02/2023  collateralized
by $94,907,600 U.S. Treasury Note,
4.375% due 8/15/2026 valued at
$94,191,925 including accrued interest
(Note 2 of Notes to Financial Statements)
(Identified Cost $92,344,958)
92,344,958
Total Investments — 100.7%

(Identified Cost $1,971,696,966)
2,207,060,008
Other assets less liabilities — (0.7)%
(14,738,686
)
Net Assets — 100.0%
$2,192,321,322
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
Non-income producing security.
 
ADR
An American Depositary Receipt is a certificate issued by a
custodian bank representing the right to receive securities of the
foreign issuer described. The values of ADRs may be significantly
influenced by trading on exchanges not located in the
United States.
See accompanying notes to financial statements.
| 18

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small Cap Growth Fund (continued)
Industry Summary at September 30, 2023 
Health Care Equipment & Supplies
7.9
%
Software
5.8
Semiconductors & Semiconductor Equipment
5.8
Energy Equipment & Services
5.5
Professional Services
5.5
Health Care Providers & Services
5.4
Biotechnology
4.5
Machinery
4.3
Trading Companies & Distributors
3.8
Personal Care Products
3.7
Aerospace & Defense
3.3
Insurance
3.2
Hotels, Restaurants & Leisure
3.1
Electronic Equipment, Instruments &
Components
3.0
Capital Markets
2.7
Automobile Components
2.7
Financial Services
2.6
Commercial Services & Supplies
2.5
Construction & Engineering
2.0
Other Investments, less than 2% each
19.2
Short-Term Investments
4.2
Total Investments
100.7
Other assets less liabilities
(0.7
)
Net Assets
100.0
%
See accompanying notes to financial statements.
19 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small Cap Value Fund
 
Shares
Description
Value (†)
Common Stocks— 98.9% of Net Assets
Aerospace & Defense — 3.5%
222,212
Leonardo DRS, Inc.(a)
$3,710,940
44,777
Moog, Inc., Class A
5,058,010
63,034
V2X, Inc.(a)
3,256,337
 
12,025,287
Banks — 9.8%
84,723
Ameris Bancorp
3,252,516
49,485
Axos Financial, Inc.(a)
1,873,502
116,137
Cadence Bank
2,464,427
185,456
Home BancShares, Inc.
3,883,449
187,288
OceanFirst Financial Corp.
2,710,057
49,165
Pinnacle Financial Partners, Inc.
3,296,022
55,522
Popular, Inc.
3,498,441
53,888
Prosperity Bancshares, Inc.
2,941,207
46,588
SouthState Corp.
3,138,168
53,141
Wintrust Financial Corp.
4,012,145
65,775
WSFS Financial Corp.
2,400,788
 
33,470,722
Biotechnology — 1.9%
98,104
Alkermes PLC(a)
2,747,893
15,919
United Therapeutics Corp.(a)
3,595,625
 
6,343,518
Building Products — 3.5%
61,572
Griffon Corp.
2,442,561
220,927
Janus International Group, Inc.(a)
2,363,919
111,350
Quanex Building Products Corp.
3,136,730
38,611
UFP Industries, Inc.
3,953,766
 
11,896,976
Capital Markets — 1.3%
133,963
P10, Inc., Class A
1,560,669
49,001
Stifel Financial Corp.
3,010,621
 
4,571,290
Chemicals — 3.1%
28,774
Ashland, Inc.
2,350,260
44,884
Cabot Corp.
3,109,115
276,487
Ecovyst, Inc.(a)
2,720,632
247,262
LSB Industries, Inc.(a)
2,529,490
 
10,709,497
Commercial Services & Supplies — 2.6%
101,333
CECO Environmental Corp.(a)
1,618,288
33,230
Clean Harbors, Inc.(a)
5,561,373
36,826
VSE Corp.
1,857,503
 
9,037,164
Communications Equipment — 0.6%
227,920
Viavi Solutions, Inc.(a)
2,083,189
Construction & Engineering — 1.9%
55,529
Arcosa, Inc.
3,992,535
127,640
MDU Resources Group, Inc.
2,499,191
 
6,491,726
Shares
Description
Value (†)
Construction Materials — 0.9%
63,526
Knife River Corp.(a)
$3,101,975
Consumer Staples Distribution & Retail — 1.1%
70,452
Andersons, Inc.
3,628,982
Electric Utilities — 0.7%
45,865
ALLETE, Inc.
2,421,672
Electrical Equipment — 1.0%
22,289
Atkore, Inc.(a)
3,325,296
Electronic Equipment, Instruments &
Components — 7.3%
38,832
Bel Fuse, Inc., Class B
1,853,063
64,778
Crane NXT Co.
3,599,713
93,273
Kimball Electronics, Inc.(a)
2,553,815
7,870
Littelfuse, Inc.
1,946,408
41,719
Methode Electronics, Inc.
953,279
15,322
National Instruments Corp.
913,498
11,945
Rogers Corp.(a)
1,570,409
37,938
TD SYNNEX Corp.
3,788,489
192,301
TTM Technologies, Inc.(a)
2,476,837
171,600
Vontier Corp.
5,305,872
 
24,961,383
Energy Equipment & Services — 7.2%
101,752
ChampionX Corp.
3,624,406
209,933
Newpark Resources, Inc.(a)
1,450,637
115,215
Noble Corp. PLC
5,835,640
69,275
Tidewater, Inc.(a)
4,923,374
97,816
Weatherford International PLC(a)
8,835,720
 
24,669,777
Entertainment — 0.8%
74,161
Atlanta Braves Holdings, Inc., Class C(a)
2,649,773
Financial Services — 3.2%
75,829
Cannae Holdings, Inc.(a)
1,413,453
32,125
Euronet Worldwide, Inc.(a)
2,550,082
31,679
Federal Agricultural Mortgage Corp.,
Class C
4,888,070
126,486
International Money Express, Inc.(a)
2,141,408
 
10,993,013
Food Products — 1.0%
9,459
J & J Snack Foods Corp.
1,547,965
125,036
Nomad Foods Ltd.(a)
1,903,048
 
3,451,013
Health Care Equipment & Supplies — 3.9%
20,359
CONMED Corp.
2,053,205
49,756
Embecta Corp.
748,828
84,197
Inmode Ltd.(a)
2,564,640
63,366
Lantheus Holdings, Inc.(a)
4,402,670
22,526
UFP Technologies, Inc.(a)
3,636,823
 
13,406,166
Health Care Providers & Services — 3.1%
138,847
AdaptHealth Corp.(a)
1,263,508
See accompanying notes to financial statements.
| 20

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small Cap Value Fund (continued)
Shares
Description
Value (†)
Health Care Providers & Services — continued
20,432
AMN Healthcare Services, Inc.(a)
$1,740,398
98,648
Option Care Health, Inc.(a)
3,191,263
67,467
Tenet Healthcare Corp.(a)
4,445,400
 
10,640,569
Health Care Technology — 0.6%
153,503
Veradigm, Inc.(a)
2,017,029
Hotels, Restaurants & Leisure — 1.6%
26,776
Churchill Downs, Inc.
3,107,087
23,880
Marriott Vacations Worldwide Corp.
2,403,044
 
5,510,131
Household Durables — 1.8%
65,507
KB Home
3,031,664
47,289
Skyline Champion Corp.(a)
3,013,255
 
6,044,919
Household Products — 0.8%
35,774
Spectrum Brands Holdings, Inc.
2,802,893
Industrial REITs — 1.0%
102,993
STAG Industrial, Inc.
3,554,288
Insurance — 1.5%
71,461
Employers Holdings, Inc.
2,854,867
50,561
Kemper Corp.
2,125,079
 
4,979,946
Integrated Energy — 0.5%
29,878
Talen Energy Corp.(a)
1,580,546
Leisure Products — 0.9%
37,804
Brunswick Corp.
2,986,516
Machinery — 3.3%
34,339
Albany International Corp., Class A
2,962,769
63,693
Columbus McKinnon Corp.
2,223,522
21,031
Kadant, Inc.
4,743,542
71,656
Wabash National Corp.
1,513,375
 
11,443,208
Marine Transportation — 0.8%
188,113
Genco Shipping & Trading Ltd.
2,631,701
Media — 1.5%
57,261
John Wiley & Sons, Inc., Class A
2,128,391
47,997
Scholastic Corp.
1,830,606
71,225
Thryv Holdings, Inc.(a)
1,336,893
 
5,295,890
Office REITs — 1.1%
141,608
Equity Commonwealth
2,601,339
80,083
Postal Realty Trust, Inc., Class A
1,081,120
 
3,682,459
Oil, Gas & Consumable Fuels — 5.8%
77,798
Antero Resources Corp.(a)
1,974,513
65,283
California Resources Corp.
3,656,501
95,682
Delek U.S. Holdings, Inc.
2,718,326
Shares
Description
Value (†)
Oil, Gas & Consumable Fuels — continued
62,035
International Seaways, Inc.
$2,791,575
336,716
Kosmos Energy Ltd.(a)
2,754,337
147,692
Northern Oil & Gas, Inc.
5,941,649
 
19,836,901
Personal Care Products — 1.3%
103,918
BellRing Brands, Inc.(a)
4,284,539
Pharmaceuticals — 2.2%
38,069
ANI Pharmaceuticals, Inc.(a)
2,210,286
84,654
Pacira BioSciences, Inc.(a)
2,597,185
101,850
Supernus Pharmaceuticals, Inc.(a)
2,808,004
 
7,615,475
Professional Services — 3.4%
326,274
Alight, Inc., Class A(a)
2,313,283
29,290
Concentrix Corp.
2,346,422
44,648
CSG Systems International, Inc.
2,282,406
48,683
Korn Ferry
2,309,521
23,179
Science Applications International Corp.
2,446,311
 
11,697,943
Real Estate Management & Development — 0.8%
30,143
Colliers International Group, Inc.
2,871,121
Retail REITs — 0.7%
44,145
Agree Realty Corp.
2,438,570
Semiconductors & Semiconductor Equipment — 2.4%
78,140
Rambus, Inc.(a)
4,359,431
106,673
Semtech Corp.(a)
2,746,830
41,645
Tower Semiconductor Ltd.(a)
1,022,801
 
8,129,062
Specialty Retail — 1.1%
34,376
Academy Sports & Outdoors, Inc.
1,624,954
24,379
Boot Barn Holdings, Inc.(a)
1,979,331
 
3,604,285
Technology Hardware, Storage & Peripherals — 1.2%
15,159
Super Micro Computer, Inc.(a)
4,156,901
Textiles, Apparel & Luxury Goods — 0.9%
35,459
Crocs, Inc.(a)
3,128,548
Trading Companies & Distributors — 3.6%
140,338
Alta Equipment Group, Inc.
1,692,476
206,308
Custom Truck One Source, Inc.(a)
1,279,110
24,504
Herc Holdings, Inc.
2,914,506
40,550
McGrath RentCorp
4,064,732
237,804
MRC Global, Inc.(a)
2,437,491
 
12,388,315
Water Utilities — 0.4%
146,605
Pure Cycle Corp.(a)
1,407,408
See accompanying notes to financial statements.
21 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small Cap Value Fund (continued)
Shares
Description
Value (†)
Wireless Telecommunication Services — 1.3%
105,234
U.S. Cellular Corp.(a)
$4,521,905
Total Common Stocks

(Identified Cost $255,533,897)
338,489,487
 
Principal
Amount
 
 
Short-Term Investments — 1.5%
$5,055,918
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$5,056,971 on 10/02/2023  collateralized by
$5,791,600 U.S. Treasury Note, 0.750%
due 8/31/2026 valued at $5,157,080
including accrued interest (Note 2 of Notes
to Financial Statements)
(Identified Cost $5,055,918)
5,055,918
Total Investments — 100.4%

(Identified Cost $260,589,815)
343,545,405
Other assets less liabilities — (0.4)%
(1,402,290
)
Net Assets — 100.0%
$342,143,115
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
Non-income producing security.
 
REITs
Real Estate Investment Trusts
Industry Summary at September 30, 2023 
Banks
9.8
%
Electronic Equipment, Instruments &
Components
7.3
Energy Equipment & Services
7.2
Oil, Gas & Consumable Fuels
5.8
Health Care Equipment & Supplies
3.9
Trading Companies & Distributors
3.6
Aerospace & Defense
3.5
Building Products
3.5
Professional Services
3.4
Machinery
3.3
Financial Services
3.2
Chemicals
3.1
Health Care Providers & Services
3.1
Commercial Services & Supplies
2.6
Semiconductors & Semiconductor Equipment
2.4
Pharmaceuticals
2.2
Other Investments, less than 2% each
31.0
Short-Term Investments
1.5
Total Investments
100.4
Other assets less liabilities
(0.4
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 22

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small/Mid Cap Growth Fund
 
Shares
Description
Value (†)
Common Stocks— 96.6% of Net Assets
Aerospace & Defense — 5.7%
10,396
Axon Enterprise, Inc.(a)
$2,068,700
16,334
BWX Technologies, Inc.
1,224,723
13,492
HEICO Corp.
2,184,760
40,770
Hexcel Corp.
2,655,758
 
8,133,941
Automobile Components — 1.4%
60,919
Gentex Corp.
1,982,304
Banks — 0.8%
29,617
Axos Financial, Inc.(a)
1,121,300
Biotechnology — 8.1%
26,871
Exact Sciences Corp.(a)
1,833,140
57,819
Insmed, Inc.(a)
1,459,930
39,136
Natera, Inc.(a)
1,731,768
18,127
Neurocrine Biosciences, Inc.(a)
2,039,287
140,117
Roivant Sciences Ltd.(a)
1,636,566
9,552
United Therapeutics Corp.(a)
2,157,510
34,412
Xencor, Inc.(a)
693,402
 
11,551,603
Broadline Retail — 0.7%
49,177
Savers Value Village, Inc.(a)
918,135
Building Products — 1.4%
67,692
AZEK Co., Inc.(a)
2,013,160
Capital Markets — 2.6%
24,550
Hamilton Lane, Inc., Class A
2,220,302
46,127
StepStone Group, Inc., Class A
1,456,691
 
3,676,993
Commercial Services & Supplies — 2.5%
15,449
Cimpress PLC(a)
1,081,584
16,763
Tetra Tech, Inc.
2,548,479
 
3,630,063
Communications Equipment — 1.4%
43,348
Ciena Corp.(a)
2,048,626
Construction & Engineering — 2.0%
16,780
MasTec, Inc.(a)
1,207,657
37,805
WillScot Mobile Mini Holdings Corp.(a)
1,572,310
 
2,779,967
Consumer Staples Distribution & Retail — 3.6%
23,485
BJ's Wholesale Club Holdings, Inc.(a)
1,676,124
7,244
Casey's General Stores, Inc.
1,966,891
26,635
Performance Food Group Co.(a)
1,567,736
 
5,210,751
Electronic Equipment, Instruments &
Components — 3.6%
22,171
Advanced Energy Industries, Inc.
2,286,274
Shares
Description
Value (†)
Electronic Equipment, Instruments &
Components — continued
10,732
IPG Photonics Corp.(a)
$1,089,727
33,222
Trimble, Inc.(a)
1,789,337
 
5,165,338
Energy Equipment & Services — 4.1%
78,747
ChampionX Corp.
2,804,968
48,218
Expro Group Holdings NV(a)
1,120,104
94,697
NOV, Inc.
1,979,168
 
5,904,240
Financial Services — 2.4%
48,553
Remitly Global, Inc.(a)
1,224,506
11,776
WEX, Inc.(a)
2,214,948
 
3,439,454
Food Products — 1.2%
51,266
Simply Good Foods Co.(a)
1,769,702
Health Care Equipment & Supplies — 6.7%
29,095
Axonics, Inc.(a)
1,632,811
22,609
CONMED Corp.
2,280,118
6,028
Insulet Corp.(a)
961,406
20,082
LivaNova PLC(a)
1,061,936
16,747
Merit Medical Systems, Inc.(a)
1,155,878
111,982
Paragon 28, Inc.(a)
1,405,374
34,486
PROCEPT BioRobotics Corp.(a)
1,131,486
 
9,629,009
Health Care Providers & Services — 3.2%
20,520
Acadia Healthcare Co., Inc.(a)
1,442,761
28,195
HealthEquity, Inc.(a)
2,059,645
44,021
Privia Health Group, Inc.(a)
1,012,483
 
4,514,889
Health Care Technology — 0.9%
48,385
Evolent Health, Inc., Class A(a)
1,317,524
Hotels, Restaurants & Leisure — 4.8%
16,897
Churchill Downs, Inc.
1,960,728
30,005
Light & Wonder, Inc.(a)
2,140,257
11,118
Planet Fitness, Inc., Class A(a)
546,783
23,721
Texas Roadhouse, Inc.
2,279,588
 
6,927,356
Insurance — 3.1%
7,574
Kinsale Capital Group, Inc.
3,136,621
9,300
Reinsurance Group of America, Inc.
1,350,267
 
4,486,888
Machinery — 2.8%
16,726
Ingersoll Rand, Inc.
1,065,781
10,681
Middleby Corp.(a)
1,367,168
6,958
RBC Bearings, Inc.(a)
1,629,076
 
4,062,025
Metals & Mining — 1.5%
50,844
ATI, Inc.(a)
2,092,231
See accompanying notes to financial statements.
23 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Small/Mid Cap Growth Fund (continued)
Shares
Description
Value (†)
Oil, Gas & Consumable Fuels — 3.9%
11,321
Chord Energy Corp.
$1,834,794
85,263
Magnolia Oil & Gas Corp., Class A
1,953,375
31,049
Matador Resources Co.
1,846,795
 
5,634,964
Pharmaceuticals — 0.9%
38,277
Ventyx Biosciences, Inc.(a)
1,329,360
Professional Services — 5.5%
10,479
FTI Consulting, Inc.(a)
1,869,558
45,757
KBR, Inc.
2,696,918
32,987
Parsons Corp.(a)
1,792,844
8,609
Paylocity Holding Corp.(a)
1,564,255
 
7,923,575
Semiconductors & Semiconductor Equipment — 5.7%
31,212
Allegro MicroSystems, Inc.(a)
996,911
3,521
Monolithic Power Systems, Inc.
1,626,702
19,324
Nova Ltd.(a)
2,172,791
25,439
Power Integrations, Inc.
1,941,250
12,568
Silicon Laboratories, Inc.(a)
1,456,505
 
8,194,159
Software — 7.9%
69,644
Box, Inc., Class A(a)
1,686,081
31,941
Clearwater Analytics Holdings, Inc.,
Class A(a)
617,739
14,551
CyberArk Software Ltd.(a)
2,383,017
45,622
DoubleVerify Holdings, Inc.(a)
1,275,135
52,934
PowerSchool Holdings, Inc., Class A(a)
1,199,485
5,543
Tyler Technologies, Inc.(a)
2,140,374
19,947
Workiva, Inc.(a)
2,021,429
 
11,323,260
Specialty Retail — 1.6%
14,522
Five Below, Inc.(a)
2,336,590
Technology Hardware, Storage & Peripherals — 1.7%
67,507
Pure Storage, Inc., Class A(a)
2,404,599
Textiles, Apparel & Luxury Goods — 3.4%
18,077
Columbia Sportswear Co.
1,339,506
3,365
Deckers Outdoor Corp.(a)
1,729,913
36,626
Skechers USA, Inc., Class A(a)
1,792,842
 
4,862,261
Trading Companies & Distributors — 1.5%
13,478
SiteOne Landscape Supply, Inc.(a)
2,202,979
Total Common Stocks

(Identified Cost $138,419,405)
138,587,246
 
Principal
Amount
Description
Value (†)
Short-Term Investments — 3.6%
$5,193,983
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$5,195,065 on 10/02/2023  collateralized by
$5,949,800 U.S. Treasury Note, 0.750%
due 8/31/2026 valued at $5,297,948
including accrued interest (Note 2 of Notes
to Financial Statements)
(Identified Cost $5,193,983)
$5,193,983
Total Investments — 100.2%

(Identified Cost $143,613,388)
143,781,229
Other assets less liabilities — (0.2)%
(247,629
)
Net Assets — 100.0%
$143,533,600
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
Non-income producing security.
Industry Summary at September 30, 2023 
Biotechnology
8.1
%
Software
7.9
Health Care Equipment & Supplies
6.7
Semiconductors & Semiconductor Equipment
5.7
Aerospace & Defense
5.7
Professional Services
5.5
Hotels, Restaurants & Leisure
4.8
Energy Equipment & Services
4.1
Oil, Gas & Consumable Fuels
3.9
Consumer Staples Distribution & Retail
3.6
Electronic Equipment, Instruments &
Components
3.6
Textiles, Apparel & Luxury Goods
3.4
Health Care Providers & Services
3.2
Insurance
3.1
Machinery
2.8
Capital Markets
2.6
Commercial Services & Supplies
2.5
Financial Services
2.4
Construction & Engineering
2.0
Other Investments, less than 2% each
15.0
Short-Term Investments
3.6
Total Investments
100.2
Other assets less liabilities
(0.2
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 24

Statements of Assets and Liabilities
September 30, 2023
 
 
Small Cap
Growth Fund
Small Cap
Value Fund
Small/Mid Cap
Growth Fund
ASSETS
Investments at cost
$1,971,696,966
$260,589,815
$143,613,388
Net unrealized appreciation
235,363,042
82,955,590
167,841
Investments at value
2,207,060,008
343,545,405
143,781,229
Cash
806,427
—
—
Receivable for Fund shares sold
2,961,819
304,292
183
Receivable for securities sold
—
974,570
—
Dividends and interest receivable
603,846
254,159
25,183
Prepaid expenses (Note 7)
813
251
185
TOTAL ASSETS
2,211,432,913
345,078,677
143,806,780
LIABILITIES
Payable for securities purchased
15,794,194
1,562,087
84,061
Payable for Fund shares redeemed
1,351,765
731,586
—
Management fees payable (Note 5)
1,392,830
232,943
80,374
Deferred Trustees’ fees (Note 5)
331,022
322,700
45,756
Administrative fees payable (Note 5)
86,011
13,427
5,595
Payable to distributor (Note 5d)
12,959
2,560
229
Audit and tax services fees payable
44,605
45,356
44,662
Other accounts payable and accrued expenses
98,205
24,903
12,503
TOTAL LIABILITIES
19,111,591
2,935,562
273,180
NET ASSETS
$2,192,321,322
$342,143,115
$143,533,600
NET ASSETS CONSIST OF:
Paid-in capital
$1,916,509,776
$195,287,203
$168,025,753
Accumulated earnings (loss)
275,811,546
146,855,912
(24,492,153
)
NET ASSETS
$2,192,321,322
$342,143,115
$143,533,600
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets
$974,539,330
$201,631,870
$118,498,529
Shares of beneficial interest
39,316,477
8,342,434
11,015,432
Net asset value, offering and redemption price per share
$24.79
$24.17
$10.76
Retail Class:
Net assets
$62,965,490
$68,978,765
$—
Shares of beneficial interest
2,929,534
2,943,099
—
Net asset value, offering and redemption price per share
$21.49
$23.44
$—
Admin Class shares:
Net assets
$—
$5,811,982
$—
Shares of beneficial interest
—
270,760
—
Net asset value, offering and redemption price per share
$—
$21.47
$—
Class N shares:
Net assets
$1,154,816,502
$65,720,498
$25,035,071
Shares of beneficial interest
45,801,559
2,717,454
2,325,579
Net asset value, offering and redemption price per share
$25.21
$24.18
$10.77
See accompanying notes to financial statements.
25 |

Statements of Operations
For the Year Ended September 30, 2023
 
 
Small Cap
Growth Fund
Small Cap
Value Fund
Small/Mid Cap
Growth Fund
INVESTMENT INCOME
Dividends
$8,601,423
$4,772,981
$622,803
Interest
1,443,093
162,959
76,128
Less net foreign taxes withheld
(34,741
)
(14,880
)
—
 
10,009,775
4,921,060
698,931
Expenses
Management fees (Note 5)
16,886,498
2,967,496
1,105,606
Service and distribution fees (Note 5)
168,708
208,834
—
Administrative fees (Note 5)
1,043,399
183,393
68,319
Trustees' fees and expenses (Note 5)
142,607
65,865
26,389
Transfer agent fees and expenses (Notes 5 and 6)
1,221,911
285,546
20,385
Audit and tax services fees
44,715
45,349
44,709
Custodian fees and expenses
61,102
13,984
11,235
Legal fees
92,426
16,829
6,632
Registration fees
86,558
63,556
47,870
Shareholder reporting expenses
137,706
38,231
6,070
Miscellaneous expenses
97,904
49,176
37,079
Total expenses
19,983,534
3,938,259
1,374,294
Less waiver and/or expense reimbursement (Note 5)
—
(203,031
)
(131,817
)
Net expenses
19,983,534
3,735,228
1,242,477
Net investment income (loss)
(9,973,759
)
1,185,832
(543,546
)
Net realized and unrealized gain (loss) on Investments
Net realized gain (loss) on:
Investments
57,412,374
64,347,797
(14,132,539
)
Net change in unrealized appreciation (depreciation) on:
Investments
183,966,249
17,381,687
23,117,663
Net realized and unrealized gain on Investments
241,378,623
81,729,484
8,985,124
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$231,404,864
$82,915,316
$8,441,578
See accompanying notes to financial statements.
| 26

Statements of Changes in Net Assets
 
 
Small Cap Growth Fund
Small Cap Value Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment income (loss)
$(9,973,759
)
$(11,256,808
)
$1,185,832
$2,371,925
Net realized gain on investments
57,412,374
55,541,403
64,347,797
53,239,567
Net change in unrealized appreciation (depreciation) on
investments
183,966,249
(710,299,435
)
17,381,687
(140,778,533
)
Net increase (decrease) in net assets resulting from
operations
231,404,864
(666,014,840
)
82,915,316
(85,167,041
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class
(26,863,859
)
(225,523,167
)
(33,629,482
)
(63,922,055
)
Retail Class
(2,219,963
)
(19,793,925
)
(7,869,701
)
(14,932,854
)
Admin Class
—
—
(890,318
)
(1,673,437
)
Class N
(32,585,425
)
(252,701,386
)
(8,423,867
)
(19,629,374
)
Total distributions
(61,669,247
)
(498,018,478
)
(50,813,368
)
(100,157,720
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARES TRANSACTIONS (Note 10)
45,491,029
261,184,927
(111,660,807
)
14,383,874
Net increase (decrease) in net assets
215,226,646
(902,848,391
)
(79,558,859
)
(170,940,887
)
NET ASSETS
Beginning of the year
1,977,094,676
2,879,943,067
421,701,974
592,642,861
End of the year
$2,192,321,322
$1,977,094,676
$342,143,115
$421,701,974
See accompanying notes to financial statements.
27 |

Statements of Changes in Net Assets (continued)
 
 
Small/Mid Cap Growth Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment loss
$(543,546
)
$(596,324
)
Net realized loss on investments
(14,132,539
)
(6,038,711
)
Net change in unrealized appreciation (depreciation) on investments
23,117,663
(41,617,706
)
Net increase (decrease) in net assets resulting from operations
8,441,578
(48,252,741
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class
—
(7,348,311
)
Class N
—
(901,138
)
Total distributions
—
(8,249,449
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10)
(18,288,186
)
130,096,993
Net increase (decrease) in net assets
(9,846,608
)
73,594,803
NET ASSETS
Beginning of the year
153,380,208
79,785,405
End of the year
$143,533,600
$153,380,208
See accompanying notes to financial statements.
| 28

Financial Highlights
For a share outstanding throughout each period.
 
 
Small Cap Growth Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$22.88
$36.57
$28.51
$26.30
$31.55
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss(a)
(0.12
)
(0.15
)(b)
(0.26
)
(0.17
)
(0.16
)
Net realized and unrealized gain (loss)
2.75
(7.06
)
8.94
4.73
(2.51
)
Total from Investment Operations
2.63
(7.21
)
8.68
4.56
(2.67
)
LESS DISTRIBUTIONS FROM:
Net realized capital gains
(0.72
)
(6.48
)
(0.62
)
(2.35
)
(2.58
)
Net asset value, end of the period
$24.79
$22.88
$36.57
$28.51
$26.30
Total return
11.64
%
(24.77
)%(b)
30.53
%
17.98
%
(6.88
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$974,539
$883,458
$1,299,777
$1,037,625
$908,616
Net expenses
0.94
%
0.93
%
0.92
%
0.94
%
0.95
%
Gross expenses
0.94
%
0.93
%
0.92
%
0.94
%
0.95
%
Net investment loss
(0.50
)%
(0.51
)%(b)
(0.72
)%
(0.66
)%
(0.62
)%
Portfolio turnover rate
37
%
34
%
52
%
52
%
67
%
 
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.16), total return would have been (24.83%) and the ratio of
net investment loss to average net assets would have been (0.56%).
 
 
Small Cap Growth Fund– Retail Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$19.98
$32.79
$25.67
$23.95
$29.09
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss(a)
(0.16
)
(0.19
)(b)
(0.30
)
(0.21
)
(0.21
)
Net realized and unrealized gain (loss)
2.39
(6.14
)
8.04
4.28
(2.35
)
Total from Investment Operations
2.23
(6.33
)
7.74
4.07
(2.56
)
LESS DISTRIBUTIONS FROM:
Net realized capital gains
(0.72
)
(6.48
)
(0.62
)
(2.35
)
(2.58
)
Net asset value, end of the period
$21.49
$19.98
$32.79
$25.67
$23.95
Total return
11.32
%
(24.94
)%(b)
30.20
%
17.67
%
(7.11
)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$62,965
$62,909
$105,027
$98,205
$95,635
Net expenses
1.19
%
1.18
%
1.17
%
1.19
%
1.19
%(d)
Gross expenses
1.19
%
1.18
%
1.17
%
1.19
%
1.20
%
Net investment loss
(0.75
)%
(0.76
)%(b)
(0.92
)%
(0.91
)%
(0.86
)%
Portfolio turnover rate
37
%
34
%
52
%
52
%
67
%
 
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.21), total return would have been (25.01%) and the ratio of
net investment loss to average net assets would have been (0.81%).
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have
been higher.
 
See accompanying notes to financial statements.
29 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Small Cap Growth Fund– Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$23.23
$37.01
$28.81
$26.53
$31.76
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss(a)
(0.10
)
(0.11
)(b)
(0.22
)
(0.14
)
(0.13
)
Net realized and unrealized gain (loss)
2.80
(7.19
)
9.04
4.77
(2.52
)
Total from Investment Operations
2.70
(7.30
)
8.82
4.63
(2.65
)
LESS DISTRIBUTIONS FROM:
Net realized capital gains
(0.72
)
(6.48
)
(0.62
)
(2.35
)
(2.58
)
Net asset value, end of the period
$25.21
$23.23
$37.01
$28.81
$26.53
Total return
11.77
%
(24.69
)%(b)
30.66
%
18.09
%
(6.76
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$1,154,817
$1,030,728
$1,475,139
$1,066,067
$629,914
Net expenses
0.83
%
0.82
%
0.82
%
0.82
%
0.82
%
Gross expenses
0.83
%
0.82
%
0.82
%
0.82
%
0.82
%
Net investment loss
(0.38
)%
(0.39
)%(b)
(0.62
)%
(0.54
)%
(0.49
)%
Portfolio turnover rate
37
%
34
%
52
%
52
%
67
%
 
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.13), total return would have been (24.71%) and the ratio of
net investment loss to average net assets would have been (0.44%).
 
 
Small Cap Value Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$22.57
$32.05
$22.34
$28.66
$35.27
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.08
0.13
0.04
0.12
0.10
Net realized and unrealized gain (loss)
4.37
(4.18
)
11.79
(4.03
)
(2.49
)
Total from Investment Operations
4.45
(4.05
)
11.83
(3.91
)
(2.39
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.13
)
(0.05
)
(0.13
)
(0.12
)
(0.08
)
Net realized capital gains
(2.72
)
(5.38
)
(1.99
)
(2.29
)
(4.14
)
Total Distributions
(2.85
)
(5.43
)
(2.12
)
(2.41
)
(4.22
)
Net asset value, end of the period
$24.17
$22.57
$32.05
$22.34
$28.66
Total return(b)
20.73
%
(16.18
)%
55.05
%
(15.31
)%
(4.11
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$201,632
$276,020
$378,856
$295,006
$433,360
Net expenses(c)
0.90
%
0.90
%
0.90
%
0.90
%
0.90
%
Gross expenses
0.96
%
0.93
%
0.94
%
0.95
%
0.93
%
Net investment income
0.34
%
0.48
%
0.12
%
0.48
%
0.36
%
Portfolio turnover rate
26
%
28
%
23
%
23
%
24
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
See accompanying notes to financial statements.
| 30

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Small Cap Value Fund– Retail Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$21.95
$31.33
$21.87
$28.11
$34.66
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)(a)
0.02
0.06
(0.04
)
0.05
0.03
Net realized and unrealized gain (loss)
4.26
(4.06
)
11.55
(3.96
)
(2.44
)
Total from Investment Operations
4.28
(4.00
)
11.51
(3.91
)
(2.41
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.07
)
—
(0.06
)
(0.04
)
—
Net realized capital gains
(2.72
)
(5.38
)
(1.99
)
(2.29
)
(4.14
)
Total Distributions
(2.79
)
(5.38
)
(2.05
)
(2.33
)
(4.14
)
Net asset value, end of the period
$23.44
$21.95
$31.33
$21.87
$28.11
Total return(b)
20.47
%
(16.40
)%
54.69
%
(15.56
)%
(4.33
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$68,979
$63,738
$92,036
$83,163
$134,434
Net expenses(c)
1.15
%
1.15
%
1.15
%
1.15
%
1.15
%
Gross expenses
1.21
%
1.18
%
1.19
%
1.20
%
1.18
%
Net investment income (loss)
0.09
%
0.23
%
(0.12
)%
0.23
%
0.10
%
Portfolio turnover rate
26
%
28
%
23
%
23
%
24
%
 
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
 
Small Cap Value Fund– Admin Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the year
$20.31
$29.44
$20.65
$26.68
$33.25
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)
(0.03
)
(0.01
)
(0.10
)
(0.01
)
(0.04
)
Net realized and unrealized gain (loss)
3.92
(3.74
)
10.88
(3.73
)
(2.39
)
Total from Investment Operations
3.89
(3.75
)
10.78
(3.74
)
(2.43
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.01
)
—
—
—
—
Net realized capital gains
(2.72
)
(5.38
)
(1.99
)
(2.29
)
(4.14
)
Total Distributions
(2.73
)
(5.38
)
(1.99
)
(2.29
)
(4.14
)
Net asset value, end of the period
$21.47
$20.31
$29.44
$20.65
$26.68
Total return(b)
20.18
%
(16.63
)%
54.29
%
(15.74
)%
(4.60
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$5,812
$6,776
$9,440
$7,662
$13,357
Net expenses(c)
1.40
%
1.40
%
1.40
%
1.40
%
1.40
%
Gross expenses
1.46
%
1.43
%
1.43
%
1.45
%
1.43
%
Net investment loss
(0.16
)%
(0.02
)%
(0.38
)%
(0.03
)%
(0.15
)%
Portfolio turnover rate
26
%
28
%
23
%
23
%
24
%
 
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
See accompanying notes to financial statements.
31 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Small Cap Value Fund– Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$22.58
$32.07
$22.35
$28.68
$35.31
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.10
0.15
0.05
0.13
0.12
Net realized and unrealized gain (loss)
4.37
(4.19
)
11.80
(4.03
)
(2.50
)
Total from Investment Operations
4.47
(4.04
)
11.85
(3.90
)
(2.38
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.15
)
(0.07
)
(0.14
)
(0.14
)
(0.11
)
Net realized capital gains
(2.72
)
(5.38
)
(1.99
)
(2.29
)
(4.14
)
Total Distributions
(2.87
)
(5.45
)
(2.13
)
(2.43
)
(4.25
)
Net asset value, end of the period
$24.18
$22.58
$32.07
$22.35
$28.68
Total return
20.80
%(b)
(16.16
)%
55.15
%
(15.28
)%
(4.07
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$65,720
$75,168
$112,310
$92,818
$141,821
Net expenses
0.85
%(c)
0.84
%
0.85
%
0.85
%
0.83
%
Gross expenses
0.87
%
0.84
%
0.85
%
0.85
%
0.83
%
Net investment income
0.40
%
0.53
%
0.17
%
0.53
%
0.43
%
Portfolio turnover rate
26
%
28
%
23
%
23
%
24
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
See accompanying notes to financial statements.
| 32

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Small/Mid Cap Growth Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$10.34
$15.25
$11.81
$10.03
$15.49
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss(a)
(0.04
)
(0.06
)
(0.02
)(b)
(0.04
)
(0.04
)
Net realized and unrealized gain (loss)
0.46
(3.37
)
3.56
2.06
(1.55
)(c)
Total from Investment Operations
0.42
(3.43
)
3.54
2.02
(1.59
)
LESS DISTRIBUTIONS FROM:
Net realized capital gains
—
(1.48
)
(0.10
)
(0.24
)
(3.87
)
Net asset value, end of the period
$10.76
$10.34
$15.25
$11.81
$10.03
Total return(d)
4.06
%
(25.43
)%
30.00
%(b)
20.38
%
(3.27
)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$118,499
$106,566
$70,526
$52,170
$34,312
Net expenses(e)
0.85
%
0.84
%(f)
0.84
%(f)
0.84
%
0.85
%
Gross expenses
0.93
%
0.91
%
0.99
%
1.21
%
1.30
%
Net investment loss
(0.37
)%
(0.45
)%
(0.14
)%(b)
(0.34
)%
(0.35
)%
Portfolio turnover rate
63
%
50
%
50
%
60
%
67
%
 
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 29.49% and the ratio of
net investment loss to average net assets would have been (0.52%).
(c)
The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of
sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
(f)
Includes additional voluntary waiver of advisory fee of 0.01%.
 
See accompanying notes to financial statements.
33 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Small/Mid Cap Growth Fund– Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Period Ended
September 30,
2020*
Net asset value, beginning of the period
$10.35
$15.26
$11.81
$9.89
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)
(0.04
)
(0.05
)
(0.01
)(b)
(0.04
)
Net realized and unrealized gain (loss)
0.46
(3.38
)
3.56
2.20
Total from Investment Operations
0.42
(3.43
)
3.55
2.16
LESS DISTRIBUTIONS FROM:
Net realized capital gains
—
(1.48
)
(0.10
)
(0.24
)
Net asset value, end of the period
$10.77
$10.35
$15.26
$11.81
Total return(c)
4.06
%
(25.41
)%
30.08
%(b)
22.08
%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$25,035
$46,814
$9,260
$1
Net expenses(e)
0.83
%
0.83
%
0.83
%
0.83
%(f)
Gross expenses
0.92
%
0.91
%
1.00
%
107.49
%(f)
Net investment loss
(0.37
)%
(0.44
)%
(0.08
)%(b)
(0.34
)%(f)
Portfolio turnover rate
63
%
50
%
50
%
60
%(g)
 
*
Class operations commenced on October 1, 2019.
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 29.66% and the ratio of
net investment loss to average net assets would have been (0.50%).
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
Periods less than one year are not annualized.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
(f)
Computed on an annualized basis for periods less than one year.
(g)
Represents the Fund’s portfolio turnover rate for the year ended September 30, 2020.
See accompanying notes to financial statements.
| 34

Notes to Financial Statements
September 30, 2023
1.Organization. Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Funds I:  
Loomis Sayles Small Cap Value Fund (“Small Cap Value Fund”)
Loomis Sayles Funds II:  
Loomis Sayles Small Cap Growth Fund (“Small Cap Growth Fund”)
Loomis Sayles Small/Mid Cap Growth Fund (“Small/Mid Cap Growth Fund”)
Each Fund is a diversified investment company.
Small Cap Growth Fund offers Institutional Class, Retail Class and Class N shares. Small Cap Value Fund offers Institutional Class, Retail Class, Admin Class and Class N shares. Small/Mid Cap Growth Fund offers Institutional Class and Class N shares.
Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amount for Class N and Institutional Class as outlined in the relevant Fund’s prospectus. Admin Class shares are offered exclusively through intermediaries.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees are borne collectively for Institutional Class, Retail Class and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2.Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds' financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds' financial statements.
a. Valuation.  Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.
The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities
35 |

Notes to Financial Statements (continued)
September 30, 2023
markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
| 36

Notes to Financial Statements (continued)
September 30, 2023
e. Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as return of capital distributions received, distribution re-designations, capital gain distributions received, redemptions in-kind and net operating losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, return of capital distributions received and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2023 and 2022 was as follows: 
 
2023 Distributions
2022 Distributions
Fund
Ordinary
Income
Long-Term
Capital
Gains
Total
Ordinary
Income
Long-Term
Capital
Gains
Total
Small Cap Growth Fund
$—
$61,669,247
$61,669,247
$14,122,150
$483,896,328
$498,018,478
Small Cap Value Fund
2,223,346
48,590,022
50,813,368
8,282,886
91,874,834
100,157,720
Small/Mid Cap Growth Fund
—
—
—
—
8,249,449
8,249,449
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows: 
 
Small Cap
Growth Fund
Small Cap
Value Fund
Small/Mid Cap
Growth Fund
Undistributed ordinary income
$—
$4,286,082
$—
Undistributed long-term capital gains
51,627,814
60,625,448
—
Total undistributed earnings
51,627,814
64,911,530
—
Capital loss carryforward:
Short-term:
No expiration date
—
—
(23,696,151
)
Late-year ordinary and post-October
 capital loss deferrals*
(7,358,605
)
—
(392,335
)
Unrealized appreciation (depreciation)
231,873,359
82,267,082
(357,911
)
Total accumulated earnings (losses)
$276,142,568
$147,178,612
$(24,446,397
)
 
*
Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt
instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Small Cap Growth Fund
and Small/Mid Cap Growth Fund are deferring net operating losses.
As of September 30, 2023, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows: 
 
Small Cap
Growth Fund
Small Cap
Value Fund
Small/Mid Cap
Growth Fund
Federal tax cost
$1,975,186,649
$261,278,323
$144,139,140
Gross tax appreciation
$358,240,863
$94,947,492
$9,620,827
Gross tax depreciation
(126,367,504
)
(12,680,410
)
(9,978,738
)
Net tax appreciation (depreciation)
$231,873,359
$82,267,082
$(357,911
)
37 |

Notes to Financial Statements (continued)
September 30, 2023
f. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is
each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
g. Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3.Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds' investments as of September 30, 2023, at value: 
Small Cap Growth Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Common Stocks(a)
$2,114,715,050
$—
$—
$2,114,715,050
Short-Term Investments
—
92,344,958
—
92,344,958
Total Investments
$2,114,715,050
$92,344,958
$—
$2,207,060,008
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
| 38

Notes to Financial Statements (continued)
September 30, 2023
 
Small Cap Value Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Common Stocks(a)
$338,489,487
$—
$—
$338,489,487
Short-Term Investments
—
5,055,918
—
5,055,918
Total Investments
$338,489,487
$5,055,918
$—
$343,545,405
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Small/Mid Cap Growth Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Common Stocks(a)
$138,587,246
$—
$—
$138,587,246
Short-Term Investments
—
5,193,983
—
5,193,983
Total Investments
$138,587,246
$5,193,983
$—
$143,781,229
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
4.Purchases and Sales of Securities. For the year ended September 30, 2023, purchases and sales of securities (excluding short-term investments) were as follows: 
Fund
Purchases
Sales
Small Cap Growth Fund
$801,067,679
$858,992,603
Small Cap Value Fund
100,958,901
256,366,058
Small/Mid Cap Growth Fund
91,613,540
110,707,861
5.Management Fees and Other Transactions with Affiliates. 
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable
monthly, based on each Fund’s average daily net assets: 
Fund
Percentage of
Average Daily
Net Assets
Small Cap Growth Fund
0.75%
Small Cap Value Fund
0.75%
Small/Mid Cap Growth Fund
0.75%
Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2024, except for Small Cap Growth Fund which is in effect until January 31, 2025, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
39 |

Notes to Financial Statements (continued)
September 30, 2023
For the year ended September 30, 2023 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows: 
 
Expense Limit as a Percentage of
Average Daily Net Assets
Fund
Institutional
Class
Retail
Class
Admin
Class
Class N
Small Cap Growth Fund
0.95
%
1.20
%
—
%
0.90
%
Small Cap Value Fund
0.90
%
1.15
%
1.40
%
0.85
%
Small/Mid Cap Growth Fund
0.85
%
—
%
—
%
0.83
%
Prior to July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Small Cap Growth Fund were as follows: 
 
Expense Limit as a Percentage of
Average Daily Net Assets
Fund
Institutional Class
Retail Class
Class N
Small Cap Growth Fund
1.00
%
1.25
%
0.95
%
Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the year ended September 30, 2023, the management fees for each Fund were as follows: 
 
Gross
Management
Fees
Contractual
Waivers of
Management
Fees1
Voluntary
Waivers of
Management
Fees2
Net
Management
Fees
Percentage of
Average
Daily Net Assets
Fund
Gross
Net
Small Cap Growth Fund
$16,886,498
$—
$—
$16,886,498
0.75
%
0.75
%
Small Cap Value Fund
2,967,496
203,031
—
2,764,465
0.75
%
0.70
%
Small/Mid Cap Growth Fund
1,105,606
125,657
4,771
975,178
0.75
%
0.66
%
 
1
Waiver/expense reimbursements are subject to possible recovery until September 30, 2024.
2
In order to ensure that the total annual fund operating expenses after fee waiver and/or expense reimbursement do not exceed limitations, the Adviser may voluntarily waive
additional advisory fees for Small/Mid Cap Growth Fund. Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described
above.
b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves
as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin
Class shares (the “Admin Class Plan”).
Under the Retail Class Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by Natixis Distribution in
connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for
providing personal services to investors and/or the maintenance of shareholder accounts.
Under the Admin Class Plan, Small Cap Value Fund pays Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by Natixis
Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin
Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.
| 40

Notes to Financial Statements (continued)
September 30, 2023
In addition, the Admin Class shares of Small Cap Value Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or
financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.
For the year ended September 30, 2023, the service and distribution fees for each Fund were as follows: 
 
Service Fees
 
Distribution Fees
Fund
Admin Class
 
Retail Class
Admin Class
Small Cap Growth Fund
$—
$168,708
$—
Small Cap Value Fund
16,168
176,498
16,168
c. Administrative Fees.  Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of
Natixis Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended September 30, 2023, the administrative fees for each Fund were as follows: 
Fund
Administrative
Fees
Small Cap Growth Fund
$1,043,399
Small Cap Value Fund
183,393
Small/Mid Cap Growth Fund
68,319
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended September 30, 2023, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows: 
Fund
Sub-Transfer
Agent Fees
Small Cap Growth Fund
$1,182,735
Small Cap Value Fund
260,539
Small/Mid Cap Growth Fund
15,956
As of September 30, 2023, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor): 
Fund
Reimbursements
of Sub-Transfer
Agent Fees
Small Cap Growth Fund
$12,959
Small Cap Value Fund
2,560
Small/Mid Cap Growth Fund
229
Sub-transfer agent fees attributable to Institutional Class, Retail Class and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
41 |

Notes to Financial Statements (continued)
September 30, 2023
e.  Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
f. Affiliated Ownership. As of September 30, 2023, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”), Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) and Loomis Sayles non-qualified retirement plans held shares of the Funds representing the following percentages of the Funds’ net assets: 
Fund
Pension Plan
Retirement Plan
Non-Qualified
Retirement Plans
Total Affiliated
Onwership
Small Cap Growth Fund
0.11%
1.08%
—%
1.19%
Small Cap Value Fund
0.71%
7.43%
8.88%
17.02%
Investment activities of affiliated shareholders could have material impacts on the Funds.
g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Small/Mid Cap Growth Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2024 and is not subject to recovery under the expense limitation agreement described above.
For the year ended September 30, 2023, Natixis Advisors reimbursed Small/Mid Cap Growth Fund $1,389 for transfer agency expenses related to Class N shares.
6.Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Institutional Class, Retail Class and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the year ended September 30, 2023 the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable): 
 
Transfer Agent Fees and Expenses
Fund
Institutional
Class
Retail
Class
Admin
Class
Class N
Small Cap Growth Fund
$1,133,352
$77,437
$—
$11,122
Small Cap Value Fund
216,547
61,694
5,645
1,660
Small/Mid Cap Growth Fund
18,996
—
—
1,389
7.Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long
| 42

Notes to Financial Statements (continued)
September 30, 2023
as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the year ended September 30, 2023, Small Cap Value Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $6,700,000 at a weighted average interest rate of 5.93%. Interest expense incurred on the line of credit was $1,104.
8.Risk. Geopolitical events (such as trading halts, sanctions or wars) could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These, and other related events, could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to issuers in the country or countries involved.
9.Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows: 
Fund
Number of 5%
Non-Affiliated
Account Holders
Percentage of
Non-Affiliated
Ownership
Percentage of
Affiliated
Ownership
(Note 5f)
Total
Percentage of
Ownership
Small Cap Value Fund
4
24.16
%
17.02
%
41.18
%
Small/Mid Cap Growth Fund
6
67.32
%
—
67.32
%
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder
accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above.
For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts;
therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
43 |

Notes to Financial Statements (continued)
September 30, 2023
10.Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows: 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Small Cap Growth Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
10,078,079
$253,544,183
8,017,172
$223,956,965
Issued in connection with the reinvestment of distributions
1,053,561
25,137,956
6,623,931
211,700,835
Redeemed
(10,430,137
)
(261,851,616
)
(11,564,237
)
(328,676,465
)
Net change
701,503
$16,830,523
3,076,866
$106,981,335
Retail Class
Issued from the sale of shares
441,299
$9,585,279
320,387
$7,927,984
Issued in connection with the reinvestment of distributions
106,298
2,203,548
703,528
19,670,652
Redeemed
(767,180
)
(16,756,037
)
(1,078,080
)
(27,258,549
)
Net change
(219,583
)
$(4,967,210
)
(54,165
)
$340,087
Class N
Issued from the sale of shares
9,639,101
$247,068,462
8,143,108
$239,198,836
Issued in connection with the reinvestment of distributions
1,325,324
32,139,099
7,685,869
249,252,745
Redeemed
(9,524,898
)
(245,579,845
)
(11,325,816
)
(334,588,076
)
Net change
1,439,527
$33,627,716
4,503,161
$153,863,505
Increase from capital share transactions
1,921,447
$45,491,029
7,525,862
$261,184,927
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Small Cap Value Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
1,324,531
$31,971,280
1,638,952
$45,506,016
Issued in connection with the reinvestment of distributions
1,479,594
33,157,704
2,209,266
63,052,444
Redeemed
(6,693,582
)
(160,024,024
)
(3,438,164
)
(92,106,055
)
Net change
(3,889,457
)
$(94,895,040
)
410,054
$16,452,405
Retail Class
Issued from the sale of shares
142,091
$3,321,439
118,433
$3,328,950
Issued in connection with the reinvestment of distributions
360,879
7,859,942
535,511
14,897,926
Redeemed
(463,598
)
(10,809,533
)
(687,758
)
(19,095,126
)
Net change
39,372
$371,848
(33,814
)
$(868,250
)
Admin Class
Issued from the sale of shares
18,912
$402,032
41,072
$1,112,201
Issued in connection with the reinvestment of distributions
44,560
890,318
64,887
1,673,437
Redeemed
(126,310
)
(2,691,370
)
(93,082
)
(2,413,386
)
Net change
(62,838
)
$(1,399,020
)
12,877
$372,252
Class N
Issued from the sale of shares
214,302
$5,164,913
719,077
$21,151,505
Issued in connection with the reinvestment of distributions
375,730
8,423,867
687,544
19,629,374
Redeemed
(1,201,179
)
(29,327,375
)
(1,580,215
)
(42,353,412
)
Net change
(611,147
)
$(15,738,595
)
(173,594
)
$(1,572,533
)
Increase (decrease) from capital share transactions
(4,524,070
)
$(111,660,807
)
215,523
$14,383,874
| 44

Notes to Financial Statements (continued)
September 30, 2023
10.Capital Shares (continued).
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Small/Mid Cap Growth Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
1,806,894
$20,331,352
6,066,124
$75,764,451
Issued in connection with the reinvestment of distributions
—
—
493,838
7,348,311
Redeemed
(1,093,292
)
(12,121,065
)
(882,881
)
(10,629,212
)
Net change
713,602
$8,210,287
5,677,081
$72,483,550
Class N
Issued from the sale of shares
1,539,241
$16,805,054
4,203,057
$60,895,993
Issued in connection with the reinvestment of distributions
—
—
60,520
901,138
Redeemed
(281,892
)
(3,176,860
)
(348,878
)
(4,183,688
)
Redeemed in-kind (Note 11)
(3,453,242
)
(40,126,667
)
—
—
Net change
(2,195,893
)
$(26,498,473
)
3,914,699
$57,613,443
Increase (decrease) from capital share transactions
(1,482,291
)
$(18,288,186
)
9,591,780
$130,096,993
11.Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Small/Mid Cap Growth Fund realized a gain of $3,963,912 on a redemption-in-kind during the year ended September 30, 2023. This amount is included in realized gain (loss) on the Statements of Operations.
45 |

Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds I and Loomis Sayles Funds II and Shareholders of Loomis Sayles Small Cap Value Fund, Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Small Cap Value Fund (one of the funds constituting Loomis Sayles Funds I), and Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund (two of the funds constituting Loomis Sayles Funds II) (hereafter collectively referred to as the “Funds”) as of September 30, 2023, the related statements of operations for the year ended September 30, 2023, the statements of changes in net assets for each of the two years in the period ended September 30, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
November 21, 2023
We have served as the auditor of one or more investment companies in the Natixis Investment Company Complex since at least 1995. We have not determined the specific year we began serving as auditor.
| 46

2023 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction.  For the fiscal year ended September 30, 2023, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows: 
Fund
Qualifying
Percentage
Small Cap Value Fund
83.39%
Qualified Dividend Income. For the fiscal year ended September 30, 2023, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2023, complete information will be reported in conjunction with Form 1099-DIV.
Fund
Small Cap Value Fund
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2023, unless subsequently determined to be different. 
Fund
Amount
Small Cap Growth Fund
$61,669,247
Small Cap Value Fund
48,590,022
47 |

Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts"). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds' Statements of Additional Information include additional information about the Trustees of the Trusts and are available by calling Loomis Sayles Funds at 800-633-3330. 
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees
 
 
 
 
Edmond J. English
(1953)
Trustee since 2013
Contract Review
Committee Member
and Governance
Committee Member
Executive Chairman of
Bob’s Discount Furniture
(retail)
52
Director, Burlington
Stores, Inc. (retail);
Director, Rue Gilt
Groupe, Inc.
(e-commerce retail)
Significant experience on
the Board and on the
boards of other business
organizations (including
retail companies and a
bank); executive
experience (including at a
retail company)
Richard A. Goglia
(1951)
Trustee since 2015
Audit Committee
Member and
Governance
Committee Member
Retired
52
Formerly, Director of
Triumph Group
(aerospace industry)
Significant experience on
the Board and executive
experience (including his
role as Vice President and
treasurer of a defense
company and experience
at a financial services
company)
Martin T.  Meehan
(1956)
Trustee since 2012
Chairperson of the
Governance Committee
and Contract Review
Committee Member
President, University of
Massachusetts
52
None
Significant experience on
the Board and on the
boards of other business
organizations; experience
as President of the
University of
Massachusetts;
government experience
(including as a member
of the U.S. House of
Representatives);
academic experience
Maureen B. Mitchell
(1951)
Trustee since 2017
Chairperson of the
Contract Review
Committee
Retired
52
Director, Sterling
Bancorp (bank)
Significant experience on
the Board; financial
services industry and
executive experience
(including role as
President of global sales
and marketing at a
financial services
company)
| 48

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees − continued
James P. Palermo
(1955)
Trustee since 2016
Audit Committee Member
and Governance
Committee Member
Founding Partner, Breton
Capital
Management, LLC
(private equity); Partner,
STEP Partners, LLC
(private equity)
52
Director, FutureFuel.io
(chemicals and biofuels)
Significant experience on
the Board; financial
services industry and
executive experience
(including roles as Chief
Executive Officer of
client management and
asset servicing for a
banking and financial
services company)
Erik R. Sirri
(1958)
Chairperson of the Board
of Trustees since 2021
Trustee since 2009
Ex Officio Member of the
Audit Committee,
Contract Review
Committee and
Governance Committee
Professor of Finance at
Babson College
52
None
Significant experience on
the Board; experience as
Director of the Division
of Trading and Markets
at the Securities and
Exchange Commission;
academic experience;
training as an economist
Peter J. Smail
(1952)
Trustee since 2009
Contract Review
Committee Member
Retired
52
None
Significant experience on
the Board; mutual fund
industry and executive
experience (including
roles as President and
Chief Executive Officer
for an investment
adviser)
Kirk A. Sykes
(1958)
Trustee since 2019
Audit Committee Member
and Governance
Committee Member
Managing Director of
Accordia Partners, LLC
(real estate development);
President of Primary
Corporation (real estate
development); Managing
Principal of Merrick
Capital Partners
(infrastructure finance)
52
Advisor/Risk
Management
Committee, Eastern
Bank (bank); Director,
Apartment Investment
and Management
Company (real estate
investment trust);
formerly, Director, Ares
Commercial Real Estate
Corporation (real estate
investment trust)
Experience on the Board
and significant experience
on the boards of other
business organizations
(including real estate
companies and banks)
Cynthia L. Walker
(1956)
Trustee since 2005
Chairperson of the Audit
Committee
Retired; formerly, Deputy
Dean for Finance and
Administration, Yale
University School of
Medicine
52
None
Significant experience on
the Board; executive
experience in a variety of
academic organizations
(including roles as dean
for finance and
administration)
49 |

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Interested Trustees
 
 
 
 
Kevin P. Charleston3
(1965)
One Financial Center
Boston, MA 02111
Trustee since 2015
President and Chief
Executive Officer of
Loomis Sayles Funds I
since 2015
President, Chief
Executive Officer and
Chairman of the Board
of Directors, Loomis,
Sayles & Company, L.P.
52
None
Significant experience on
the Board; continuing
service as President, Chief
Executive Officer and
Chairman of the Board
of Directors of Loomis,
Sayles & Company, L.P.
David L. Giunta4
(1965)
Trustee since 2011
President of Loomis Sayles
Funds II and Executive
Vice President of Loomis
Sayles Funds I since 2008;
Chief Executive Officer of
Loomis Sayles Funds II
since 2015
President and Chief
Executive Officer, Natixis
Advisors, LLC and
Natixis
Distribution, LLC
52
None
Significant experience on
the Board; experience as
President and Chief
Executive Officer of
Natixis Advisors, LLC
and Natixis
Distribution, LLC
 
1
Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a
three-year term.
2
The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway
Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”).
3
Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts:  President, Chief Executive
Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.
4
Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts:  President and Chief Executive
Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.
| 50

Trustee and Officer Information
 
Name and Year of Birth
Position(s) Held
with the Trusts
Term of Office1
and Length
of Time Served
Principal Occupation(s)
During Past 5 Years2
Officers of the Trusts
 
 
 
Matthew J. Block
(1981)
Treasurer, Principal
Financial and
Accounting Officer
Since 2022
Senior Vice President, Natixis Advisors, LLC and
Natixis Distribution, LLC; formerly, Vice President,
Natixis Advisors, LLC and Natixis Distribution, LLC;
Assistant Treasurer of the Fund Complex; Managing
Director, State Street Bank and Trust Company
Susan McWhan Tobin
(1963)
Secretary and Chief
Legal Officer
Since 2022
Executive Vice President, General Counsel and
Secretary, Natixis Advisors, LLC and Natixis
Distribution, LLC; formerly, Executive Vice President
and Chief Compliance Officer of Natixis Investment
Managers (March 2019 – May 2022) and Senior Vice
President and Head of Compliance, U.S. for Natixis
Investment Managers (July 2011 – March 2019)
Natalie R. Wagner
(1979)
Chief Compliance
Officer, Assistant
Secretary and
Anti-Money
Laundering Officer
Since 2021
Senior Vice President, Natixis Advisors, LLC and
Natixis Distribution, LLC; formerly, Vice President,
Head of Corporate Compliance, Global Atlantic
Financial Group
 
1
Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or
she sooner dies, retires, is removed or becomes disqualified.
2
Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC,
Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity.
51 |

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LOOMIS SAYLES FUNDS
Loomis Sayles Funds, a Boston-based family of mutual funds advised by Loomis, Sayles & Company, L.P., offers a range of fixed income and equity investments to fit the goals of the most demanding investor. Investment minimums and a pricing structure that includes multiple share classes make the funds suitable investments for individual investors, retirement plan participants, high net worth individuals and small institutions, including endowments and foundations.
PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION:
•  Net asset values, yields, distribution information, fund information and fund literature
•  Speak to a customer service representative regarding new or existing accounts
Before investing, consider the fund’s investment objectives, risks, charges, and expenses. Please visit www.loomissayles.com or call 800-633-3330 for a prospectus and a summary prospectus, if available, containing this and other information.
If you wish to communicate with the funds’ Board of Trustees, you may do so by writing to:
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
The correspondence must be in writing, signed by the shareholder, including the shareholder’s name and address, and should identify the fund(s), account number, class of shares, and number of shares held in the fund(s) as of a recent date.
or by email at:
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.
Please note:  Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
 
 
Exp. 11/30/24
6031442.1.1
M-LSEFA-0923

 
  
Loomis Sayles High Income Opportunities Fund
Loomis Sayles Securitized Asset Fund
Annual Report
September 30, 2023

Loomis Sayles High Income Opportunities Fund
 
Managers
Matthew J. Eagan, CFA®
Brian P. Kennedy
Peter Sheehan*
Elaine M. Stokes**
Todd P. Vandam, CFA®
 
Symbol
Institutional Class
LSIOX
 
*
Effective June 30, 2023, Peter Sheehan serves as portfolio manager of the Fund.
**
Effective December 31, 2023, Elaine Stokes will no longer serve as portfolio manager of the Fund.
Investment Objective
The Fund’s investment objective is high current income. Capital appreciation is the Fund’s secondary objective.
Market Conditions
The US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the ten-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Investment grade corporate bonds logged robust, broad-based gains and strongly outperformed Treasuries. The category was helped by both its yield advantage and a decline in its yield spread relative to government issues. The ICE BofA US Corporate Index Option-Adjusted Spread opened the period at 1.67 over Treasuries and closed at 1.23, indicating outperformance. Lower-rated bonds, shorter-term debt, and economically sensitive issues exhibited leadership, providing a tailwind for the category.
High yield corporate bonds delivered a strong, double-digit gain and finished well ahead of the investment-grade market, mostly due to the lower duration of high yield. A large contribution from yield helped results, as did a decline in yield spreads brought about by investors’ elevated appetite for risk. Senior loans, which typically feature floating rates, benefited from the rising rate environment and were one of the top-performing segments of the bond market.
Over the prior year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized loan obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first half of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader Bloomberg US Aggregate Bond Index. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasuries over the period.
Developed market government bonds weakened in local currency terms given the challenging rate environment. However, emerging market bonds gained ground, reflecting both positive local market performance and favorable currency translation.
1 |

Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles High Income Opportunities Fund returned 8.98% at net asset value. The Fund underperformed its benchmark, the Bloomberg US Corporate High-Yield Bond Index, which returned 10.28%.
Explanation of Fund Performance
High yield corporate bonds delivered strong returns throughout the year, finishing ahead of many other fixed income sectors, as this asset class is generally less sensitive to movements in interest rates. While the Fund posted positive returns on an absolute basis, it underperformed the benchmark. Security selection was the primary source of underperformance for the period. Our exposure to convertible securities, particularly within the communications and technology sectors, weighed on returns. The allocation to securitized was also a detractor, where holdings in non-agency commercial mortgage-backed securities (CMBS) hurt returns. Lastly, an allocation to defensive, reserve-like positions and US Treasuries were detrimental, as they did not keep pace with riskier asset classes.
Security selection within high yield corporate credit was a contributor to relative returns. Our higher conviction names, specifically in cruise lines, were strong performers for the year.
Outlook
A rise in US long-term yields during the third quarter erased the overall positive returns realized in the first half of the year across most sectors of the global fixed income market. Inflation — while still above the Fed’s 2% target — continued to decline from its mid-2022 peak and helped create optimism early in the year that central banks would be able to conclude their long series of interest rate hikes. More recently, a re-pricing of expectations for growth (resilient), inflation (stickier) and Fed policy (higher for longer), as well as concern for significant US Treasury issuance over the coming 12-24 months, pushed yields higher. Since hitting a low of 3.31% for the year on April 6, the 10-year US Treasury yield climbed higher, ending September at 4.57%. As a result, performance of high quality, long duration bonds suffered. Sectors that have less interest rate sensitivity, such as high yield corporates and bank loans, continue to be bright spots on a year-to-date return basis.
In our view, the credit cycle1 is firmly in the late cycle stage. Monetary policy is restrictive and lending standards have tightened; however, the economic backdrop has remained resilient and forecasts are reflecting better-than-expected growth for the remainder of 2023. Most notably, resiliency can be seen in areas such as services/housing, while manufacturing has also experienced a bounce from more depressed levels witnessed late last year. While the risk of downturn remains, at this time we do not expect a technical recession of back-to-back quarters with negative GDP. Our base case calls for below trend US growth and our view is dependent on a strong consumer and stable corporate fundamentals. The consumer appears to maintain strong levels of excess savings and continues to spend at a healthy rate. Shifts in hiring and firing dynamics, including labor hoarding, have led to employment remaining robust. We believe these factors should help support consumer confidence and spending going forward. Monetary policy has helped to cool employment, but it is still growing, and investors have likely had to reassess how much flexibility the Fed may have in the near term.
Corporate fundamentals appear stable, highlighted by strong leverage and interest coverage ratios, and specific to the high yield market, a maturity wall that seems manageable, in our opinion, through 2025. We are carefully monitoring the pace of corporate earnings growth. Earnings have contracted over the past three quarters, putting us in the midst of a “profits recession.” While we believe earnings will trough at the end of 2023, if this trend continues, or accelerates as pricing power fades and margins come under further pressure, companies may need to aggressively cut costs (via job cuts). This could lead to an environment where the pace of earnings growth declines materially and ultimately leads to recession. Under this scenario, we believe a healthy consumer combined with stable corporate fundamentals should serve to minimize the potential for a hard landing by providing a floor to economic activity that could result in a mild or shallow recession.
While inflation has peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, in our opinion inflation will continue to be sticky. We believe inflation will remain elevated and above the Fed's target through the end of 2023 and into 2024 as services inflation remains high, which is worrisome because services inflation is currently stickier than goods inflation. Rising wages may be a major factor that keeps inflation elevated and constrains Fed policy in the near term. In addition, we foresee longer-term structural concerns that could support higher levels of inflation, including the impact of de-globalization, de-carbonization, aging demographics and growing government deficits. We anticipate the Fed will be driven by how firm evidence is that inflation continues to moderate. The potential for an extended Fed pause and short-term rates that stay higher for longer remains; in our view, policymakers will be slow to react to the onset of a downturn and will likely tolerate a rise in unemployment, particularly while inflation is above target.
We believe value has returned to US fixed income markets and a combination of discount-to-par, favorable yields and an increase in issuer performance dispersion is helping to create opportunities in bonds. We expect defaults/losses to remain relatively low, while slowly increasing to more normal levels associated with a late cycle environment. With the potential for a downturn in 2024, we have been holding larger-than-average liquid reserves. We are comfortable with how we are being compensated by short-term yields as we patiently wait for opportunities to potentially develop. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. Overall, we are maintaining an up-in-quality bias and are focused on credits that we believe can weather a slowdown, or credits that
| 2

Loomis Sayles High Income Opportunities Fund
will benefit from the transition of goods to services spending. We are mindful of the risks going forward, such as tighter financial conditions and their impact on the financial system, slower Chinese growth, geopolitical risk, and the broader economic impact of a further decline in the commercial real estate market. Much of the turmoil leaves us with a wide range of potential outcomes for growth, inflation and central bank policy response. Based on the uncertain backdrop, we feel it is prudent to maintain a balanced risk profile between interest rate and spread risk. We believe the 10-year US Treasury range is currently around 3.75% - 4.75%, with a potential path to 5% over the long term. We have structured our portfolios for a steeper yield curve, which we believe will be primarily driven by a fall in short-term rates as inflation moderates, combined with secular trends that could potentially keep a floor under long-term yields.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
 
Hypothetical Growth of $10,000 Investment in Institutional Class Shares
September 30, 2013 through September 30, 2023
 
 
Average Annual Total Returns — September 30, 2023
 
1 Year
5 Years
10 Years
Expense Ratios2
 
Gross
Net
Institutional Class
8.98
%
2.32
%
4.29
%
0.00
%
0.00
%
Comparative Performance
Bloomberg U.S. Corporate High-Yield Bond Index1
10.28
2.96
4.24
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. 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
The amount shown under Gross and Net Expense Ratio is 0.00% to reflect the fact that the Fund does not pay any advisory, administration or distribution
and service fees, and that Loomis Sayles has agreed to pay certain expenses of the Fund. All fees are paid by investors indirectly through separately
negotiated advisory relationships with the Fund’s Adviser or through “wrap fee” programs sponsored by broker dealers and investment advisers that may be
affiliated or unaffiliated with the Fund, Loomis Sayles or Natixis Advisors, LLC.
3 |

Loomis Sayles Securitized Asset Fund
 
Managers
Ian Anderson
Stephen M. LaPlante, CFA®
Alessandro Pagani, CFA®
Barath W. Sankaran, CFA®
Jennifer M. Thomas
 
Symbol
Institutional Class
LSSAX
Investment Objective
The Fund’s investment objective is to seek a high level of current income consistent with capital preservation.
Market Conditions
Over the past year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized Loan Obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first quarter of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader fixed income market. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasuries over the period.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the 10-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
The US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of positive returns occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from the US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Securitized Asset Fund returned 0.77% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Securitized Bond Index, which returned -0.04%.
Explanation of Fund Performance
The Fund’s allocation to CLOs was the leading contributor to performance for the year, most notably its exposure to senior mezzanine loans. Commercial ABS was the next best driver of performance this year, mostly coming from aircraft ABS holdings. Aircraft ABS continued to outperform due to increases in aircraft and engine market values, higher lease rates, and decreases in the percentage of planes off-lease. Another additive to the Fund’s performance relative to the benchmark for the year was a significant overweight to agency CMBS. Performance attributable to overall duration and yield curve positioning was additive to relative returns.
The Fund’s significant underweight positioning with respect to agency pass-through MBS diminished performance for the year. An overweight position in CMBS detracted from relative performance for the period mainly due to single-asset, single-borrower holdings.
The Fund’s strategy aims to be neutral versus its benchmark with respect to duration (and corresponding interest rate sensitivity) and uses interest rate futures to pursue this objective. Given rate moves during the year, the futures positions were a negative contributor to returns.
| 4

Loomis Sayles Securitized Asset Fund
Outlook
Our team believes the agency MBS market is pricing in a possibility that banks may need to sell assets in the future for liquidity purposes. The Fed’s MBS holdings are in runoff, banks are limiting purchases of MBS (to mostly GNMA bonds) due to deposit outflows and potentially higher capital requirements, the Federal Deposit Insurance Company (FDIC) is coordinating sales of MBS from failed banks, and money managers (who are already overweight) are left as the primary source of demand.
Consumer ABS fundamentals are mixed given the employment picture remains strong and consumer balance sheets are healthy, but delinquencies are back to historical norms or higher for certain products and borrowers (i.e., non-prime auto). Inflation remains a concern for lower income consumers, but the future path of the unemployment rate is critical as it is the main driver of a borrower’s ability to repay debt. Consumer ABS spreads have tightened over recent months, relative value has decreased and primary market issuance has been moderate in the third quarter of 2023, but remains below last year's pace of issuance.
In commercial ABS, fundamentals continue to improve as demand for air travel recovers rapidly in conjunction with constrained aircraft supply due to significant production delays and engine shortages. Aircraft remains our best pick among commercial ABS sectors as we expect the positive demand/supply trends to last several years. Primary issuance in many commercial ABS sectors remain very light especially in aircraft, shipping container, railcar, and whole business.
Investment grade CLOs continue to provide investors with attractive opportunities for price appreciation and higher carry. We find most value in high quality CLOs that either have shorter, delivering profiles or are longer spread duration with clean collateral and strong structures. Bank demand for AAA rated CLOs is reduced as stress tests by the Fed and rising rates have forced them to increase capital; however, supply of new issue CLOs has also decreased due to the challenged CLO equity arbitrage and warehouse balances having normalized back from high 2022 levels.
Among lower-rated CMBS, we think security selection will be paramount as lingering recession risk, a higher interest rate environment, and tighter lending conditions cause collateral values to deteriorate and subordinate bonds to reprice lower with increased downgrade risk. For accounts with a higher risk tolerance, we advocate buying select deep-discount seasoned subordinate conduit bonds backed by out-of-favor property types originated during periods of higher cap rates. With rising stress on commercial real estate and lack of clarity on market direction, subordinate bonds remain weakly unsupported by dealers.
We remain confident in RMBS protections provided in deal structures to prevent losses from impacting held positions. While home sales have softened as buyers have decreased purchases, this has been balanced by a slowdown of new listings in many markets and we anticipate continued downward pressure on housing activity. Given the secular tailwinds of deficient housing supply and strong underwriting, we anticipate the near-term softening of home prices to be controlled and manageable. Longer term, favorable demographics and constraints around zoning laws will likely be tailwinds for home price and rent growth for years to come.
 
Hypothetical Growth of $10,000 Investment in Institutional Class Shares
September 30, 2013 through September 30, 2023
 
5 |

 
Average Annual Total Returns — September 30, 2023
 
1 Year
5 Years
10 Years
Expense Ratios2
 
Gross
Net
Institutional Class
0.77
%
0.30
%
1.67
%
0.00
%
0.00
%
Comparative Performance
Bloomberg U.S. Securitized Bond Index1
-0.04
-0.63
0.69
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. Securitized Bond Index is an unmanaged index of asset-backed securities, collateralized mortgage-backed securities (ERISA eligible), and
fixed-rate mortgage-backed securities.
2
The amount shown under Gross and Net Expense Ratio is 0.00% to reflect the fact that the Fund does not pay any advisory, administration or distribution
and service fees, and that Loomis Sayles has agreed to pay certain expenses of the Fund. All fees are paid by investors indirectly through separately
negotiated advisory relationships with the Fund’s Adviser or through “wrap fee” programs sponsored by broker dealers and investment advisers that may be
affiliated or unaffiliated with the Fund, Loomis Sayles or Natixis Advisors, LLC.
| 6

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 Funds at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission (“SEC”) website at www.sec.gov. Information regarding 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 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 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.
7 |

Understanding Your Fund's Expenses
Typically, mutual fund shareholders incur two types of costs:  (1) transaction costs; and (2) ongoing costs, including management fees, distribution fees ("12b-1 fees"), and other fund expenses. However, the Funds are unlike other mutual funds; they do not charge any fees or expenses.
You should be aware that shares in the Funds are available only to institutional investment advisory clients of Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and Natixis Advisors, LLC (“Natixis Advisors”) and to participants in “wrap fee” programs sponsored by broker dealers and investment advisers that may be affiliated or unaffiliated with the Funds, Loomis Sayles or Natixis Advisors. The institutional investment advisory clients of Loomis Sayles and Natixis Advisors pay Loomis Sayles or Natixis Advisors a fee for their investment advisory services, while participants in “wrap fee” programs pay a “wrap fee” to the program’s sponsor. The “wrap fee” program sponsors, in turn, pay a fee to Natixis Advisors. “Wrap fee” program participants should read carefully the wrap fee brochure provided to them by their program’s sponsor and the fees paid by such sponsor to Natixis Advisors. Shareholders pay no additional fees or expenses to purchase shares of the Funds. However, shareholders will indirectly pay a proportionate share of those costs, such as brokerage commissions, taxes and extraordinary expenses, that are borne by the Funds through a reduction in each Fund’s net asset value.
The first line in each Fund’s table shows the actual amount of Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from April 1, 2023 through September 30, 2023.
The second line in each Fund’s table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio (0%) 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 Funds 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 High Income Opportunities Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$1,018.40
$0.00
Hypothetical (5% return before expenses)
$1,000.00
$1,025.07
$0.00
 
*
Expenses are equal to the Fund's annualized expense ratio of 0.00%, 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 Securitized Asset Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$967.50
$0.00
Hypothetical (5% return before expenses)
$1,000.00
$1,025.07
$0.00
 
*
Expenses are equal to the Fund's annualized expense ratio of 0.00%, 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).
| 8

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, (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser 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 and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.
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. The information received by the Trustees generally includes, where available, among other things, an internal performance rating for each Fund based on agreed-upon criteria, a graph showing each Fund’s performance against each Fund’s peer group/category of funds, total return information for various periods, performance rankings provided by a third-party data provider 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 2023. 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 recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight. The Trustees also considered that the Funds are generally only available to institutional clients of Loomis Sayles and participants in certain “wrap programs.”
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 categories of funds and the Funds’ respective performance benchmarks. The Board noted that while it found the data provided by the
9 |

independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. In addition, the Trustees reviewed data prepared by an independent third-party rating organization 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, 2022, 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 High Income Opportunities Fund
93%
52%
52%
Loomis Sayles Securitized Asset Fund
11%
30%
17%
In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for certain periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included 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; and (2) that the Fund’s long-term (ten-year) performance was strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.
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. Under the terms of the Agreements, the Adviser does not charge the Funds an investment advisory fee or any other fee for services. The Adviser also bears most of the Funds’ expenses. The Trustees considered that, although the Funds do not compensate the Adviser directly for services under the Agreements, the Adviser will typically receive an advisory fee from its advisory clients who have invested in the Funds or from the sponsors of “wrap programs,” who in turn charge the programs’ participants, although the Trustees are not involved in setting or reviewing those fees. Because the Funds do not charge an advisory fee, the Trustees did not consider the profitability of the Adviser’s relationship to the Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that each Fund’s advisory fee of 0% was fair and reasonable and supported the renewal of the Agreements.
Economies of Scale. The Trustees noted that because the Adviser has borne most of the Funds’ expenses, economies of scale were not relevant to these Funds.
The Trustees also considered other factors, which included but were not limited to the following:
• The effect of various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign central bank policies, and lingering effects of the Covid-19 crisis, as applicable, on the performance, asset levels and expense ratios of each Fund.
• Whether each Fund has operated in accordance with its investment objective and each 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 financial and other benefits to the Adviser from being able to offer the Funds to its advisory clients and investors in certain “wrap” programs and 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 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.
| 10

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, 2024.
11 |

LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through September 30, 2023)
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 High Income Opportunities Fund has established an HLIM.
During the period from January 1, 2022 to December 31, 2022, 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, 2023 through September 30, 2023, 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.
| 12

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 89.0% of Net Assets
Non-Convertible Bonds — 84.8%
ABS Car Loan — 0.7%
$297,000
Hertz Vehicle Financing III LLC,
Series 2022-1A, Class D,
4.850%, 6/25/2026(a)
$277,878
325,000
Hertz Vehicle Financing III LLC,
Series 2022-3A, Class D,
6.310%, 3/25/2025(a)
322,388
270,000
Hertz Vehicle Financing III LLC,
Series 2023-1A, Class D2,
9.130%, 6/25/2027(a)
266,518
260,000
Hertz Vehicle Financing III LLC,
Series 2023-2A, Class D,
9.400%, 9/25/2029(a)
261,483
290,000
Hertz Vehicle Financing LLC,
Series 2022-4A, Class D,
6.560%, 9/25/2026(a)
276,874
150,000
Prestige Auto Receivables Trust,
Series 2019-1A, Class E,
3.900%, 5/15/2026(a)
149,095
 
1,554,236
ABS Home Equity — 0.2%
88,404
DSLA Mortgage Loan Trust,
Series 2005-AR5, Class 2A1A, 1 mo. USD
SOFR + 0.774%, 6.102%, 9/19/2045(b)
46,575
458,706
PRPM LLC, Series 2022-5, Class A1,
6.900%, 9/27/2027(a)(c)
455,346
 
501,921
Aerospace & Defense — 1.5%
310,000
Bombardier, Inc., 6.000%, 2/15/2028(a)
281,231
1,335,000
Bombardier, Inc., 7.125%, 6/15/2026(a)
1,293,427
410,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
406,702
470,000
TransDigm, Inc., 6.250%, 3/15/2026(a)
461,813
625,000
TransDigm, Inc., 6.750%, 8/15/2028(a)
615,305
90,000
TransDigm, Inc., 6.875%, 12/15/2030(a)
88,249
 
3,146,727
Airlines — 1.1%
295,000
Allegiant Travel Co., 7.250%, 8/15/2027(a)
277,669
2,350,000
American Airlines, Inc./AAdvantage Loyalty
IP Ltd., 5.750%, 4/20/2029(a)
2,185,618
 
2,463,287
Automotive — 2.9%
45,000
Allison Transmission, Inc.,
4.750%, 10/01/2027(a)
41,528
255,000
American Axle & Manufacturing, Inc.,
5.000%, 10/01/2029
206,242
55,000
Ford Motor Co., 3.250%, 2/12/2032
42,386
1,645,000
Ford Motor Credit Co. LLC,
2.300%, 2/10/2025
1,542,956
800,000
Ford Motor Credit Co. LLC,
3.375%, 11/13/2025
742,253
Principal
Amount
Description
Value (†)
Automotive — continued
$200,000
Ford Motor Credit Co. LLC,
4.542%, 8/01/2026
$187,742
795,000
Ford Motor Credit Co. LLC,
6.950%, 6/10/2026
794,026
400,000
Ford Motor Credit Co. LLC, GMTN,
4.389%, 1/08/2026
377,532
810,000
General Motors Financial Co., Inc.,
Series A, (fixed rate to 9/30/2027, variable
rate thereafter), 5.750%(d)
652,285
485,000
General Motors Financial Co., Inc.,
Series B, (fixed rate to 9/30/2028, variable
rate thereafter), 6.500%(d)
412,848
545,000
General Motors Financial Co., Inc.,
Series C, (fixed rate to 9/30/2030, variable
rate thereafter), 5.700%(d)
465,761
200,000
Jaguar Land Rover Automotive PLC,
5.500%, 7/15/2029(a)
170,999
220,000
Jaguar Land Rover Automotive PLC,
5.875%, 1/15/2028(a)
197,831
190,000
Wheel Pros, Inc., 6.500%, 5/15/2029(a)
63,641
155,000
ZF North America Capital, Inc.,
6.875%, 4/14/2028(a)
151,753
155,000
ZF North America Capital, Inc.,
7.125%, 4/14/2030(a)
151,993
 
6,201,776
Banking — 1.8%
665,000
Barclays PLC, (fixed rate to 6/27/2033,
variable rate thereafter), 7.119%, 6/27/2034
640,484
270,000
Barclays PLC, (fixed rate to 9/23/2030,
variable rate thereafter), 3.564%, 9/23/2035
208,470
1,235,000
Deutsche Bank AG, (fixed rate to
12/01/2027, variable rate thereafter),
4.875%, 12/01/2032
1,053,620
1,150,000
Intesa Sanpaolo SpA, 6.625%, 6/20/2033(a)
1,080,689
960,000
UniCredit SpA, (fixed rate to 6/30/2030,
variable rate thereafter),
5.459%, 6/30/2035(a)
804,772
 
3,788,035
Brokerage — 0.5%
180,000
Coinbase Global, Inc.,
3.375%, 10/01/2028(a)
129,661
140,000
Coinbase Global, Inc.,
3.625%, 10/01/2031(a)
92,892
290,000
Jefferies Finance LLC/JFIN Co-Issuer
Corp., 5.000%, 8/15/2028(a)
244,182
60,000
NFP Corp., 4.875%, 8/15/2028(a)
52,821
360,000
NFP Corp., 6.875%, 8/15/2028(a)
308,404
300,000
NFP Corp., 8.500%, 10/01/2031(a)
300,455
 
1,128,415
Building Materials — 2.4%
285,000
ACProducts Holdings, Inc.,
6.375%, 5/15/2029(a)
188,100
300,000
Advanced Drainage Systems, Inc.,
6.375%, 6/15/2030(a)
288,135
See accompanying notes to financial statements.
13 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Building Materials — continued
$525,000
Beacon Roofing Supply, Inc.,
6.500%, 8/01/2030(a)
$508,783
265,000
Builders FirstSource, Inc.,
4.250%, 2/01/2032(a)
217,317
315,000
Builders FirstSource, Inc.,
5.000%, 3/01/2030(a)
280,856
210,000
Camelot Return Merger Sub, Inc.,
8.750%, 8/01/2028(a)
202,577
720,000
Cemex SAB de CV, (fixed rate to
3/14/2028, variable rate thereafter),
9.125%(a)(d)
749,523
320,000
Cemex SAB de CV, (fixed rate to
6/08/2026, variable rate thereafter),
5.125%(a)(d)
299,582
265,000
Cornerstone Building Brands, Inc.,
6.125%, 1/15/2029(a)
200,895
870,000
Foundation Building Materials, Inc.,
6.000%, 3/01/2029(a)
724,054
395,000
LBM Acquisition LLC,
6.250%, 1/15/2029(a)
323,900
255,000
MIWD Holdco II LLC/MIWD Finance
Corp., 5.500%, 2/01/2030(a)
210,692
275,000
Patrick Industries, Inc.,
4.750%, 5/01/2029(a)
229,625
540,000
Specialty Building Products
Holdings LLC/SBP Finance Corp.,
6.375%, 9/30/2026(a)
504,978
225,000
Standard Industries, Inc.,
4.375%, 7/15/2030(a)
186,345
 
5,115,362
Cable Satellite — 9.1%
665,000
Altice Financing SA, 5.000%, 1/15/2028(a)
567,832
95,000
Block Communications, Inc.,
4.875%, 3/01/2028(a)
78,612
295,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.250%, 2/01/2031(a)
234,911
3,035,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.250%, 1/15/2034(a)
2,234,604
630,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.500%, 6/01/2033(a)
482,038
2,155,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.750%, 3/01/2030(a)
1,809,018
790,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 5.000%, 2/01/2028(a)
717,429
50,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 5.125%, 5/01/2027(a)
46,586
95,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 5.500%, 5/01/2026(a)
91,763
605,000
CSC Holdings LLC, 3.375%, 2/15/2031(a)
412,270
200,000
CSC Holdings LLC,
4.500%, 11/15/2031(a)
141,556
6,090,000
CSC Holdings LLC,
4.625%, 12/01/2030(a)
3,237,768
585,000
CSC Holdings LLC,
5.000%, 11/15/2031(a)
313,546
Principal
Amount
Description
Value (†)
Cable Satellite — continued
$1,790,000
CSC Holdings LLC, 5.750%, 1/15/2030(a)
$1,002,929
280,000
CSC Holdings LLC, 6.500%, 2/01/2029(a)
231,962
1,695,000
Directv Financing LLC/Directv Financing
Co-Obligor, Inc., 5.875%, 8/15/2027(a)
1,498,685
2,140,000
DISH DBS Corp., 5.125%, 6/01/2029
1,186,373
705,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
599,145
555,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
426,656
175,000
DISH DBS Corp., 7.375%, 7/01/2028
110,266
1,355,000
DISH DBS Corp., 7.750%, 7/01/2026
1,016,250
480,000
Radiate Holdco LLC/Radiate Finance, Inc.,
6.500%, 9/15/2028(a)
252,000
1,205,000
Sirius XM Radio, Inc.,
3.875%, 9/01/2031(a)
912,741
275,000
Telesat Canada/Telesat LLC,
5.625%, 12/06/2026(a)
189,062
260,000
Viasat, Inc., 6.500%, 7/15/2028(a)
180,050
755,000
Virgin Media Secured Finance PLC,
5.500%, 5/15/2029(a)
672,618
920,000
Ziggo Bond Co. BV, 6.000%, 1/15/2027(a)
842,251
 
19,488,921
Chemicals — 1.4%
80,000
Ashland, Inc., 3.375%, 9/01/2031(a)
62,211
560,000
ASP Unifrax Holdings, Inc.,
5.250%, 9/30/2028(a)
398,801
750,000
Braskem Netherlands Finance BV,
8.500%, 1/12/2031(a)
743,212
150,000
Consolidated Energy Finance SA,
5.625%, 10/15/2028(a)
123,938
805,000
Hercules LLC, 6.500%, 6/30/2029
737,573
200,000
INEOS Quattro Finance 2 PLC,
3.375%, 1/15/2026(a)
182,189
605,000
Olympus Water U.S. Holding Corp.,
4.250%, 10/01/2028(a)
493,205
305,000
Olympus Water U.S. Holding Corp.,
9.750%, 11/15/2028(a)
304,341
40,000
WR Grace Holdings LLC,
5.625%, 8/15/2029(a)
32,350
 
3,077,820
Consumer Cyclical Services — 2.8%
1,120,000
ADT Security Corp., 4.125%, 8/01/2029(a)
946,971
260,000
ANGI Group LLC, 3.875%, 8/15/2028(a)
203,444
230,000
Arches Buyer, Inc., 4.250%, 6/01/2028(a)
196,096
110,000
Arches Buyer, Inc., 6.125%, 12/01/2028(a)
89,320
70,000
Match Group Holdings II LLC,
3.625%, 10/01/2031(a)
55,238
210,000
Match Group Holdings II LLC,
5.000%, 12/15/2027(a)
193,687
55,000
Prime Security Services
Borrower LLC/Prime Finance, Inc.,
3.375%, 8/31/2027(a)
48,185
90,000
Realogy Group LLC/Realogy Co-Issuer
Corp., 5.250%, 4/15/2030(a)
62,472
545,000
Realogy Group LLC/Realogy Co-Issuer
Corp., 5.750%, 1/15/2029(a)
394,008
See accompanying notes to financial statements.
| 14

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Consumer Cyclical Services — continued
$760,000
Uber Technologies, Inc.,
4.500%, 8/15/2029(a)
$679,331
715,000
Uber Technologies, Inc.,
6.250%, 1/15/2028(a)
699,174
1,080,000
Uber Technologies, Inc.,
7.500%, 9/15/2027(a)
1,088,968
940,000
Uber Technologies, Inc.,
8.000%, 11/01/2026(a)
951,050
300,000
VT Topco, Inc., 8.500%, 8/15/2030(a)
297,165
 
5,905,109
Consumer Products — 1.2%
240,000
Coty, Inc., 5.000%, 4/15/2026(a)
230,550
255,000
Coty, Inc./HFC Prestige Products,
Inc./HFC Prestige International U.S. LLC,
4.750%, 1/15/2029(a)
229,951
455,000
Coty, Inc./HFC Prestige Products,
Inc./HFC Prestige International U.S. LLC,
6.625%, 7/15/2030(a)
444,235
1,250,000
Energizer Holdings, Inc.,
4.375%, 3/31/2029(a)
1,043,188
510,000
Newell Brands, Inc., 5.200%, 4/01/2026
480,620
140,000
Prestige Brands, Inc., 3.750%, 4/01/2031(a)
112,700
 
2,541,244
Diversified Manufacturing — 0.5%
215,000
Chart Industries, Inc.,
7.500%, 1/01/2030(a)
216,178
285,000
Madison IAQ LLC, 5.875%, 6/30/2029(a)
229,494
640,000
Resideo Funding, Inc.,
4.000%, 9/01/2029(a)
525,811
 
971,483
Electric — 1.0%
1,235,000
Calpine Corp., 4.500%, 2/15/2028(a)
1,113,015
130,000
Calpine Corp., 5.250%, 6/01/2026(a)
126,214
340,000
NRG Energy, Inc., 3.875%, 2/15/2032(a)
255,235
105,000
NRG Energy, Inc., 5.250%, 6/15/2029(a)
92,690
135,000
NRG Energy, Inc., 5.750%, 1/15/2028
126,576
320,000
PG&E Corp., 5.000%, 7/01/2028
289,849
70,000
PG&E Corp., 5.250%, 7/01/2030
60,834
150,000
Talen Energy Supply LLC,
8.625%, 6/01/2030(a)
153,765
 
2,218,178
Environmental — 0.7%
20,000
Clean Harbors, Inc., 5.125%, 7/15/2029(a)
18,398
170,000
Clean Harbors, Inc., 6.375%, 2/01/2031(a)
165,303
935,000
Covanta Holding Corp.,
4.875%, 12/01/2029(a)
767,074
530,000
GFL Environmental, Inc.,
4.000%, 8/01/2028(a)
463,096
 
1,413,871
Finance Companies — 4.9%
255,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
250,073
Principal
Amount
Description
Value (†)
Finance Companies — continued
$155,000
Aircastle Ltd., Series A, (fixed rate to
6/15/2026, variable rate thereafter),
5.250%(a)(d)
$121,884
105,000
Blackstone Secured Lending Fund,
2.750%, 9/16/2026
92,300
520,000
Blackstone Secured Lending Fund,
3.625%, 1/15/2026
480,394
585,000
Blue Owl Capital Corp.,
3.400%, 7/15/2026
524,489
95,000
Cobra AcquisitionCo LLC,
6.375%, 11/01/2029(a)
70,300
331,600
Global Aircraft Leasing Co. Ltd., 7.250%
PIK or 6.500% Cash, 9/15/2024(a)(e)
315,849
345,000
Nationstar Mortgage Holdings, Inc.,
5.000%, 2/01/2026(a)
322,263
245,000
Nationstar Mortgage Holdings, Inc.,
5.125%, 12/15/2030(a)
198,922
565,000
Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031(a)
467,380
685,000
Nationstar Mortgage Holdings, Inc.,
6.000%, 1/15/2027(a)
647,272
1,015,000
Navient Corp., 4.875%, 3/15/2028
860,213
845,000
Navient Corp., 5.000%, 3/15/2027
759,537
335,000
OneMain Finance Corp.,
3.500%, 1/15/2027
286,844
870,000
OneMain Finance Corp.,
4.000%, 9/15/2030
652,809
80,000
OneMain Finance Corp.,
5.375%, 11/15/2029
67,000
990,000
OneMain Finance Corp.,
7.125%, 3/15/2026
969,588
410,000
Provident Funding Associates LP/PFG
Finance Corp., 6.375%, 6/15/2025(a)
364,900
370,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 2.875%, 10/15/2026(a)
325,855
360,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.625%, 3/01/2029(a)
297,625
1,465,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(a)
1,168,147
1,645,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(a)
1,242,276
 
10,485,920
Financial Other — 1.2%
400,000
Agile Group Holdings Ltd.,
6.050%, 10/13/2025
43,772
200,000
Central China Real Estate Ltd.,
7.250%, 8/13/2024(f)
8,114
205,000
Central China Real Estate Ltd.,
7.650%, 8/27/2025(f)
7,464
353,395
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(g)
30,572
429,065
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(g)
12,941
See accompanying notes to financial statements.
15 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Financial Other — continued
$44,015
CFLD Cayman Investment Ltd., Zero
Coupon,
0.000%–13.124%, 1/31/2031(a)(h)
$440
405,000
China Aoyuan Group Ltd.,
6.200%, 3/24/2026(f)
6,217
200,000
China Evergrande Group,
8.750%, 6/28/2025(f)
4,000
200,000
China Evergrande Group,
9.500%, 4/11/2022(f)
4,000
448,246
Easy Tactic Ltd., 7.500% PIK or 6.500%
Cash, 7/11/2027(i)
24,551
200,000
Fantasia Holdings Group Co. Ltd.,
11.875%, 6/01/2023(f)
6,000
20,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.750%, 9/15/2024
19,263
1,840,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 5.250%, 5/15/2027
1,617,323
475,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 6.375%, 12/15/2025
451,851
400,000
Kaisa Group Holdings Ltd.,
9.375%, 6/30/2024(f)
23,356
400,000
Kaisa Group Holdings Ltd.,
11.250%, 4/16/2025(f)
22,980
400,000
Kaisa Group Holdings Ltd.,
11.650%, 6/01/2026(f)
22,000
610,000
Kaisa Group Holdings Ltd.,
11.700%, 11/11/2025(f)
34,819
210,000
KWG Group Holdings Ltd.,
6.300%, 2/13/2026(f)
16,800
205,000
Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(f)
8,200
200,000
Shimao Group Holdings Ltd.,
4.750%, 7/03/2022(f)
7,498
200,000
Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(f)
8,000
605,000
Sunac China Holdings Ltd.,
6.500%, 1/26/2026(f)
93,775
200,000
Sunac China Holdings Ltd.,
6.650%, 8/03/2024(f)
25,012
205,000
Times China Holdings Ltd.,
5.750%, 1/14/2027(f)
6,150
630,000
Times China Holdings Ltd.,
6.200%, 3/22/2026(f)
18,900
800,000
Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(f)
48,352
200,000
Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(f)
13,100
820,000
Zhenro Properties Group Ltd.,
6.630%, 1/07/2026(f)
4,305
210,000
Zhenro Properties Group Ltd.,
6.700%, 8/04/2026(f)
1,772
 
2,591,527
Food & Beverage — 0.9%
80,000
Aramark Services, Inc.,
5.000%, 2/01/2028(a)
73,987
Principal
Amount
Description
Value (†)
Food & Beverage — continued
$335,000
Central American Bottling Corp./CBC
Bottling Holdco SL/Beliv Holdco SL,
5.250%, 4/27/2029(a)
$302,337
275,000
HLF Financing Sarl LLC/Herbalife
International, Inc., 4.875%, 6/01/2029(a)
195,250
670,000
Lamb Weston Holdings, Inc.,
4.375%, 1/31/2032(a)
561,284
555,000
Post Holdings, Inc., 4.625%, 4/15/2030(a)
475,235
15,000
Post Holdings, Inc., 5.750%, 3/01/2027(a)
14,407
260,000
Simmons Foods, Inc./Simmons Prepared
Foods, Inc./Simmons Pet Food,
Inc./Simmons Feed, 4.625%, 3/01/2029(a)
213,285
 
1,835,785
Gaming — 2.3%
350,000
Boyd Gaming Corp., 4.750%, 6/15/2031(a)
297,842
865,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
850,217
775,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
759,500
175,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
172,961
630,000
Melco Resorts Finance Ltd.,
5.375%, 12/04/2029(a)
516,776
30,000
Penn Entertainment, Inc.,
4.125%, 7/01/2029(a)
24,516
525,000
Sands China Ltd., 5.650%, 8/08/2028
494,196
450,000
Studio City Finance Ltd.,
5.000%, 1/15/2029(a)
338,782
290,000
Wynn Macau Ltd., 5.125%, 12/15/2029(a)
239,238
465,000
Wynn Macau Ltd., 5.500%, 1/15/2026(a)
434,675
415,000
Wynn Macau Ltd., 5.625%, 8/26/2028(a)
359,785
420,000
Wynn Resorts Finance LLC/Wynn Resorts
Capital Corp., 5.125%, 10/01/2029(a)
367,133
 
4,855,621
Government Owned - No Guarantee — 0.4%
325,000
Antares Holdings LP, 7.950%, 8/11/2028(a)
323,073
365,000
Petroleos Mexicanos, 5.950%, 1/28/2031
261,249
285,000
Petroleos Mexicanos, 6.625%, 6/15/2035
190,893
 
775,215
Health Care REITs — 0.2%
530,000
MPT Operating Partnership LP/MPT
Finance Corp., 3.500%, 3/15/2031
330,969
Health Insurance — 0.5%
675,000
Centene Corp., 2.450%, 7/15/2028
570,270
60,000
Molina Healthcare, Inc.,
3.875%, 11/15/2030(a)
49,656
550,000
Molina Healthcare, Inc.,
3.875%, 5/15/2032(a)
441,092
 
1,061,018
Healthcare — 2.4%
125,000
AdaptHealth LLC, 4.625%, 8/01/2029(a)
95,938
680,000
AdaptHealth LLC, 5.125%, 3/01/2030(a)
526,577
See accompanying notes to financial statements.
| 16

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Healthcare — continued
$675,000
Bausch & Lomb Escrow Corp.,
8.375%, 10/01/2028(a)
$677,005
940,000
CHS/Community Health Systems, Inc.,
5.250%, 5/15/2030(a)
714,566
610,000
DaVita, Inc., 3.750%, 2/15/2031(a)
463,453
100,000
Fortrea Holdings, Inc.,
7.500%, 7/01/2030(a)
97,301
340,000
Garden Spinco Corp.,
8.625%, 7/20/2030(a)
354,911
145,000
Hologic, Inc., 3.250%, 2/15/2029(a)
122,482
210,000
Hologic, Inc., 4.625%, 2/01/2028(a)
193,233
675,000
LifePoint Health, Inc.,
5.375%, 1/15/2029(a)
471,232
435,000
Medline Borrower LP,
3.875%, 4/01/2029(a)
367,759
185,000
RP Escrow Issuer LLC,
5.250%, 12/15/2025(a)
134,196
750,000
Star Parent, Inc., 9.000%, 10/01/2030(a)
757,877
190,000
U.S. Acute Care Solutions LLC,
6.375%, 3/01/2026(a)
163,400
 
5,139,930
Home Construction — 0.1%
255,000
Brookfield Residential Properties,
Inc./Brookfield Residential U.S. LLC,
4.875%, 2/15/2030(a)
207,388
200,000
Corp. GEO SAB de CV,
8.875%, 3/27/2022(a)(f)(j)
—
25,000
Meritage Homes Corp.,
3.875%, 4/15/2029(a)
21,506
 
228,894
Independent Energy — 6.2%
390,000
Antero Resources Corp.,
5.375%, 3/01/2030(a)
359,061
10,000
Apache Corp., 4.375%, 10/15/2028
9,044
135,000
Apache Corp., 4.750%, 4/15/2043
98,329
645,000
Ascent Resources Utica Holdings LLC/ARU
Finance Corp., 7.000%, 11/01/2026(a)
629,953
160,000
Baytex Energy Corp., 8.500%, 4/30/2030(a)
161,892
625,000
Baytex Energy Corp., 8.750%, 4/01/2027(a)
634,766
840,000
Chesapeake Energy Corp.,
5.500%, 2/01/2026(a)
812,812
275,000
Chesapeake Energy Corp.,
6.750%, 4/15/2029(a)
269,116
695,000
Civitas Resources, Inc.,
8.375%, 7/01/2028(a)
707,162
1,025,000
Continental Resources, Inc.,
2.875%, 4/01/2032(a)
767,570
355,000
Continental Resources, Inc.,
4.900%, 6/01/2044
260,795
605,000
Continental Resources, Inc.,
5.750%, 1/15/2031(a)
568,370
320,000
Crescent Energy Finance LLC,
7.250%, 5/01/2026(a)
313,600
390,000
Crescent Energy Finance LLC,
9.250%, 2/15/2028(a)
398,170
Principal
Amount
Description
Value (†)
Independent Energy — continued
$100,000
Energian Israel Finance Ltd.,
4.875%, 3/30/2026(a)
$92,880
200,000
Energian Israel Finance Ltd.,
5.375%, 3/30/2028(a)
179,370
200,000
Gulfport Energy Corp.,
8.000%, 5/17/2026(a)
200,250
785,000
Leviathan Bond Ltd., 6.750%, 6/30/2030(a)
721,479
505,000
Matador Resources Co., 5.875%, 9/15/2026
487,389
330,000
Matador Resources Co.,
6.875%, 4/15/2028(a)
324,008
115,000
MEG Energy Corp., 5.875%, 2/01/2029(a)
107,396
300,000
Murphy Oil Corp., 5.875%, 12/01/2042
242,541
690,000
Northern Oil & Gas, Inc.,
8.125%, 3/01/2028(a)
689,172
300,000
Northern Oil & Gas, Inc.,
8.750%, 6/15/2031(a)
302,250
565,000
Occidental Petroleum Corp.,
6.125%, 1/01/2031
556,889
280,000
Occidental Petroleum Corp.,
6.625%, 9/01/2030
283,710
110,000
Occidental Petroleum Corp.,
7.500%, 5/01/2031
116,737
50,000
Occidental Petroleum Corp.,
7.875%, 9/15/2031
54,105
205,000
Occidental Petroleum Corp.,
8.875%, 7/15/2030
230,484
220,000
Permian Resources Operating LLC,
5.875%, 7/01/2029(a)
206,951
260,000
Permian Resources Operating LLC,
6.875%, 4/01/2027(a)
256,288
255,000
Permian Resources Operating LLC,
7.000%, 1/15/2032(a)
251,484
180,000
Range Resources Corp., 8.250%, 1/15/2029
184,541
955,000
Sitio Royalties Operating
Partnership LP/Sitio Finance Corp.,
7.875%, 11/01/2028(a)
957,387
240,000
SM Energy Co., 5.625%, 6/01/2025
234,888
35,000
SM Energy Co., 6.625%, 1/15/2027
34,300
230,000
SM Energy Co., 6.750%, 9/15/2026
225,773
195,000
Southwestern Energy Co.,
5.375%, 2/01/2029
179,593
225,000
Strathcona Resources Ltd.,
6.875%, 8/01/2026(a)
212,062
 
13,322,567
Industrial Other — 0.2%
315,000
Brundage-Bone Concrete Pumping
Holdings, Inc., 6.000%, 2/01/2026(a)
299,631
150,000
Installed Building Products, Inc.,
5.750%, 2/01/2028(a)
138,066
 
437,697
Leisure — 3.6%
1,405,000
Carnival Corp., 5.750%, 3/01/2027(a)
1,271,840
25,000
Carnival Corp., 6.000%, 5/01/2029(a)
21,325
75,000
Carnival Corp., 7.000%, 8/15/2029(a)
73,952
40,000
Carnival Corp., 9.875%, 8/01/2027(a)
41,757
See accompanying notes to financial statements.
17 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Leisure — continued
$265,000
Cinemark USA, Inc., 5.250%, 7/15/2028(a)
$235,230
1,735,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
1,601,827
20,000
NCL Corp. Ltd., 5.875%, 3/15/2026
18,465
165,000
NCL Finance Ltd., 6.125%, 3/15/2028(a)
145,612
425,000
Royal Caribbean Cruises Ltd.,
3.700%, 3/15/2028
359,609
780,000
Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026(a)
715,175
1,495,000
Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028(a)
1,370,903
265,000
SeaWorld Parks & Entertainment, Inc.,
5.250%, 8/15/2029(a)
232,776
335,000
Speedway Motorsports LLC/Speedway
Funding II, Inc., 4.875%, 11/01/2027(a)
304,012
355,000
Viking Cruises Ltd., 5.875%, 9/15/2027(a)
324,008
150,000
Viking Cruises Ltd., 7.000%, 2/15/2029(a)
138,000
550,000
Viking Ocean Cruises Ship VII Ltd.,
5.625%, 2/15/2029(a)
497,750
295,000
VOC Escrow Ltd., 5.000%, 2/15/2028(a)
268,305
 
7,620,546
Lodging — 1.8%
145,000
Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032(a)
116,898
845,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc.,
4.875%, 7/01/2031(a)
688,862
725,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc.,
5.000%, 6/01/2029(a)
628,898
1,875,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
1,571,063
725,000
Travel & Leisure Co.,
4.500%, 12/01/2029(a)
608,094
205,000
Travel & Leisure Co.,
4.625%, 3/01/2030(a)
172,512
5,000
Travel & Leisure Co., 6.000%, 4/01/2027
4,757
120,000
Travel & Leisure Co.,
6.625%, 7/31/2026(a)
116,760
 
3,907,844
Media Entertainment — 1.3%
555,000
Diamond Sports Group LLC/Diamond
Sports Finance Co.,
5.375%, 8/15/2026(a)(f)
11,100
310,000
Diamond Sports Group LLC/Diamond
Sports Finance Co.,
6.625%, 8/15/2027(a)(f)
6,200
1,455,000
iHeartCommunications, Inc.,
4.750%, 1/15/2028(a)
1,112,314
475,000
iHeartCommunications, Inc.,
5.250%, 8/15/2027(a)
376,446
570,000
iHeartCommunications, Inc.,
6.375%, 5/01/2026
491,160
Principal
Amount
Description
Value (†)
Media Entertainment — continued
$150,000
Playtika Holding Corp.,
4.250%, 3/15/2029(a)
$125,250
640,000
Stagwell Global LLC,
5.625%, 8/15/2029(a)
517,075
145,000
Warnermedia Holdings, Inc.,
4.279%, 3/15/2032
123,079
 
2,762,624
Metals & Mining — 3.2%
270,000
ATI, Inc., 4.875%, 10/01/2029
237,528
325,000
ATI, Inc., 5.875%, 12/01/2027
307,937
390,000
ATI, Inc., 7.250%, 8/15/2030
387,075
350,000
Commercial Metals Co.,
4.125%, 1/15/2030
304,696
2,405,000
First Quantum Minerals Ltd.,
6.875%, 3/01/2026(a)
2,334,499
410,000
First Quantum Minerals Ltd.,
6.875%, 10/15/2027(a)
393,345
795,000
GrafTech Finance, Inc.,
4.625%, 12/15/2028(a)
614,769
320,000
GrafTech Global Enterprises, Inc.,
9.875%, 12/15/2028(a)
303,517
235,000
Mineral Resources Ltd.,
8.000%, 11/01/2027(a)
230,594
475,000
Mineral Resources Ltd.,
8.125%, 5/01/2027(a)
468,578
470,000
Mineral Resources Ltd.,
9.250%, 10/01/2028(a)
474,700
785,000
Novelis Corp., 4.750%, 1/30/2030(a)
679,378
76,000
U.S. Steel Corp., 6.875%, 3/01/2029
74,712
90,000
Volcan Cia Minera SAA,
4.375%, 2/11/2026(a)
51,371
 
6,862,699
Midstream — 4.9%
225,000
Antero Midstream Partners LP/Antero
Midstream Finance Corp.,
5.375%, 6/15/2029(a)
206,007
285,000
Antero Midstream Partners LP/Antero
Midstream Finance Corp.,
7.875%, 5/15/2026(a)
287,029
545,000
Blue Racer Midstream LLC/Blue Racer
Finance Corp., 7.625%, 12/15/2025(a)
547,033
185,000
Buckeye Partners LP, 5.600%, 10/15/2044
131,633
130,000
Buckeye Partners LP, 5.850%, 11/15/2043
94,899
260,000
CQP Holdco LP/BIP-V Chinook
Holdco LLC, 5.500%, 6/15/2031(a)
230,451
275,000
Crestwood Midstream
Partners LP/Crestwood Midstream Finance
Corp., 6.000%, 2/01/2029(a)
265,458
1,130,000
Energy Transfer LP, Series A, 3 mo. USD
LIBOR + 4.028%, 9.654%(b)(d)
1,056,301
360,000
EnLink Midstream LLC,
6.500%, 9/01/2030(a)
349,261
70,000
EnLink Midstream Partners LP,
5.050%, 4/01/2045
52,566
See accompanying notes to financial statements.
| 18

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Midstream — continued
$255,000
EnLink Midstream Partners LP,
5.450%, 6/01/2047
$199,239
360,000
EnLink Midstream Partners LP,
5.600%, 4/01/2044
298,800
105,000
Enterprise Products Operating LLC,
Series E, (fixed rate to 8/16/2027, variable
rate thereafter), 5.250%, 8/16/2077
92,398
155,000
EQM Midstream Partners LP,
4.125%, 12/01/2026
143,476
167,000
EQM Midstream Partners LP,
6.000%, 7/01/2025(a)
164,407
470,000
EQM Midstream Partners LP,
6.500%, 7/01/2027(a)
458,944
95,000
EQM Midstream Partners LP,
6.500%, 7/15/2048
83,544
575,000
EQM Midstream Partners LP,
7.500%, 6/01/2027(a)
576,145
135,000
EQM Midstream Partners LP,
7.500%, 6/01/2030(a)
135,573
100,000
EQM Midstream Partners LP, Series 10Y,
5.500%, 7/15/2028
93,847
275,000
Ferrellgas LP/Ferrellgas Finance Corp.,
5.375%, 4/01/2026(a)
257,756
775,000
Hess Midstream Operations LP,
4.250%, 2/15/2030(a)
653,510
335,000
Hess Midstream Operations LP,
5.125%, 6/15/2028(a)
308,138
420,000
Hess Midstream Operations LP,
5.625%, 2/15/2026(a)
405,825
215,000
Holly Energy Partners LP/Holly Energy
Finance Corp., 5.000%, 2/01/2028(a)
197,809
245,000
Holly Energy Partners LP/Holly Energy
Finance Corp., 6.375%, 4/15/2027(a)
240,536
475,000
Kinetik Holdings LP, 5.875%, 6/15/2030(a)
445,313
265,000
Suburban Propane Partners LP/Suburban
Energy Finance Corp.,
5.000%, 6/01/2031(a)
221,203
220,000
Sunoco LP/Sunoco Finance Corp.,
4.500%, 5/15/2029
193,089
1,035,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
803,600
600,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(a)
492,373
80,000
Western Midstream Operating LP,
4.500%, 3/01/2028
74,433
275,000
Western Midstream Operating LP,
4.750%, 8/15/2028
257,196
190,000
Western Midstream Operating LP,
5.250%, 2/01/2050
148,017
270,000
Western Midstream Operating LP,
5.300%, 3/01/2048
210,746
20,000
Western Midstream Operating LP,
6.150%, 4/01/2033
19,288
 
10,395,843
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — 1.7%
$94,621
CG-CCRE Commercial Mortgage Trust,
Series 2014-FL2, Class COL1, 1 mo. USD
SOFR + 3.614%,
8.947%, 11/15/2031(a)(b)
$79,269
331,175
CG-CCRE Commercial Mortgage Trust,
Series 2014-FL2, Class COL2, 1 mo. USD
SOFR + 4.614%,
9.947%, 11/15/2031(a)(b)
246,047
590,000
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class D,
5.105%, 5/10/2047(a)(c)
363,500
405,000
Commercial Mortgage Trust,
Series 2012-CR3, Class B,
3.922%, 10/15/2045(a)
323,595
795,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class E,
4.373%, 9/15/2037(a)
423,907
110,000
GS Mortgage Securities Trust,
Series 2011-GC5, Class C,
5.299%, 8/10/2044(a)(c)
77,002
935,000
GS Mortgage Securities Trust,
Series 2011-GC5, Class D,
5.299%, 8/10/2044(a)(c)
276,234
100,000
GS Mortgage Securities Trust,
Series 2013-GC13, Class C,
3.965%, 7/10/2046(a)(c)
70,000
170,000
GS Mortgage Securities Trust,
Series 2014-GC22, Class D,
4.842%, 6/10/2047(a)(c)
76,958
465,000
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3, Class C,
5.360%, 2/15/2046(a)(c)
390,774
275,000
Morgan Stanley Capital I Trust,
Series 2011-C2, Class E,
5.385%, 6/15/2044(a)(c)
192,135
295,000
MSBAM Commercial Mortgage Securities
Trust, Series 2012-CKSV, Class C,
4.305%, 10/15/2030(a)(c)
181,721
97,150
Starwood Retail Property Trust,
Series 2014-STAR, Class A, PRIME +
0.000%, 8.500%, 11/15/2027(a)(b)
69,462
320,000
Starwood Retail Property Trust,
Series 2014-STAR, Class D, PRIME +
0.000%, 8.500%, 11/15/2027(a)(b)(g)(j)
68,512
350,000
Starwood Retail Property Trust,
Series 2014-STAR, Class E, PRIME +
0.000%, 8.500%, 11/15/2027(a)(b)(g)(j)
17,500
325,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class C,
4.458%, 8/15/2050
120,352
145,000
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class C,
4.256%, 11/15/2059(c)
98,802
See accompanying notes to financial statements.
19 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$158,612
WFRBS Commercial Mortgage Trust,
Series 2011-C3, Class D,
6.050%, 3/15/2044(a)(c)
$45,298
205,000
WFRBS Commercial Mortgage Trust,
Series 2011-C4, Class E,
4.993%, 6/15/2044(a)(c)
141,064
530,000
WFRBS Commercial Mortgage Trust,
Series 2012-C10, Class C,
4.484%, 12/15/2045(c)
363,047
 
3,625,179
Oil Field Services — 1.7%
280,000
Diamond Foreign Asset Co./Diamond
Finance LLC, 8.500%, 10/01/2030(a)
280,039
115,000
Oceaneering International, Inc.,
6.000%, 2/01/2028(a)
108,212
180,000
Precision Drilling Corp.,
6.875%, 1/15/2029(a)
170,496
30,000
Precision Drilling Corp.,
7.125%, 1/15/2026(a)
29,707
220,000
Seadrill Finance Ltd., 8.375%, 8/01/2030(a)
223,986
240,000
Solaris Midstream Holdings LLC,
7.625%, 4/01/2026(a)
231,611
275,000
Transocean Aquila Ltd.,
8.000%, 9/30/2028(a)
275,000
1,282,500
Transocean Poseidon Ltd.,
6.875%, 2/01/2027(a)
1,262,699
245,000
Transocean Titan Financing Ltd.,
8.375%, 2/01/2028(a)
249,287
415,000
Transocean, Inc., 7.500%, 1/15/2026(a)
405,588
395,000
Weatherford International Ltd.,
8.625%, 4/30/2030(a)
398,024
 
3,634,649
Other REITs — 0.3%
100,000
Service Properties Trust, 3.950%, 1/15/2028
77,895
380,000
Service Properties Trust,
4.750%, 10/01/2026
325,890
330,000
Service Properties Trust, 7.500%, 9/15/2025
324,204
 
727,989
Packaging — 0.4%
259,274
ARD Finance SA, 7.250% PIK or 6.500%
Cash, 6/30/2027(a)(e)
195,607
170,000
Graham Packaging Co., Inc.,
7.125%, 8/15/2028(a)
142,418
300,000
LABL, Inc., 5.875%, 11/01/2028(a)
269,316
215,000
Sealed Air Corp./Sealed Air Corp. U.S.,
6.125%, 2/01/2028(a)
208,232
 
815,573
Pharmaceuticals — 3.7%
1,945,000
Bausch Health Cos., Inc.,
4.875%, 6/01/2028(a)
1,106,095
915,000
Bausch Health Cos., Inc.,
5.250%, 1/30/2030(a)
343,493
Principal
Amount
Description
Value (†)
Pharmaceuticals — continued
$285,000
Bausch Health Cos., Inc.,
6.125%, 2/01/2027(a)
$177,259
385,000
Cheplapharm Arzneimittel GmbH,
5.500%, 1/15/2028(a)
350,616
280,000
Grifols SA, 4.750%, 10/15/2028(a)
238,731
1,035,000
Organon & Co./Organon Foreign Debt
Co-Issuer BV, 5.125%, 4/30/2031(a)
829,400
485,000
Perrigo Finance Unlimited Co.,
4.650%, 6/15/2030
413,455
230,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
203,958
1,400,000
Teva Pharmaceutical Finance Netherlands
III BV, 3.150%, 10/01/2026
1,247,778
3,200,000
Teva Pharmaceutical Finance Netherlands
III BV, 4.100%, 10/01/2046
2,003,090
545,000
Teva Pharmaceutical Finance Netherlands
III BV, 5.125%, 5/09/2029
492,680
220,000
Teva Pharmaceutical Finance Netherlands
III BV, 7.875%, 9/15/2029
222,874
200,000
Teva Pharmaceutical Finance Netherlands
III BV, 8.125%, 9/15/2031
206,910
 
7,836,339
Property & Casualty Insurance — 1.4%
270,000
Acrisure LLC/Acrisure Finance, Inc.,
4.250%, 2/15/2029(a)
226,883
95,000
Acrisure LLC/Acrisure Finance, Inc.,
4.250%, 2/15/2029
79,829
400,000
Acrisure LLC/Acrisure Finance, Inc.,
6.000%, 8/01/2029(a)
336,138
25,000
Alliant Holdings Intermediate LLC/Alliant
Holdings Co-Issuer, 4.250%, 10/15/2027(a)
22,383
440,000
AmWINS Group, Inc.,
4.875%, 6/30/2029(a)
385,541
339,426
Ardonagh Midco 2 PLC, 12.750% PIK or
11.500% Cash, 1/15/2027(a)(e)
331,595
255,000
AssuredPartners, Inc.,
5.625%, 1/15/2029(a)
220,760
275,000
BroadStreet Partners, Inc.,
5.875%, 4/15/2029(a)
242,638
650,000
HUB International Ltd.,
7.250%, 6/15/2030(a)
648,810
705,000
Liberty Mutual Group, Inc.,
4.300%, 2/01/2061(a)
417,078
 
2,911,655
Refining — 0.5%
590,000
CVR Energy, Inc., 5.250%, 2/15/2025(a)
575,563
340,000
Parkland Corp., 4.500%, 10/01/2029(a)
291,150
215,000
PBF Holding Co. LLC/PBF Finance Corp.,
7.875%, 9/15/2030(a)
214,263
 
1,080,976
Restaurants — 1.5%
85,000
1011778 BC ULC/New Red Finance, Inc.,
3.500%, 2/15/2029
72,765
See accompanying notes to financial statements.
| 20

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Restaurants — continued
$55,000
1011778 BC ULC/New Red Finance, Inc.,
3.500%, 2/15/2029(a)
$47,083
1,635,000
1011778 BC ULC/New Red Finance, Inc.,
3.875%, 1/15/2028(a)
1,466,661
230,000
Bloomin' Brands, Inc./OSI Restaurant
Partners LLC, 5.125%, 4/15/2029(a)
201,547
820,000
KFC Holding Co./Pizza Hut
Holdings LLC/Taco Bell of America LLC,
4.750%, 6/01/2027(a)
779,000
575,000
Papa John's International, Inc.,
3.875%, 9/15/2029(a)
474,628
140,000
Yum! Brands, Inc., 3.625%, 3/15/2031
115,244
 
3,156,928
Retailers — 1.7%
306,000
Asbury Automotive Group, Inc.,
4.500%, 3/01/2028
273,935
715,000
Asbury Automotive Group, Inc.,
4.625%, 11/15/2029(a)
614,099
99,000
Asbury Automotive Group, Inc.,
4.750%, 3/01/2030
84,607
145,000
Bath & Body Works, Inc.,
5.250%, 2/01/2028
134,191
90,000
Bath & Body Works, Inc.,
6.625%, 10/01/2030(a)
84,376
545,000
Bath & Body Works, Inc.,
6.875%, 11/01/2035
486,730
45,000
Crocs, Inc., 4.125%, 8/15/2031(a)
34,816
480,000
Dillard's, Inc., 7.000%, 12/01/2028
474,840
130,000
Ken Garff Automotive LLC,
4.875%, 9/15/2028(a)
111,019
120,000
Lithia Motors, Inc., 4.375%, 1/15/2031(a)
99,278
200,000
Michaels Cos., Inc., 7.875%, 5/01/2029(a)
130,569
275,000
NMG Holding Co., Inc./Neiman Marcus
Group LLC, 7.125%, 4/01/2026(a)
257,980
120,000
Nordstrom, Inc., 4.250%, 8/01/2031
87,027
525,000
Sonic Automotive, Inc.,
4.625%, 11/15/2029(a)
435,201
345,000
Sonic Automotive, Inc.,
4.875%, 11/15/2031(a)
274,684
30,000
Victoria's Secret & Co.,
4.625%, 7/15/2029(a)
21,743
 
3,605,095
Supermarkets — 0.3%
25,000
Albertsons Cos., Inc./Safeway, Inc./New
Albertsons LP/Albertsons LLC,
3.250%, 3/15/2026(a)
23,157
635,000
Albertsons Cos., Inc./Safeway, Inc./New
Albertsons LP/Albertsons LLC,
4.625%, 1/15/2027(a)
599,578
 
622,735
Technology — 5.9%
575,000
Broadcom, Inc., 4.300%, 11/15/2032
501,653
515,000
CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029
439,135
Principal
Amount
Description
Value (†)
Technology — continued
$80,000
CDW LLC/CDW Finance Corp.,
3.276%, 12/01/2028
$69,022
20,000
CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028
18,230
555,000
Cloud Software Group, Inc.,
6.500%, 3/31/2029(a)
490,804
2,205,000
CommScope Technologies LLC,
5.000%, 3/15/2027(a)
1,251,448
50,000
CommScope, Inc., 4.750%, 9/01/2029(a)
36,777
160,000
Dun & Bradstreet Corp.,
5.000%, 12/15/2029(a)
137,942
540,000
Elastic NV, 4.125%, 7/15/2029(a)
459,894
140,000
Everi Holdings, Inc., 5.000%, 7/15/2029(a)
120,496
360,000
Gartner, Inc., 3.750%, 10/01/2030(a)
302,113
575,000
GoTo Group, Inc., 5.500%, 9/01/2027(a)
319,529
756,000
GTCR W-2 Merger Sub LLC,
7.500%, 1/15/2031(a)
757,058
480,000
Iron Mountain, Inc., 4.500%, 2/15/2031(a)
394,783
740,000
Iron Mountain, Inc., 4.875%, 9/15/2029(a)
648,569
225,000
Iron Mountain, Inc., 5.250%, 7/15/2030(a)
196,570
75,000
Iron Mountain, Inc., 5.250%, 7/15/2030
65,523
990,000
Micron Technology, Inc.,
6.750%, 11/01/2029
1,005,885
730,000
NCR Atleos Escrow Corp.,
9.500%, 4/01/2029(a)
706,056
470,000
NCR Corp., 5.000%, 10/01/2028(a)
420,696
330,000
NCR Corp., 5.125%, 4/15/2029(a)
290,749
25,000
NCR Corp., 5.250%, 10/01/2030(a)
21,545
440,000
Neptune Bidco U.S., Inc.,
9.290%, 4/15/2029(a)
398,337
850,000
Newfold Digital Holdings Group, Inc.,
6.000%, 2/15/2029(a)
641,767
455,000
Open Text Corp., 6.900%, 12/01/2027(a)
456,036
25,000
Open Text Holdings, Inc.,
4.125%, 2/15/2030(a)
20,915
150,000
Paysafe Finance PLC/Paysafe Holdings
U.S. Corp., 4.000%, 6/15/2029(a)
125,882
85,000
Paysafe Finance PLC/Paysafe Holdings
U.S. Corp., 4.000%, 6/15/2029
71,333
130,000
Presidio Holdings, Inc.,
4.875%, 2/01/2027(a)
120,180
130,000
Presidio Holdings, Inc.,
8.250%, 2/01/2028(a)
124,241
135,000
Sabre Global, Inc., 11.250%, 12/15/2027(a)
123,876
175,000
Seagate HDD Cayman, 4.091%, 6/01/2029
150,906
100,000
Seagate HDD Cayman, 4.875%, 6/01/2027
94,447
375,000
Seagate HDD Cayman,
8.250%, 12/15/2029(a)
385,124
970,000
Sensata Technologies, Inc.,
3.750%, 2/15/2031(a)
785,045
80,000
Sensata Technologies, Inc.,
4.375%, 2/15/2030(a)
69,080
100,000
Western Digital Corp., 3.100%, 2/01/2032
73,641
130,000
Western Digital Corp., 4.750%, 2/15/2026
123,870
222,000
Ziff Davis, Inc., 4.625%, 10/15/2030(a)
187,956
 
12,607,113
See accompanying notes to financial statements.
21 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Transportation Services — 0.6%
$1,320,000
Rand Parent LLC, 8.500%, 2/15/2030(a)
$1,220,802
Wireless — 1.5%
445,000
Altice France Holding SA,
10.500%, 5/15/2027(a)
277,863
1,285,000
Altice France SA, 5.125%, 1/15/2029(a)
913,668
200,000
Altice France SA, 8.125%, 2/01/2027(a)
177,359
315,000
IHS Holding Ltd., 5.625%, 11/29/2026(a)
259,188
300,000
IHS Holding Ltd., 6.250%, 11/29/2028(a)
227,514
225,000
IHS Netherlands Holdco BV,
8.000%, 9/18/2027
188,433
1,150,000
SoftBank Group Corp., 4.625%, 7/06/2028
1,003,111
100,000
Vodafone Group PLC, (fixed rate to
12/04/2050, variable rate thereafter),
5.125%, 6/04/2081
67,849
 
3,114,985
Wirelines — 1.7%
220,000
Cincinnati Bell Telephone Co. LLC,
6.300%, 12/01/2028
182,301
825,000
Frontier Communications Holdings LLC,
5.000%, 5/01/2028(a)
704,404
690,000
Frontier Communications Holdings LLC,
5.875%, 10/15/2027(a)
627,533
225,000
Frontier Communications Holdings LLC,
8.750%, 5/15/2030(a)
213,632
455,000
Iliad Holding SASU,
6.500%, 10/15/2026(a)
427,478
450,000
Level 3 Financing, Inc.,
3.625%, 1/15/2029(a)
252,000
155,000
Level 3 Financing, Inc.,
4.250%, 7/01/2028(a)
96,570
310,000
Lumen Technologies, Inc.,
4.000%, 2/15/2027(a)
204,120
100,000
Telecom Italia Capital SA,
6.000%, 9/30/2034
83,378
330,000
Telecom Italia Capital SA,
6.375%, 11/15/2033
286,134
265,000
Telecom Italia Capital SA,
7.200%, 7/18/2036
235,793
485,000
Uniti Group LP/Uniti Group Finance,
Inc./CSL Capital LLC,
4.750%, 4/15/2028(a)
396,042
 
3,709,385
Total Non-Convertible Bonds

(Identified Cost $207,628,323)
180,800,487
Convertible Bonds — 4.2%
Airlines — 0.4%
865,000
Southwest Airlines Co., 1.250%, 5/01/2025
858,512
Cable Satellite — 1.5%
4,830,000
DISH Network Corp., 3.375%, 8/15/2026
2,902,830
340,000
DISH Network Corp., Zero Coupon,
0.000%–33.748%, 12/15/2025(h)
229,055
 
3,131,885
Principal
Amount
Description
Value (†)
Consumer Cyclical Services — 0.0%
$55,000
Zillow Group, Inc., 1.375%, 9/01/2026
$65,533
Consumer Products — 0.1%
380,000
Beauty Health Co., 1.250%, 10/01/2026(a)
295,450
Gaming — 0.1%
115,000
Penn Entertainment, Inc.,
2.750%, 5/15/2026
139,576
Healthcare — 1.0%
565,000
Envista Holdings Corp.,
1.750%, 8/15/2028(a)
520,365
225,000
Lantheus Holdings, Inc.,
2.625%, 12/15/2027(a)
260,865
1,655,000
Teladoc Health, Inc., 1.250%, 6/01/2027
1,318,869
 
2,100,099
Leisure — 0.1%
365,000
NCL Corp. Ltd., 1.125%, 2/15/2027
302,738
Pharmaceuticals — 0.8%
1,330,000
BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
1,317,498
495,000
Livongo Health, Inc., 0.875%, 6/01/2025
452,083
 
1,769,581
Technology — 0.2%
355,000
Unity Software, Inc., Zero Coupon,
7.197%–7.662%, 11/15/2026(h)
280,982
65,000
Wolfspeed, Inc., 0.250%, 2/15/2028
43,810
135,000
Wolfspeed, Inc., 1.875%, 12/01/2029(a)
87,818
 
412,610
Total Convertible Bonds

(Identified Cost $12,108,869)
9,075,984
Total Bonds and Notes

(Identified Cost $219,737,192)
189,876,471
Senior Loans — 2.0%
Chemicals — 0.2%
366,000
Chemours Co., 2023 USD Term Loan B,
1 mo. USD SOFR + 3.500%,
8.816%, 8/18/2028(b)(k)
361,425
Electric — 0.1%
132,668
Talen Energy Supply LLC, 2023 Term Loan
B, 3 mo. USD SOFR + 4.500%,
9.877%, 5/17/2030(b)(k)
133,083
Healthcare — 0.1%
335,000
Star Parent, Inc., 2023 Term Loan B,
9/19/2030(l)
327,138
Leisure — 0.4%
298,281
Carnival Corp., 2021 Incremental Term
Loan B, 1 mo. USD SOFR + 3.250%,
8.681%, 10/18/2028(b)(m)
296,417
See accompanying notes to financial statements.
| 22

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
Principal
Amount
Description
Value (†)
Leisure — continued
$390,964
Carnival Corp., 2021 Incremental Term
Loan B, 10/18/2028(l)
$388,520
39,839
Carnival Corp., 2023 Term Loan B,
8/08/2027(l)
39,690
247,198
Carnival Corp., 2023 Term Loan B, 1 mo.
USD SOFR + 3.000%,
8.327%, 8/08/2027(b)(m)
246,271
 
970,898
Media Entertainment — 0.5%
1,027,425
MH Sub I LLC, 2023 Term Loan, 1 mo.
USD SOFR + 4.250%,
9.566%, 5/03/2028(b)(k)
992,585
Property & Casualty Insurance — 0.2%
75,000
AssuredPartners, Inc., 2023 Term Loan B4,
2/12/2027(l)
74,953
256,704
USI, Inc., 2022 Incremental Term Loan,
3 mo. USD SOFR + 3.750%,
9.140%, 11/22/2029(b)(k)
256,311
37,575
USI, Inc., 2023 Acquisition Term Loan,
9/27/2030(l)
37,465
25,050
USI, Inc., 2023 Refi Term Loan,
9/27/2030(l)
24,966
 
393,695
Restaurants — 0.1%
316,576
1011778 BC Unlimited Liability Co., 2023
Term Loan B5, 1 mo. USD SOFR +
2.250%, 7.566%, 9/23/2030(n)
315,192
Technology — 0.4%
418,816
Gen Digital, Inc., 2022 Term Loan B, 1 mo.
USD SOFR + 2.000%,
7.416%, 9/12/2029(b)(k)
417,140
477,362
Neptune Bidco U.S., Inc., 2022 USD Term
Loan B, 3 mo. USD SOFR + 5.000%,
10.399%, 4/11/2029(b)(k)
428,633
 
845,773
Total Senior Loans

(Identified Cost $4,351,499)
4,339,789
Collateralized Loan Obligations — 1.4%
250,000
Battalion CLO XVI Ltd., Series 2019-16A,
Class ER, 3 mo. USD SOFR + 6.862%,
12.188%, 12/19/2032(a)(b)
212,132
670,000
Clover CLO LLC, Series 2021-2A, Class E,
3 mo. USD SOFR + 6.762%,
12.088%, 7/20/2034(a)(b)
657,196
665,000
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class ER, 3 mo. USD
SOFR + 6.512%,
11.838%, 7/02/2035(a)(b)
654,915
Principal
Amount
Description
Value (†)
$340,000
Palmer Square CLO Ltd., Series 2021-3A,
Class E, 3 mo. USD SOFR + 6.412%,
11.720%, 1/15/2035(a)(b)
$326,880
530,000
Palmer Square CLO Ltd., Series 2021-4A,
Class E, 3 mo. USD SOFR + 6.312%,
11.620%, 10/15/2034(a)(b)
503,074
275,000
PPM CLO 5 Ltd., Series 2021-5A, Class E,
3 mo. USD SOFR + 6.762%,
12.072%, 10/18/2034(a)(b)
247,431
320,000
Whetstone Park CLO Ltd., Series 2021-1A,
Class E, 3 mo. USD SOFR + 6.412%,
11.738%, 1/20/2035(a)(b)
297,564
Total Collateralized Loan Obligations

(Identified Cost $3,050,000)
2,899,192
 
Shares
 
 
Common Stocks— 0.6%
Biotechnology — 0.2%
2,125
AbbVie, Inc.
316,752
Energy Equipment & Services — 0.0%
11,343
McDermott International Ltd.(g)
2,836
Media — 0.1%
68,328
Altice USA, Inc., Class A(g)
223,433
Oil, Gas & Consumable Fuels — 0.3%
2,801
Battalion Oil Corp.(g)
17,310
5,003
Canadian Natural Resources Ltd.
323,544
2,021
Diamondback Energy, Inc.
313,013
 
653,867
Professional Services — 0.0%
265
Clarivate PLC(g)
1,778
Total Common Stocks

(Identified Cost $2,491,047)
1,198,666
Preferred Stocks — 0.2%
Convertible Preferred Stock — 0.2%
Technology — 0.2%
15,312
Clarivate PLC, Series A, 5.250%
(Identified Cost $954,658)
447,570
Warrants — 0.0%
22,710
McDermott International Ltd., Tranche A,
Expiration on 5/1/2024, (g)(j)
—
25,233
McDermott International Ltd., Tranche B,
Expiration on 5/1/2024, (g)(j)
—
Total Warrants

(Identified Cost $35,226)
—
See accompanying notes to financial statements.
23 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles High Income Opportunities Fund (continued)
 
Principal
Amount
Description
Value (†)
Short-Term Investments — 6.8%
$4,772,891
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$4,773,886 on 10/02/2023  collateralized by
$5,467,400 U.S. Treasury Note, 0.750%
due 8/31/2026 valued at $4,868,399
including accrued interest (Note 2 of Notes
to Financial Statements)
$4,772,891
9,835,000
U.S. Treasury Bills,
5.170%–5.210%, 10/17/2023(o)(p)
9,813,394
Total Short-Term Investments

(Identified Cost $14,585,279)
14,586,285
Total Investments — 100.0%

(Identified Cost $245,204,901)
213,347,973
Other assets less liabilities — (0.0)%
(25,773
)
Net Assets — 100.0%
$213,322,200
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
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, 2023, the value
of Rule 144A holdings amounted to $143,165,976 or 67.1% of
net assets.
(b)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(c)
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, 2023 is disclosed.
(d)
Perpetual bond with no specified maturity date.
(e)
Payment-in-kind security for which the issuer, at each interest
payment date, may make interest payments in cash and/or
additional principal. For the period ended September 30, 2023,
interest payments were made in cash.
(f)
The issuer is in default with respect to interest and/or principal
payments. Income is not being accrued.
(g)
Non-income producing security.
(h)
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.
(i)
Payment–in–kind security for which the issuer, at each interest
payment date, may make interest payments in cash and/or
additional principal. For the period ended September 30, 2023,
interest payments were made in principal.
(j)
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements.
(k)
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 0.50%, to which the spread is added.
(l)
Position is unsettled. Contract rate was not determined at
September 30, 2023 and does not take effect until settlement date.
Maturity date is not finalized until settlement date.
(m)
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 0.75%, to which the spread is added.
(n)
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 0.00%, to which the spread is added.
(o)
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.
(p)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
 
ABS
Asset-Backed Securities
GMTN
Global Medium Term Note
LIBOR
London Interbank Offered Rate
PIK
Payment-in-Kind
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
Industry Summary at September 30, 2023 
Cable Satellite
10.6
%
Technology
6.7
Independent Energy
6.2
Finance Companies
4.9
Midstream
4.9
Pharmaceuticals
4.5
Leisure
4.1
Healthcare
3.5
Metals & Mining
3.2
Automotive
2.9
Consumer Cyclical Services
2.8
Building Materials
2.4
Gaming
2.4
Other Investments, less than 2% each
32.7
Collateralized Loan Obligations
1.4
Short-Term Investments
6.8
Total Investments
100.0
Other assets less liabilities
(0.0
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 24

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 90.2% of Net Assets
ABS Car Loan — 6.1%
$3,185,000
AmeriCredit Automobile Receivables
Trust, Series 2022-2, Class B,
4.810%, 4/18/2028
$3,107,811
3,860,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2020-2A, Class A,
2.020%, 2/20/2027(a)
3,522,426
4,318,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2023-5A, Class A,
5.780%, 4/20/2028(a)
4,273,205
1,255,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2023-8A, Class A,
6.020%, 2/20/2030(a)
1,249,758
800,000
Carmax Auto Owner Trust, Series 2023-3,
Class C, 5.610%, 2/15/2029
788,526
500,000
CarMax Auto Owner Trust,
Series 2020-3, Class C,
1.690%, 4/15/2026
481,956
1,485,000
CarMax Auto Owner Trust,
Series 2021-1, Class C,
0.940%, 12/15/2026
1,367,764
3,030,000
CarMax Auto Owner Trust,
Series 2022-3, Class D,
6.200%, 1/16/2029
2,954,850
1,101,959
Carvana Auto Receivables Trust,
Series 2021-N1, Class C,
1.300%, 1/10/2028
1,032,267
436,393
Carvana Auto Receivables Trust,
Series 2021-N2, Class C,
1.070%, 3/10/2028
403,879
4,455,000
Carvana Auto Receivables Trust,
Series 2021-P1, Class C,
1.530%, 3/10/2027
3,969,401
5,410,000
Carvana Auto Receivables Trust,
Series 2021-P2, Class C,
1.600%, 6/10/2027
4,752,310
820,000
Carvana Auto Receivables Trust,
Series 2022-P3, Class A4,
4.850%, 6/12/2028
790,402
2,610,000
Carvana Auto Receivables Trust,
Series 2023-P1, Class A3,
5.980%, 12/10/2027(a)
2,595,117
1,605,000
Carvana Auto Receivables Trust,
Series 2023-P4, Class A4,
6.160%, 9/10/2029(a)
1,606,804
3,025,000
Citizens Auto Receivables Trust,
Series 2023-1, Class A4,
5.780%, 10/15/2030(a)
3,020,459
4,270,000
Credit Acceptance Auto Loan Trust,
Series 2023-1A, Class B,
7.020%, 5/16/2033(a)
4,262,209
380,000
Credit Acceptance Auto Loan Trust,
Series 2023-3A, Class A,
6.390%, 8/15/2033(a)
379,041
570,000
DT Auto Owner Trust, Series 2021-2A,
Class C, 1.100%, 2/16/2027(a)
557,387
Principal
Amount
Description
Value (†)
ABS Car Loan — continued
$745,000
DT Auto Owner Trust, Series 2023-2A,
Class B, 5.410%, 2/15/2029(a)
$734,026
73,135
Flagship Credit Auto Trust, Series 2020-2,
Class C, 3.800%, 4/15/2026(a)
73,050
885,000
Flagship Credit Auto Trust, Series 2021-2,
Class B, 0.930%, 6/15/2027(a)
864,754
1,740,000
Ford Credit Auto Owner Trust,
Series 2018-1, Class B,
3.340%, 7/15/2031(a)
1,673,285
330,000
Ford Credit Floorplan Master Owner
Trust A, Series 2023-1, Class C,
5.750%, 5/15/2028(a)
320,265
2,375,000
Foursight Capital Automobile Receivables
Trust, Series 2021-2, Class C,
1.570%, 7/15/2027(a)
2,240,261
1,750,000
Foursight Capital Automobile Receivables
Trust, Series 2023-2, Class B,
6.110%, 11/15/2028(a)
1,742,282
2,440,000
GECU Auto Receivables Trust,
Series 2023-1A, Class A4,
5.790%, 10/15/2029(a)
2,411,462
1,220,000
GM Financial Automobile Leasing Trust,
Series 2023-2, Class B,
5.540%, 5/20/2027
1,204,584
1,725,000
GM Financial Consumer Automobile
Receivables Trust, Series 2020-3, Class D,
1.910%, 9/16/2027
1,666,566
565,000
Hertz Vehicle Financing III LLC,
Series 2023-3A, Class A,
5.940%, 2/25/2028(a)
564,476
1,776,000
Hyundai Auto Lease Securitization Trust,
Series 2021-B, Class B,
0.620%, 3/16/2026(a)
1,754,256
800,000
Hyundai Auto Receivables Trust,
Series 2020-B, Class C,
1.600%, 12/15/2026
769,930
4,230,000
Hyundai Auto Receivables Trust,
Series 2021-C, Class C,
1.660%, 6/15/2028
3,808,162
891,261
JPMorgan Chase Bank N.A,
Series 2021-1, Class B,
0.875%, 9/25/2028(a)
869,543
3,485,000
OneMain Direct Auto Receivables Trust,
Series 2022-1A, Class A2, 30 day USD
SOFR Average + 1.600%,
6.913%, 3/14/2029(a)(b)
3,499,030
1,339,191
Santander Bank Auto Credit-Linked
Notes, Series 2022-A, Class B,
5.281%, 5/15/2032(a)
1,322,897
673,947
Santander Bank Auto Credit-Linked
Notes, Series 2022-B, Class B,
5.721%, 8/16/2032(a)
668,875
176,319
Santander Consumer Auto Receivables
Trust, Series 2020-AA, Class C,
3.710%, 2/17/2026(a)
175,946
See accompanying notes to financial statements.
25 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
ABS Car Loan — continued
$125,000
SFS Auto Receivables Securitization Trust,
Series 2023-1A, Class C,
5.970%, 2/20/2031(a)
$123,113
530,000
World Omni Auto Receivables Trust,
Series 2020-B, Class B,
1.220%, 3/16/2026
513,648
1,980,000
World Omni Auto Receivables Trust,
Series 2021-A, Class C,
0.890%, 8/16/2027
1,838,493
2,610,000
World Omni Auto Receivables Trust,
Series 2021-B, Class C,
1.290%, 12/15/2027
2,339,432
455,000
World Omni Automobile
Lease Securitization Trust, Series 2023-A,
Class A4, 5.040%, 7/17/2028
449,168
1,490,000
World Omni Select Auto Trust,
Series 2020-A, Class C,
1.250%, 10/15/2026
1,429,797
 
74,172,873
ABS Credit Card — 0.6%
3,700,000
Mercury Financial Credit Card Master
Trust, Series 2023-1A, Class A,
8.040%, 9/20/2027(a)
3,713,292
595,000
Mission Lane Credit Card Master Trust,
Series 2023-A, Class A,
7.230%, 7/17/2028(a)
590,351
3,065,000
World Financial Network Credit Card
Master Trust, Series 2023-A,
5.020%, 3/15/2030
3,013,719
 
7,317,362
ABS Home Equity — 6.4%
1,448,850
Citigroup Mortgage Loan Trust, Inc.,
Series 2019-RP1, Class M2,
4.000%, 1/25/2066(a)(c)
1,215,809
390,054
CoreVest American Finance Ltd.,
Series 2019-2, Class A,
2.835%, 6/15/2052(a)
381,202
1,379,374
CoreVest American Finance Ltd.,
Series 2019-3, Class A,
2.705%, 10/15/2052(a)
1,312,323
11,324
Countrywide Asset-Backed Certificates,
Series 2004-S1, Class A3,
5.115%, 2/25/2035(c)
11,138
1,551,065
Credit Suisse Mortgage Trust,
Series 2021-RPL1, Class A1,
1.668%, 9/27/2060(a)(c)
1,427,708
910,000
FirstKey Homes Trust, Series 2020-SFR1,
Class B, 1.740%, 8/17/2037(a)
833,950
3,730,000
FirstKey Homes Trust, Series 2021-SFR1,
Class B, 1.788%, 8/17/2038(a)
3,276,720
2,495,000
FirstKey Homes Trust, Series 2021-SFR1,
Class C, 1.888%, 8/17/2038(a)
2,191,408
5,430,000
FirstKey Homes Trust, Series 2021-SFR2,
Class C, 1.707%, 9/17/2038(a)
4,708,953
Principal
Amount
Description
Value (†)
ABS Home Equity — continued
$754,912
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A,
4.278%, 5/19/2034(c)
$717,321
1,428,100
Home Partners of America Trust,
Series 2021-1, Class C,
2.078%, 9/17/2041(a)
1,163,792
5,974,724
Invitation Homes Trust,
Series 2018-SFR4, Class B, 1 mo. USD
SOFR + 1.364%,
6.698%, 1/17/2038(a)(b)
5,952,329
9,894,715
JP Morgan Mortgage Trust, Series 2017-4,
Class AX1, IO,
0.363%, 11/25/2048(a)(c)(d)(e)
115,811
4,515,000
Legacy Mortgage Asset Trust,
Series 2020-RPL1, Class A2,
3.250%, 9/25/2059(a)(c)
3,721,760
539,187
Mill City Mortgage Loan Trust,
Series 2018-2, Class M1,
3.750%, 5/25/2058(a)(c)
502,429
591,760
Mill City Mortgage Loan Trust,
Series 2018-3, Class A1,
3.500%, 8/25/2058(a)(c)
566,547
1,646,966
Mill City Mortgage Loan Trust,
Series 2019-1, Class M1,
3.500%, 10/25/2069(a)(c)
1,439,313
923,105
Mill City Mortgage Loan Trust,
Series 2021-NMR1, Class A1,
1.125%, 11/25/2060(a)(c)
828,914
4,006,000
Mill City Mortgage Trust, Series 2015-2,
Class B1, 3.704%, 9/25/2057(a)(c)
3,640,933
16,231
Morgan Stanley Mortgage Loan Trust,
Series 2005-3AR, Class 5A,
5.406%, 7/25/2035(c)(e)
13,750
185,598
OBX Trust, Series 2018-EXP1, Class 1A3,
4.000%, 4/25/2048(a)(c)
165,052
84,189
OBX Trust, Series 2019-EXP1, Class 1A3,
4.000%, 1/25/2059(a)(c)
80,116
1,120,000
Progress Residential Trust,
Series 2020-SFR3, Class B,
1.495%, 10/17/2027(a)
1,017,918
2,670,000
Progress Residential Trust,
Series 2021-SFR2, Class C,
1.997%, 4/19/2038(a)
2,379,612
1,892,000
Progress Residential Trust,
Series 2021-SFR3, Class B,
1.888%, 5/17/2026(a)
1,681,770
3,450,000
Progress Residential Trust,
Series 2021-SFR4, Class C,
2.039%, 5/17/2038(a)
3,070,778
830,000
Progress Residential Trust,
Series 2021-SFR5, Class C,
1.808%, 7/17/2038(a)
728,626
1,715,000
Progress Residential Trust,
Series 2021-SFR6, Class C,
1.855%, 7/17/2038(a)
1,499,623
See accompanying notes to financial statements.
| 26

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
ABS Home Equity — continued
$5,450,000
Progress Residential Trust,
Series 2021-SFR9, Class C,
2.362%, 11/17/2040(a)
$4,459,533
880
Residential Accredit Loans, Inc. Trust,
Series 2006-QS13, Class 2A1,
5.750%, 10/25/2023(e)
485
9,798
Residential Accredit Loans, Inc. Trust,
Series 2006-QS18, Class 3A3,
5.750%, 10/25/2023(e)
5,174
112
Residential Accredit Loans, Inc. Trust,
Series 2006-QS6, Class 2A1,
6.000%, 10/25/2023(e)
—
5,570,000
Towd Point Mortgage Trust,
Series 2017-3, Class A2,
3.000%, 7/25/2057(a)(c)
5,205,219
4,036,054
Towd Point Mortgage Trust,
Series 2017-4, Class A2,
3.000%, 6/25/2057(a)(c)
3,529,545
684,362
Towd Point Mortgage Trust,
Series 2018-3, Class A1,
3.750%, 5/25/2058(a)(c)
647,663
2,325,000
Towd Point Mortgage Trust,
Series 2018-4, Class A2,
3.000%, 6/25/2058(a)(c)
1,779,841
5,530,000
Towd Point Mortgage Trust,
Series 2019-2, Class A2,
3.750%, 12/25/2058(a)(c)
4,658,242
5,555,000
Towd Point Mortgage Trust,
Series 2020-2, Class A2B,
3.000%, 4/25/2060(a)(c)
4,179,515
5,000,000
Towd Point Mortgage Trust,
Series 2020-4, Class A2,
2.500%, 10/25/2060(a)
3,726,142
1,275,000
Tricon American Homes,
Series 2020-SFR1, Class C,
2.249%, 7/17/2038(a)
1,144,134
1,683,511
Tricon American Homes Trust,
Series 2019-SFR1, Class A,
2.750%, 3/17/2038(a)
1,563,159
1,305,000
Tricon American Homes Trust,
Series 2020-SFR2, Class B,
1.832%, 11/17/2039(a)
1,102,310
704,968
WaMu Mortgage Pass-Through
Certificates Trust, Series 2007-HY2,
Class 2A2, 4.572%, 11/25/2036(c)
627,942
 
77,274,509
ABS Other — 6.2%
1,398,184
Accelerated Assets LLC, Series 2018-1,
Class A, 3.870%, 12/02/2033(a)
1,353,409
2,340,219
BHG Securitization Trust, Series 2021-A,
Class A, 1.420%, 11/17/2033(a)
2,182,369
610,202
BHG Securitization Trust, Series 2022-C,
Class A, 5.320%, 10/17/2035(a)
605,986
1,825,000
BHG Securitization Trust, Series 2023-A,
Class B, 6.350%, 4/17/2036(a)
1,774,577
Principal
Amount
Description
Value (†)
ABS Other — continued
$2,914,923
Blackbird Capital Aircraft
Lease Securitization Ltd., Series 2016-1A,
Class A, 4.213%, 12/16/2041(a)(c)
$2,683,682
2,786,300
CAL Funding IV Ltd., Series 2020-1A,
Class A, 2.220%, 9/25/2045(a)
2,425,281
2,516,026
Castlelake Aircraft Structured Trust,
Series 2019-1A, Class A,
3.967%, 4/15/2039(a)
2,237,538
235,542
Castlelake Aircraft Structured Trust,
Series 2021-1A, Class A,
3.474%, 1/15/2046(a)
214,425
550,000
Chesapeake Funding II LLC,
Series 2020-1A, Class C,
2.140%, 8/15/2032(a)
536,516
2,225,000
Chesapeake Funding II LLC,
Series 2021-1A, Class B,
0.990%, 4/15/2033(a)
2,104,073
2,041,550
CLI Funding VI LLC, Series 2020-3A,
Class A, 2.070%, 10/18/2045(a)
1,772,060
2,645,005
CLI Funding VIII LLC, Series 2023-1A,
Class A, 6.310%, 6/18/2048(a)
2,617,476
720,000
Daimler Trucks Retail Trust,
Series 2023-1, Class A4,
5.930%, 12/16/2030
719,322
565,000
Dell Equipment Finance Trust,
Series 2023-2, Class A3,
5.650%, 1/22/2029(a)
564,960
1,815,000
Elara HGV Timeshare Issuer LLC,
Series 2023-A, Class A,
6.160%, 2/25/2038(a)
1,812,107
1,635,000
Enterprise Fleet Financing LLC,
Series 2023-2, Class A3,
5.500%, 4/22/2030(a)
1,610,622
435,000
Foundation Finance Trust,
Series 2023-2A, Class B,
6.970%, 6/15/2049(a)
434,883
812,000
GreatAmerica Leasing Receivables
Funding LLC, Series 2021-1, Class B,
0.720%, 12/15/2026(a)
757,840
2,325,000
Hertz Vehicle Financing III LP,
Series 2021-2A, Class A,
1.680%, 12/27/2027(a)
2,035,842
2,261,121
Hilton Grand Vacations Trust,
Series 2020-AA, Class A,
2.740%, 2/25/2039(a)
2,110,969
688,091
Hilton Grand Vacations Trust,
Series 2023-1A, Class A,
5.720%, 1/25/2038(a)
691,037
556,437
Horizon Aircraft Finance II Ltd.,
Series 2019-1, Class A,
3.721%, 7/15/2039(a)
479,839
3,176,221
HPEFS Equipment Trust, Series 2021-1A,
Class C, 0.750%, 3/20/2031(a)
3,160,189
1,455,000
HPEFS Equipment Trust, Series 2021-2A,
Class C, 0.880%, 9/20/2028(a)
1,425,168
See accompanying notes to financial statements.
27 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
ABS Other — continued
$1,456,974
Kestrel Aircraft Funding Ltd.,
Series 2018-1A, Class A,
4.250%, 12/15/2038(a)
$1,259,510
970,802
MACH 1 Cayman Ltd., Series 2019-1,
Class A, 3.474%, 10/15/2039(a)
817,629
687,971
MAPS Ltd., Series 2018-1A, Class A,
4.212%, 5/15/2043(a)
619,031
693,543
MAPS Trust, Series 2021-1A, Class A,
2.521%, 6/15/2046(a)
594,385
333,794
Marlette Funding Trust, Series 2021-2A,
Class B, 1.060%, 9/15/2031(a)
331,029
639,281
Merlin Aviation Holdings DAC,
Series 2016-1, Class A,
4.500%, 12/15/2032(a)(c)
557,095
305,000
MMAF Equipment Finance LLC,
Series 2020-A, Class A5,
1.560%, 10/09/2042(a)
262,724
344,173
MVW LLC, Series 2021-1WA, Class B,
1.440%, 1/22/2041(a)
310,474
945,000
Navient Private Education Refi Loan
Trust, Series 2020-HA, Class B,
2.780%, 1/15/2069(a)
746,922
5,400,000
OneMain Financial Issuance Trust,
Series 2021-1A, Class B,
1.950%, 6/16/2036(a)
4,485,436
570,315
Orange Lake Timeshare Trust,
Series 2018-A, Class A,
3.100%, 11/08/2030(a)
548,425
1,635,000
SCF Equipment Leasing LLC,
Series 2021-1A, Class B,
1.370%, 8/20/2029(a)
1,524,504
329,750
Sierra Timeshare Receivables
Funding LLC, Series 2020-2A, Class B,
2.320%, 7/20/2037(a)
311,574
264,587
Sierra Timeshare Receivables
Funding LLC, Series 2021-1A, Class B,
1.340%, 11/20/2037(a)
239,401
816,740
Sierra Timeshare Receivables
Funding LLC, Series 2023-1A, Class A,
5.200%, 1/20/2040(a)
799,894
2,754,377
Slam Ltd., Series 2021-1A, Class A,
2.434%, 6/15/2046(a)
2,341,287
210,000
SLM Private Credit Student Loan Trust,
Series 2003-C, Class A3, 28 day Auction
Rate Security, 8.943%, 9/15/2032(b)
209,879
135,000
SLM Private Credit Student Loan Trust,
Series 2003-C, Class A4, 28 day Auction
Rate Security, 8.939%, 9/15/2032(b)
131,966
5,485,000
SMB Private Education Loan Trust,
Series 2019-B, Class B,
3.560%, 6/15/2043(a)
4,736,034
2,100,565
SpringCastle America Funding LLC,
Series 2020-AA, Class A,
1.970%, 9/25/2037(a)
1,902,938
Principal
Amount
Description
Value (†)
ABS Other — continued
$1,290,723
Sunnova Helios XII Issuer LLC,
Series 2023-B, Class A,
5.300%, 8/22/2050(a)
$1,228,660
460,840
Textainer Marine Containers VII Ltd.,
Series 2020-1A, Class A,
2.730%, 8/21/2045(a)
418,589
1,607,667
TIF Funding II LLC, Series 2020-1A,
Class A, 2.090%, 8/20/2045(a)
1,395,480
4,182,099
Triumph Rail Holdings LLC,
Series 2021-2, Class A,
2.150%, 6/19/2051(a)
3,629,857
3,347,711
WAVE Trust, Series 2017-1A, Class A,
3.844%, 11/15/2042(a)
2,691,124
731,464
Welk Resorts LLC, Series 2019-AA,
Class A, 2.800%, 6/15/2038(a)
696,237
2,340,000
Wheels Fleet Lease Funding 1 LLC,
Series 2023-1A, Class A,
5.800%, 4/18/2038(a)
2,321,919
2,978,905
Willis Engine Structured Trust V,
Series 2020-A, Class A,
3.228%, 3/15/2045(a)
2,523,490
2,240,566
Willis Engine Structured Trust VI,
Series 2021-A, Class A,
3.104%, 5/15/2046(a)
1,796,730
 
75,742,393
ABS Student Loan — 2.3%
492,944
College Avenue Student Loans LLC,
Series 2021-A, Class A2,
1.600%, 7/25/2051(a)
423,485
662,174
Commonbond Student Loan Trust,
Series 2020-AGS, Class A,
1.980%, 8/25/2050(a)
576,417
1,255,675
Education Funding Trust, Series 2020-A,
Class A, 2.790%, 7/25/2041(a)
1,151,095
681,655
EDvestinU Private Education Loan Issue
No. 3 LLC, Series 2021-A, Class A,
1.800%, 11/25/2045(a)
589,954
935,064
Massachusetts Educational Financing
Authority, Series 2018-A, Class A,
3.850%, 5/25/2033
858,247
1,057,710
Navient Private Education Refi Loan
Trust, Series 2019-CA, Class A2,
3.130%, 2/15/2068(a)
1,001,908
850,426
Navient Private Education Refi Loan
Trust, Series 2019-GA, Class A,
2.400%, 10/15/2068(a)
791,363
724,096
Navient Private Education Refi Loan
Trust, Series 2020-BA, Class A2,
2.120%, 1/15/2069(a)
656,581
1,262,833
Navient Private Education Refi Loan
Trust, Series 2020-DA, Class A,
1.690%, 5/15/2069(a)
1,137,413
1,565,000
Navient Private Education Refi Loan
Trust, Series 2020-DA, Class B,
3.330%, 5/15/2069(a)
1,230,961
See accompanying notes to financial statements.
| 28

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
ABS Student Loan — continued
$1,256,468
Navient Private Education Refi Loan
Trust, Series 2020-GA, Class A,
1.170%, 9/16/2069(a)
$1,106,696
1,428,263
Navient Private Education Refi Loan
Trust, Series 2021-A, Class A,
0.840%, 5/15/2069(a)
1,235,466
1,101,014
Navient Private Education Refi Loan
Trust, Series 2021-BA, Class A,
0.940%, 7/15/2069(a)
952,712
1,676,053
Navient Private Education Refi Loan
Trust, Series 2023-A, Class A,
5.510%, 10/15/2071(a)
1,641,280
1,630,000
Nelnet Student Loan Trust,
Series 2021-A, Class B1,
2.850%, 4/20/2062(a)
1,301,292
415,000
SLM Private Credit Student Loan Trust,
Series 2003-A, Class A3, 28 day Auction
Rate Security, 8.941%, 6/15/2032(b)
405,663
68,000
SLM Private Credit Student Loan Trust,
Series 2003-A, Class A4, 28 day Auction
Rate Security, 8.939%, 6/15/2032(b)
66,470
138,000
SLM Private Credit Student Loan Trust,
Series 2003-B, Class A3, 28 day Auction
Rate Security, 8.942%, 3/15/2033(b)
136,768
2,070,000
SLM Private Credit Student Loan Trust,
Series 2003-B, Class A4, 28 day Auction
Rate Security, 8.938%, 3/15/2033(b)
2,018,567
235,690
SMB Private Education Loan Trust,
Series 2016-C, Class A2A,
2.340%, 9/15/2034(a)
228,714
2,364,299
SMB Private Education Loan Trust,
Series 2018-A, Class A2B, 1 mo. USD
SOFR + 0.914%,
6.247%, 2/15/2036(a)(b)
2,344,685
1,134,275
SMB Private Education Loan Trust,
Series 2018-B, Class A2A,
3.600%, 1/15/2037(a)
1,084,631
3,235,724
SMB Private Education Loan Trust,
Series 2018-C, Class A2A,
3.630%, 11/15/2035(a)
3,099,425
713,264
SMB Private Education Loan Trust,
Series 2021-A, Class APT2,
1.070%, 1/15/2053(a)
609,785
370,826
SoFi Professional Loan Program LLC,
Series 2017-F, Class A2FX,
2.840%, 1/25/2041(a)
356,816
3,520,238
SoFi Professional Loan Program LLC,
Series 2020-A, Class A2FX,
2.540%, 5/15/2046(a)
3,222,170
 
28,228,564
Principal
Amount
Description
Value (†)
ABS Whole Business — 0.3%
$844,312
EWC Master Issuer LLC, Series 2022-1A,
Class A2, 5.500%, 3/15/2052(a)
$776,273
3,880,800
Planet Fitness Master Issuer LLC,
Series 2019-1A, Class A2,
3.858%, 12/05/2049(a)
3,260,174
 
4,036,447
Agency Commercial Mortgage-Backed
Securities — 13.2%
4,522,570
Federal Home Loan Mortgage Corp.,
3.450%, 5/01/2037
3,780,740
1,655,246
Federal Home Loan Mortgage Corp.,
3.700%, 5/01/2037
1,429,094
2,845,930
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K036, Class X1, IO,
1.123%, 10/25/2023(c)(d)(e)
145
31,115,456
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K038, Class X1, IO,
1.229%, 3/25/2024(c)(d)(e)
65,314
34,084,780
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K040, Class X1, IO,
0.787%, 9/25/2024(c)(d)(e)
158,563
66,683,632
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K047, Class X1, IO,
0.219%, 5/25/2025(c)(d)(e)
118,857
37,166,289
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K051, Class X1, IO,
0.632%, 9/25/2025(c)(d)(e)
295,998
15,847,413
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K052, Class X1, IO,
0.763%, 11/25/2025(c)(d)(e)
170,288
9,161,880
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K053, Class X1, IO,
1.010%, 12/25/2025(c)(d)(e)
143,949
15,847,898
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K054, Class X1, IO,
1.289%, 1/25/2026(c)(d)(e)
335,961
6,994,312
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K055, Class X1, IO,
1.473%, 3/25/2026(c)(d)(e)
195,900
26,320,522
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K057, Class X1, IO,
1.298%, 7/25/2026(c)(d)
661,082
See accompanying notes to financial statements.
29 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$8,148,474
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K058, Class X1, IO,
1.038%, 8/25/2026(c)(d)(e)
$172,061
24,319,804
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K059, Class X1, IO,
0.421%, 9/25/2026(c)(d)(e)
171,926
88,678,354
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K060, Class X1, IO,
0.186%, 10/25/2026(c)(d)(e)
193,414
18,318,331
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K103, Class X1, IO,
0.757%, 11/25/2029(c)(d)
575,489
17,488,482
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K105, Class X1, IO,
1.644%, 1/25/2030(c)(d)
1,299,779
11,566,913
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K107, Class X1, IO,
1.709%, 1/25/2030(c)(d)
903,711
13,727,252
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K108, Class X1, IO,
1.810%, 3/25/2030(c)(d)
1,158,717
14,504,227
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K117, Class X1, IO,
1.334%, 8/25/2030(c)(d)
920,522
254,663,788
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K138, Class X1, IO,
0.251%, 1/25/2032(c)(d)
2,823,967
32,673,759
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K141, Class X1, IO,
0.407%, 2/25/2032(c)(d)
703,237
79,192,716
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K142, Class X1, IO,
0.403%, 3/25/2032(c)(d)
1,650,535
35,905,414
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K143, Class X1, IO,
0.450%, 4/25/2055(c)(d)
875,539
46,026,698
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K144, Class X1, IO,
0.436%, 4/25/2032(c)(d)
1,103,960
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$19,778,820
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K145, Class X1, IO,
0.430%, 6/25/2055(c)(d)
$460,844
66,581,887
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K146, Class X1, IO,
0.352%, 6/25/2054(c)(d)
1,216,451
51,552,534
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K147, Class X1, IO,
0.488%, 6/25/2032(c)(d)
1,391,661
82,360,493
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K149, Class X1, IO,
0.403%, 8/25/2032(c)(d)
1,765,232
103,146,315
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-150, Class X1, IO,
0.446%, 9/25/2032(c)(d)
2,543,516
100,000,000
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-151, Class XAM,
IO, 0.330%, 11/25/2032(c)(d)
1,646,520
3,368,748
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-1513, Class X1, IO,
0.992%, 8/25/2034(c)(d)(e)
195,448
20,606,502
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-1514, Class X1, IO,
0.700%, 10/25/2034(c)(d)
883,772
52,149,787
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-1516, Class X1, IO,
1.629%, 5/25/2035(c)(d)
5,910,135
53,805,477
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-1517, Class X1, IO,
1.436%, 7/25/2035(c)(d)
5,437,958
14,179,537
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K152, Class X1, IO,
1.100%, 1/25/2031(c)(d)
700,573
95,874,630
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K-1521, Class X1, IO,
1.095%, 8/25/2036(c)(d)
7,657,833
123,147,948
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series K157, Class X1, IO,
0.156%, 8/25/2033(c)(d)
530,891
See accompanying notes to financial statements.
| 30

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$23,116,103
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series KS03, Class X, IO,
0.307%, 8/25/2025(c)(d)(e)
$81,555
30,134,034
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates, Series KW02, Class X1, IO,
0.416%, 12/25/2026(c)(d)(e)
95,226
24,000,000
Federal National Mortgage Association,
3.850%, 9/01/2037
20,245,065
5,792,129
Federal National Mortgage Association,
4.030%, 10/01/2033
5,270,090
1,665,000
Federal National Mortgage Association,
4.090%, 7/01/2034
1,489,870
23,123,806
Federal National Mortgage Association,
Series 2019-M17, Class X, IO,
0.417%, 8/25/2034(c)(d)
378,405
13,919,638
Federal National Mortgage Association,
Series 2020-M33, Class X, IO,
1.997%, 6/25/2028(c)(d)
753,338
16,225,120
Federal National Mortgage Association,
Series 2020-M37, Class X, IO,
1.117%, 4/25/2032(c)(d)
783,154
15,891,509
Federal National Mortgage Association,
Series 2020-M43, Class X1, IO,
2.026%, 8/25/2034(c)(d)
1,164,875
324,688,308
FREMF Mortgage Trust,
Series 2018-K156, Class X2A, IO,
0.100%, 7/25/2036(a)(d)
1,980,891
15,466,969
FRESB Mortgage Trust,
Series 2021-SB90, Class X1, IO,
0.747%, 6/25/2041(c)(d)
374,604
24,191,523
FRESB Mortgage Trust,
Series 2021-SB91, Class X1, IO,
0.681%, 8/25/2041(c)(d)
661,343
91,443,180
FRESB Mortgage Trust,
Series 2022-SB95, Class X1, IO,
0.103%, 11/25/2041(c)(d)
528,724
3,277,483
Government National Mortgage
Association, Series 2006-46, Class IO,
0.476%, 4/16/2046(c)(d)(e)
31,381
1,386,360
Government National Mortgage
Association, Series 2006-51, Class IO,
0.939%, 8/16/2046(c)(d)(e)
27,615
4,000,000
Government National Mortgage
Association, Series 2008-52, Class E,
6.041%, 8/16/2042(c)
3,737,605
379,288
Government National Mortgage
Association, Series 2008-80, Class E,
5.674%, 8/16/2042(c)
370,296
4,021,867
Government National Mortgage
Association, Series 2009-114, Class IO,
0.011%, 10/16/2049(c)(d)(e)
33
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$1,645,510
Government National Mortgage
Association, Series 2010-124, Class X, IO,
1.020%, 12/16/2052(c)(d)(e)
$26,398
231,608
Government National Mortgage
Association, Series 2010-49, Class IA, IO,
1.450%, 10/16/2052(c)(d)(e)
8,846
1,479,655
Government National Mortgage
Association, Series 2011-119, Class IO,
0.193%, 8/16/2051(c)(d)(e)
2,575
3,265,327
Government National Mortgage
Association, Series 2011-121, Class ZA,
6.500%, 8/16/2051
3,080,666
11,646
Government National Mortgage
Association, Series 2011-161, Class IO,
0.313%, 4/16/2045(c)(d)(e)
—
619,172
Government National Mortgage
Association, Series 2011-38, Class IO,
0.530%, 4/16/2053(c)(d)(e)
4,541
1
Government National Mortgage
Association, Series 2012-100, Class IC,
IO, 0.000%, 9/16/2050(c)(d)(e)
—
1
Government National Mortgage
Association, Series 2012-111, Class IC,
IO, 0.000%, 9/16/2050(c)(d)(e)
—
18,485,195
Government National Mortgage
Association, Series 2012-142, Class IO,
0.192%, 4/16/2054(c)(d)(e)
62,750
3,653,141
Government National Mortgage
Association, Series 2012-23, Class IO,
0.243%, 6/16/2053(c)(d)(e)
23,278
4,592,678
Government National Mortgage
Association, Series 2012-55, Class IO,
0.000%, 4/16/2052(c)(d)(e)
45
668,917
Government National Mortgage
Association, Series 2012-70, Class IO,
0.094%, 8/16/2052(c)(d)(e)
320
5,157,864
Government National Mortgage
Association, Series 2012-79, Class IO,
0.353%, 3/16/2053(c)(d)(e)
45,740
20,016,366
Government National Mortgage
Association, Series 2012-85, Class IO,
0.349%, 9/16/2052(c)(d)(e)
165,650
771,638
Government National Mortgage
Association, Series 2013-175, Class IO,
0.173%, 5/16/2055(c)(d)(e)
1,990
2,135,589
Government National Mortgage
Association, Series 2014-101, Class IO,
0.593%, 4/16/2056(c)(d)(e)
28,507
9,768,357
Government National Mortgage
Association, Series 2014-130, Class IB,
IO, 0.218%, 8/16/2054(c)(d)(e)
66,525
7,983,273
Government National Mortgage
Association, Series 2014-24, Class IX, IO,
0.123%, 1/16/2054(c)(d)(e)
30,517
See accompanying notes to financial statements.
31 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$5,237,055
Government National Mortgage
Association, Series 2014-70, Class IO,
0.453%, 3/16/2049(c)(d)(e)
$60,873
3,354,367
Government National Mortgage
Association, Series 2014-86, Class IO,
0.449%, 4/16/2056(c)(d)(e)
35,821
13,705,129
Government National Mortgage
Association, Series 2015-120, Class IO,
0.619%, 3/16/2057(c)(d)(e)
240,288
9,547,918
Government National Mortgage
Association, Series 2015-146, Class IB,
IO, 0.198%, 7/16/2055(c)(d)(e)
59,476
5,681,408
Government National Mortgage
Association, Series 2015-171, Class IO,
0.840%, 11/16/2055(c)(d)(e)
156,214
5,468,671
Government National Mortgage
Association, Series 2015-189, Class IG,
IO, 0.623%, 1/16/2057(c)(d)(e)
132,193
3,676,218
Government National Mortgage
Association, Series 2015-21, Class IO,
0.709%, 7/16/2056(c)(d)(e)
88,893
11,132,412
Government National Mortgage
Association, Series 2015-32, Class IO,
0.579%, 9/16/2049(c)(d)(e)
203,904
7,115,082
Government National Mortgage
Association, Series 2015-6, Class IO,
0.475%, 2/16/2051(c)(d)(e)
74,418
2,736,864
Government National Mortgage
Association, Series 2015-68, Class IO,
0.341%, 7/16/2057(c)(d)(e)
38,085
11,201,069
Government National Mortgage
Association, Series 2015-70, Class IO,
0.568%, 12/16/2049(c)(d)(e)
192,329
5,862,247
Government National Mortgage
Association, Series 2015-73, Class IO,
0.439%, 11/16/2055(c)(d)(e)
79,619
17,089,554
Government National Mortgage
Association, Series 2016-132, Class IO,
0.633%, 7/16/2056(c)(d)(e)
360,031
8,775,906
Government National Mortgage
Association, Series 2016-143, Class IO,
0.858%, 10/16/2056(d)(e)
377,583
23,876,281
Government National Mortgage
Association, Series 2017-168, Class IO,
0.577%, 12/16/2059(c)(d)
788,404
24,139,424
Government National Mortgage
Association, Series 2017-90, Class IO,
0.724%, 1/16/2059(c)(d)
920,267
4,799,669
Government National Mortgage
Association, Series 2018-133, Class IO,
1.114%, 6/16/2058(c)(d)
312,031
10,818,143
Government National Mortgage
Association, Series 2018-2, Class IO,
0.706%, 12/16/2059(c)(d)
444,024
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$32,974,277
Government National Mortgage
Association, Series 2018-82, Class IO,
0.483%, 5/16/2058(c)(d)
$1,008,271
19,302,314
Government National Mortgage
Association, Series 2018-96, Class IO,
0.461%, 8/16/2060(c)(d)
633,676
9,549,613
Government National Mortgage
Association, Series 2019-75, Class IO,
0.855%, 12/16/2060(c)(d)(e)
489,820
7,258,980
Government National Mortgage
Association, Series 2019-94, Class IO,
0.958%, 8/16/2061(c)(d)(e)
413,957
39,092,371
Government National Mortgage
Association, Series 2020-108, Class IO,
0.847%, 6/16/2062(c)(d)
2,205,091
19,178,123
Government National Mortgage
Association, Series 2020-128, Class IO,
0.914%, 10/16/2062(c)(d)
1,177,048
40,618,686
Government National Mortgage
Association, Series 2020-136, Class IO,
1.013%, 8/16/2062(c)(d)
2,829,087
37,445,312
Government National Mortgage
Association, Series 2020-172, Class IO,
1.150%, 9/16/2062(c)(d)
2,890,490
15,928,791
Government National Mortgage
Association, Series 2020-174, Class IO,
0.845%, 1/16/2063(c)(d)
941,223
36,668,327
Government National Mortgage
Association, Series 2020-179, Class IO,
1.009%, 9/16/2062(c)(d)
2,553,894
44,189,623
Government National Mortgage
Association, Series 2020-197, Class IO,
0.948%, 10/16/2062(c)(d)
2,785,192
34,699,145
Government National Mortgage
Association, Series 2020-26, Class IO,
0.705%, 10/15/2061(c)(d)
1,593,277
9,223,368
Government National Mortgage
Association, Series 2021-10, Class IO,
0.986%, 5/16/2063(c)(d)
635,730
41,437,193
Government National Mortgage
Association, Series 2021-106, Class IO,
0.859%, 4/16/2063(c)(d)
2,700,006
40,791,345
Government National Mortgage
Association, Series 2021-12, Class IO,
0.954%, 3/16/2063(c)(d)
2,660,615
44,984,065
Government National Mortgage
Association, Series 2021-128, Class IO,
1.002%, 6/16/2061(c)(d)
2,855,220
55,036,269
Government National Mortgage
Association, Series 2021-132, Class BI,
IO, 0.923%, 4/16/2063(c)(d)
3,596,240
52,874,894
Government National Mortgage
Association, Series 2021-133, Class IO,
0.880%, 7/16/2063(c)(d)
3,414,608
See accompanying notes to financial statements.
| 32

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed
Securities — continued
$54,488,540
Government National Mortgage
Association, Series 2021-144, Class IO,
0.825%, 4/16/2063(c)(d)
$3,138,594
11,238,099
Government National Mortgage
Association, Series 2021-145, Class IO,
0.771%, 7/16/2061(c)(d)
650,349
47,960,109
Government National Mortgage
Association, Series 2021-151, Class IO,
0.917%, 4/16/2063(c)(d)
3,297,162
50,937,642
Government National Mortgage
Association, Series 2021-163, Class IO,
0.801%, 3/16/2064(c)(d)
2,976,882
20,486,647
Government National Mortgage
Association, Series 2021-180, Class IO,
0.911%, 11/16/2063(c)(d)
1,452,360
56,812,248
Government National Mortgage
Association, Series 2021-186, Class IO,
0.765%, 5/16/2063(c)(d)
3,259,688
37,865,193
Government National Mortgage
Association, Series 2021-20, Class IO,
1.149%, 8/16/2062(c)(d)
2,880,594
34,510,643
Government National Mortgage
Association, Series 2021-33, Class IO,
0.841%, 10/16/2062(c)(d)
2,079,342
30,306,854
Government National Mortgage
Association, Series 2021-40, Class IO,
0.824%, 2/16/2063(c)(d)
1,932,698
46,035,481
Government National Mortgage
Association, Series 2021-52, Class IO,
0.719%, 4/16/2063(c)(d)
2,479,407
49,609,419
Government National Mortgage
Association, Series 2022-166, Class IO,
0.792%, 4/16/2065(c)(d)
3,177,215
28,211,778
Government National Mortgage
Association, Series 2022-17, Class IO,
0.802%, 6/16/2064(c)(d)
1,772,213
 
160,816,402
Collateralized Mortgage Obligations — 5.8%
1,570,795
Ajax Mortgage Loan Trust, Series 2019-D,
Class A1, 2.956%, 9/25/2065(a)(c)
1,435,391
933
Federal Home Loan Mortgage Corp.,
Series 1673, Class SE, REMIC,
8.390%, 2/15/2024(c)(e)
904
174,100
Federal Home Loan Mortgage Corp.,
Series 224, Class IO,
6.000%, 3/01/2033(d)(e)
25,727
54,091
Federal Home Loan Mortgage Corp.,
Series 2649, Class IM, IO, REMIC,
7.000%, 7/15/2033(d)(e)
9,368
4,371
Federal Home Loan Mortgage Corp.,
Series 2725, Class SC, REMIC,
0.936%, 11/15/2033(c)(e)
4,190
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$457,688
Federal Home Loan Mortgage Corp.,
Series 3013, Class AS, REMIC,
3.636%, 5/15/2035(c)(e)
$435,843
2,414,473
Federal Home Loan Mortgage Corp.,
Series 3149, Class LS, REMIC,
1.772%, 5/15/2036(c)(d)(e)
198,672
750,753
Federal Home Loan Mortgage Corp.,
Series 3229, Class BI, REMIC,
1.192%, 10/15/2036(c)(d)(e)
48,780
782,937
Federal Home Loan Mortgage Corp.,
Series 3416, Class BI, REMIC,
0.822%, 2/15/2038(c)(d)(e)
45,255
311,193
Federal Home Loan Mortgage Corp.,
Series 3417, Class VS, REMIC,
2.406%, 2/15/2038(c)(e)
289,265
292,516
Federal Home Loan Mortgage Corp.,
Series 3417, Class WS, REMIC,
3.582%, 2/15/2038(c)(e)
260,051
888,938
Federal Home Loan Mortgage Corp.,
Series 3561, Class W, IO, REMIC,
2.600%, 6/15/2048(c)(d)
787,915
374,636
Federal Home Loan Mortgage Corp.,
Series 3620, Class AT, REMIC,
3.841%, 12/15/2036(c)(d)
365,467
1,069,731
Federal Home Loan Mortgage Corp.,
Series 3747, Class CS, REMIC,
1.072%, 10/15/2040(c)(d)(e)
79,517
6,865
Federal Home Loan Mortgage Corp.,
Series 3792, Class DF, REMIC, 30 day
USD SOFR Average + 0.514%,
5.828%, 11/15/2040(b)(e)
6,656
183,907
Federal Home Loan Mortgage Corp.,
Series 3808, Class SH, REMIC,
0.000%, 2/15/2041(c)(e)
96,961
944,145
Federal Home Loan Mortgage Corp.,
Series 3922, Class SH, REMIC,
0.472%, 9/15/2041(c)(d)(e)
44,314
1,272,386
Federal Home Loan Mortgage Corp.,
Series 4041, Class ES, REMIC,
0.000%, 8/15/2040(c)
1,016,450
878,181
Federal Home Loan Mortgage Corp.,
Series 4097, Class US, REMIC,
0.722%, 8/15/2032(c)(d)(e)
33,967
4,587,867
Federal Home Loan Mortgage Corp.,
Series 4136, Class SG, REMIC,
0.722%, 11/15/2042(c)(d)(e)
369,985
2,819,878
Federal Home Loan Mortgage Corp.,
Series 4321, Class BS, REMIC,
0.000%, 6/15/2039(c)(d)(e)
149,678
1,135,526
Federal Home Loan Mortgage Corp.,
Series 4512, Class IE, IO, REMIC,
4.500%, 3/15/2044(d)(e)
209,308
3,397,913
Federal Home Loan Mortgage Corp.,
Series 4672, Class SP, REMIC,
0.672%, 4/15/2047(c)(d)(e)
245,322
See accompanying notes to financial statements.
33 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$1,304,715
Federal Home Loan Mortgage Corp.,
Series 4749, Class IO, REMIC,
4.000%, 12/15/2047(d)(e)
$218,033
3,123,336
Federal Home Loan Mortgage Corp.,
Series 5048, Class HI, IO, REMIC,
4.500%, 1/15/2042(d)
505,891
7,714,663
Federal Home Loan Mortgage Corp.,
Series 5065, Class HI, IO, REMIC,
4.883%, 4/15/2042(c)(d)
1,322,009
157,224
Federal Home Loan Mortgage Corp.,
Series 5065, Class EI, IO, REMIC,
5.405%, 11/25/2044(c)(d)
32,656
1,166,239
Federal Home Loan Mortgage Corp.,
Series 5078, Class MI, IO, REMIC,
4.000%, 9/25/2043(d)(e)
285,499
15,468,214
Federal Home Loan Mortgage Corp.,
Series 5094, Class IO, REMIC,
1.504%, 12/15/2048(c)(d)
1,157,046
315,152
Federal Home Loan Mortgage Corp.,
Series 5214, Class BI, IO, REMIC,
0.897%, 4/25/2052(c)(d)
12,588
125,000
Federal Home Loan Mortgage Corp.,
Series 5214, Class BY, REMIC,
3.000%, 4/25/2052
93,822
2,211
Federal National Mortgage Association,
Series 1996-45, Class SC, REMIC,
1.821%, 1/25/2024(c)(d)(e)
5
641,109
Federal National Mortgage Association,
Series 2005-22, Class DG, REMIC,
6.810%, 4/25/2035(c)(e)
597,650
958,594
Federal National Mortgage Association,
Series 2005-45, Class DA, REMIC,
4.512%, 6/25/2035(c)(e)
951,505
1,801,419
Federal National Mortgage Association,
Series 2005-62, Class GZ, REMIC,
5.750%, 7/25/2035
1,778,320
816,238
Federal National Mortgage Association,
Series 2006-46, Class SK, REMIC,
4.292%, 6/25/2036(c)(e)
809,752
33,051
Federal National Mortgage Association,
Series 2006-69, Class KI, REMIC,
1.871%, 8/25/2036(c)(d)(e)
2,759
223,429
Federal National Mortgage Association,
Series 2008-15, Class AS, REMIC,
5.853%, 8/25/2036(c)(e)
243,970
580,964
Federal National Mortgage Association,
Series 2008-86, Class LA, REMIC,
3.492%, 8/25/2038(c)
543,072
154,780
Federal National Mortgage Association,
Series 2008-87, Class LD, REMIC,
4.041%, 11/25/2038(c)(e)
143,407
632,725
Federal National Mortgage Association,
Series 2009-11, Class VP, REMIC,
2.423%, 3/25/2039(c)(e)
557,987
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$58,573
Federal National Mortgage Association,
Series 2010-75, Class MT, REMIC,
1.590%, 12/25/2039(c)(e)
$46,981
2,504,778
Federal National Mortgage Association,
Series 2010-80, Class PZ, REMIC,
5.000%, 7/25/2040
2,440,558
282,244
Federal National Mortgage Association,
Series 2011-100, Class SH, REMIC,
3.000%, 11/25/2040(c)(e)
219,407
2,277,775
Federal National Mortgage Association,
Series 2011-51, Class SM, REMIC,
0.421%, 6/25/2041(c)(d)(e)
138,497
1,273,816
Federal National Mortgage Association,
Series 2012-14, Class MS, REMIC,
1.071%, 3/25/2042(c)(d)(e)
99,158
931,489
Federal National Mortgage Association,
Series 2012-21, Class SB, REMIC,
0.521%, 3/25/2042(c)(d)(e)
43,100
2,967,389
Federal National Mortgage Association,
Series 2012-97, Class SB, REMIC,
0.571%, 9/25/2042(c)(d)(e)
215,752
396,352
Federal National Mortgage Association,
Series 2013-109, Class US, REMIC,
0.000%, 7/25/2043(c)(e)
261,478
1,445,255
Federal National Mortgage Association,
Series 2013-117, Class S, REMIC,
1.171%, 11/25/2043(c)(d)(e)
126,504
1,555,784
Federal National Mortgage Association,
Series 2013-34, Class PS, REMIC,
0.721%, 8/25/2042(c)(d)(e)
72,708
4,752,750
Federal National Mortgage Association,
Series 2013-66, Class LI, IO, REMIC,
7.000%, 7/25/2043(d)(e)
729,827
10,345,188
Federal National Mortgage Association,
Series 2014-15, Class SA, REMIC,
0.621%, 4/25/2044(c)(d)(e)
751,089
818,465
Federal National Mortgage Association,
Series 2014-28, Class SD, REMIC,
0.621%, 5/25/2044(c)(d)(e)
35,162
327,764
Federal National Mortgage Association,
Series 2015-55, Class KT, REMIC,
0.000%, 5/25/2041(c)(e)
279,479
7,056,082
Federal National Mortgage Association,
Series 2016-22, Class ST, REMIC,
0.671%, 4/25/2046(c)(d)(e)
357,974
1,238,832
Federal National Mortgage Association,
Series 2016-26, Class KL, REMIC,
0.000%, 11/25/2042(c)
747,993
7,704,239
Federal National Mortgage Association,
Series 2016-32, Class SA, REMIC,
0.671%, 10/25/2034(c)(d)
418,867
9,444,299
Federal National Mortgage Association,
Series 2016-60, Class ES, REMIC,
0.671%, 9/25/2046(c)(d)
499,511
See accompanying notes to financial statements.
| 34

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$6,227,806
Federal National Mortgage Association,
Series 2016-60, Class QS, REMIC,
0.671%, 9/25/2046(c)(d)
$311,982
3,880,085
Federal National Mortgage Association,
Series 2016-82, Class SC, REMIC,
0.671%, 11/25/2046(c)(d)(e)
211,609
3,995,427
Federal National Mortgage Association,
Series 2016-82, Class SG, REMIC,
0.671%, 11/25/2046(c)(d)(e)
206,420
4,592,898
Federal National Mortgage Association,
Series 2016-93, Class SL, REMIC,
1.221%, 12/25/2046(c)(d)(e)
275,386
6,369,373
Federal National Mortgage Association,
Series 2017-26, Class SA, REMIC,
0.721%, 4/25/2047(c)(d)(e)
322,046
37,515,754
Federal National Mortgage Association,
Series 2017-57, Class SD, REMIC,
0.000%, 8/25/2047(c)(d)(e)
414,530
10,800,847
Federal National Mortgage Association,
Series 2020-37, Class QJ, IO, REMIC,
4.500%, 6/25/2050(d)
2,091,970
3,153,176
Federal National Mortgage Association,
Series 2020-72, Class LI, IO, REMIC,
5.000%, 12/25/2040(d)
671,252
13,391,102
Federal National Mortgage Association,
Series 2021-24, Class IO, REMIC,
1.136%, 3/25/2059(c)(d)
843,926
234,287
Federal National Mortgage Association,
Series 334, Class 11, IO,
6.000%, 3/25/2033(d)(e)
33,699
62,271
Federal National Mortgage Association,
Series 334, Class 19, IO,
7.000%, 2/25/2033(c)(d)(e)
11,405
250,597
Federal National Mortgage Association,
Series 339, Class 13, IO,
6.000%, 6/25/2033(d)(e)
39,458
159,097
Federal National Mortgage Association,
Series 339, Class 7, IO,
5.500%, 11/25/2033(d)(e)
24,272
570,048
Federal National Mortgage Association,
Series 356, Class 13, IO,
5.500%, 6/25/2035(d)(e)
107,646
239,310
Federal National Mortgage Association,
Series 359, Class 17, IO,
6.000%, 7/25/2035(d)(e)
45,220
131,700
Federal National Mortgage Association,
Series 374, Class 18, IO,
6.500%, 8/25/2036(d)(e)
25,411
289,191
Federal National Mortgage Association,
Series 374, Class 20, IO,
6.500%, 9/25/2036(d)(e)
57,170
129,201
Federal National Mortgage Association,
Series 374, Class 22, IO,
7.000%, 10/25/2036(d)(e)
27,622
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$139,487
Federal National Mortgage Association,
Series 374, Class 23, IO,
7.000%, 10/25/2036(d)(e)
$25,405
194,713
Federal National Mortgage Association,
Series 374, Class 24, IO,
7.000%, 6/25/2037(d)(e)
42,416
178,266
Federal National Mortgage Association,
Series 381, Class 12, IO,
6.000%, 11/25/2035(d)(e)
30,988
83,796
Federal National Mortgage Association,
Series 381, Class 13, IO,
6.000%, 11/25/2035(c)(d)(e)
14,749
110,442
Federal National Mortgage Association,
Series 381, Class 18, IO,
7.000%, 3/25/2037(d)(e)
20,802
65,220
Federal National Mortgage Association,
Series 381, Class 19, IO,
7.000%, 3/25/2037(c)(d)(e)
12,977
19,943
Federal National Mortgage Association,
Series 383, Class 32, IO,
6.000%, 1/25/2038(d)(e)
3,822
614,313
Federal National Mortgage Association,
Series 384, Class 20, IO,
5.500%, 5/25/2036(c)(d)(e)
109,421
211,673
Federal National Mortgage Association,
Series 384, Class 31, IO,
6.500%, 7/25/2037(d)(e)
43,087
127,745
Federal National Mortgage Association,
Series 384, Class 36, IO,
7.000%, 7/25/2037(c)(d)(e)
16,019
145,603
Federal National Mortgage Association,
Series 384, Class 4, IO,
4.500%, 9/25/2036(c)(d)(e)
9,687
92,323
Federal National Mortgage Association,
Series 385, Class 23, IO,
7.000%, 7/25/2037(d)(e)
18,270
15,806
Federal National Mortgage Association,
Series 386, Class 25,IO,
7.000%, 3/25/2038(c)(d)(e)
3,613
359,531
Government National Mortgage
Association, Series 2009-65, Class NZ,
5.500%, 8/20/2039(e)
350,701
125,969
Government National Mortgage
Association, Series 2010-H02, Class FA,
1 mo. USD SOFR + 0.794%,
6.123%, 2/20/2060(b)(e)
124,082
61,191
Government National Mortgage
Association, Series 2010-H22, Class FE,
1 mo. USD SOFR + 0.464%,
5.782%, 5/20/2059(b)(e)
60,152
83,214
Government National Mortgage
Association, Series 2010-H24, Class FA,
1 mo. USD SOFR + 0.464%,
5.782%, 10/20/2060(b)
82,674
See accompanying notes to financial statements.
35 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$98,790
Government National Mortgage
Association, Series 2011-H05, Class FB,
1 mo. USD SOFR + 0.614%,
5.932%, 12/20/2060(b)
$98,302
40,781
Government National Mortgage
Association, Series 2011-H11, Class FA,
1 mo. USD SOFR + 0.614%,
5.932%, 3/20/2061(b)
40,598
43,665
Government National Mortgage
Association, Series 2011-H21, Class FA,
1 mo. USD SOFR + 0.714%,
6.032%, 10/20/2061(b)(e)
43,092
113,298
Government National Mortgage
Association, Series 2011-H21, Class FT,
1 yr. CMT + 0.700%,
6.063%, 10/20/2061(b)(e)
111,952
4,080
Government National Mortgage
Association, Series 2012-H11, Class BA,
2.000%, 5/20/2062(e)
3,578
284,341
Government National Mortgage
Association, Series 2012-H22, Class HD,
5.310%, 1/20/2061(c)(e)
277,774
2,857
Government National Mortgage
Association, Series 2012-H24, Class FE,
1 mo. USD SOFR + 0.714%,
4.600%, 10/20/2062(b)(e)
2,760
102,349
Government National Mortgage
Association, Series 2012-H24, Class HI,
IO, 1.192%, 10/20/2062(c)(d)(e)
6,426
125,497
Government National Mortgage
Association, Series 2013-H01, Class JA,
1 mo. USD SOFR + 0.434%,
5.752%, 1/20/2063(b)(e)
122,996
27,281
Government National Mortgage
Association, Series 2013-H11, Class JA,
3.500%, 4/20/2063(e)
25,646
1,233,712
Government National Mortgage
Association, Series 2013-H13, Class SI,
IO, 1.278%, 6/20/2063(c)(d)(e)
35,620
3,871,975
Government National Mortgage
Association, Series 2013-H16, Class AI,
IO, 1.491%, 7/20/2063(c)(d)(e)
72,257
1,760,336
Government National Mortgage
Association, Series 2013-H18, Class EI,
IO, 1.864%, 7/20/2063(c)(d)(e)
85,581
536,885
Government National Mortgage
Association, Series 2013-H18, Class JI,
IO, 1.214%, 8/20/2063(c)(d)(e)
8,340
103,640
Government National Mortgage
Association, Series 2013-H20, Class FA,
1 mo. USD SOFR + 0.714%,
6.032%, 8/20/2063(b)(e)
102,187
8,870,791
Government National Mortgage
Association, Series 2014-H24, Class HI,
IO, 0.999%, 9/20/2064(c)(d)(e)
166,860
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$2,917,573
Government National Mortgage
Association, Series 2015-152, Class PI,
IO, 4.000%, 10/20/2045(d)(e)
$468,772
16,160,893
Government National Mortgage
Association, Series 2015-H01, Class XZ,
4.534%, 10/20/2064(c)
15,921,639
299,507
Government National Mortgage
Association, Series 2015-H04, Class HA,
3.500%, 11/20/2064(c)(e)
288,279
3,555
Government National Mortgage
Association, Series 2015-H05, Class FA,
1 mo. USD SOFR + 0.414%,
4.741%, 4/20/2061(b)(e)
3,440
1,434,604
Government National Mortgage
Association, Series 2015-H10, Class JA,
2.250%, 4/20/2065
1,381,397
9,281
Government National Mortgage
Association, Series 2015-H13, Class FL,
1 mo. USD SOFR + 0.394%,
4.908%, 5/20/2063(b)(e)
8,388
10,593
Government National Mortgage
Association, Series 2015-H19, Class FA,
1 mo. USD SOFR + 0.314%,
4.927%, 4/20/2063(b)(e)
10,104
358,475
Government National Mortgage
Association, Series 2015-H28, Class JZ,
5.004%, 3/20/2065(c)(e)
347,181
1,813
Government National Mortgage
Association, Series 2015-H29, Class FA,
1 mo. USD SOFR + 0.814%,
4.629%, 10/20/2065(b)(e)
1,739
143,169
Government National Mortgage
Association, Series 2015-H29, Class HZ,
4.581%, 9/20/2065(c)(e)
131,016
2,834
Government National Mortgage
Association, Series 2015-H30, Class FA,
1 mo. USD SOFR + 0.794%,
4.810%, 8/20/2061(b)(e)
2,694
1,444,312
Government National Mortgage
Association, Series 2016-17, Class GT,
0.000%, 8/20/2045(c)
1,036,908
454,319
Government National Mortgage
Association, Series 2016-23, Class PA,
5.605%, 7/20/2037(c)(e)
437,891
9,232,037
Government National Mortgage
Association, Series 2016-H01, Class AI,
IO, 0.024%, 1/20/2066(c)(d)(e)
203,761
13,620,636
Government National Mortgage
Association, Series 2016-H09, Class JI,
IO, 0.039%, 4/20/2066(c)(d)(e)
377,267
90,648
Government National Mortgage
Association, Series 2016-H14, Class JZ,
4.424%, 8/20/2063(c)(e)
84,363
274,154
Government National Mortgage
Association, Series 2016-H19, Class CZ,
4.754%, 8/20/2066(c)(e)
267,410
See accompanying notes to financial statements.
| 36

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$36,896
Government National Mortgage
Association, Series 2016-H19, Class EZ,
5.172%, 6/20/2061(c)(e)
$34,425
4,327,738
Government National Mortgage
Association, Series 2017-128, Class IO,
0.979%, 12/16/2056(c)(d)(e)
197,993
4,666,452
Government National Mortgage
Association, Series 2017-26, Class IM,
IO, 6.500%, 2/20/2047(d)(e)
670,257
1,770,612
Government National Mortgage
Association, Series 2017-H05, Class AI,
IO, 0.054%, 1/20/2067(c)(d)(e)
71,881
7,489,932
Government National Mortgage
Association, Series 2018-110, Class IO,
0.604%, 1/16/2060(c)(d)(e)
323,216
11,877,084
Government National Mortgage
Association, Series 2018-129, Class IO,
0.618%, 7/16/2060(c)(d)
481,313
11,890,467
Government National Mortgage
Association, Series 2018-143, Class IO,
0.491%, 10/16/2060(c)(d)
553,573
4,698
Government National Mortgage
Association, Series 2018-H02, Class FJ,
1 mo. USD SOFR + 0.314%,
4.408%, 10/20/2064(b)(e)
4,543
4,477,465
Government National Mortgage
Association, Series 2018-H16, Class CZ,
4.269%, 5/20/2068(c)
4,069,871
280,000
Government National Mortgage
Association, Series 2019-111, Class LP,
3.500%, 9/20/2049(e)
202,262
17,469,815
Government National Mortgage
Association, Series 2019-116, Class IO,
0.622%, 12/16/2061(c)(d)
812,329
324,000
Government National Mortgage
Association, Series 2019-132, Class LP,
3.500%, 10/20/2049(e)
233,228
8,447,001
Government National Mortgage
Association, Series 2019-152, Class LI,
0.111%, 2/20/2044(c)(d)(e)
693,835
2,138,710
Government National Mortgage
Association, Series 2019-44, Class BS,
0.611%, 4/20/2049(c)(d)(e)
117,146
9,261,407
Government National Mortgage
Association, Series 2019-70, Class SK,
0.561%, 8/20/2043(c)(d)
697,816
2,153,685
Government National Mortgage
Association, Series 2019-H02, Class BZ,
4.262%, 1/20/2069(c)
1,876,947
4,075,853
Government National Mortgage
Association, Series 2020-148, Class IJ,
IO, 3.000%, 6/20/2049(d)(e)
895,062
22,940,411
Government National Mortgage
Association, Series 2020-34, Class IO,
5.000%, 12/20/2039(d)
4,615,682
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$11,096,300
Government National Mortgage
Association, Series 2020-47, Class IQ, IO,
3.500%, 3/20/2050(d)
$2,613,094
46,703,453
Government National Mortgage
Association, Series 2021-H03, Class IO,
0.000%, 4/20/2070(c)(d)(e)
32,296
7,756,568
Government National Mortgage
Association, Series 2021-H08, Class IA,
IO, 0.008%, 1/20/2068(c)(d)(e)
18,291
3,512,487
Government National Mortgage
Association, Series 2021-H17, Class IO,
0.020%, 3/20/2070(c)(d)(e)
16,129
 
70,996,298
Mortgage Related — 37.2%
17,412,790
Federal Home Loan Mortgage Corp.,
2.500%, with various maturities from
2050 to 2052(f)
13,675,368
7,875,568
Federal Home Loan Mortgage Corp.,
3.500%, 6/01/2052
6,780,870
1,700,944
Federal National Mortgage Association,
2.000%, with various maturities in
2050(f)
1,249,108
411,404,488
Federal National Mortgage Association,
2.500%, with various maturities from
2050 to 2062(f)
319,725,849
107,349,396
Federal National Mortgage Association,
3.000%, with various maturities from
2047 to 2052(f)
89,136,511
461,714
Federal National Mortgage Association,
4.000%, 1/01/2052
408,643
9
Government National Mortgage
Association, 5.470%, 11/20/2059(c)
8
126,314
Government National Mortgage
Association, Series 2018-H12, Class HZ,
4.625%, 8/20/2068(c)(e)
113,942
2,500,542
Government National Mortgage
Association, Series 2019-H02, Class JA,
3.500%, 12/20/2068
2,322,245
9,563,379
Government National Mortgage
Association, Series 2020-148, Class EI,
IO, 3.000%, 11/20/2049(d)
2,009,444
18,000,000
Uniform Mortgage-Backed Security, TBA,
5.500%, 11/01/2053(g)
17,390,390
 
452,812,378
Non-Agency Commercial Mortgage-Backed
Securities — 12.1%
3,720,000
BANK, Series 2019-BN20, Class A3,
3.011%, 9/15/2062
3,095,724
3,525,000
BANK, Series 2019-BN22, Class A4,
2.978%, 11/15/2062
2,974,543
1,770,000
BANK, Series 2020-BN25, Class A5,
2.649%, 1/15/2063
1,456,592
3,649,000
BANK, Series 2020-BN26, Class A4,
2.403%, 3/15/2063
2,942,299
See accompanying notes to financial statements.
37 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$785,000
BANK, Series 2020-BN28, Class AS,
2.140%, 3/15/2063
$592,870
5,300,000
BANK, Series 2022-BNK39, Class A4,
2.928%, 2/15/2055(c)
4,257,925
1,000,000
Bank of America Merrill Lynch
Commercial Mortgage Trust,
Series 2016-UB10, Class A4,
3.170%, 7/15/2049
921,895
4,045,000
BBCMS Mortgage Trust,
Series 2020-BID, Class A, 1 mo. USD
SOFR + 2.254%,
7.588%, 10/15/2037(a)(b)
3,851,698
3,330,000
Benchmark Mortgage Trust,
Series 2019-B10, Class A4,
3.717%, 3/15/2062
2,972,335
5,185,000
Benchmark Mortgage Trust,
Series 2019-B13, Class A4,
2.952%, 8/15/2057
4,411,386
4,970,000
BMO Mortgage Trust, Series 2022-C1,
Class A5, 3.374%, 2/15/2055(c)
4,108,272
2,235,000
BPR Trust, Series 2022-OANA, Class A,
1 mo. USD SOFR + 1.898%,
7.230%, 4/15/2037(a)(b)
2,194,630
1,860,000
BPR Trust, Series 2022-STAR, Class A,
1 mo. USD SOFR + 3.232%,
8.564%, 8/15/2024(a)(b)
1,846,388
2,770,000
BX Commercial Mortgage Trust,
Series 2022-AHP, Class B, 1 mo. USD
SOFR + 1.840%,
7.172%, 1/17/2039(a)(b)
2,713,320
510,000
CALI Mortgage Trust, Series 2019-101C,
Class A, 3.957%, 3/10/2039(a)
387,516
10,643
Commercial Mortgage Pass-Through
Certificates, Series 2012-CR3, Class AM,
3.416%, 10/15/2045(a)
9,835
1,991,226
Commercial Mortgage Pass-Through
Certificates, Series 2012-LTRT, Class A2,
3.400%, 10/05/2030(a)
1,643,558
1,520,597
Commercial Mortgage Pass-Through
Certificates, Series 2013-CR13, Class A4,
4.194%, 11/10/2046(c)
1,515,582
95,871
Commercial Mortgage Pass-Through
Certificates, Series 2014-CR16,
Class ASB, 3.653%, 4/10/2047
95,547
208,749
Commercial Mortgage Pass-Through
Certificates, Series 2014-UBS2, Class A4,
3.691%, 3/10/2047
207,590
1,300,000
Commercial Mortgage Pass-Through
Certificates, Series 2014-UBS2, Class A5,
3.961%, 3/10/2047
1,290,133
2,520,000
Commercial Mortgage Pass-Through
Certificates, Series 2014-UBS5, Class A4,
3.838%, 9/10/2047
2,443,444
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$3,110,000
Commercial Mortgage Pass-Through
Certificates, Series 2015-DC1, Class A5,
3.350%, 2/10/2048
$2,975,381
540,063
Commercial Mortgage Pass-Through
Certificates, Series 2016-DC2, Class ASB,
3.550%, 2/10/2049
525,672
6,160,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class A2,
3.953%, 9/15/2037(a)
5,256,487
2,110,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class B,
4.185%, 9/15/2037(a)
1,666,388
2,045,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class C,
4.336%, 9/15/2037(a)
1,539,318
2,405,000
CSAIL Commercial Mortgage Trust,
Series 2019-C18, Class A4,
2.968%, 12/15/2052
2,019,899
2,420,000
DC Commercial Mortgage Trust,
Series 2023-DC, Class A,
6.314%, 9/12/2040(a)
2,412,382
5,365,000
DROP Mortgage Trust, Series 2021-FILE,
Class A, 1 mo. USD SOFR + 1.264%,
6.597%, 10/15/2043(a)(b)
5,001,139
3,469,280
Extended Stay America Trust,
Series 2021-ESH, Class C, 1 mo. USD
SOFR + 1.814%,
7.147%, 7/15/2038(a)(b)
3,417,417
360,000
GS Mortgage Securities Corp. II,
Series 2023- SHIP, Class A,
4.466%, 9/10/2038(a)(c)
342,836
3,690,000
GS Mortgage Securities Corp. Trust,
Series 2012-BWTR, Class A,
2.954%, 11/05/2034(a)
2,702,061
5,775,000
GS Mortgage Securities Corportation
Trust, Series 2013-PEMB, Class A,
3.668%, 3/05/2033(a)(c)
4,970,046
2,457,319
GS Mortgage Securities Trust,
Series 2013-GC16, Class B,
5.161%, 11/10/2046(c)
2,434,754
5,100,000
GS Mortgage Securities Trust,
Series 2014-GC18, Class AS,
4.383%, 1/10/2047
4,820,516
1,295,000
GS Mortgage Securities Trust,
Series 2014-GC18, Class B,
4.885%, 1/10/2047(c)
1,077,085
1,416,000
GS Mortgage Securities Trust,
Series 2014-GC20, Class A5,
3.998%, 4/10/2047
1,402,307
2,373,000
GS Mortgage Securities Trust,
Series 2014-GC22, Class C,
4.842%, 6/10/2047(c)
1,765,213
5,000,000
GS Mortgage Securities Trust,
Series 2019-GSA1, Class A4,
3.048%, 11/10/2052
4,173,390
See accompanying notes to financial statements.
| 38

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$2,555,000
GS Mortgage Securities Trust,
Series 2020-GC45, Class A5,
2.911%, 2/13/2053
$2,136,481
5,885,000
Hudsons Bay Simon JV Trust,
Series 2015-HB10, Class A10,
4.155%, 8/05/2034(a)
5,021,645
1,513,720
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9,
Class C, 3.910%, 12/15/2047(a)(c)
1,351,914
2,405,000
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C19, Class AS,
4.243%, 4/15/2047(c)
2,348,358
105,940
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C19, Class ASB,
3.584%, 4/15/2047
105,352
730,000
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C25, Class AS,
4.065%, 11/15/2047
700,381
3,134,955
Med Trust, Series 2021-MDLN, Class A,
1 mo. USD SOFR + 1.064%,
6.397%, 11/15/2038(a)(b)
3,056,276
930,000
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C16, Class B,
4.438%, 6/15/2047(c)
842,827
558,182
Morgan Stanley Capital I Trust,
Series 2011-C2, Class D,
5.385%, 6/15/2044(a)(c)
502,364
3,285,000
Morgan Stanley Capital I Trust,
Series 2013-ALTM, Class A2,
3.828%, 2/05/2035(a)(c)
3,050,125
5,780,000
Morgan Stanley Capital I Trust,
Series 2019-L3, Class A4,
3.127%, 11/15/2052
4,869,836
2,085,000
Morgan Stanley Capital I Trust,
Series 2021-L5, Class A4,
2.728%, 5/15/2054
1,669,122
1,212,827
MSBAM Commercial Mortgage Securities
Trust, Series 2012-CKSV, Class A2,
3.277%, 10/15/2030(a)
1,000,582
3,475,000
RBS Commercial Funding, Inc. Trust,
Series 2013-SMV, Class C,
3.704%, 3/11/2031(a)(c)
2,997,836
1,700,120
Starwood Retail Property Trust,
Series 2014-STAR, Class A, PRIME +
0.000%, 8.500%, 11/15/2027(a)(b)
1,215,586
6,500,000
Starwood Retail Property Trust,
Series 2014-STAR, Class B, PRIME +
0.000%, 8.500%, 11/15/2027(a)(b)(e)(h)
3,825,900
1,350,000
UBS Commercial Mortgage Trust,
Series 2019-C16, Class A4,
3.605%, 4/15/2052
1,182,832
4,000,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class AS,
4.020%, 8/15/2050
3,864,646
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$1,200,919
Wells Fargo Commercial Mortgage Trust,
Series 2015-C29, Class ASB,
3.400%, 6/15/2048
$1,176,158
5,000,000
Wells Fargo Commercial Mortgage Trust,
Series 2018-C48, Class A5,
4.302%, 1/15/2052
4,605,530
5,012,000
Wells Fargo Commercial Mortgage Trust,
Series 2019-C54, Class A4,
3.146%, 12/15/2052
4,263,428
1,091,059
WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class AS,
4.358%, 8/15/2046(c)
1,025,596
790,000
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class AS,
4.176%, 5/15/2047
739,810
277,838
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class ASB,
3.638%, 5/15/2047
275,883
535,000
WFRBS Commercial Mortgage Trust,
Series 2014-C24, Class B,
4.204%, 11/15/2047(c)
458,627
 
146,722,468
Total Bonds and Notes

(Identified Cost $1,315,749,995)
1,098,119,694
Collateralized Loan Obligations — 7.3%
2,225,000
AGL CLO 12 Ltd., Series 2021-12A,
Class B, 3 mo. USD SOFR + 1.862%,
7.188%, 7/20/2034(a)(b)
2,195,379
3,000,000
AGL CLO 3 Ltd., Series 2020-3A,
Class A, 3 mo. USD SOFR + 1.562%,
6.870%, 1/15/2033(a)(b)
2,990,670
5,255,000
Alinea CLO Ltd., Series 2018-1A,
Class B, 3 mo. USD SOFR + 1.912%,
7.238%, 7/20/2031(a)(b)
5,213,911
595,000
Allegro CLO VIII Ltd., Series 2018-2A,
Class B1, 3 mo. USD SOFR + 1.932%,
7.240%, 7/15/2031(a)(b)
586,666
3,835,000
Dryden 53 CLO Ltd., Series 2017-53A,
Class B, 3 mo. USD SOFR + 1.662%,
6.970%, 1/15/2031(a)(b)
3,775,109
4,275,000
Elmwood CLO VIII Ltd., Series 2021-1A,
Class B1, 3 mo. USD SOFR + 1.812%,
7.138%, 1/20/2034(a)(b)
4,240,911
1,565,000
Galaxy XXVI CLO Ltd.,
Series 2018-26A, Class B, 3 mo. USD
SOFR + 1.962%,
7.345%, 11/22/2031(a)(b)
1,544,843
2,675,000
Greystone CRE Notes Ltd.,
Series 2021-HC2, Class A, 1 mo. USD
SOFR + 1.914%,
7.247%, 12/15/2039(a)(b)
2,617,838
See accompanying notes to financial statements.
39 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
Principal
Amount
Description
Value (†)
$3,497,500
Hayfin U.S. XII Ltd., Series 2018-8A,
Class B, 3 mo. USD SOFR + 1.742%,
7.068%, 4/20/2031(a)(b)
$3,433,184
3,005,000
LCM 30 Ltd., Series 30A, Class BR,
3 mo. USD SOFR + 1.762%,
7.088%, 4/20/2031(a)(b)
2,953,236
4,930,000
Madison Park Funding XXIV Ltd.,
Series 2016-24A, Class BR, 3 mo. USD
SOFR + 2.012%,
7.338%, 10/20/2029(a)(b)
4,918,922
2,350,000
Magnetite XXIX Ltd., Series 2021-29A,
Class B, 3 mo. USD SOFR + 1.662%,
6.970%, 1/15/2034(a)(b)
2,320,446
2,075,000
Neuberger Berman CLO XX Ltd.,
Series 2015-20A, Class BRR, 3 mo. USD
SOFR + 1.912%,
7.220%, 7/15/2034(a)(b)
2,048,677
2,560,000
Neuberger Berman Loan Advisers CLO
40 Ltd., Series 2021-40A, Class B, 3 mo.
USD SOFR + 1.662%,
6.970%, 4/16/2033(a)(b)
2,522,012
5,280,000
OCP CLO Ltd., Series 2020-8RA,
Class A2, 3 mo. USD SOFR + 1.812%,
7.120%, 1/17/2032(a)(b)
5,237,459
2,040,000
Octagon Investment Partners 18-R Ltd.,
Series 2018-18A, Class A2, 3 mo. USD
SOFR + 1.732%,
7.040%, 4/16/2031(a)(b)
2,014,057
4,045,000
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class BR, 3 mo. USD
LIBOR + 1.600%,
7.195%, 4/21/2034(a)(b)
4,019,901
4,205,000
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class BR, 3 mo. USD
SOFR + 1.912%,
7.238%, 7/02/2035(a)(b)
4,165,772
5,300,000
OHA Credit Funding 8 Ltd.,
Series 2021-8A, Class B1, 3 mo. USD
SOFR + 1.762%,
7.072%, 1/18/2034(a)(b)
5,249,274
575,000
Palmer Square CLO Ltd., Series 2015-1A,
Class A2R4, 3 mo. USD SOFR +
1.962%, 7.341%, 5/21/2034(a)(b)
568,439
3,800,000
Post CLO Ltd., Series 2022-1A, Class A,
3 mo. USD SOFR + 1.380%,
6.706%, 4/20/2035(a)(b)
3,759,370
1,035,000
Recette CLO Ltd., Series 2015-1A,
Class BRR, 3 mo. USD SOFR + 1.662%,
6.988%, 4/20/2034(a)(b)
1,015,956
7,650,000
Rockland Park CLO Ltd., Series 2021-1A,
Class B, 3 mo. USD SOFR + 1.912%,
7.238%, 4/20/2034(a)(b)
7,535,166
5,900,000
TICP CLO VII Ltd., Series 2017-7A,
Class BR, 3 mo. USD SOFR + 1.962%,
7.270%, 4/15/2033(a)(b)
5,818,639
3,830,000
Verde CLO Ltd., Series 2019-1A,
Class BR, 3 mo. USD SOFR + 1.862%,
7.170%, 4/15/2032(a)(b)
3,779,069
Principal
Amount
Description
Value (†)
$3,000,000
Vibrant CLO X Ltd., Series 2018-10A,
Class A1, 3 mo. USD SOFR + 1.462%,
6.788%, 10/20/2031(a)(b)
$2,983,845
1,315,000
Voya CLO Ltd., Series 2013-3A,
Class A2RR, 3 mo. USD SOFR +
1.961%, 7.271%, 10/18/2031(a)(b)
1,298,168
Total Collateralized Loan Obligations

(Identified Cost $89,363,385)
88,806,919
Loan Participations — 0.3%
ABS Other — 0.1%
1,899,681
Harbour Aircraft Investments Ltd.,
Series 2017-1, Class A,
4.000%, 11/15/2037
1,654,896
Agency Commercial Mortgage-Backed
Securities — 0.2%
32,942,855
Government National Mortgage
Association, Series 2020-130, Class IO,
1.014%, 8/16/2060(c)(d)
2,135,929
Total Loan Participations

(Identified Cost $4,904,648)
3,790,825
Short-Term Investments — 3.3%
12,651,136
Tri-Party Repurchase Agreement with
Fixed Income Clearing Corporation,
dated 9/29/2023 at 2.500% to be
repurchased at $12,653,772,
on 10/02/2023  collateralized by
$13,002,300 U.S. Treasury Note, 4.375%
due 8/15/2026 valued at $12,904,253
including accrued interest (Note 2 of
Notes to Financial Statements)
12,651,136
12,000,000
U.S. Treasury Bills,
5.233%, 10/05/2023(i)
11,994,730
15,730,000
U.S. Treasury Bills,
5.308%, 3/21/2024(i)(j)
15,332,428
Total Short-Term Investments

(Identified Cost $39,975,277)
39,978,294
Total Investments — 101.1%

(Identified Cost $1,449,993,305)
1,230,695,732
Other assets less liabilities — (1.1)%
(12,912,599
)
Net Assets — 100.0%
$1,217,783,133
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
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, 2023, the value
of Rule 144A holdings amounted to $378,367,239 or 31.1% of
net assets.
(b)
Variable rate security. Rate as of September 30, 2023 is disclosed.
See accompanying notes to financial statements.
| 40

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Securitized Asset Fund (continued)
(c)
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, 2023 is disclosed.
(d)
Interest only security. Security represents right to receive monthly
interest payments on an underlying pool of mortgages. Principal
shown is the outstanding par amount of the pool held as of the
end of the period.
(e)
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements.
(f)
The Fund’s investment in mortgage related securities of Federal
Home Loan Mortgage Corporation and 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.
(g)
When-issued/delayed delivery.
(h)
Non-income producing security.
(i)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
(j)
Security (or a portion thereof) has been pledged as collateral for
open derivative contracts.
 
ABS
Asset-Backed Securities
CMT
Constant Maturity Treasury
LIBOR
London Interbank Offered Rate
REMIC
Real Estate Mortgage Investment Conduit
SLM
Sallie Mae
SOFR
Secured Overnight Financing Rate
TBA
To Be Announced
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
983
$108,323,036
$106,225,437
$(2,097,599
)
CBOT U.S. Long Bond Futures
12/19/2023
140
16,816,059
15,929,375
(886,684
)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
192
24,440,367
22,788,000
(1,652,367
)
Ultra 10-Year U.S. Treasury Notes Futures
12/19/2023
329
37,823,269
36,704,063
(1,119,206
)
Total
$(5,755,856
)
Industry Summary at September 30, 2023 
Mortgage Related
37.2
%
Agency Commercial Mortgage-Backed Securities
13.4
Non-Agency Commercial Mortgage-Backed
Securities
12.1
ABS Home Equity
6.4
ABS Other
6.3
ABS Car Loan
6.1
Collateralized Mortgage Obligations
5.8
ABS Student Loan
2.3
Other Investments, less than 2% each
0.9
Collateralized Loan Obligations
7.3
Short-Term Investments
3.3
Total Investments
101.1
Other assets less liabilities (including futures
contracts)
(1.1
)
Net Assets
100.0
%
See accompanying notes to financial statements.
41 |

Statements of Assets and Liabilities
September 30, 2023
 
 
High Income
Opportunities
Fund
Securitized
Asset Fund
ASSETS
Investments at cost
$245,204,901
$1,449,993,305
Net unrealized depreciation
(31,856,928
)
(219,297,573
)
Investments at value
213,347,973
1,230,695,732
Cash
313,579
169
Due from brokers (Note 2)
—
310,000
Foreign currency at value (identified cost $47 and $0, respectively)
47
—
Receivable for Fund shares sold
331,093
1,754,798
Receivable for securities sold
436,073
3,750,377
Receivable for when-issued/delayed delivery securities sold (Note 2)
—
34,875,031
Dividends and interest receivable
2,964,786
6,144,385
Receivable for variation margin on futures contracts (Note 2)
—
388,132
TOTAL ASSETS
217,393,551
1,277,918,624
LIABILITIES
Payable for securities purchased
3,969,756
7,082,065
Payable for when-issued/delayed delivery securities purchased (Note 2)
—
52,559,984
Payable for Fund shares redeemed
101,595
493,442
TOTAL LIABILITIES
4,071,351
60,135,491
NET ASSETS
$213,322,200
$1,217,783,133
NET ASSETS CONSIST OF:
Paid-in capital
$254,342,704
$1,718,308,543
Accumulated loss
(41,020,504
)
(500,525,410
)
NET ASSETS
$213,322,200
$1,217,783,133
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets
$213,322,200
$1,217,783,133
Shares of beneficial interest
25,300,575
166,634,872
Net asset value, offering and redemption price per share
$8.43
$7.31
See accompanying notes to financial statements.
| 42

Statements of Operations
For the Year Ended September 30, 2023
 
 
High Income
Opportunities
Fund
Securitized
Asset Fund
INVESTMENT INCOME
Interest
$13,817,379
$45,130,723
Dividends
110,569
—
Less net foreign taxes withheld
(1,352
)
—
Investment income
13,926,596
45,130,723
Net realized and unrealized gain (loss) on Investments, Futures contracts, Swap
agreements and Foreign currency transactions
Net realized gain (loss) on:
Investments
(8,791,938
)
(52,228,320
)
Futures contracts
—
(13,043,398
)
Swap agreements
97,593
—
Foreign currency transactions (Note 2c)
22
—
Net change in unrealized appreciation (depreciation) on:
Investments
11,721,711
24,453,184
Futures contracts
—
6,411,748
Swap agreements
(2,604
)
—
Foreign currency translations (Note 2c)
(11
)
—
Net realized and unrealized gain (loss) on Investments, Futures contracts, Swap agreements and
Foreign currency transactions
3,024,773
(34,406,786
)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$16,951,369
$10,723,937
See accompanying notes to financial statements.
43 |

Statements of Changes in Net Assets
 
 
High Income Opportunities Fund
Securitized Asset Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Investment income
$13,926,596
$13,807,731
$45,130,723
$43,874,591
Net realized gain (loss) on investments, futures contracts,
swap agreements and foreign currency transactions
(8,694,323
)
205,745
(65,271,718
)
(25,468,100
)
Net change in unrealized appreciation (depreciation) on
investments, futures contracts, swap agreements and
foreign currency translations
11,719,096
(54,629,888
)
30,864,932
(218,280,870
)
Net increase (decrease) in net assets resulting from
operations
16,951,369
(40,616,412
)
10,723,937
(199,874,379
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class
(14,571,242
)
(22,166,300
)
(70,940,296
)
(90,356,043
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARES TRANSACTIONS (Note 10)
17,532,958
(11,510,929
)
2,056,823
1,295,674
Net increase (decrease) in net assets
19,913,085
(74,293,641
)
(58,159,536
)
(288,934,748
)
NET ASSETS
Beginning of the year
193,409,115
267,702,756
1,275,942,669
1,564,877,417
End of the year
$213,322,200
$193,409,115
$1,217,783,133
$1,275,942,669
See accompanying notes to financial statements.
| 44

Financial Highlights
For a share outstanding throughout each period.
 
 
High Income Opportunities Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$8.32
$10.94
$10.29
$10.45
$10.69
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Investment income(a)
0.59
0.58
0.59
0.58
0.60
Net realized and unrealized gain (loss)
0.14
(2.28
)
0.67
(0.16
)(b)
(0.08
)
Total from Investment Operations
0.73
(1.70
)
1.26
0.42
0.52
LESS DISTRIBUTIONS FROM:
Investment income
(0.62
)
(0.59
)
(0.61
)
(0.58
)
(0.62
)
Net realized capital gains
—
(0.33
)
—
—
(0.14
)
Total Distributions
(0.62
)
(0.92
)
(0.61
)
(0.58
)
(0.76
)
Net asset value, end of the period
$8.43
$8.32
$10.94
$10.29
$10.45
Total return
8.98
%
(16.59
)%
12.55
%
4.28
%
5.14
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$213,322
$193,409
$267,703
$255,019
$174,103
Gross expenses(c)
—
—
—
—
—
Net investment income
6.93
%
5.96
%
5.49
%
5.76
%
5.78
%
Portfolio turnover rate
48
%
45
%
62
%
96
%(d)
48
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of
sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(c)
Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.
(d)
The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to significant shareholder flows and repositioning of the portfolio.
 
 
Securitized Asset Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$7.68
$9.39
$9.77
$9.94
$9.65
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Investment income(a)
0.28
0.26
0.26
0.34
0.39
Net realized and unrealized gain (loss)
(0.21
)
(1.43
)
(0.06
)
0.06
0.45
Total from Investment Operations
0.07
(1.17
)
0.20
0.40
0.84
LESS DISTRIBUTIONS FROM:
Investment income
(0.44
)
(0.54
)
(0.58
)
(0.57
)
(0.55
)
Net asset value, end of the period
$7.31
$7.68
$9.39
$9.77
$9.94
Total return
0.77
%
(13.03
)%
2.07
%
4.13
%
8.97
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$1,217,783
$1,275,943
$1,564,877
$1,500,680
$1,239,135
Gross expenses(b)
—
—
—
—
—
Net investment income
3.63
%
3.02
%
2.68
%
3.50
%
3.98
%
Portfolio turnover rate
106
%
140
%
98
%(c)
283
%
369
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.
(c)
The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in the volume of TBA transactions (see Note 2g of Notes to Financial
Statements).
See accompanying notes to financial statements.
45 |

Notes to Financial Statements
September 30, 2023
1.Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles High Income Opportunities Fund (“High Income Opportunities Fund”)
Loomis Sayles Securitized Asset Fund (“Securitized Asset Fund”)
Each Fund is a diversified investment company.
Each Fund offers Institutional Class shares. The Funds’ shares are offered exclusively to investors in “wrap fee” programs approved by Natixis Advisors, LLC (“Natixis Advisors”) and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of Natixis Advisors or Loomis Sayles that, in each case, meet the Funds’ policies as established by Loomis Sayles.
2.Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds' financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds' financial statements.
a. Valuation.   Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is, subject to the Board’s oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations ("CLOs") are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income
| 46

Notes to Financial Statements (continued)
September 30, 2023
(including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or
amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement
dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded in the
Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or
losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from
changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are
disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting
purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting
from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax
purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements
of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be
distributed by the Funds.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from
changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
e. Futures Contracts. A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
47 |

Notes to Financial Statements (continued)
September 30, 2023
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Swap Agreements. A Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period.The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Asset and Liabilities, as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
g. When-Issued and Delayed Delivery Transactions. A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours
| 48

Notes to Financial Statements (continued)
September 30, 2023
prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
h. Stripped Securities. A Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
i. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
j. Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as premium amortization, convertible bond adjustments, foreign currency gains and losses, return of capital distributions received, capital gain distributions received, market discount and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to wash sales, convertible bond adjustments, corporate actions, defaulted and/or non-income producing securities, return of capital distributions received, market discount, premium amortization and futures contracts mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2023 and 2022 was as follows: 
 
2023 Distributions
2022 Distributions
Fund
Ordinary
Income
Long-Term
Capital
Gains
Total
Ordinary
Income
Long-Term
Capital
Gains
Total
High Income Opportunities Fund
$14,571,242
$—
$14,571,242
$21,850,538
$315,762
$22,166,300
Securitized Asset Fund
70,940,296
—
70,940,296
90,356,043
—
90,356,043
49 |

Notes to Financial Statements (continued)
September 30, 2023
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows: 
 
High Income
Opportunities
Fund
Securitized
Asset Fund
Undistributed ordinary income
$1,954,727
$6,701,277
Capital loss carryforward:
Short-term:
No expiration date
(3,003,187
)
(55,647,187
)
Long-term:
No expiration date
(6,399,175
)
(232,523,059
)
Total capital loss carryforward
(9,402,362
)
(288,170,246
)
Unrealized depreciation
(32,368,021
)
(218,398,168
)
Total accumulated losses
$(39,815,656
)
$(499,867,137
)
As of September 30, 2023, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows: 
 
High Income
Opportunities
Fund
Securitized
Asset Fund
Federal tax cost
$245,715,979
$1,449,093,900
Gross tax appreciation
$1,218,843
$1,204,161
Gross tax depreciation
(33,586,849
)
(219,602,329
)
Net tax depreciation
$(32,368,006
)
$(218,398,168
)
The difference between these amounts and those reported in the components of distributable earnings are attributable to foreign currency mark-to-market.
k. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. A Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
l. Loan Participations. A Fund’s investment in senior loans may be in the form of participations in loans. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, a Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
m. Collateralized Loan Obligations. A Fund may invest in CLOs. A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called
| 50

Notes to Financial Statements (continued)
September 30, 2023
tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
n. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is
each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
o. Due from Brokers. Transactions and positions in certain futures contracts and delayed delivery commitments are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance for Securitized Asset Fund represents cash pledged as collateral for delayed delivery securities. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.
p. Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
q. New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”) in response to concerns about structural risks of interbank offered rates, and
particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which was expected to occur no later than June 30, 2023. In January 2021, FASB issued Accounting Standard Update 2021-01 (“ASU 2021-01”), which is an update of ASU 2020-04. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation than LIBOR. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. In December 2022, FASB issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. As of June 30, 2023, LIBOR had ceased to be published on a representative basis, and will be replaced by an alternative reference rate at the next reset date subsequent to June 30, 2023 for all investments for which LIBOR is the current reference rate. Management has elected to apply the optional expedients when appropriate and account for such modifications by prospectively adjusting the effective interest rate. There is no material impact to the Funds' financial statements.
3.Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid
51 |

Notes to Financial Statements (continued)
September 30, 2023
prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds' investments as of September 30, 2023, at value: 
High Income Opportunities Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities
$—
$3,539,167
$86,012
$3,625,179
All Other Non-Convertible Bonds(a)
—
177,175,308
—
177,175,308
Total Non-Convertible Bonds
—
180,714,475
86,012
180,800,487
Convertible Bonds(a)
—
9,075,984
—
9,075,984
Total Bonds and Notes
—
189,790,459
86,012
189,876,471
Senior Loans(a)
—
4,339,789
—
4,339,789
Collateralized Loan Obligations
—
2,899,192
—
2,899,192
Common Stocks(a)
1,198,666
—
—
1,198,666
Preferred Stocks(a)
447,570
—
—
447,570
Warrants
—
—
—
—
Short-Term Investments
—
14,586,285
—
14,586,285
Total Investments
$1,646,236
$211,615,725
$86,012
$213,347,973
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Securitized Asset Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
ABS Home Equity
$—
$77,139,289
$135,220
$77,274,509
Agency Commercial Mortgage-Backed Securities
—
154,891,582
5,924,820
160,816,402
Collateralized Mortgage Obligations
—
51,358,829
19,637,469
70,996,298
Mortgage Related
—
452,698,436
113,942
452,812,378
Non-Agency Commercial Mortgage-Backed Securities
—
142,896,568
3,825,900
146,722,468
All Other Bonds and Notes(a)
—
189,497,639
—
189,497,639
Total Bonds and Notes
—
1,068,482,343
29,637,351
1,098,119,694
Collateralized Loan Obligations
—
88,806,919
—
88,806,919
Loan Participations(a)
—
3,790,825
—
3,790,825
Short-Term Investments
—
39,978,294
—
39,978,294
Total Investments
$—
$1,201,058,381
$29,637,351
$1,230,695,732
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(5,755,856
)
$—
$—
$(5,755,856
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
| 52

Notes to Financial Statements (continued)
September 30, 2023
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2022 and/or September 30, 2023: 
High Income Opportunities Fund
Asset Valuation Inputs
Investments in Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Non-Convertible Bonds
Home Construction
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
Non-Agency Commercial Mortgage-
Backed Securities
129,288
—
—
(43,276
)
—
—
—
—
86,012
(43,276
)
Warrants
107
—
—
(107
)
—
—
—
—
—
(107
)
Total
$129,395
$—
$—
$(43,383
)
$—
$—
$—
$—
$86,012
$(43,383
)
 
Securitized Asset Fund
Asset Valuation Inputs
Investments in Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
ABS Home Equity
$120,729
$—
$(34,086
)
$51,849
$—
$(3,272
)
$—
$—
$135,220
$51,351
Agency Commercial
Mortgage-Backed
Securities
7,314,851
—
(11,053,813
)
8,156,301
—
(859
)
1,794,788
(286,448
)
5,924,820
1,147,916
Collateralized
Mortgage
Obligations
18,129,628
8,107
(6,550,951
)
344,745
2,437,061
(2,744,948
)
8,013,827
—
19,637,469
(459,429
)
Mortgage Related
114,303
—
—
(6,056
)
5,695
—
—
—
113,942
(6,056
)
Non-Agency
Commercial
Mortgage-Backed
Securities
4,270,703
—
—
(444,803
)
—
—
—
—
3,825,900
(444,803
)
Total
$29,950,214
$8,107
$(17,638,850
)
$8,102,036
$2,442,756
$(2,749,079
)
$9,808,615
$(286,448
)
$29,637,351
$288,979
Debt securities valued at $9,808,615 were transferred from Level 2 to Level 3 during the period ended September 30, 2023. At September 30, 2022, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At September 30, 2023, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.
A debt security valued at $286,448 was transferred from Level 3 to Level 2 during the period ended September 30, 2023. At September 30, 2022, this security was fair valued as determined by the Fund's valuation designee as an independent pricing service was unable to price the security. At September 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.
53 |

Notes to Financial Statements (continued)
September 30, 2023
The significant unobservable inputs used for those securities fair valued by the valuation designee and categorized in Level 3 for Securitized Asset Fund as of September 30, 2023, were as follows: 

Description
 
Valuation
Technique(s)
Unobservable Input
Unobservable
Input Value(s)
Value
Bonds and Notes
 
ABS Home Equity1
 
 
1.00%
$115,811
 
 
Market Discount
Discount Rate
5.00%
19,409
 
Agency Commercial Mortgage-Backed Securities1
 
 
1.00%
5,663,738
 
 
Market Discount
Discount Rate
3.00%
261,082
 
Collateralized Mortgage Obligations1
 
 
1.00%
18,384,354
 
 
Market Discount
Discount Rate
3.00%
1,253,115
 
Mortgage Related1
Market Discount
Discount Rate
1.00%
113,942
 
Non-Agency Commercial Mortgage-Backed
Securities2
Discounted Cash Flows
Constant Default Rate
100%
 
 
 
Loss Severity
40%
 
 
 
Lag Time
24 months
 
 
 
Loss Adjusted Spread
10%
3,825,900
 
Total
 
 
 
$29,637,351
 
1
“Odd lot” securities (those with current principal below the normal trading size) are valued using a discount to the “round lot” price for the same security. The significant
unobservable input used in the fair value measurement is the discount rate. Discount rates are set at a specific fixed rate depending on the size of the odd lot. A significant
change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value
measurement, meaning a significant increase in the discount rate would have resulted in a lower fair value measurement, and vice versa.
2
Security is valued using a discounted cash flow model. The significant unobservable inputs used in the fair value measurement are the constant default rate, loss severity, lag
time, and loss adjusted spread. Significant changes in input values could have a material effect on the fair value measurement. There is an inverse relationship between the loss
severity, lag time, and loss adjusted spread and the fair value measurement, meaning a significant increase in any of those input values in isolation would have resulted in a
lower fair value measurement, and vice versa. The constant default rate of 100% is based on the fact that the underlying loan is in default.
4.Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include futures contracts and swap agreements.
High Income Opportunities Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. During the year ended September 30, 2023, High Income Opportunities Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.
Securitized Asset Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the year ended September 30, 2023, Securitized Asset Fund used futures contracts to hedge against changes in interest rates and manage duration.
Transactions in derivative instruments for High Income Opportunities Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Swap
agreements
Credit contracts
$97,593
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Swap
agreements
Credit contracts
$(2,604
)
| 54

Notes to Financial Statements (continued)
September 30, 2023
The following is a summary of derivative instruments for Securitized Asset Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Liabilities
Unrealized
depreciation
on futures
contracts1
Exchange-traded liability derivatives
Interest rate contracts
$(5,755,856
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
Transactions in derivative instruments for Securitized Asset Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Futures
contracts
Interest rate contracts
$(13,043,398
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Futures
contracts
Interest rate contracts
$6,411,748
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of futures contract activity and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2023: 
High Income Opportunities Fund
Credit
Default
Swaps
Average Notional Amount Outstanding
0.22
%
Highest Notional Amount Outstanding
1.01
%
Lowest Notional Amount Outstanding
0.00
%
Notional Amount Outstanding as of September 30, 2023
0.00
%
 
Securitized Asset Fund
Futures
Average Notional Amount Outstanding
13.57
%
Highest Notional Amount Outstanding
24.24
%
Lowest Notional Amount Outstanding
5.82
%
Notional Amount Outstanding as of September 30, 2023
14.92
%
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
Unrealized gain and/or loss on open futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds' net assets.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.
55 |

Notes to Financial Statements (continued)
September 30, 2023
5.Purchases and Sales of Securities. For the year ended September 30, 2023, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows: 
 
U.S. Government/
Agency Securities
Other Securities
Fund
Purchases
Sales
Purchases
Sales
High Income Opportunities Fund
$—
$2,225,000
$104,466,826
$87,477,421
Securitized Asset Fund
1,201,694,156
1,136,710,215
97,523,741
196,436,244
6.Management Fees and Other Transactions with Affiliates. 
a. Management Fees. Loomis Sayles has agreed to pay, without reimbursement from the Funds or the Trust, the following expenses of the Funds:  compensation to Trustees of the Trust who are not “interested persons” (as defined in the 1940 Act) of the Trust; registration, filing and other fees in connection with requirements of regulatory authorities; the charges and expenses of any entity appointed by the Funds for custodial, paying agent, shareholder servicing and plan agent services; charges and expenses of the independent registered public accounting firm retained by the Funds; charges and expenses of any transfer agents and registrars appointed by the Funds; any cost of certificates representing shares of the Funds; legal fees and expenses in connection with the day-to-day affairs of the Funds, including registering and qualifying its shares with Federal and State regulatory authorities; expenses of meetings of shareholders and Trustees of the Trust; the costs of services, including services of counsel, required in connection with the preparation of the Funds’ registration statements and prospectuses, including amendments and revisions thereto, annual, semi-annual and other periodic reports of the Funds, and notices and proxy solicitation material furnished to shareholders of the Funds or regulatory authorities, and any costs of printing or mailing these items; and the Funds’ expenses of bookkeeping, accounting and financial reporting, including related clerical expenses and all other expenses incurred; and other operating expenses of the Funds, as applicable.
Loomis Sayles serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Under the terms of each management agreement, Loomis Sayles does not charge the Funds an investment advisory fee, also known as a management fee, or any other fee for those services or for bearing those expenses. Although the Funds do not compensate Loomis Sayles directly for services under the advisory agreement, Loomis Sayles will typically receive an advisory fee from the sponsors of “wrap programs,” who in turn charge the programs’ participants.
b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust. Natixis Distribution currently is not paid a fee for serving as distributor for the Funds. Loomis Sayles has agreed to reimburse Natixis Distribution to the extent that Natixis Distribution incurs expenses in connection with any redemption of Fund shares.
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to Natixis Advisors for services to the Funds.
d. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral
| 56

Notes to Financial Statements (continued)
September 30, 2023
accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, Trustees fees and expenses allocable to the Funds.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.
7.Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the year ended September 30, 2023, none of the Funds had borrowings under this agreement.
8.Risk.  Securitized Asset Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.
Geopolitical events (such as trading halts, sanctions or wars) could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These, and other related events, could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to issuers in the country or countries involved.
9.Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows: 
Fund
Number of 5%
Account Holders
Percentage
of Ownership
High Income Opportunities Fund
3
88.86
%
Securitized Asset Fund
4
96.06
%
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
57 |

Notes to Financial Statements (continued)
September 30, 2023
10.Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows: 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
High Income Opportunities Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
5,345,697
$45,532,916
2,467,178
$24,263,725
Issued in connection with the reinvestment of distributions
649,422
5,529,256
858,035
8,481,268
Redeemed
(3,933,361
)
(33,529,214
)
(4,563,249
)
(44,255,922
)
Increase (decrease) from capital share transactions
2,061,758
$17,532,958
(1,238,036
)
$(11,510,929
)
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Securitized Asset Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
34,092,926
$259,745,905
32,594,894
$285,501,462
Issued in connection with the reinvestment of distributions
2,439,063
18,628,449
2,659,711
23,198,484
Redeemed
(36,095,261
)
(276,317,531
)
(35,629,171
)
(307,404,272
)
Increase (decrease) from capital share transactions
436,728
$2,056,823
(374,566
)
$1,295,674
| 58

Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds I and Shareholders of Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund (two of the funds constituting Loomis Sayles Funds I, hereafter collectively referred to as the "Funds") as of September 30, 2023, the related statements of operations for the year ended September 30, 2023, the statements of changes in net assets for each of the two years in the period ended September 30, 2023, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2023 and each of the financial highlights for each of the five years in the period ended September 30, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023 by correspondence with the custodian, transfer agent, agency banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
November 21, 2023
We have served as the auditor of one or more investment companies in the Natixis Investment Company Complex since at least 1995. We have not determined the specific year we began serving as auditor.
59 |

2023 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2023, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows: 
Fund
Qualifying
Percentage
High Income Opportunities Fund
0.31%
Qualified Dividend Income. For the fiscal year ended September 30, 2023, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2023, complete information will be reported in conjunction with Form 1099-DIV.
Fund
High Income Opportunities Fund
| 60

Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Loomis Sayles Funds I (the "Trust"). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds' Statements of Additional Information include additional information about the Trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330. 
Name and Year of Birth
Position(s) Held with
the Trust, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees
 
 
 
 
Edmond J. English
(1953)
Trustee since 2013
Contract Review
Committee Member
and Governance
Committee Member
Executive Chairman of
Bob’s Discount Furniture
(retail)
52
Director, Burlington
Stores, Inc. (retail);
Director, Rue Gilt
Groupe, Inc.
(e-commerce retail)
Significant experience on
the Board and on the
boards of other business
organizations (including
retail companies and a
bank); executive
experience (including at a
retail company)
Richard A. Goglia
(1951)
Trustee since 2015
Audit Committee
Member and
Governance
Committee Member
Retired
52
Formerly, Director of
Triumph Group
(aerospace industry)
Significant experience on
the Board and executive
experience (including his
role as Vice President and
treasurer of a defense
company and experience
at a financial services
company)
Martin T.  Meehan
(1956)
Trustee since 2012
Chairperson of the
Governance Committee
and Contract Review
Committee Member
President, University of
Massachusetts
52
None
Significant experience on
the Board and on the
boards of other business
organizations; experience
as President of the
University of
Massachusetts;
government experience
(including as a member
of the U.S. House of
Representatives);
academic experience
Maureen B. Mitchell
(1951)
Trustee since 2017
Chairperson of the
Contract Review
Committee
Retired
52
Director, Sterling
Bancorp (bank)
Significant experience on
the Board; financial
services industry and
executive experience
(including role as
President of global sales
and marketing at a
financial services
company)
61 |

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trust, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees − continued
James P. Palermo
(1955)
Trustee since 2016
Audit Committee Member
and Governance
Committee Member
Founding Partner, Breton
Capital
Management, LLC
(private equity); Partner,
STEP Partners, LLC
(private equity)
52
Director, FutureFuel.io
(chemicals and biofuels)
Significant experience on
the Board; financial
services industry and
executive experience
(including roles as Chief
Executive Officer of
client management and
asset servicing for a
banking and financial
services company)
Erik R. Sirri
(1958)
Chairperson of the Board
of Trustees since 2021
Trustee since 2009
Ex Officio Member of the
Audit Committee,
Contract Review
Committee and
Governance Committee
Professor of Finance at
Babson College
52
None
Significant experience on
the Board; experience as
Director of the Division
of Trading and Markets
at the Securities and
Exchange Commission;
academic experience;
training as an economist
Peter J. Smail
(1952)
Trustee since 2009
Contract Review
Committee Member
Retired
52
None
Significant experience on
the Board; mutual fund
industry and executive
experience (including
roles as President and
Chief Executive Officer
for an investment
adviser)
Kirk A. Sykes
(1958)
Trustee since 2019
Audit Committee Member
and Governance
Committee Member
Managing Director of
Accordia Partners, LLC
(real estate development);
President of Primary
Corporation (real estate
development); Managing
Principal of Merrick
Capital Partners
(infrastructure finance)
52
Advisor/Risk
Management
Committee, Eastern
Bank (bank); Director,
Apartment Investment
and Management
Company (real estate
investment trust);
formerly, Director, Ares
Commercial Real Estate
Corporation (real estate
investment trust)
Experience on the Board
and significant experience
on the boards of other
business organizations
(including real estate
companies and banks)
Cynthia L. Walker
(1956)
Trustee since 2005
Chairperson of the Audit
Committee
Retired; formerly, Deputy
Dean for Finance and
Administration, Yale
University School of
Medicine
52
None
Significant experience on
the Board; executive
experience in a variety of
academic organizations
(including roles as dean
for finance and
administration)
| 62

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trust, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Interested Trustees
 
 
 
 
Kevin P. Charleston3
(1965)
One Financial Center
Boston, MA 02111
Trustee since 2015
President and Chief
Executive Officer of
Loomis Sayles Funds I
since 2015
President, Chief
Executive Officer and
Chairman of the Board
of Directors, Loomis,
Sayles & Company, L.P.
52
None
Significant experience on
the Board; continuing
service as President, Chief
Executive Officer and
Chairman of the Board
of Directors of Loomis,
Sayles & Company, L.P.
David L. Giunta4
(1965)
Trustee since 2011
Executive Vice President
of Loomis Sayles
Funds I since 2008
President and Chief
Executive Officer, Natixis
Advisors, LLC and
Natixis
Distribution, LLC
52
None
Significant experience on
the Board; experience as
President and Chief
Executive Officer of
Natixis Advisors, LLC
and Natixis
Distribution, LLC
 
1
Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a
three-year term.
2
The Trustees of the Trust serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway
Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”).
3
Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust:  President, Chief Executive
Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.
4
Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust:  President and Chief Executive
Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.
63 |

Trustee and Officer Information
 
Name and Year of Birth
Position(s) Held
with the Trust
Term of Office1
and Length
of Time Served
Principal Occupation(s)
During Past 5 Years2
Officers of the Trusts
 
 
 
Matthew J. Block
(1981)
Treasurer, Principal
Financial and
Accounting Officer
Since 2022
Senior Vice President, Natixis Advisors, LLC and
Natixis Distribution, LLC; formerly, Vice President,
Natixis Advisors, LLC and Natixis Distribution, LLC;
Assistant Treasurer of the Fund Complex; Managing
Director, State Street Bank and Trust Company
Susan McWhan Tobin
(1963)
Secretary and Chief
Legal Officer
Since 2022
Executive Vice President, General Counsel and
Secretary, Natixis Advisors, LLC and Natixis
Distribution, LLC; formerly, Executive Vice President
and Chief Compliance Officer of Natixis Investment
Managers (March 2019 – May 2022) and Senior Vice
President and Head of Compliance, U.S. for Natixis
Investment Managers (July 2011 – March 2019)
Natalie R. Wagner
(1979)
Chief Compliance
Officer, Assistant
Secretary and
Anti-Money
Laundering Officer
Since 2021
Senior Vice President, Natixis Advisors, LLC and
Natixis Distribution, LLC; formerly, Vice President,
Head of Corporate Compliance, Global Atlantic
Financial Group
 
1
Each officer of the Trust serves for an indefinite term in accordance with the Trust's current by-laws until the date his or her successor is elected and qualified, or until he or
she sooner dies, retires, is removed or becomes disqualified.
2
Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC,
Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity.
| 64

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LOOMIS SAYLES FUNDS
Loomis Sayles Funds, a Boston-based family of mutual funds advised by Loomis, Sayles & Company, L.P., offers a range of fixed income and equity investments to fit the goals of the most demanding investor. Investment minimums and a pricing structure that includes multiple share classes make the funds suitable investments for individual investors, retirement plan participants, high net worth individuals and small institutions, including endowments and foundations.
PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION:
•  Net asset values, yields, distribution information, fund information and fund literature
•  Speak to a customer service representative regarding new or existing accounts
Before investing, consider the fund’s investment objectives, risks, charges, and expenses. Please visit www.loomissayles.com or call 800-633-3330 for a prospectus and a summary prospectus, if available, containing this and other information.
If you wish to communicate with the funds’ Board of Trustees, you may do so by writing to:
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
The correspondence must be in writing, signed by the shareholder, including the shareholder’s name and address, and should identify the fund(s), account number, class of shares, and number of shares held in the fund(s) as of a recent date.
or by email at:
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.
Please note:  Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
 
 
Exp. 11/30/24
6031444.1.1
M-LSHIA-0923

 
  
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, 2023

Loomis Sayles Fixed Income Fund
 
Managers
Matthew J. Eagan, CFA®
Brian P. Kennedy
Elaine M. Stokes*
 
Symbol
Institutional Class
LSFIX
 
*
Effective December 31, 2023, Elaine Stokes will no longer serve as portfolio manager of the Fund.
Investment Objective
The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.
Market Conditions
The US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two-and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the 10-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Investment grade corporate bonds logged robust, broad-based gains and strongly outperformed Treasuries. The category was helped by both its yield advantage and a decline in its yield spread relative to government issues. The ICE BofA US Corporate Index Option-Adjusted Spread opened the period at 1.67 over Treasuries and closed at 1.23, indicating outperformance. Lower-rated bonds, shorter-term debt, and economically sensitive issues exhibited leadership, providing a tailwind for the category.
High yield corporate bonds delivered a strong, double-digit gain and finished well ahead of the investment-grade market, mostly due to the lower duration of high yield. A large contribution from yield helped results, as did a decline in yield spreads brought about by investors’ elevated appetite for risk. Senior loans, which typically feature floating rates, benefited from the rising rate environment and were one of the top performing segments of the bond market.
Over the prior year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized loan obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first half of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader Bloomberg US Aggregate Bond Index. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasuries over the period.
Developed market government bonds weakened in local currency terms given the challenging rate environment. However, emerging market bonds gained ground, reflecting both positive local market performance and favorable currency translation.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Fixed Income Fund returned 3.26% at net asset value. The Fund outperformed its benchmark, the Bloomberg US Government/Credit Bond Index, which returned 0.93%.
1 |

Explanation of Fund Performance
The year brought continued volatility as the positive returns investors realized in the first half of the year were erased by the rise in US long-term yields during the third quarter of 2023. Despite the volatility, the Fund outperformed its index as a result of positive security selection. Both high yield and investment grade credit were strong contributors to performance over the year. Within high yield credit, communication names were positive along with our higher conviction names in the consumer cyclical space. For investment grade credit, names in energy, banking and consumer cyclicals were positive. Securitized credit was also beneficial given the asset class’ shorter duration profile. Here, holdings in ABS and CLOs aided returns. Finally, performance was aided by defensive, reserve-like positions.
Duration positioning in US Treasuries was the main detractor from performance, and the team continued to use Treasury futures to manage overall portfolio duration. The Fund began the period with shorter duration relative to the benchmark but brought overall duration positioning closer to neutral (increased duration) during the year as we believed the Fed could be nearing the end of its hiking cycle. Given this positioning, the rise in interest rates in 2023 led to the majority of negative returns.
Outlook
A rise in US long-term yields during the third quarter erased the overall positive returns realized in the first half of the year across most sectors of the global fixed income market. Inflation — while still above the Fed’s 2% target — continued to decline from its mid-2022 peak and helped create optimism early in the year that central banks would be able to conclude their long series of interest rate hikes. More recently, a re-pricing of expectations for growth (resilient), inflation (stickier) and Fed policy (higher for longer), as well as concern for significant US Treasury issuance over the coming 12-24 months, pushed yields higher. Since hitting a low of 3.31% for the year on April 6, the 10-year US Treasury yield climbed higher, ending September at 4.57%. As a result, performance of high quality, long duration bonds suffered. Sectors that have less interest rate sensitivity, such as high yield corporates and bank loans, continue to be bright spots on a year-to-date return basis.
In our view, the credit cycle1 is firmly in the late cycle stage. Monetary policy is restrictive and lending standards have tightened; however, the economic backdrop has remained resilient and forecasts are reflecting better-than-expected growth for the remainder of 2023. Most notably, resiliency can be seen in areas such as services/housing, while manufacturing has also experienced a bounce from more depressed levels witnessed late last year. While the risk of downturn remains, at this time we do not expect a technical recession of back-to-back quarters with negative GDP. Our base case calls for below trend US growth and our view is dependent on a strong consumer and stable corporate fundamentals. The consumer appears to maintain strong levels of excess savings and continues to spend at a healthy rate. Shifts in hiring and firing dynamics, including labor hoarding, have led to employment remaining robust. We believe these factors should help support consumer confidence and spending going forward. Monetary policy has helped to cool employment, but it is still growing, and investors have likely had to reassess how much flexibility the Fed may have in the near term.
Corporate fundamentals appear stable, highlighted by strong leverage and interest coverage ratios, and specific to the high yield market, a maturity wall that seems manageable, in our opinion, through 2025. We are carefully monitoring the pace of corporate earnings growth. Earnings have contracted over the past three quarters, putting us in the midst of a “profits recession.” While we believe earnings will trough at the end of 2023, if this trend continues, or accelerates as pricing power fades and margins come under further pressure, companies may need to aggressively cut costs (via job cuts). This could lead to an environment where the pace of earnings growth declines materially and ultimately leads to recession. Under this scenario, we believe a healthy consumer combined with stable corporate fundamentals should serve to minimize the potential for a hard landing by providing a floor to economic activity that could result in a mild or shallow recession.
While inflation has peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, in our opinion inflation will continue to be sticky. We believe inflation will remain elevated and above the Fed's target through the end of 2023 and into 2024 as services inflation remains high, which is worrisome because services inflation is currently stickier than goods inflation. Rising wages may be a major factor that keeps inflation elevated and constrains Fed policy in the near term. In addition, we foresee longer-term structural concerns that could support higher levels of inflation, including the impact of de-globalization, de-carbonization, aging demographics and growing government deficits. We anticipate the Fed will be driven by how firm evidence is that inflation continues to moderate. The potential for an extended Fed pause and short-term rates that stay “higher for longer” remains; in our view, policymakers will be slow to react to the onset of a downturn and will likely tolerate a rise in unemployment, particularly while inflation is above target. We believe value has returned to US fixed income markets and a combination of discount-to-par, favorable yields and an increase in issuer performance dispersion is helping to create opportunities in bonds. We expect defaults/losses to remain relatively low, while slowly increasing to more normal levels associated with a late cycle environment. With the potential for a downturn in 2024, we have been holding larger-than-average liquid reserves. We are comfortable with how we are being compensated by short-term yields as we patiently wait for opportunities to potentially develop. If volatility increases and we see what we view as more attractive yields and spreads, we would consider re-deploying reserves. Overall, we are maintaining an up-in-quality bias and are focused on credits that we believe can weather a slowdown, or credits that will benefit from the transition of goods to services spending. We are mindful of the risks going forward, such as tighter financial conditions and their impact on the financial system, slower Chinese growth, geopolitical risk, and the broader economic impact of a further decline in the commercial real estate market. Much of the turmoil leaves us with a wide range of potential outcomes for growth, inflation and central bank policy response. Based on the uncertain backdrop, we feel it is prudent to maintain a balanced risk profile between interest rate and
| 2

Loomis Sayles Fixed Income Fund
spread risk. We believe the 10-year US Treasury range is currently around 3.75% - 4.75%, with a potential path to 5% over the long term. We have structured our portfolios for a steeper yield curve, which we believe will be primarily driven by a fall in short-term rates as inflation moderates, combined with secular trends that could potentially keep a floor under long-term yields.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
 
Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares1
September 30, 2013 through September 30, 2023
 
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios3
 
Gross
Net
Institutional Class
3.26
%
1.03
%
2.48
%
0.58
%
0.58
%
Comparative Performance
Bloomberg U.S. Government/Credit Bond Index2
0.93
0.41
1.31
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
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.
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
1/31/24. 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.
3 |

Loomis Sayles Global Bond Fund
 
Managers
David W. Rolley, CFA®
Lynda L. Schweitzer, CFA®
Scott M. Service, CFA®
 
Symbols
Institutional Class
LSGBX
Retail Class
LSGLX
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 past 12-month period is one that can be categorized as “risk-on,” with credit and equity markets outperforming global government bonds. One reason for the favorable showing from risk assets was timing:  when the reporting period began in October 2022, risk assets were near the end of a protracted, 10-month decline brought about by the US Federal Reserve’s (Fed) aggressive interest rate increases. By the fourth quarter of 2022, however, cooler inflation prompted investors to begin looking ahead to the point at which the central bank could shift to a neutral policy. Although the Fed continued to raise rates throughout 2023, its slower pace of tightening fostered persistent optimism about the longer-term outlook. The markets were further cheered by economic data and corporate earnings that consistently exceeded the depressed expectations that were in place in late 2022.
While total returns were generally positive for the full period, the backdrop became less supportive in August and September 2023. A sharp increase in oil prices raised fears that inflation would reaccelerate, requiring the Fed and other central banks to maintain tight monetary policies for longer than the markets had been expecting. Signs of slowing growth, particularly in Europe and China, further weighed on sentiment by raising the odds that the world economy could enter a period of stagflation.
The US fixed income market logged a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. US Treasuries suffered losses and underperformed the more credit-oriented areas of the bond market. Performance was mixed across the yield curve:  while the 2-and 5-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond experienced a double-digit decline. Global developed market government bonds weakened in local currency terms, but currency translation helped results. The credit-sensitive segments of the market—investment grade corporate high yield bonds, senior loans, and emerging market issues—finished with healthy gains and strongly outpaced government debt thanks in part to the risk-on market in the first half of 2023.
The US dollar posted mixed results, initially falling sharply in late 2022 on expectations that the Fed would shift to a less aggressive policy stance. However, once investors began to see “higher for longer” as the most likely scenario, the dollar staged an impressive rally in the third calendar quarter of 2023 and made up for most of its earlier losses. Ultimately, the euro and British pound appreciated relative to the dollar while the Japanese yen struggled against the dollar.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Global Bond Fund returned 1.89% at net asset value. The Fund underperformed its benchmark, the Bloomberg Global Aggregate Bond Index, which returned 2.24%.
Explanation of Fund Performance
Targeted risk-adjusted overweight allocations to the insurance, transportation and financial others sectors contributed to performance during the period as global investment grade credit spreads (the incremental yield provided by lower quality securities relative to Treasuries) tightened from the spread widening events of 2022.
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 to positive contributions to relative performance during the period. The main benefits came from Japan and UK duration underweights as well as select local emerging market country exposures such as Brazil, South Africa, Mexico, and Indonesia.
Security selection was a modest positive contributor. In particular, issues held within the banking, government owned - no guarantee and securitized credit sectors were additive. Specific banking issuers such as Unicredit and Intesa Sanpaolo stand to benefit from rising rates while still maintaining healthy balance sheets with strong liquidity.
Overweights to Australia, New Zealand, and Canada's dollars largely benefitted performance during the early part of 2023 when global risk appetite led to currency strengthening versus the US dollar. At the same time, underweights to the euro and pound sterling weighed on performance as they recovered near the turn of the calendar year. An overweight to the Japanese yen and South African rand also detracted from performance while an underweight to the Chinese renminbi helped avoid potential losses experienced from currency depreciation.
| 4

Loomis Sayles Global Bond Fund
Security selection detracted within the agency mortgaged-backed securities ("MBS") and insurance sectors. FNMA underperformed due to persistent market volatility and less favorable supply and demand technicals. Insurance companies MACIFS, and Aflac detracted the most as the Euro and UK continue to fight sticky inflation, amid rising rates.
Currency and yield curve markets experienced elevated levels of volatility in the period. While the use of interest rate futures to achieve targeted duration levels had a positive impact on total return, the Fund’s use of forward currency contracts in managing relative exposures decreased the derivative contributions to total return, even partly reflecting hedge costs associated with using such contracts to neutralize select currency exposures relative to those of the benchmark. Overall, derivatives had a negative impact on total return.
Outlook
Currently, our core view is that the global economy is in a vulnerable position and therefore at risk of entering the downturn phase of the credit cycle1. However, asset valuations are generally reflecting a “soft landing” already. Believing the probability of this scenario is only around 20%, we find risk assets optimistically priced.
Even though earnings for companies in the S&P 500 Index were negative for the past three quarters, they did not collapse to the point where companies began to shed jobs – a scenario that typically heralds a downturn in the economy. Corporations have been losing pricing power, and economic growth appears set to continue slowing. We believe top-line revenue growth will be tougher to generate, and we suspect further profit margin compression is ahead. We view credit spreads as tight and likely to widen over the next six to twelve months. In our view, growth expectations seem too high as bond yields have surged, the US dollar has strengthened and energy prices have increased.
China’s economic growth has disappointed for the last few months. It wasn’t long ago that the market was incredibly bullish on the country’s post-Covid recovery story, but that optimistic scenario has failed to play out. Since China is a large source of external demand for the rest of the global economy, continued economic underperformance would weigh on total global economic growth. However, the most recent data prints in the country have shown evidence of stabilization.
We are watching 2024 GDP growth expectations closely. Bloomberg consensus estimates are calling for growth of 0.9% in the US in the coming year, while the Fed sees an expansion of 1.5%. In our view, growth expectations are too high given the combination of higher bond yields, the strong US dollar, and rising energy prices. On the other hand, leading indicators continued to show a stagnant economic environment in the Euro area. Manufacturing purchasing managers indexes (PMIs) in the region remained weak, and services PMIs also dropped into contraction territory. At its September 14 meeting, the European Central Bank (ECB) revised down its 2023 growth forecasts due to weaker second quarter growth and the slowdown in China. The ECB acknowledged that tighter financial conditions have had an increasing impact on activity, and core inflation pressure has begun to ease. This is in line with our expectation that the ECB will shift from aggressive hiking to a more neutral posture.
Globally, inflation remains far above central banks’ typical 2% targets. In our view, this adds to a growing belief that the economy is entering a higher for longer interest rate environment. The Fed’s September forecasts boosted the median expected fed funds rate in 2024 from 4.6% to 5.1%. The central bank’s September Summary of Economic Projections included higher GDP growth forecasts for 2023 and 2024, further suggesting that rates could stay elevated.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
5 |

 
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1
September 30, 2013 through September 30, 2023
 
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios3
 
Gross
Net
Institutional Class
1.89
%
-1.48
%
-0.31
%
0.75
%
0.70
%
Retail Class
1.62
-1.71
-0.56
1.00
0.95
Class N
1.96
-1.43
-0.24
0.66
0.65
Comparative Performance
Bloomberg Global Aggregate Bond Index2
2.24
-1.62
-0.44
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
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.
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
1/31/24. 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.
| 6

Loomis Sayles Inflation Protected Securities Fund
 
Managers
Elaine Kan, CFA®
Kevin P. Kearns
 
Symbols
Institutional Class
LSGSX
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 US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two- and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the 10-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Inflation Protected Securities Fund returned 0.99% at net asset value. The Fund underperformed its benchmark, the Bloomberg US Treasury Inflation Protected Securities Index, which returned 1.25%.
Explanation of Fund Performance
Overall breakeven inflation positioning significantly detracted from returns during the period. Overall security selection positively boosted returns for the year, with our out-of-benchmark corporate positioning also helping buoy returns for the period.
The fund aims to be duration neutral versus its benchmark and we use interest rate futures and swaps in our effort to achieve this objective. Given the large volatility of interest rates in the past year, the derivatives positions detracted from returns.
Outlook
A rise in US long-term yields during the third quarter erased the overall positive returns realized in the first half of the year across most sectors of the global fixed income market. Inflation — while still above the Fed’s 2% target — continued to decline from its mid-2022 peak and helped create optimism early in the year that central banks would be able to conclude their long series of interest rate hikes. More recently, a re-pricing of expectations for growth (resilient), inflation (stickier) and Fed policy (‘higher for longer’), as well as concern for significant US Treasury issuance over the coming 12-24 months, pushed yields higher. Since hitting a low of 3.31% for the year on April 6, the 10-year US Treasury yield climbed higher, ending September at 4.57%. As a result, performance of high quality, long duration bonds suffered. Sectors that have less interest rate sensitivity, such as high yield corporates and bank loans, continue to be bright spots on a year-to-date return basis.
In our view, the credit cycle1 is firmly in the ‘late cycle’ stage. Monetary policy is restrictive and lending standards have tightened, however, the economic backdrop has remained resilient and growth forecasts are reflecting better than expected growth for the remainder of 2023. Most notably, the resiliency can be seen in areas such as services/housing, and manufacturing has also experienced a bounce from more depressed levels witnessed late last year. While the risk of downturn remains, at this time we do not expect a technical recession of back-to-back quarters with negative GDP. Our base case calls for below trend US growth and our view is dependent on a strong consumer and stable corporate fundamentals. The consumer appears to be maintaining strong levels of excess savings and continues to spend at a healthy rate. Shifts in hiring
7 |

and firing dynamics, including labor hoarding, have led to employment remaining robust. We believe these factors should help support consumer confidence and spending going forward. Monetary policy has helped to cool employment, but it is still growing, and investors have likely had to reassess how much flexibility the Fed may have in the near term.
Corporate fundamentals appear stable, highlighted by strong leverage and interest coverage ratios, and specific to the high yield market, a maturity wall that seems manageable in our opinion through 2025. We are carefully monitoring the pace of corporate earnings growth. Earnings have contracted over the past three quarters, putting us in the midst of a ‘profits recession.’ While we believe earnings will trough at the end of 2023, if this trend continues, or accelerates as pricing power fades and margins come under further pressure, companies may need to aggressively cut costs (via job cuts). This could lead to an environment where the pace of earnings growth declines materially and ultimately leads to recession. Under this scenario, we believe a healthy consumer combined with stable corporate fundamentals should serve to minimize the potential for a hard landing by providing a floor to economic activity that could result in a mild or shallow recession.
Inflation has peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, however, in our opinion, inflation will continue to be ‘sticky.’ We believe inflation will remain elevated and above the Fed's target through the end of 2023 and into 2024 as services inflation remains high, which is worrisome because services inflation is currently stickier than goods inflation. Rising wages may be a major factor that keeps inflation elevated and constrains Fed policy in the near term. In addition, we foresee longer-term structural concerns that could support higher levels of inflation, including the impact of de-globalization, de-carbonization, aging demographics and growing government deficits. We anticipate the Fed to be driven by how firm the evidence is that inflation continues to moderate. The potential for an extended Fed pause and short-term rates that stay ‘higher for longer’ remains; in our view, policymakers will be slow to react to the onset of a downturn and will likely tolerate a rise in unemployment, particularly while inflation is above target.
We believe that value has returned to US fixed income markets and a combination of discount-to-par, favorable yields and an increase in issuer performance dispersion is helping to create opportunities in bonds. We expect defaults/losses to remain relatively low, while slowly increasing to more normal levels associated with a ‘late-cycle’ environment. With the potential for a downturn in 2024, we have been holding larger than average liquid reserves. We are comfortable with how we are being compensated by short-term yields as we patiently wait for opportunities to potentially develop. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. Overall, we are maintaining an up-in-quality bias and are focused on credits that we believe can weather a slowdown, or credits that will benefit from the transition of goods to services spending. We are mindful of the risks going forward, such as tighter financial conditions and their impact on the financial system, slower Chinese growth, geopolitical risk, and the broader economic impact of a further decline in the commercial real estate market. Much of the turmoil leaves us with a wide range of potential outcomes for growth, inflation and central bank policy response. Based on the uncertain backdrop, we feel it is prudent to maintain a balanced risk profile between interest rate and spread risk. We believe the 10-year US Treasury range is currently around 3.75% - 4.75%, with a potential path to 5% over the long term. We have structured our portfolios for a steeper yield curve, which we believe will be primarily driven by a fall in short-term rates as inflation moderates, combined with secular trends that could potentially keep a floor under long-term yields.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
 
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1
September 30, 2013 through September 30, 2023
 
See notes to chart on page 9.
| 8

Loomis Sayles Inflation Protected Securities Fund
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Life of
Class N
Expense Ratios3
 
Gross
Net
Institutional Class
0.99
%
2.18
%
1.60
%
—
%
0.49
%
0.40
%
Retail Class
0.74
1.95
1.34
—
0.74
0.65
Class N (Inception 2/1/17)
1.05
2.25
—
1.98
0.41
0.35
Comparative Performance
Bloomberg U.S. Treasury Inflation Protected Securities Index
(Series L)2
1.25
2.12
1.74
1.79
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
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.
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
1/31/24. 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.
9 |

Loomis Sayles Institutional High Income Fund
 
Managers
Matthew J. Eagan, CFA®
Brian P. Kennedy
Peter Sheehan*
Elaine M. Stokes**
Todd P. Vandam, CFA®
 
Symbol
Institutional Class
LSHIX
 
*
Effective June 30, 2023, Peter Sheehan serves as portfolio manager of the Fund.
**
Effective December 31, 2023, Elaine Stokes will no longer serve as portfolio manager of the Fund.
Investment Objective
The Fund's investment objective is high total investment return through a combination of current income and capital appreciation.
Market Conditions
The US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two-and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the 10-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Investment grade corporate bonds logged robust, broad-based gains and strongly outperformed Treasuries. The category was helped by both its yield advantage and a decline in its yield spread relative to government issues. The ICE BofA US Corporate Index Option-Adjusted Spread opened the period at 1.67 over Treasuries and closed at 1.23, indicating outperformance. Lower-rated bonds, shorter-term debt, and economically sensitive issues exhibited leadership, providing a tailwind for the category.
High yield corporate bonds delivered a strong, double-digit gain and finished well ahead of the investment-grade market, mostly due to the lower duration of high yield. A large contribution from yield helped results, as did a decline in yield spreads brought about by investors’ elevated appetite for risk. Senior loans, which typically feature floating rates, benefited from the rising rate environment and were one of the top performing segments of the bond market.
Over the prior year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized loan obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first half of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader Bloomberg US Aggregate Bond Index. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasuries over the period.
Developed market government bonds weakened in local currency terms given the challenging rate environment. However, emerging market bonds gained ground, reflecting both positive local market performance and favorable currency translation.
| 10

Loomis Sayles Institutional High Income Fund
Performance Results
For the 12 months ended September 30, 2023, Institutional Class shares of the Loomis Sayles Institutional High Income Fund returned 7.88% at net asset value. The Fund underperformed its benchmark, the Bloomberg US Corporate High-Yield Bond Index, which returned 10.28%.
Explanation of Fund Performance
High yield corporate bonds delivered strong returns throughout the year, finishing ahead of many other fixed income sectors, as this asset class is generally less sensitive to movements in interest rates. While the Fund posted positive returns on an absolute basis, it underperformed the benchmark. Security selection was the primary source of underperformance for the period. Our exposure to convertible securities, particularly within the communications and technology sectors, weighed on returns. The allocation to securitized debt was also a detractor. Here, holdings in non-agency CMBS hurt returns. Lastly, an allocation to defensive, reserve-like positions and US Treasuries was detrimental, as they did not keep pace with riskier asset classes.
Security selection within high yield corporate credit was a contributor to relative returns. Our higher conviction names, specifically in the cruise lines and consumer cyclical space were strong performers for the year.
Outlook
A rise in US long-term yields during the third quarter erased the overall positive returns realized in the first half of the year across most sectors of the global fixed income market. Inflation — while still above the Fed’s 2% target — continued to decline from its mid-2022 peak and helped create optimism early in the year that central banks would be able to conclude their long series of interest rate hikes. More recently, a re-pricing of expectations for growth (resilient), inflation (stickier) and Fed policy (higher for longer), as well as concern for significant US Treasury issuance over the coming 12-24 months, pushed yields higher. Since hitting a low of 3.31% for the year on April 6, the 10-year US Treasury yield climbed higher, ending September at 4.57%. As a result, performance of high quality, long duration bonds suffered. Sectors that have less interest rate sensitivity, such as high yield corporates and bank loans, continue to be bright spots on a year-to-date return basis.
In our view, the credit cycle1 is firmly in the late cycle stage. Monetary policy is restrictive and lending standards have tightened; however, the economic backdrop has remained resilient and forecasts are reflecting better-than-expected growth for the remainder of 2023. Most notably, resiliency can be seen in areas such as services/housing, while manufacturing has also experienced a bounce from more depressed levels witnessed late last year. While the risk of downturn remains, at this time we do not expect a technical recession of back-to-back quarters with negative GDP. Our base case calls for below trend US growth and our view is dependent on a strong consumer and stable corporate fundamentals. The consumer appears to maintain strong levels of excess savings and continues to spend at a healthy rate. Shifts in hiring and firing dynamics, including labor hoarding, have led to employment remaining robust. We believe these factors should help support consumer confidence and spending going forward. Monetary policy has helped to cool employment, but it is still growing, and investors have likely had to reassess how much flexibility the Fed may have in the near term.
Corporate fundamentals appear stable, highlighted by strong leverage and interest coverage ratios, and specific to the high yield market, a maturity wall that seems manageable, in our opinion, through 2025. We are carefully monitoring the pace of corporate earnings growth. Earnings have contracted over the past three quarters, putting us in the midst of a “profits recession.” While we believe earnings will trough at the end of 2023, if this trend continues, or accelerates as pricing power fades and margins come under further pressure, companies may need to aggressively cut costs (via job cuts). This could lead to an environment where the pace of earnings growth declines materially and ultimately leads to recession. Under this scenario, we believe a healthy consumer combined with stable corporate fundamentals should serve to minimize the potential for a hard landing by providing a floor to economic activity that could result in a mild or shallow recession.
While inflation has peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, in our opinion inflation will continue to be sticky. We believe inflation will remain elevated and above the Fed's target through the end of 2023 and into 2024 as services inflation remains high, which is worrisome because services inflation is currently stickier than goods inflation. Rising wages may be a major factor that keeps inflation elevated and constrains Fed policy in the near term. In addition, we foresee longer-term structural concerns that could support higher levels of inflation, including the impact of de-globalization, de-carbonization, aging demographics and growing government deficits. We anticipate the Fed will be driven by how firm evidence is that inflation continues to moderate. The potential for an extended Fed pause and short-term rates that stay “higher for longer” remains; in our view, policymakers will be slow to react to the onset of a downturn and will likely tolerate a rise in unemployment, particularly while inflation is above target. We believe value has returned to US fixed income markets and a combination of discount-to-par, favorable yields and an increase in issuer performance dispersion is helping to create opportunities in bonds. We expect defaults/losses to remain relatively low, while slowly increasing to more normal levels associated with a late cycle environment. With the potential for a downturn in 2024, we have been holding larger-than-average liquid reserves. We are comfortable with how we are being compensated by short-term yields as we patiently wait for opportunities to potentially develop. If volatility increases and we see what we view as more attractive yields and spreads, we would consider re-deploying reserves. Overall, we are maintaining an up-in-quality bias and are focused on credits that we believe can weather a slowdown, or credits that will benefit from the transition of goods to services spending. We are mindful of the risks going forward, such as tighter financial conditions
11 |

and their impact on the financial system, slower Chinese growth, geopolitical risk, and the broader economic impact of a further decline in the commercial real estate market. Much of the turmoil leaves us with a wide range of potential outcomes for growth, inflation and central bank policy response. Based on the uncertain backdrop, we feel it is prudent to maintain a balanced risk profile between interest rate and spread risk. We believe the 10-year US Treasury range is currently around 3.75% - 4.75%, with a potential path to 5% over the long term. We have structured our portfolios for a steeper yield curve, which we believe will be primarily driven by a fall in short-term rates as inflation moderates, combined with secular trends that could potentially keep a floor under long-term yields.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
 
Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares1
September 30, 2013 through September 30, 2023
 
 
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios3
 
Gross
Net
Institutional Class
7.88
%
1.23
%
3.33
%
0.68
%
0.68
%
Comparative Performance
Bloomberg U.S. Corporate High-Yield Bond Index2
10.28
2.96
4.24
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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
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.
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
1/31/25. 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 Funds at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission (“SEC”) website at www.sec.gov. Information regarding 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 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 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.
13 |

Understanding Your Fund's Expenses
As a mutual fund shareholder, you incur different costs:  transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees ("12b-1 fees"), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ 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 of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2023 through September 30, 2023. 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 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 and 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, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning funds. If transaction costs were included, total costs would be higher. 
Loomis Sayles Fixed Income Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$973.00
$2.97
Hypothetical (5% return before expenses)
$1,000.00
$1,022.06
$3.04
 
*
Expenses are equal to the Fund's annualized expense ratio of 0.60%, 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 Global Bond Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$944.60
$3.36
Hypothetical (5% return before expenses)
$1,000.00
$1,021.61
$3.50
Retail Class
Actual
$1,000.00
$943.40
$4.58
Hypothetical (5% return before expenses)
$1,000.00
$1,020.36
$4.76
Class N
Actual
$1,000.00
$944.80
$3.12
Hypothetical (5% return before expenses)
$1,000.00
$1,021.86
$3.24
 
*
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement):  0.69%, 0.94% and 0.64% 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).
 
| 14

Loomis Sayles Inflation Protected Securities Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$957.70
$1.96
Hypothetical (5% return before expenses)
$1,000.00
$1,023.06
$2.03
Retail Class
Actual
$1,000.00
$957.30
$3.19
Hypothetical (5% return before expenses)
$1,000.00
$1,021.81
$3.29
Class N
Actual
$1,000.00
$958.90
$1.72
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
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Institutional Class
Actual
$1,000.00
$1,013.00
$3.63
Hypothetical (5% return before expenses)
$1,000.00
$1,021.46
$3.65
 
*
Expenses are equal to the Fund's annualized expense ratio of 0.72%, 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).
15 |

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 and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.
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. The information received by the Trustees 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, performance rankings provided by a third-party data provider 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 2023. In the case of Loomis Sayles Institutional High Income Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective July 1, 2023. 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 recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.
| 16

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 categories of funds and the Funds’ respective performance benchmarks. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. The Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third-party rating organization 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, 2022, 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
71%
73%
64%
Loomis Sayles Global Bond Fund
68%
31%
39%
Loomis Sayles Inflation Protected Securities Fund
80%
43%
35%
Loomis Sayles Institutional High Income Fund
80%
53%
92%
In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for certain 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, 2022; (3) that the Fund’s more recent performance (i.e., for the second half of 2022) was stronger relative to earlier in the one-year period; (4) that the Fund’s longer-term (three- and five-year) performance was stronger relative to its category; and (5) that the Fund’s long-term (10-year) performance was stronger relative to its category. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.
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
17 |

limitation. They further noted that management had proposed to reduce the advisory fee rate and expense limitation for Loomis Sayles Institutional High Income Fund, effective as of July 1, 2023. The Trustees also noted that the Loomis Sayles Fixed Income Fund and Loomis Sayles Inflation Protected Securities Fund had total advisory fee rates that were below the medians of their respective peer groups of funds. The Board also considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.
The Trustees noted that the Loomis Sayles Global Bond Fund and Loomis Sayles Institutional High Income Fund had total advisory fee rates that were above the median of their peer groups of funds. In this regard, the Trustees considered the factors that management believed justified the relatively higher advisory fee rates, including that: (1) the advisory fee was only one basis point higher than the median of a peer group of funds for Loomis Sayles Global Bond Fund; (2) the advisory fee was only six basis points higher that the median of a peer group of funds for Loomis Sayles Institutional High Income Fund; and (3) management had proposed to reduce the advisory fee and expense limitation for Loomis Sayles Institutional High Income Fund.
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. The Board also noted the competitive nature of the global asset management industry.
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, which reduced the total expenses borne by shareholders of certain Funds. 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. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Institutional High Income Fund. 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 various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign central bank policies, and lingering effects of the Covid-19 crisis, as applicable, 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 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, including the reduction in the advisory fee schedule for Loomis Sayles Institutional High Income Fund described above, should be continued through June 30, 2024.
| 18

LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through September 30, 2023)
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, 2022 to December 31, 2022, 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, 2023 through September 30, 2023, 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.
19 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund
 
Principal
Amount (‡)
Description
Value (†)
Bonds and Notes — 89.7% of Net Assets
Non-Convertible Bonds — 85.2%
ABS Car Loan — 4.1%
$675,000
American Credit Acceptance Receivables
Trust, Series 2021-3, Class D,
1.340%, 11/15/2027(a)
$641,152
125,000
American Credit Acceptance Receivables
Trust, Series 2022-4, Class C,
7.860%, 2/15/2029(a)
125,936
685,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2020-2A, Class A,
2.020%, 2/20/2027(a)
625,094
630,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2020-2A, Class C,
4.250%, 2/20/2027(a)
589,144
145,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2021-1A, Class C,
2.130%, 8/20/2027(a)
126,158
125,000
Avis Budget Rental Car Funding
AESOP LLC, Series 2023-8A, Class C,
7.340%, 2/20/2030(a)
124,223
100,000
CarMax Auto Owner Trust,
Series 2022-1, Class D,
2.470%, 7/17/2028
90,625
119,474
Carvana Auto Receivables Trust,
Series 2021-N3, Class C,
1.020%, 6/12/2028
110,399
515,000
Carvana Auto Receivables Trust,
Series 2021-P3, Class C,
1.930%, 10/12/2027
440,623
200,000
Carvana Auto Receivables Trust,
Series 2023-N1, Class D,
6.690%, 7/10/2029(a)
195,518
525,000
Credit Acceptance Auto Loan Trust,
Series 2020-2A, Class C,
2.730%, 11/15/2029(a)
524,179
900,000
Credit Acceptance Auto Loan Trust,
Series 2021-2A, Class C,
1.640%, 6/17/2030(a)
854,272
335,000
Credit Acceptance Auto Loan Trust,
Series 2021-3A, Class C,
1.630%, 9/16/2030(a)
313,623
1,380,000
DT Auto Owner Trust, Series 2021-3A,
Class D, 1.310%, 5/17/2027(a)
1,252,922
385,000
DT Auto Owner Trust, Series 2023-3A,
Class D, 7.120%, 5/15/2029(a)
387,575
815,000
Exeter Automobile Receivables Trust,
Series 2021-1A, Class D,
1.080%, 11/16/2026
779,746
1,000,000
Exeter Automobile Receivables Trust,
Series 2021-3A, Class D,
1.550%, 6/15/2027
922,239
100,000
Exeter Automobile Receivables Trust,
Series 2022-2A, Class D,
4.560%, 7/17/2028
95,278
Principal
Amount (‡)
Description
Value (†)
ABS Car Loan — continued
$160,000
Exeter Automobile Receivables Trust,
Series 2022-6A, Class C,
6.320%, 5/15/2028
$158,935
335,000
Exeter Automobile Receivables Trust,
Series 2023-2A, Class D,
6.320%, 8/15/2029
327,300
160,000
Exeter Automobile Receivables Trust,
Series 2023-3A, Class D,
6.680%, 4/16/2029
159,175
215,000
First Investors Auto Owner Trust,
Series 2022-2A, Class D,
8.710%, 10/16/2028(a)
219,347
435,000
Flagship Credit Auto Trust,
Series 2021-2, Class D,
1.590%, 6/15/2027(a)
397,643
200,000
Ford Credit Auto Lease Trust,
Series 2023-B, Class D,
6.970%, 6/15/2028
199,092
335,000
Foursight Capital Automobile
Receivables Trust, Series 2021-2,
Class D, 1.920%, 9/15/2027(a)
309,674
1,975,000
GLS Auto Receivables Issuer Trust,
Series 2021-1A, Class D,
1.680%, 1/15/2027(a)
1,884,383
725,000
GLS Auto Receivables Issuer Trust,
Series 2021-2A, Class D,
1.420%, 4/15/2027(a)
673,844
675,000
GLS Auto Receivables Issuer Trust,
Series 2021-3A, Class D,
1.480%, 7/15/2027(a)
621,068
255,000
GLS Auto Receivables Issuer Trust,
Series 2023-2A, Class D,
6.310%, 3/15/2029(a)
251,046
935,000
Hertz Vehicle Financing III LLC,
Series 2022-1A, Class D,
4.850%, 6/25/2026(a)
874,802
599,000
Hertz Vehicle Financing III LLC,
Series 2022-3A, Class D,
6.310%, 3/25/2025(a)
594,186
255,000
Hertz Vehicle Financing III LLC,
Series 2023-1A, Class D2,
9.130%, 6/25/2027(a)
251,711
360,000
Hertz Vehicle Financing III LLC,
Series 2023-2A, Class D,
9.400%, 9/25/2029(a)
362,053
605,000
Hertz Vehicle Financing LLC,
Series 2022-2A, Class D,
5.160%, 6/26/2028(a)
522,642
455,000
Hertz Vehicle Financing LLC,
Series 2022-4A, Class D,
6.560%, 9/25/2026(a)
434,406
59,306
JPMorgan Chase Bank N.A,
Series 2021-1, Class D,
1.174%, 9/25/2028(a)
57,828
See accompanying notes to financial statements.
| 20

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
ABS Car Loan — continued
$76,637
JPMorgan Chase Bank N.A,
Series 2021-3, Class D,
1.009%, 2/26/2029(a)
$72,738
635,000
Prestige Auto Receivables Trust,
Series 2022-1A, Class D,
8.080%, 8/15/2028(a)
648,051
81,714
Santander Bank Auto Credit-Linked
Notes, Series 2021-1A, Class B,
1.833%, 12/15/2031(a)
79,648
200,000
Westlake Automobile Receivables Trust,
Series 2023-1A, Class D,
6.790%, 11/15/2028(a)
198,503
 
17,496,781
ABS Credit Card — 0.1%
380,000
Mission Lane Credit Card Master Trust,
7.690%, 11/15/2028(a)
379,946
ABS Home Equity — 4.5%
686,666
510 Asset-Backed Trust,
Series 2021-NPL1, Class A1,
2.240%, 6/25/2061(a)(b)
631,469
630,000
CAFL Issuer LLC, Series 2021-RTL1,
Class A1, 2.239%, 3/28/2029(a)(b)
582,271
371,720
CIM Trust, Series 2021-NR2, Class A1,
2.568%, 7/25/2059(a)(b)
357,673
210,000
CoreVest American Finance Ltd.,
Series 2021-1, Class C,
2.800%, 4/15/2053(a)
160,377
300,000
CoreVest American Finance Ltd.,
Series 2021-2, Class C,
2.478%, 7/15/2054(a)
229,884
150,000
CoreVest American Finance Ltd.,
Series 2021-3, Class D,
3.469%, 10/15/2054(a)
118,423
499,651
Credit Suisse Mortgage Trust,
Series 2021-RPL1, Class A1,
1.668%, 9/27/2060(a)(b)
459,914
1,207,263
Credit Suisse Mortgage Trust,
Series 2021-RPL4, Class A1,
1.796%, 12/27/2060(a)(b)
1,123,972
236,810
Federal Home Loan Mortgage Corp.,
Series 2022-DNA3, Class M1A,
REMIC, 30 day USD SOFR Average +
2.000%, 7.315%, 4/25/2042(a)(c)
238,499
675,000
FirstKey Homes Trust,
Series 2021-SFR1, Class E1,
2.389%, 8/17/2038(a)
585,691
315,000
FirstKey Homes Trust,
Series 2021-SFR2, Class E1,
2.258%, 9/17/2038(a)
270,177
205,000
FirstKey Homes Trust,
Series 2021-SFR2, Class E2,
2.358%, 9/17/2038(a)
175,333
300,000
FirstKey Homes Trust,
Series 2022-SFR2, Class D,
4.500%, 7/17/2039(a)
271,001
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$272,819
GCAT Trust, Series 2019-RPL1,
Class A1, 2.650%, 10/25/2068(a)(b)
$253,939
367,239
GITSIT Mortgage Loan Trust,
Series 2023-NPL1, Class A1,
8.353%, 5/25/2053(a)(b)
365,700
85,772
Home Partners of America Trust,
Series 2021-1, Class E,
2.577%, 9/17/2041(a)
66,239
799,000
Home Partners of America Trust,
Series 2021-2, Class E1,
2.852%, 12/17/2026(a)
687,132
413,940
Home Partners of America Trust,
Series 2021-2, Class E2,
2.952%, 12/17/2026(a)
355,577
127,024
Legacy Mortgage Asset Trust,
Series 2020-GS5, Class A1,
6.250%, 6/25/2060(a)(b)
125,625
1,215,000
Legacy Mortgage Asset Trust,
Series 2020-RPL1, Class A2,
3.250%, 9/25/2059(a)(b)
1,001,537
551,558
Legacy Mortgage Asset Trust,
Series 2021-GS2, Class A1,
1.750%, 4/25/2061(a)(b)
509,448
115,000
Mill City Mortgage Loan Trust,
Series 2019-GS1, Class M2,
3.250%, 7/25/2059(a)(b)
90,912
705,000
Progress Residential Trust,
Series 2021-SFR2, Class E1,
2.547%, 4/19/2038(a)
619,001
240,000
Progress Residential Trust,
Series 2021-SFR3, Class E1,
2.538%, 5/17/2026(a)
209,411
200,000
Progress Residential Trust,
Series 2021-SFR3, Class E2,
2.688%, 5/17/2026(a)
174,141
125,000
Progress Residential Trust,
Series 2021-SFR4, Class E1,
2.409%, 5/17/2038(a)
108,560
100,000
Progress Residential Trust,
Series 2021-SFR4, Class E2,
2.559%, 5/17/2038(a)
86,665
295,000
Progress Residential Trust,
Series 2021-SFR5, Class E1,
2.209%, 7/17/2038(a)
253,172
100,000
Progress Residential Trust,
Series 2021-SFR5, Class E2,
2.359%, 7/17/2038(a)
85,839
380,000
Progress Residential Trust,
Series 2021-SFR6, Class E1,
2.425%, 7/17/2038(a)
328,568
200,000
Progress Residential Trust,
Series 2021-SFR6, Class E2,
2.525%, 7/17/2038(a)
172,749
340,000
Progress Residential Trust,
Series 2021-SFR7, Class E1,
2.591%, 8/17/2040(a)
269,711
See accompanying notes to financial statements.
21 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$100,000
Progress Residential Trust,
Series 2021-SFR7, Class E2,
2.640%, 8/17/2040(a)
$78,659
100,000
Progress Residential Trust,
Series 2023-SFR2, Class B,
4.500%, 10/17/2028(a)
91,755
789,020
PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026(a)(b)
743,123
288,876
PRPM LLC, Series 2021-2, Class A1,
2.115%, 3/25/2026(a)(b)
277,072
540,610
PRPM LLC, Series 2021-3, Class A1,
1.867%, 4/25/2026(a)(b)
507,160
161,812
PRPM LLC, Series 2021-4, Class A1,
1.867%, 4/25/2026(a)(b)
148,720
786,389
PRPM LLC, Series 2021-5, Class A1,
1.793%, 6/25/2026(a)(b)
712,036
926,678
PRPM LLC, Series 2022-5, Class A1,
6.900%, 9/27/2027(a)(b)
919,890
785,821
Toorak Mortgage Corp. Ltd.,
Series 2021-1, Class A1,
2.240%, 6/25/2024(a)(b)
764,094
240,000
Towd Point Mortgage Trust,
Series 2016-3, Class M2,
4.000%, 4/25/2056(a)(b)
229,135
495,000
Towd Point Mortgage Trust,
Series 2018-5, Class M1,
3.250%, 7/25/2058(a)(b)
370,997
603,597
Towd Point Mortgage Trust,
Series 2019-4, Class A1,
2.900%, 10/25/2059(a)(b)
553,059
100,000
Towd Point Mortgage Trust,
Series 2020-1, Class A2B,
3.250%, 1/25/2060(a)(b)
82,652
143,446
VCAT LLC, Series 2021-NPL1,
Class A1, 2.289%, 12/26/2050(a)(b)
138,799
218,616
VOLT XCII LLC, Series 2021-NPL1,
Class A1, 1.893%, 2/27/2051(a)(b)
205,491
608,983
VOLT XCIII LLC, Series 2021-NPL2,
Class A1, 1.893%, 2/27/2051(a)(b)
565,755
510,581
VOLT XCIV LLC, Series 2021-NPL3,
Class A1, 2.240%, 2/27/2051(a)(b)
481,094
341,072
VOLT XCVI LLC, Series 2021-NPL5,
Class A1, 2.116%, 3/27/2051(a)(b)
322,755
803,548
VOLT XCVII LLC, Series 2021-NPL6,
Class A1, 2.240%, 4/25/2051(a)(b)
748,411
 
18,909,267
ABS Other — 2.7%
380,000
Affirm Asset Securitization Trust,
Series 2023-B, Class A,
6.820%, 9/15/2028(a)
379,507
158,971
Aqua Finance Trust, Series 2019-A,
Class C, 4.010%, 7/16/2040(a)
143,771
160,000
Aqua Finance Trust, Series 2021-A,
Class B, 2.400%, 7/17/2046(a)
128,086
Principal
Amount (‡)
Description
Value (†)
ABS Other — continued
$87,127
Business Jet Securities LLC,
Series 2021-1A, Class B,
2.918%, 4/15/2036(a)
$77,066
696,575
CAL Funding IV Ltd., Series 2020-1A,
Class A, 2.220%, 9/25/2045(a)
606,320
208,094
Castlelake Aircraft Structured Trust,
Series 2018-1, Class B,
5.300%, 6/15/2043(a)
152,167
780,366
CLI Funding VIII LLC, Series 2021-1A,
Class A, 1.640%, 2/18/2046(a)
666,418
115,000
Foundation Finance Trust,
Series 2023-2A, Class B,
6.970%, 6/15/2049(a)
114,969
64,401
FREED ABS Trust, Series 2021-2,
Class C, 1.940%, 6/19/2028(a)
63,466
370,000
FREED ABS Trust, Series 2021-3FP,
Class D, 2.370%, 11/20/2028(a)
349,332
1,500,000
Frontier Issuer LLC, Series 2023-1,
Class A2, 6.600%, 8/20/2053(a)
1,433,265
115,000
HPEFS Equipment Trust,
Series 2023-2A, Class D,
6.970%, 7/21/2031(a)
115,299
651,637
JOL Air Ltd., Series 2019-1, Class A,
3.967%, 4/15/2044(a)
587,327
1,073,080
MAPS Trust, Series 2021-1A, Class A,
2.521%, 6/15/2046(a)
919,658
110,000
Marlette Funding Trust, Series 2021-2A,
Class C, 1.500%, 9/15/2031(a)
106,050
105,708
Merlin Aviation Holdings DAC,
Series 2016-1, Class A,
4.500%, 12/15/2032(a)(b)
92,118
201,256
OneMain Financial Issuance Trust,
Series 2018-2A, Class A,
3.570%, 3/14/2033(a)
198,880
345,000
OneMain Financial Issuance Trust,
Series 2021-1A, Class D,
2.470%, 6/16/2036(a)
275,525
380,000
OneMain Financial Issuance Trust,
Series 2022-S1, Class D,
5.200%, 5/14/2035(a)
342,963
100,000
SCF Equipment Leasing LLC,
Series 2021-1A, Class D,
1.930%, 9/20/2030(a)
90,199
315,000
SCF Equipment Leasing LLC,
Series 2022-2A, Class C,
6.500%, 8/20/2032(a)
305,090
113,599
Shenton Aircraft Investment I Ltd.,
Series 2015-1A, Class A,
4.750%, 10/15/2042(a)
95,692
99,143
Sierra Timeshare Receivables
Funding LLC, Series 2019-2A, Class C,
3.120%, 5/20/2036(a)
95,915
64,934
Sierra Timeshare Receivables
Funding LLC, Series 2019-3A, Class C,
3.000%, 8/20/2036(a)
60,757
See accompanying notes to financial statements.
| 22

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
ABS Other — continued
$56,886
Sierra Timeshare Receivables
Funding LLC, Series 2021-1A, Class C,
1.790%, 11/20/2037(a)
$52,819
99,792
Sierra Timeshare Receivables
Funding LLC, Series 2023-2A, Class C,
7.300%, 4/20/2040(a)
98,771
1,216,051
Slam Ltd., Series 2021-1A, Class A,
2.434%, 6/15/2046(a)
1,033,673
100,000
SoFi Consumer Loan Program Trust,
Series 2021-1, Class D,
2.040%, 9/25/2030(a)
93,922
616,464
Sunnova Helios X Issuer LLC,
Series 2022-C, Class C,
6.000%, 11/22/2049(a)
519,830
137,940
Sunnova Helios XII Issuer LLC,
Series 2023-B, Class B,
5.600%, 8/22/2050(a)
128,481
600,399
TIF Funding II LLC, Series 2021-1A,
Class A, 1.650%, 2/20/2046(a)
496,969
230,000
Towd Point Mortgage Trust,
Series 2017-1, Class M1,
3.750%, 10/25/2056(a)(b)
213,860
523,093
WAVE Trust, Series 2017-1A, Class A,
3.844%, 11/15/2042(a)
420,499
1,122,574
Willis Engine Structured Trust VI,
Series 2021-A, Class A,
3.104%, 5/15/2046(a)
900,202
 
11,358,866
ABS Student Loan — 0.5%
218,717
College Avenue Student Loans LLC,
Series 2021-A, Class C,
2.920%, 7/25/2051(a)
195,470
211,866
EDvestinU Private Education Loan Issue
No. 3 LLC, Series 2021-A, Class A,
1.800%, 11/25/2045(a)
183,364
74,048
Navient Private Education Refi Loan
Trust, Series 2020-HA, Class A,
1.310%, 1/15/2069(a)
67,026
209,690
Navient Private Education Refi Loan
Trust, Series 2021-A, Class A,
0.840%, 5/15/2069(a)
181,384
100,000
Navient Private Education Refi Loan
Trust, Series 2021-A, Class B,
2.240%, 5/15/2069(a)
70,013
170,000
Navient Private Education Refi Loan
Trust, Series 2021-EA, Class B,
2.030%, 12/16/2069(a)
108,449
385,000
Navient Private Education Refi Loan
Trust, Series 2021-FA, Class B,
2.120%, 2/18/2070(a)
235,879
131,548
SMB Private Education Loan Trust,
Series 2016-C, Class A2A,
2.340%, 9/15/2034(a)
127,654
Principal
Amount (‡)
Description
Value (†)
ABS Student Loan — continued
$57,224
SMB Private Education Loan Trust,
Series 2020-A, Class A2A,
2.230%, 9/15/2037(a)
$52,582
722,292
SMB Private Education Loan Trust,
Series 2021-A, Class A2A2, 1 mo. USD
SOFR + 0.844%,
6.177%, 1/15/2053(a)(c)
710,652
475,000
SMB Private Education Loan Trust,
Series 2021-B, Class B,
2.650%, 7/17/2051(a)
368,889
 
2,301,362
ABS Whole Business — 0.5%
785,000
Applebee's Funding LLC/IHOP
Funding LLC, Series 2023-1A, Class A2,
7.824%, 3/05/2053(a)
773,876
56,700
Domino's Pizza Master Issuer LLC,
Series 2017-1A, Class A23,
4.118%, 7/25/2047(a)
52,456
133,350
Domino's Pizza Master Issuer LLC,
Series 2018-1A, Class A2II,
4.328%, 7/25/2048(a)
123,793
640,263
Domino's Pizza Master Issuer LLC,
Series 2021-1A, Class A2I,
2.662%, 4/25/2051(a)
539,734
293,250
Hardee's Funding LLC, Series 2021-1A,
Class A2, 2.865%, 6/20/2051(a)
230,432
91,438
Planet Fitness Master Issuer LLC,
Series 2019-1A, Class A2,
3.858%, 12/05/2049(a)
76,815
49,250
Planet Fitness Master Issuer LLC,
Series 2022-1A, Class A2I,
3.251%, 12/05/2051(a)
44,038
259,188
Wendy's Funding LLC, Series 2018-1A,
Class A2II, 3.884%, 3/15/2048(a)
232,059
 
2,073,203
Aerospace & Defense — 0.3%
855,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
848,122
435,000
TransDigm, Inc., 6.750%, 8/15/2028(a)
428,253
 
1,276,375
Airlines — 1.3%
313,473
American Airlines Pass-Through Trust,
Series 2016-3, Class B,
3.750%, 4/15/2027
292,881
924,375
American Airlines Pass-Through Trust,
Series 2017-1, Class B,
4.950%, 8/15/2026
895,557
642,810
American Airlines Pass-Through Trust,
Series 2017-2, Class B,
3.700%, 4/15/2027
610,401
371,132
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A,
5.900%, 4/01/2026
371,395
See accompanying notes to financial statements.
23 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Airlines — continued
$1,011,446
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A,
4.625%, 12/03/2026
$973,404
430,185
United Airlines Pass-Through Trust,
Series 20-1, Class A, 5.875%, 4/15/2029
426,124
949,458
United Airlines Pass-Through Trust,
Series 2014-1, Class A,
4.000%, 10/11/2027
902,026
1,075,000
United Airlines Pass-Through Trust,
Series 2023-1, Class A,
5.800%, 7/15/2037
1,045,309
 
5,517,097
Automotive — 0.8%
130,000
General Motors Financial Co., Inc.,
3.100%, 1/12/2032
100,579
2,270,000
General Motors Financial Co., Inc.,
3.600%, 6/21/2030
1,899,873
270,000
General Motors Financial Co., Inc.,
5.850%, 4/06/2030
258,626
135,000
General Motors Financial Co., Inc.,
6.000%, 1/09/2028
133,347
285,000
General Motors Financial Co., Inc.,
6.400%, 1/09/2033
278,332
60,000
General Motors Financial Co., Inc.,
Series A, (fixed rate to 9/30/2027,
variable rate thereafter), 5.750%(d)
48,317
100,000
General Motors Financial Co., Inc.,
Series C, (fixed rate to 9/30/2030,
variable rate thereafter), 5.700%(d)
85,461
285,000
ZF North America Capital, Inc.,
6.875%, 4/14/2028(a)
279,029
300,000
ZF North America Capital, Inc.,
7.125%, 4/14/2030(a)
294,180
 
3,377,744
Banking — 6.4%
205,000
AIB Group PLC, (fixed rate to
9/13/2028, variable rate thereafter),
6.608%, 9/13/2029(a)
204,147
1,146,000
Ally Financial, Inc.,
8.000%, 11/01/2031
1,157,041
1,585,000
Ally Financial, Inc., Series B, (fixed rate
to 5/15/2026, variable rate thereafter),
4.700%(d)
1,087,691
1,500,000
Ally Financial, Inc., Series C, (fixed rate
to 5/15/2028, variable rate thereafter),
4.700%(d)
939,295
3,340,000
Bank of America Corp.,
6.110%, 1/29/2037
3,293,700
762,000
Bank of America Corp., (fixed rate to
9/21/2031, variable rate thereafter),
2.482%, 9/21/2036
554,490
915,000
Barclays PLC, (fixed rate to 11/24/2026,
variable rate thereafter),
2.279%, 11/24/2027
806,176
Principal
Amount (‡)
Description
Value (†)
Banking — continued
$1,125,000
Barclays PLC, (fixed rate to 3/15/2028,
variable rate thereafter), 4.375%(d)
$780,797
980,000
Barclays PLC, (fixed rate to 5/09/2033,
variable rate thereafter),
6.224%, 5/09/2034
928,344
1,175,000
BNP Paribas SA, (fixed rate to
1/20/2027, variable rate thereafter),
2.591%, 1/20/2028(a)
1,046,810
580,000
CaixaBank SA, (fixed rate to 9/13/2033,
variable rate thereafter),
6.840%, 9/13/2034(a)
568,736
685,000
Credit Agricole SA,
3.250%, 1/14/2030(a)
571,338
495,000
Credit Agricole SA, (fixed rate to
1/10/2028, variable rate thereafter),
4.000%, 1/10/2033
438,912
370,000
Deutsche Bank AG, (fixed rate to
10/07/2031, variable rate thereafter),
3.742%, 1/07/2033
265,510
1,202,000
Deutsche Bank AG, (fixed rate to
10/14/2030, variable rate thereafter),
3.729%, 1/14/2032
894,761
235,000
Deutsche Bank AG, (fixed rate to
12/01/2027, variable rate thereafter),
4.875%, 12/01/2032
200,486
2,075,000
Goldman Sachs Group, Inc., (fixed rate
to 8/23/2027, variable rate thereafter),
4.482%, 8/23/2028
1,964,010
1,055,000
HSBC Holdings PLC, (fixed rate to
3/09/2028, variable rate thereafter),
6.161%, 3/09/2029
1,044,389
300,000
ING Groep NV, (fixed rate to
9/11/2033, variable rate thereafter),
6.114%, 9/11/2034
291,333
355,000
Intesa Sanpaolo SpA,
6.625%, 6/20/2033(a)
333,604
290,000
Intesa Sanpaolo SpA, (fixed rate to
6/01/2031, variable rate thereafter),
4.198%, 6/01/2032(a)
213,933
1,465,000
Morgan Stanley, (fixed rate to
1/19/2033, variable rate thereafter),
5.948%, 1/19/2038
1,369,300
1,495,000
Morgan Stanley, (fixed rate to
1/21/2027, variable rate thereafter),
2.475%, 1/21/2028
1,332,970
530,000
NatWest Group PLC, (fixed rate to
9/30/2027, variable rate thereafter),
5.516%, 9/30/2028
512,836
1,040,000
Sumitomo Mitsui Financial Group, Inc.,
5.464%, 1/13/2026
1,029,650
320,000
Synchrony Bank, 5.400%, 8/22/2025
307,834
650,000
Synchrony Bank, 5.625%, 8/23/2027
603,662
360,000
UBS Group AG, (fixed rate to
11/15/2032, variable rate thereafter),
9.016%, 11/15/2033(a)
415,733
See accompanying notes to financial statements.
| 24

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Banking — continued
$500,000
UBS Group AG, (fixed rate to
6/05/2025, variable rate thereafter),
2.193%, 6/05/2026(a)
$465,030
1,390,000
UBS Group AG, (fixed rate to
7/15/2025, variable rate thereafter),
6.373%, 7/15/2026(a)
1,384,761
780,000
UBS Group AG, (fixed rate to
8/11/2027, variable rate thereafter),
6.442%, 8/11/2028(a)
778,510
1,000,000
UBS Group AG, (fixed rate to
8/12/2032, variable rate thereafter),
6.537%, 8/12/2033(a)
990,600
200,000
UniCredit SpA, (fixed rate to 6/03/2026,
variable rate thereafter),
1.982%, 6/03/2027(a)
176,674
405,000
UniCredit SpA, (fixed rate to 6/19/2027,
variable rate thereafter),
5.861%, 6/19/2032(a)
368,611
 
27,321,674
Brokerage — 0.4%
210,000
Jefferies Financial Group, Inc.,
5.875%, 7/21/2028
205,513
1,670,000
Jefferies Financial Group, Inc.,
6.250%, 1/15/2036
1,641,442
 
1,846,955
Building Materials — 1.6%
4,500,000
Cemex SAB de CV,
3.875%, 7/11/2031(a)
3,769,268
1,195,000
Cemex SAB de CV, (fixed rate to
6/08/2026, variable rate thereafter),
5.125%(a)(d)
1,118,750
140,000
JELD-WEN, Inc.,
4.875%, 12/15/2027(a)
123,533
213,000
Masco Corp., 6.500%, 8/15/2032
214,567
380,000
Masco Corp., 7.750%, 8/01/2029
412,009
1,188,000
Owens Corning, 7.000%, 12/01/2036
1,253,856
 
6,891,983
Cable Satellite — 3.8%
375,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.250%, 2/01/2031(a)
298,616
3,385,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.250%, 1/15/2034(a)
2,492,301
50,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
2.300%, 2/01/2032
36,439
1,780,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
2.800%, 4/01/2031
1,388,145
180,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
3.700%, 4/01/2051
104,741
Principal
Amount (‡)
Description
Value (†)
Cable Satellite — continued
$2,625,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
3.950%, 6/30/2062
$1,489,016
230,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
4.400%, 4/01/2033
195,624
1,295,000
CSC Holdings LLC,
3.375%, 2/15/2031(a)
882,461
200,000
CSC Holdings LLC,
4.500%, 11/15/2031(a)
141,556
2,710,000
CSC Holdings LLC,
4.625%, 12/01/2030(a)
1,440,780
1,750,000
CSC Holdings LLC,
5.375%, 2/01/2028(a)
1,424,696
1,020,000
DISH DBS Corp., 5.125%, 6/01/2029
565,468
2,215,000
DISH DBS Corp.,
5.250%, 12/01/2026(a)
1,882,420
2,710,000
DISH DBS Corp.,
5.750%, 12/01/2028(a)
2,083,312
270,000
DISH DBS Corp., 7.750%, 7/01/2026
202,500
375,000
Time Warner Cable LLC,
4.500%, 9/15/2042
259,807
1,500,000
Time Warner Cable LLC,
6.550%, 5/01/2037
1,360,514
 
16,248,396
Chemicals — 0.7%
775,000
Ashland, Inc., 3.375%, 9/01/2031(a)
602,668
200,000
Braskem Netherlands Finance BV,
4.500%, 1/31/2030(a)
163,006
705,000
Braskem Netherlands Finance BV,
5.875%, 1/31/2050(a)
507,801
545,000
Braskem Netherlands Finance BV,
8.500%, 1/12/2031(a)
540,068
310,000
Celanese U.S. Holdings LLC,
6.330%, 7/15/2029
303,865
230,000
Celanese U.S. Holdings LLC,
6.379%, 7/15/2032
221,610
330,000
Celanese U.S. Holdings LLC,
6.700%, 11/15/2033
321,227
200,000
INEOS Quattro Finance 2 PLC,
3.375%, 1/15/2026(a)
182,189
 
2,842,434
Construction Machinery — 1.0%
200,000
Ashtead Capital, Inc.,
5.500%, 8/11/2032(a)
184,790
275,000
Ashtead Capital, Inc.,
5.550%, 5/30/2033(a)
255,127
1,755,000
Ashtead Capital, Inc.,
5.950%, 10/15/2033(a)
1,666,122
415,000
John Deere Capital Corp., MTN,
0.900%, 1/10/2024
409,661
See accompanying notes to financial statements.
25 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Construction Machinery — continued
$645,000
John Deere Capital Corp., MTN,
1.250%, 1/10/2025
$611,202
965,000
Toro Co., 6.625%, 5/01/2037
948,306
 
4,075,208
Consumer Cyclical Services — 1.6%
700,000
Expedia Group, Inc.,
2.950%, 3/15/2031
563,951
735,000
Expedia Group, Inc.,
3.250%, 2/15/2030
621,665
1,010,000
Go Daddy Operating Co. LLC/GD
Finance Co., Inc., 3.500%, 3/01/2029(a)
849,767
2,965,000
Uber Technologies, Inc.,
4.500%, 8/15/2029(a)
2,650,285
1,420,000
Uber Technologies, Inc.,
6.250%, 1/15/2028(a)
1,388,568
390,000
Uber Technologies, Inc.,
7.500%, 9/15/2027(a)
393,239
120,000
Uber Technologies, Inc.,
8.000%, 11/01/2026(a)
121,411
 
6,588,886
Diversified Manufacturing — 0.4%
204,000
GE Capital Funding LLC,
4.550%, 5/15/2032
188,023
120,000
Ingersoll Rand, Inc., 5.700%, 8/14/2033
115,814
135,000
Nordson Corp., 5.600%, 9/15/2028
133,704
185,000
Nordson Corp., 5.800%, 9/15/2033
180,707
1,135,000
Veralto Corp., 5.450%, 9/18/2033(a)
1,098,135
 
1,716,383
Electric — 0.4%
1,092,007
Alta Wind Holdings LLC,
7.000%, 6/30/2035(a)
980,550
100,000
Enel Finance International NV,
6.800%, 9/15/2037(a)
100,843
265,000
Pacific Gas & Electric Co.,
5.450%, 6/15/2027
255,044
505,000
Southern Co., 5.700%, 3/15/2034
494,568
 
1,831,005
Finance Companies — 5.2%
1,406,000
AerCap Ireland Capital DAC/AerCap
Global Aviation Trust,
3.000%, 10/29/2028
1,205,614
1,245,000
AerCap Ireland Capital DAC/AerCap
Global Aviation Trust,
3.300%, 1/30/2032
989,665
345,000
AerCap Ireland Capital DAC/AerCap
Global Aviation Trust,
3.400%, 10/29/2033
266,865
190,000
AerCap Ireland Capital DAC/AerCap
Global Aviation Trust,
5.750%, 6/06/2028
185,624
575,000
AerCap Ireland Capital DAC/AerCap
Global Aviation Trust,
6.150%, 9/30/2030
566,352
Principal
Amount (‡)
Description
Value (†)
Finance Companies — continued
$300,000
AGFC Capital Trust I, 3 mo. USD
SOFR + 2.012%,
7.320%, 1/15/2067(a)(c)
$158,238
612,000
Air Lease Corp., 4.625%, 10/01/2028
567,030
985,000
Air Lease Corp., Series B, (fixed rate to
6/15/2026, variable rate thereafter),
4.650%(d)
867,429
740,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
725,702
460,000
Aircastle Ltd., Series A, (fixed rate to
6/15/2026, variable rate thereafter),
5.250%(a)(d)
361,720
2,290,000
Ares Capital Corp., 3.200%, 11/15/2031
1,752,181
240,000
Aviation Capital Group LLC,
1.950%, 1/30/2026(a)
215,771
590,000
Aviation Capital Group LLC,
6.250%, 4/15/2028(a)
576,294
955,000
Aviation Capital Group LLC,
6.375%, 7/15/2030(a)
924,807
655,000
Barings BDC, Inc., 3.300%, 11/23/2026
574,688
625,000
Blue Owl Capital Corp.,
2.875%, 6/11/2028
513,922
1,490,000
Blue Owl Capital Corp.,
4.250%, 1/15/2026
1,393,950
1,100,000
GATX Corp., 5.450%, 9/15/2033
1,032,297
65,000
GATX Corp., 6.050%, 3/15/2034
63,478
155,000
Nationstar Mortgage Holdings, Inc.,
5.125%, 12/15/2030(a)
125,849
685,000
Nationstar Mortgage Holdings, Inc.,
5.500%, 8/15/2028(a)
604,215
1,315,000
Navient Corp., Series A, MTN,
5.625%, 8/01/2033
954,230
70,000
OneMain Finance Corp.,
3.500%, 1/15/2027
59,938
80,000
OneMain Finance Corp.,
4.000%, 9/15/2030
60,028
175,000
OneMain Finance Corp.,
5.375%, 11/15/2029
146,563
2,135,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 2.875%, 10/15/2026(a)
1,880,273
1,345,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.625%, 3/01/2029(a)
1,111,959
3,345,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(a)
2,667,203
1,080,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(a)
815,598
655,000
SMBC Aviation Capital Finance DAC,
5.450%, 5/03/2028(a)
633,000
 
22,000,483
Financial Other — 0.7%
630,000
Agile Group Holdings Ltd.,
6.050%, 10/13/2025
68,941
205,000
Central China Real Estate Ltd.,
7.250%, 7/16/2024(e)
8,380
200,000
Central China Real Estate Ltd.,
7.250%, 8/13/2024(e)
8,114
See accompanying notes to financial statements.
| 26

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Financial Other — continued
$190,000
Central China Real Estate Ltd.,
7.250%, 4/28/2025(e)
$7,125
200,000
Central China Real Estate Ltd.,
7.500%, 7/14/2025(e)
7,330
200,000
CIFI Holdings Group Co. Ltd.,
6.000%, 7/16/2025(e)
13,382
200,000
CIFI Holdings Group Co. Ltd.,
6.450%, 11/07/2024(e)
13,240
600,000
Country Garden Holdings Co. Ltd.,
3.300%, 1/12/2031
37,326
2,510,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.375%, 2/01/2029
2,007,145
10,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.750%, 9/15/2024
9,632
40,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 5.250%, 5/15/2027
35,159
15,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 6.375%, 12/15/2025
14,269
1,285,000
Kaisa Group Holdings Ltd.,
9.375%, 6/30/2024(e)
75,031
200,000
Kaisa Group Holdings Ltd.,
9.950%, 7/23/2025(e)
11,708
200,000
Kaisa Group Holdings Ltd.,
10.500%, 1/15/2025(e)
11,686
1,810,000
Kaisa Group Holdings Ltd.,
11.250%, 4/16/2025(e)
103,985
400,000
Logan Group Co. Ltd.,
4.250%, 7/12/2025(e)
20,000
400,000
Logan Group Co. Ltd.,
4.850%, 12/14/2026(e)
20,000
405,000
Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(e)
16,200
425,000
Shimao Group Holdings Ltd.,
5.600%, 7/15/2026(e)
16,894
200,000
Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(e)
8,000
410,000
Sunac China Holdings Ltd.,
6.500%, 1/10/2025(e)
63,550
230,000
Sunac China Holdings Ltd.,
6.500%, 1/26/2026(e)
35,650
445,000
Sunac China Holdings Ltd.,
7.000%, 7/09/2025(e)
68,975
200,000
Times China Holdings Ltd.,
5.750%, 1/14/2027(e)
6,000
400,000
Times China Holdings Ltd.,
6.200%, 3/22/2026(e)
12,000
400,000
Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(e)
24,176
370,000
Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(e)
24,235
225,000
Yuzhou Group Holdings Co. Ltd.,
8.300%, 5/27/2025(e)
14,049
 
2,762,182
Principal
Amount (‡)
Description
Value (†)
Food & Beverage — 0.6%
$995,000
Bacardi Ltd./Bacardi-Martini BV,
5.400%, 6/15/2033(a)
$932,340
350,000
JBS USA LUX SA/JBS USA Food
Co./JBS USA Finance, Inc.,
3.000%, 2/02/2029
293,716
1,230,000
Pilgrim's Pride Corp.,
3.500%, 3/01/2032
951,162
280,000
Pilgrim's Pride Corp.,
4.250%, 4/15/2031
233,577
 
2,410,795
Gaming — 1.2%
925,000
Genm Capital Labuan Ltd.,
3.882%, 4/19/2031(a)
723,769
385,000
GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032
298,794
1,850,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
1,818,383
30,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
29,400
215,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
212,496
710,000
VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026(a)
661,543
575,000
VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026(a)
540,187
505,000
VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025(a)
487,673
415,000
VICI Properties LP/VICI Note Co., Inc.,
5.625%, 5/01/2024(a)
412,374
 
5,184,619
Government Owned - No Guarantee — 0.5%
730,000
Antares Holdings LP,
3.750%, 7/15/2027(a)
628,896
805,000
Antares Holdings LP,
7.950%, 8/11/2028(a)
800,227
870,000
Pertamina Persero PT,
6.450%, 5/30/2044(a)
831,015
200,000
Sino-Ocean Land Treasure IV Ltd.,
4.750%, 8/05/2029(f)
7,020
400,000
Sino-Ocean Land Treasure IV Ltd.,
4.750%, 1/14/2030(f)
13,136
 
2,280,294
Health Insurance — 0.7%
25,000
Centene Corp., 2.450%, 7/15/2028
21,121
2,490,000
Centene Corp., 2.500%, 3/01/2031
1,912,864
625,000
Centene Corp., 2.625%, 8/01/2031
478,689
180,000
Centene Corp., 3.375%, 2/15/2030
150,133
150,000
Centene Corp., 4.625%, 12/15/2029
135,095
430,000
Molina Healthcare, Inc.,
3.875%, 5/15/2032(a)
344,854
 
3,042,756
See accompanying notes to financial statements.
27 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Healthcare — 0.8%
$395,000
Alcon Finance Corp.,
5.375%, 12/06/2032(a)
$383,141
700,000
HCA, Inc., 4.125%, 6/15/2029
633,697
2,605,000
HCA, Inc., 5.500%, 6/01/2033
2,463,610
 
3,480,448
Home Construction — 0.2%
1,010,000
PulteGroup, Inc., 6.375%, 5/15/2033
1,014,764
Independent Energy — 3.6%
1,385,000
Aker BP ASA, 3.750%, 1/15/2030(a)
1,190,126
675,000
Aker BP ASA, 5.600%, 6/13/2028(a)
659,514
1,060,000
Continental Resources, Inc.,
2.875%, 4/01/2032(a)
793,780
4,040,000
Continental Resources, Inc.,
5.750%, 1/15/2031(a)
3,795,399
740,000
Energian Israel Finance Ltd.,
5.375%, 3/30/2028(a)
663,669
965,000
Energian Israel Finance Ltd.,
5.875%, 3/30/2031(a)
836,896
50,000
EQT Corp., 3.125%, 5/15/2026(a)
46,260
840,000
EQT Corp., 3.625%, 5/15/2031(a)
710,590
1,125,000
EQT Corp., 3.900%, 10/01/2027
1,040,595
160,000
EQT Corp., 5.000%, 1/15/2029
150,402
160,000
EQT Corp., 5.700%, 4/01/2028
156,814
975,000
EQT Corp., 7.000%, 2/01/2030
1,003,022
175,000
Matador Resources Co.,
6.875%, 4/15/2028(a)
171,822
45,000
Occidental Petroleum Corp.,
6.125%, 1/01/2031
44,354
65,000
Occidental Petroleum Corp.,
7.875%, 9/15/2031
70,337
975,000
Occidental Petroleum Corp.,
8.875%, 7/15/2030
1,096,202
1,040,000
Ovintiv, Inc., 6.500%, 8/15/2034
1,024,265
65,000
Ovintiv, Inc., 6.500%, 2/01/2038
62,079
310,000
Ovintiv, Inc., 6.625%, 8/15/2037
297,397
40,000
Ovintiv, Inc., 7.200%, 11/01/2031
41,175
125,000
Ovintiv, Inc., 7.375%, 11/01/2031
130,977
130,000
Southwestern Energy Co.,
4.750%, 2/01/2032
111,577
355,000
Var Energi ASA, 7.500%, 1/15/2028(a)
364,279
705,000
Var Energi ASA, 8.000%, 11/15/2032(a)
739,757
 
15,201,288
Industrial Other — 0.3%
1,095,000
Jacobs Engineering Group, Inc.,
6.350%, 8/18/2028
1,091,812
395,000
TopBuild Corp., 4.125%, 2/15/2032(a)
320,679
 
1,412,491
Leisure — 0.9%
35,000
Carnival Corp., 4.000%, 8/01/2028(a)
30,348
620,000
Carnival Corp., 5.750%, 3/01/2027(a)
561,239
395,000
Carnival Corp., 6.000%, 5/01/2029(a)
336,928
150,000
Carnival Corp., 7.000%, 8/15/2029(a)
147,904
770,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
710,897
Principal
Amount (‡)
Description
Value (†)
Leisure — continued
$485,000
NCL Corp. Ltd., 5.875%, 2/15/2027(a)
$460,638
280,000
NCL Finance Ltd.,
6.125%, 3/15/2028(a)
247,100
140,000
Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026(a)
128,365
1,195,000
Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028(a)
1,095,805
 
3,719,224
Life Insurance — 2.1%
1,860,000
Athene Global Funding,
1.716%, 1/07/2025(a)
1,745,999
434,000
Brighthouse Financial, Inc.,
4.700%, 6/22/2047
301,425
1,745,000
Brighthouse Financial, Inc.,
5.625%, 5/15/2030
1,633,055
2,270,000
MetLife, Inc., 9.250%, 4/08/2068(a)
2,549,741
1,115,000
MetLife, Inc., 10.750%, 8/01/2069
1,425,254
1,165,000
Penn Mutual Life Insurance Co.,
6.650%, 6/15/2034(a)
1,128,756
 
8,784,230
Lodging — 0.8%
855,000
Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032(a)
689,298
200,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc.,
4.875%, 7/01/2031(a)
163,044
685,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc.,
5.000%, 6/01/2029(a)
594,200
530,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
444,087
620,000
Travel & Leisure Co.,
4.500%, 12/01/2029(a)
520,025
815,000
Travel & Leisure Co.,
4.625%, 3/01/2030(a)
685,839
110,000
Travel & Leisure Co.,
6.000%, 4/01/2027
104,654
55,000
Travel & Leisure Co.,
6.625%, 7/31/2026(a)
53,515
 
3,254,662
Media Entertainment — 1.4%
540,000
iHeartCommunications, Inc.,
4.750%, 1/15/2028(a)
412,818
550,000
iHeartCommunications, Inc.,
5.250%, 8/15/2027(a)
435,884
1,510,000
Netflix, Inc., 4.875%, 6/15/2030(a)
1,429,529
200,000
Netflix, Inc., 5.375%, 11/15/2029(a)
195,146
915,000
Netflix, Inc., 5.875%, 11/15/2028
920,180
1,185,000
Netflix, Inc., 6.375%, 5/15/2029
1,223,580
See accompanying notes to financial statements.
| 28

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Media Entertainment — continued
$300,000
Warnermedia Holdings, Inc.,
4.054%, 3/15/2029
$267,288
1,235,000
Warnermedia Holdings, Inc.,
4.279%, 3/15/2032
1,048,291
 
5,932,716
Metals & Mining — 3.9%
1,910,000
Anglo American Capital PLC,
2.875%, 3/17/2031(a)
1,517,941
940,000
Anglo American Capital PLC,
5.500%, 5/02/2033(a)
879,336
1,430,000
ArcelorMittal SA, 6.800%, 11/29/2032
1,420,196
2,680,000
First Quantum Minerals Ltd.,
6.875%, 10/15/2027(a)
2,571,131
477,000
First Quantum Minerals Ltd.,
7.500%, 4/01/2025(a)
476,063
430,000
FMG Resources August 2006 Pty. Ltd.,
4.375%, 4/01/2031(a)
353,800
5,000
Freeport-McMoRan, Inc.,
4.250%, 3/01/2030
4,418
325,000
Glencore Funding LLC,
2.500%, 9/01/2030(a)
256,984
2,905,000
Glencore Funding LLC,
2.850%, 4/27/2031(a)
2,305,156
1,100,000
Glencore Funding LLC,
5.700%, 5/08/2033(a)
1,043,052
1,485,000
Glencore Funding LLC,
6.125%, 10/06/2028(a)
1,482,451
1,425,000
Glencore Funding LLC,
6.375%, 10/06/2030(a)
1,421,164
2,690,000
Glencore Funding LLC,
6.500%, 10/06/2033(a)
2,685,253
215,000
Volcan Cia Minera SAA,
4.375%, 2/11/2026(a)
122,719
 
16,539,664
Midstream — 2.2%
295,000
Cheniere Energy Partners LP,
3.250%, 1/31/2032
234,465
1,450,000
Cheniere Energy Partners LP,
4.000%, 3/01/2031
1,239,657
165,000
Cheniere Energy Partners LP,
4.500%, 10/01/2029
149,403
535,000
Cheniere Energy Partners LP,
5.950%, 6/30/2033(a)
515,991
530,000
DCP Midstream Operating LP,
3.250%, 2/15/2032
427,610
10,000
DCP Midstream Operating LP,
5.125%, 5/15/2029
9,527
575,000
DCP Midstream Operating LP,
6.450%, 11/03/2036(a)
565,369
1,320,000
Enbridge, Inc., 5.700%, 3/08/2033
1,264,558
1,040,000
Energy Transfer LP, 5.000%, 5/15/2044
811,335
715,000
Energy Transfer LP, 5.750%, 2/15/2033
687,303
95,000
EnLink Midstream LLC,
6.500%, 9/01/2030(a)
92,166
Principal
Amount (‡)
Description
Value (†)
Midstream — continued
$550,000
Hess Midstream Operations LP,
4.250%, 2/15/2030(a)
$463,781
285,000
Hess Midstream Operations LP,
5.625%, 2/15/2026(a)
275,381
95,000
NGPL PipeCo LLC,
7.768%, 12/15/2037(a)
97,712
35,000
Targa Resources Corp.,
5.200%, 7/01/2027
34,297
460,000
Targa Resources Corp.,
6.125%, 3/15/2033
450,938
395,000
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.,
4.000%, 1/15/2032
331,678
100,000
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.,
4.875%, 2/01/2031
89,565
105,000
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.,
5.500%, 3/01/2030
98,271
170,000
Western Midstream Operating LP,
4.050%, 2/01/2030
148,596
230,000
Western Midstream Operating LP,
5.250%, 2/01/2050
179,178
405,000
Western Midstream Operating LP,
5.300%, 3/01/2048
316,120
80,000
Western Midstream Operating LP,
5.450%, 4/01/2044
64,489
55,000
Western Midstream Operating LP,
5.500%, 8/15/2048
43,732
100,000
Western Midstream Operating LP,
6.150%, 4/01/2033
96,441
485,000
Western Midstream Operating LP,
6.350%, 1/15/2029
486,000
 
9,173,563
Natural Gas — 0.1%
245,000
Southern Co. Gas Capital Corp.,
5.750%, 9/15/2033
240,180
Non-Agency Commercial Mortgage-Backed
Securities — 1.8%
710,000
BANK, Series 2021-BN35, Class AS,
2.457%, 6/15/2064
530,220
147,079
BB-UBS Trust, Series 2012-TFT,
Class A, 2.892%, 6/05/2030(a)
129,171
740,000
BPR Trust, Series 2021-NRD, Class F,
1 mo. USD SOFR + 6.870%,
12.203%, 12/15/2038(a)(c)
663,019
570,000
BPR Trust, Series 2022-STAR, Class A,
1 mo. USD SOFR + 3.232%,
8.564%, 8/15/2024(a)(c)
565,829
11,106
Commercial Mortgage Pass-Through
Certificates, Series 2012-CR3, Class AM,
3.416%, 10/15/2045(a)
10,262
90,361
Commercial Mortgage Pass-Through
Certificates, Series 2012-LTRT, Class A2,
3.400%, 10/05/2030(a)
74,584
See accompanying notes to financial statements.
29 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$136,403
Commercial Mortgage Trust,
Series 2012-LC4, Class B,
4.934%, 12/10/2044(b)
$122,762
185,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class B,
4.185%, 9/15/2037(a)
146,105
100,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class C,
4.336%, 9/15/2037(a)
75,272
200,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class D,
4.373%, 9/15/2037(a)
153,517
545,000
DC Commercial Mortgage Trust,
Series 2023-DC, Class C,
7.379%, 9/12/2040(a)(b)
542,969
247,127
Extended Stay America Trust,
Series 2021-ESH, Class D, 1 mo. USD
SOFR + 2.364%,
7.697%, 7/15/2038(a)(c)
243,093
295,000
GS Mortgage Securities Corportation
Trust, Series 2013-PEMB, Class A,
3.668%, 3/05/2033(a)(b)
253,881
315,000
GS Mortgage Securities Corportation
Trust, Series 2013-PEMB, Class B,
3.668%, 3/05/2033(a)(b)
252,422
255,000
GS Mortgage Securities Trust,
Series 2014-GC18, Class B,
4.885%, 1/10/2047(b)
212,090
989,925
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9,
Class C, 3.910%, 12/15/2047(a)(b)
884,109
100,000
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9,
Class D, 3.910%, 12/15/2047(a)(b)
80,498
149,284
Med Trust, Series 2021-MDLN, Class B,
1 mo. USD SOFR + 1.564%,
6.897%, 11/15/2038(a)(c)
145,536
398,089
Med Trust, Series 2021-MDLN, Class C,
1 mo. USD SOFR + 1.914%,
7.247%, 11/15/2038(a)(c)
386,526
194,069
Med Trust, Series 2021-MDLN,
Class D, 1 mo. USD SOFR + 2.114%,
7.447%, 11/15/2038(a)(c)
186,030
118,231
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C11, Class A4,
4.020%, 8/15/2046(b)
117,344
97,959
MSBAM Commercial Mortgage
Securities Trust, Series 2012-CKSV,
Class A2, 3.277%, 10/15/2030(a)
80,816
800,000
RBS Commercial Funding, Inc. Trust,
Series 2013-GSP, Class A,
3.961%, 1/15/2032(a)(b)
786,899
211,954
Wells Fargo Commercial Mortgage Trust,
Series 2013-LC12, Class B,
4.087%, 7/15/2046(b)
172,213
Principal
Amount (‡)
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$275,000
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class B,
3.671%, 11/15/2059(b)
$225,432
420,000
WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class B,
4.352%, 8/15/2046(b)
348,595
390,000
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class B,
4.378%, 5/15/2047
300,417
 
7,689,611
Other REITs — 0.0%
270,000
EPR Properties, 3.600%, 11/15/2031
200,143
Paper — 0.4%
350,000
WestRock MWV LLC,
7.950%, 2/15/2031
383,170
1,035,000
WestRock MWV LLC,
8.200%, 1/15/2030
1,139,298
 
1,522,468
Pharmaceuticals — 1.8%
985,000
Bausch Health Cos., Inc.,
4.875%, 6/01/2028(a)
560,156
130,000
Bausch Health Cos., Inc.,
5.000%, 1/30/2028(a)
52,937
35,000
Bausch Health Cos., Inc.,
5.000%, 2/15/2029(a)
13,300
290,000
Bausch Health Cos., Inc.,
5.250%, 1/30/2030(a)
108,867
390,000
Bausch Health Cos., Inc.,
5.250%, 2/15/2031(a)
149,662
40,000
Bausch Health Cos., Inc.,
6.250%, 2/15/2029(a)
15,800
915,000
Pfizer Investment Enterprises Pte. Ltd.,
4.750%, 5/19/2033
864,929
620,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
549,799
610,000
Teva Pharmaceutical Finance
Netherlands II BV, 7.375%, 9/15/2029,
(EUR)
654,674
520,000
Teva Pharmaceutical Finance
Netherlands II BV, 7.875%, 9/15/2031,
(EUR)
568,325
340,000
Teva Pharmaceutical Finance
Netherlands III BV,
3.150%, 10/01/2026
303,032
1,710,000
Teva Pharmaceutical Finance
Netherlands III BV,
4.100%, 10/01/2046
1,070,401
1,160,000
Teva Pharmaceutical Finance
Netherlands III BV, 4.750%, 5/09/2027
1,064,338
695,000
Teva Pharmaceutical Finance
Netherlands III BV, 5.125%, 5/09/2029
628,280
See accompanying notes to financial statements.
| 30

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Pharmaceuticals — continued
$645,000
Teva Pharmaceutical Finance
Netherlands III BV, 7.875%, 9/15/2029
$653,426
460,000
Teva Pharmaceutical Finance
Netherlands III BV, 8.125%, 9/15/2031
475,894
 
7,733,820
Property & Casualty Insurance — 0.2%
1,630,000
MBIA Insurance Corp., 3 mo. USD
SOFR + 11.522%,
16.830%, 1/15/2033(a)(f)
48,900
1,135,000
Stewart Information Services Corp.,
3.600%, 11/15/2031
834,057
 
882,957
Retailers — 0.5%
1,025,000
Dillard's, Inc., 7.750%, 7/15/2026
1,034,676
1,250,000
Lithia Motors, Inc.,
3.875%, 6/01/2029(a)
1,052,888
 
2,087,564
Technology — 6.9%
1,070,000
Avnet, Inc., 5.500%, 6/01/2032
984,243
735,000
Block, Inc., 3.500%, 6/01/2031
577,387
410,000
Broadcom, Inc., 2.450%, 2/15/2031(a)
320,458
920,000
Broadcom, Inc., 2.600%, 2/15/2033(a)
686,029
425,000
Broadcom, Inc., 3.137%, 11/15/2035(a)
309,860
680,000
Broadcom, Inc., 3.419%, 4/15/2033(a)
543,902
750,000
Broadcom, Inc., 3.469%, 4/15/2034(a)
589,058
715,000
Broadcom, Inc., 4.150%, 11/15/2030
633,299
330,000
Broadcom, Inc., 4.150%, 4/15/2032(a)
286,379
180,000
CDW LLC/CDW Finance Corp.,
2.670%, 12/01/2026
162,343
545,000
CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029
464,716
70,000
CDW LLC/CDW Finance Corp.,
3.276%, 12/01/2028
60,394
2,020,000
CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031
1,663,753
310,000
CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028
282,571
1,870,000
CommScope, Inc.,
4.750%, 9/01/2029(a)
1,375,468
1,295,000
Entegris Escrow Corp.,
4.750%, 4/15/2029(a)
1,164,216
1,695,000
Fiserv, Inc., 5.625%, 8/21/2033
1,642,360
435,000
Global Payments, Inc.,
2.900%, 5/15/2030
356,625
530,000
Global Payments, Inc.,
2.900%, 11/15/2031
415,770
255,000
Global Payments, Inc.,
5.300%, 8/15/2029
243,180
545,000
Global Payments, Inc.,
5.400%, 8/15/2032
510,857
400,000
GTCR W-2 Merger Sub LLC,
7.500%, 1/15/2031(a)
400,560
1,215,000
Iron Mountain, Inc.,
4.875%, 9/15/2029(a)
1,064,880
Principal
Amount (‡)
Description
Value (†)
Technology — continued
$275,000
Leidos, Inc., 2.300%, 2/15/2031
$211,483
1,040,000
Leidos, Inc., 5.750%, 3/15/2033
996,695
235,000
Marvell Technology, Inc.,
5.950%, 9/15/2033
230,655
1,320,000
Micron Technology, Inc.,
5.875%, 2/09/2033
1,260,946
3,560,000
Micron Technology, Inc.,
5.875%, 9/15/2033
3,390,738
1,480,000
Micron Technology, Inc.,
6.750%, 11/01/2029
1,503,747
290,000
MSCI, Inc., 3.250%, 8/15/2033(a)
223,198
315,000
Open Text Corp.,
6.900%, 12/01/2027(a)
315,717
1,270,000
Oracle Corp., 3.950%, 3/25/2051
870,642
505,000
Oracle Corp., 6.150%, 11/09/2029
512,652
400,000
S&P Global, Inc., 5.250%, 9/15/2033(a)
389,892
615,000
Sensata Technologies BV,
4.000%, 4/15/2029(a)
529,575
205,000
SK Hynix, Inc., 6.375%, 1/17/2028(a)
204,642
995,000
Trimble, Inc., 6.100%, 3/15/2033
974,830
680,000
Verisk Analytics, Inc.,
5.750%, 4/01/2033
676,186
1,220,000
VMware, Inc., 2.200%, 8/15/2031
920,650
490,000
Western Digital Corp.,
2.850%, 2/01/2029
393,392
810,000
Western Digital Corp.,
4.750%, 2/15/2026
771,807
 
29,115,755
Transportation Services — 0.2%
945,000
ERAC USA Finance LLC,
4.900%, 5/01/2033(a)
889,775
90,000
Rand Parent LLC,
8.500%, 2/15/2030(a)
83,237
 
973,012
Treasuries — 13.9%
10,581(g
)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2029,
(BRL)
2,001,383
16,104,000,000
Indonesia Treasury Bonds, Series FR95,
6.375%, 8/15/2028, (IDR)
1,034,553
207,240(h
)
Mexico Bonos, Series M,
7.500%, 5/26/2033, (MXN)
1,009,866
22,800,000
Republic of South Africa Government
Bonds, Series 2035, 8.875%, 2/28/2035,
(ZAR)
948,909
16,275,000
U.S. Treasury Bonds,
3.250%, 5/15/2042
12,969,140
41,100,000
U.S. Treasury Notes, 4.625%, 6/30/2025
40,748,402
 
58,712,253
Wireless — 3.2%
775,000
American Tower Corp.,
5.500%, 3/15/2028
760,343
1,165,000
American Tower Corp.,
5.900%, 11/15/2033
1,137,402
See accompanying notes to financial statements.
31 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Wireless — continued
$675,000
Crown Castle, Inc., 5.100%, 5/01/2033
$624,069
585,000
IHS Holding Ltd.,
5.625%, 11/29/2026(a)
481,350
935,000
SBA Communications Corp.,
3.125%, 2/01/2029
779,858
600,000
SoftBank Group Corp.,
4.625%, 7/06/2028
523,362
1,305,000
Sprint Capital Corp.,
8.750%, 3/15/2032
1,509,684
150,000
T-Mobile USA, Inc., 2.400%, 3/15/2029
126,220
265,000
T-Mobile USA, Inc., 2.700%, 3/15/2032
207,292
3,275,000
T-Mobile USA, Inc., 3.375%, 4/15/2029
2,880,492
1,620,000
T-Mobile USA, Inc., 3.500%, 4/15/2031
1,369,822
2,965,000
T-Mobile USA, Inc., 3.875%, 4/15/2030
2,626,904
500,000
T-Mobile USA, Inc., 5.750%, 1/15/2034
487,761
 
13,514,559
Total Non-Convertible Bonds

(Identified Cost $406,245,508)
360,920,066
Convertible Bonds — 3.7%
Airlines — 0.3%
150,000
JetBlue Airways Corp.,
0.500%, 4/01/2026
115,965
1,160,000
Southwest Airlines Co.,
1.250%, 5/01/2025
1,151,300
 
1,267,265
Cable Satellite — 0.8%
1,055,000
DISH Network Corp.,
2.375%, 3/15/2024
1,012,800
4,105,000
DISH Network Corp.,
3.375%, 8/15/2026
2,467,105
90,000
DISH Network Corp., Zero Coupon,
6.944%–33.164%, 12/15/2025(i)
60,632
 
3,540,537
Consumer Cyclical Services — 0.3%
1,270,000
Uber Technologies, Inc., Zero Coupon,
0.000%–5.582%, 12/15/2025(i)
1,185,939
Electric — 0.2%
1,075,000
PPL Capital Funding, Inc.,
2.875%, 3/15/2028(a)
978,250
Gaming — 0.1%
215,000
Penn Entertainment, Inc.,
2.750%, 5/15/2026
260,946
Healthcare — 0.5%
2,405,000
Teladoc Health, Inc.,
1.250%, 6/01/2027
1,916,544
Leisure — 0.1%
750,000
NCL Corp. Ltd., 1.125%, 2/15/2027
622,065
Principal
Amount (‡)
Description
Value (†)
Media Entertainment — 0.2%
$550,000
Snap, Inc., Zero Coupon,
6.697%–7.641%, 5/01/2027(i)
$407,550
540,000
Spotify USA, Inc., Zero Coupon,
5.189%–5.873%, 3/15/2026(i)
459,270
 
866,820
Pharmaceuticals — 0.8%
820,000
BioMarin Pharmaceutical, Inc.,
0.599%, 8/01/2024
795,400
2,205,000
BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
2,184,273
485,000
Livongo Health, Inc.,
0.875%, 6/01/2025
442,950
 
3,422,623
Retailers — 0.1%
65,000
Etsy, Inc., 0.125%, 9/01/2027
52,000
415,000
Etsy, Inc., 0.250%, 6/15/2028
313,533
 
365,533
Technology — 0.3%
465,000
Splunk, Inc., 1.125%, 6/15/2027
438,727
910,000
Unity Software, Inc., Zero Coupon,
7.084%–8.213%, 11/15/2026(i)
720,265
 
1,158,992
Total Convertible Bonds

(Identified Cost $19,527,863)
15,585,514
Municipals — 0.8%
Virginia — 0.8%
3,780,000
Tobacco Settlement Financing Corp.,
6.706%, 6/01/2046
(Identified Cost $3,763,743)
3,128,312
Total Bonds and Notes

(Identified Cost $429,537,114)
379,633,892
Collateralized Loan Obligations — 3.9%
555,000
522 Funding CLO Ltd., Series 2021-7A,
Class D, 3 mo. USD SOFR + 3.162%,
8.507%, 4/23/2034(a)(c)
520,148
1,005,000
AIMCO CLO, Series 2017-AA,
Class DR, 3 mo. USD SOFR + 3.412%,
8.738%, 4/20/2034(a)(c)
963,399
605,000
AIMCO CLO 12 Ltd., Series 2020-12A,
Class AR, 3 mo. USD SOFR + 1.170%,
6.478%, 1/17/2032(a)(c)
601,600
1,940,000
AIMCO CLO 14 Ltd., Series 2021-14A,
Class D, 3 mo. USD SOFR + 3.162%,
8.488%, 4/20/2034(a)(c)
1,863,845
2,100,000
ARES XLII CLO Ltd., Series 2017-42A,
Class BR, 3 mo. USD SOFR + 1.762%,
7.107%, 1/22/2028(a)(c)
2,096,025
See accompanying notes to financial statements.
| 32

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
$255,000
Atrium XV, Series 15A, Class D, 3 mo.
USD SOFR + 3.262%,
8.607%, 1/23/2031(a)(c)
$249,569
450,000
Carlyle U.S. CLO Ltd., Series 2016-4A,
Class A2R, 3 mo. USD SOFR +
1.712%, 7.038%, 10/20/2027(a)(c)
448,214
370,000
Carlyle U.S. CLO Ltd., Series 2018-4A,
Class C, 3 mo. USD SOFR + 3.162%,
8.488%, 1/20/2031(a)(c)
354,208
305,000
CarVal CLO I Ltd., Series 2018-1A,
Class D, 3 mo. USD SOFR + 3.152%,
8.460%, 7/16/2031(a)(c)
297,447
503,000
CIFC Funding Ltd., Series 2018-1A,
Class D, 3 mo. USD SOFR + 2.912%,
8.222%, 4/18/2031(a)(c)
482,230
1,090,000
Clover CLO LLC, Series 2021-1A,
Class D, 3 mo. USD SOFR + 3.212%,
8.557%, 4/22/2034(a)(c)
1,058,099
340,000
Elmwood CLO VIII Ltd.,
Series 2021-1A, Class D2, 3 mo. USD
SOFR + 3.112%,
8.438%, 1/20/2034(a)(c)
332,029
365,000
Invesco CLO Ltd., Series 2021-1A,
Class D, 3 mo. USD SOFR + 3.312%,
8.620%, 4/15/2034(a)(c)
352,293
500,000
Madison Park Funding XXXI Ltd.,
Series 2018-31A, Class D, 3 mo. USD
SOFR + 3.262%,
8.607%, 1/23/2031(a)(c)
486,713
1,930,000
Oaktree CLO Ltd., Series 2019-2A,
Class BR, 3 mo. USD SOFR + 2.962%,
8.270%, 4/15/2031(a)(c)
1,873,277
255,000
OCP CLO Ltd., Series 2018-15A,
Class C, 3 mo. USD SOFR + 3.212%,
8.538%, 7/20/2031(a)(c)
253,125
1,835,000
OZLM XXIII Ltd., Series 2019-23A,
Class DR, 3 mo. USD SOFR + 4.012%,
9.320%, 4/15/2034(a)(c)
1,775,418
250,000
Recette CLO Ltd., Series 2015-1A,
Class DRR, 3 mo. USD SOFR +
3.512%, 8.838%, 4/20/2034(a)(c)
237,088
866,052
Rockford Tower CLO Ltd.,
Series 2018-1A, Class A, 3 mo. USD
SOFR + 1.362%,
6.741%, 5/20/2031(a)(c)
863,261
470,000
Signal Peak CLO 1 Ltd., Series 2014-1A,
Class AR3, 3 mo. USD SOFR +
1.422%, 6.730%, 4/17/2034(a)(c)
466,082
Principal
Amount (‡)
Description
Value (†)
$575,000
Sixth Street CLO XVIII Ltd.,
Series 2021-18A, Class D, 3 mo. USD
SOFR + 3.162%,
8.488%, 4/20/2034(a)(c)
$556,674
410,000
Verde CLO Ltd., Series 2019-1A,
Class AR, 3 mo. USD SOFR + 1.362%,
6.670%, 4/15/2032(a)(c)
407,738
Total Collateralized Loan Obligations

(Identified Cost $16,915,010)
16,538,482
 
Shares
 
 
Common Stocks— 1.6%
Aerospace & Defense — 0.0%
302
Lockheed Martin Corp.
123,506
Air Freight & Logistics — 0.1%
959
United Parcel Service, Inc., Class B
149,479
Banks — 0.0%
477
JPMorgan Chase & Co.
69,175
Beverages — 0.0%
2,316
Coca-Cola Co.
129,650
Biotechnology — 0.2%
5,608
AbbVie, Inc.
835,928
Capital Markets — 0.1%
106
BlackRock, Inc.
68,528
1,195
Morgan Stanley
97,596
 
166,124
Chemicals — 0.0%
178
Linde PLC
66,278
Communications Equipment — 0.0%
948
Cisco Systems, Inc.
50,964
Consumer Staples Distribution & Retail — 0.1%
126
Costco Wholesale Corp.
71,185
712
Walmart, Inc.
113,870
 
185,055
Containers & Packaging — 0.0%
360
Packaging Corp. of America
55,278
Electric Utilities — 0.0%
882
Duke Energy Corp.
77,846
308
NextEra Energy, Inc.
17,645
 
95,491
Electrical Equipment — 0.0%
684
Emerson Electric Co.
66,054
Financial Services — 0.0%
173
Mastercard, Inc., Class A
68,492
Ground Transportation — 0.0%
464
Union Pacific Corp.
94,484
See accompanying notes to financial statements.
33 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
Shares
Description
Value (†)
Health Care Equipment & Supplies — 0.0%
1,043
Abbott Laboratories
$101,015
Health Care Providers & Services — 0.1%
286
Elevance Health, Inc.
124,530
266
UnitedHealth Group, Inc.
134,115
 
258,645
Hotels, Restaurants & Leisure — 0.0%
1,438
Starbucks Corp.
131,246
Household Products — 0.0%
976
Procter & Gamble Co.
142,359
IT Services — 0.0%
332
Accenture PLC, Class A
101,960
Life Sciences Tools & Services — 0.0%
174
Thermo Fisher Scientific, Inc.
88,074
Machinery — 0.1%
270
Cummins, Inc.
61,684
306
Deere & Co.
115,478
 
177,162
Media — 0.2%
138,910
Altice USA, Inc., Class A(f)
454,236
4,012
Comcast Corp., Class A
177,892
34,625
iHeartMedia, Inc., Class A(f)
109,415
 
741,543
Metals & Mining — 0.0%
2,726
Newmont Corp.
100,726
Oil, Gas & Consumable Fuels — 0.4%
939
Battalion Oil Corp.(f)
5,803
10,661
Canadian Natural Resources Ltd.
689,447
360
Devon Energy Corp.
17,172
4,098
Diamondback Energy, Inc.
634,698
562
Pioneer Natural Resources Co.
129,007
2,846
Williams Cos., Inc.
95,882
 
1,572,009
Pharmaceuticals — 0.1%
1,848
Bristol-Myers Squibb Co.
107,258
795
Johnson & Johnson
123,821
169
Merck & Co., Inc.
17,399
 
248,478
Professional Services — 0.0%
456
Clarivate PLC(f)
3,060
Semiconductors & Semiconductor
Equipment — 0.1%
235
Broadcom, Inc.
195,186
1,719
Microchip Technology, Inc.
134,168
1,256
QUALCOMM, Inc.
139,492
 
468,846
Software — 0.1%
610
Microsoft Corp.
192,607
Shares
Description
Value (†)
Specialized REITs — 0.0%
609
American Tower Corp.
$100,150
Specialty Retail — 0.0%
391
Home Depot, Inc.
118,145
Technology Hardware, Storage &
Peripherals — 0.0%
800
Apple, Inc.
136,968
Trading Companies & Distributors — 0.0%
1,207
Fastenal Co.
65,950
Total Common Stocks

(Identified Cost $9,357,050)
6,904,901
 
Principal
Amount (‡)
 
 
Senior Loans — 0.8%
Consumer Cyclical Services — 0.1%
$526,025
Uber Technologies, Inc., 2023 Term
Loan B, 3 mo. USD SOFR + 2.750%,
8.159%, 3/03/2030(c)(j)
525,546
Healthcare — 0.2%
664,543
Star Parent, Inc., 2023 Term Loan B,
9/19/2030(k)
648,946
Leisure — 0.2%
388,204
Carnival Corp., 2021 Incremental Term
Loan B, 1 mo. USD SOFR + 3.250%,
8.681%, 10/18/2028(c)(l)
385,778
248,863
Carnival Corp., 2021 Incremental Term
Loan B, 10/18/2028(k)
247,307
81,621
Carnival Corp., 2023 Term Loan B,
8/08/2027(k)
81,315
213,152
Carnival Corp., 2023 Term Loan B,
1 mo. USD SOFR + 3.000%,
8.327%, 8/08/2027(c)(l)
212,353
 
926,753
Property & Casualty Insurance — 0.1%
320,000
HUB International Ltd., 2023 Term
Loan B, 3 mo. USD SOFR + 4.250%,
9.584%, 6/20/2030(c)(l)
320,535
Restaurants — 0.1%
595,000
1011778 BC Unlimited Liability Co.,
2023 Term Loan B5, 1 mo. USD SOFR
+ 2.250%, 7.566%, 9/23/2030(j)
592,400
Technology — 0.1%
349,000
GTCR W Merger Sub LLC, USD Term
Loan B, 9/20/2030(k)
348,745
Total Senior Loans

(Identified Cost $3,364,861)
3,362,925
See accompanying notes to financial statements.
| 34

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
 
Shares
Description
Value (†)
Preferred Stocks — 0.5%
Convertible Preferred Stocks — 0.5%
Banking — 0.4%
868
Bank of America Corp., Series L,
7.250%
$965,398
722
Wells Fargo & Co., Series L, Class A,
7.500%
805,030
 
1,770,428
Midstream — 0.1%
5,333
El Paso Energy Capital Trust I, 4.750%
242,171
Technology — 0.0%
8,046
Clarivate PLC, Series A, 5.250%
235,185
Total Convertible Preferred Stocks

(Identified Cost $3,337,951)
2,247,784
Total Preferred Stocks

(Identified Cost $3,337,951)
2,247,784
 
Principal
Amount (‡)
 
 
Short-Term Investments — 4.1%
$7,748,754
Tri-Party Repurchase Agreement with
Fixed Income Clearing Corporation,
dated 9/29/2023 at 2.500% to be
repurchased at $7,750,368
on 10/02/2023  collateralized by
$8,876,200 U.S. Treasury Note, 0.750%
due 8/31/2026 valued at $7,903,735
including accrued interest (Note 2 of
Notes to Financial Statements)
7,748,754
850,000
U.S. Treasury Bills,
5.205%–5.223%, 11/30/2023(m)(n)
842,575
8,870,000
U.S. Treasury Bills,
5.263%, 12/28/2023(n)(o)
8,755,961
Total Short-Term Investments

(Identified Cost $17,347,266)
17,347,290
Total Investments — 100.6%

(Identified Cost $479,859,252)
426,035,274
Other assets less liabilities — (0.6)%
(2,513,230
)
Net Assets — 100.0%
$423,522,044
 
(†)
See Note 2 of Notes to Financial Statements.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise noted.
(a)
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,
2023, the value of Rule 144A holdings amounted to
$182,776,575 or 43.2% of net assets.
(b)
Variable rate security. The interest rate adjusts periodically
based on; (i) changes in current interest rates and/or
prepayments on underlying pools of assets, if applicable,
(ii) reference to a base lending rate plus or minus a margin,
and/or (iii) reference to a base lending rate adjusted by a
multiplier and/or subject to certain floors or caps. Rate as of
September 30, 2023 is disclosed.
(c)
Variable rate security. Rate as of September 30, 2023 is
disclosed.
(d)
Perpetual bond with no specified maturity date.
(e)
The issuer is in default with respect to interest and/or principal
payments. Income is not being accrued.
(f)
Non-income producing security.
(g)
Amount shown represents units. One unit represents a
principal amount of 1,000.
(h)
Amount shown represents units. One unit represents a
principal amount of 100.
(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 0.00%, to which the spread is added.
(k)
Position is unsettled. Contract rate was not determined at
September 30, 2023 and does not take effect until settlement
date. Maturity date is not finalized until settlement date.
(l)
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 0.75%, to which the spread is added.
(m)
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.
(n)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
(o)
Security (or a portion thereof) has been pledged as collateral
for open derivative contracts.
 
ABS
Asset-Backed Securities
MTN
Medium Term Note
REITs
Real Estate Investment Trusts
REMIC
Real Estate Mortgage Investment Conduit
SOFR
Secured Overnight Financing Rate
 
BRL
Brazilian Real
EUR
Euro
IDR
Indonesian Rupiah
MXN
Mexican Peso
ZAR
South African Rand
See accompanying notes to financial statements.
35 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Fixed Income Fund (continued)
At September 30, 2023, 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.
12/20/2023
EUR
S
1,063,000
$1,146,041
$1,127,977
$18,064
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
70
$7,712,931
$7,564,375
$(148,556
)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
190
38,611,355
38,515,078
(96,277
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
856
90,979,280
90,187,625
(791,655
)
CBOT U.S. Long Bond Futures
12/19/2023
472
56,566,541
53,704,750
(2,861,791
)
Total
$(3,898,279
)
At September 30, 2023, open short futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
48
$6,037,915
$5,697,000
$340,915
Ultra 10 Year U.S. Treasury Notes Futures
12/19/2023
450
51,536,238
50,203,125
1,333,113
Total
$1,674,028
Industry Summary at September 30, 2023 
Treasuries
13.9
%
Technology
7.3
Banking
6.8
Finance Companies
5.2
Cable Satellite
4.6
ABS Home Equity
4.5
ABS Car Loan
4.1
Metals & Mining
3.9
Independent Energy
3.6
Wireless
3.2
ABS Other
2.7
Pharmaceuticals
2.7
Midstream
2.3
Life Insurance
2.1
Consumer Cyclical Services
2.0
Other Investments, less than 2% each
23.7
Collateralized Loan Obligations
3.9
Short-Term Investments
4.1
Total Investments
100.6
Other assets less liabilities (including forward
foreign currency and futures contracts)
(0.6
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 36

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund
 
Principal
Amount(‡)
Description
Value (†)
Bonds and Notes — 96.7% of Net Assets
Australia — 2.5%
1,820,000
Australia Government Bonds, Series 164,
0.500%, 9/21/2026, (AUD)
$1,053,828
240,000
Glencore Capital Finance DAC, EMTN,
1.125%, 3/10/2028, (EUR)
218,914
1,080,000
Glencore Funding LLC,
2.500%, 9/01/2030(a)
853,978
280,000
Glencore Funding LLC,
2.625%, 9/23/2031(a)
216,109
4,845,000
New South Wales Treasury Corp.,
Series 26, 4.000%, 5/20/2026, (AUD)
3,089,191
8,485,000
Queensland Treasury Corp., Series 27,
2.750%, 8/20/2027, (AUD)
5,152,470
 
10,584,490
Belgium — 0.5%
305,000
Anheuser-Busch InBev Finance, Inc.,
4.700%, 2/01/2036
279,543
2,485,000
Kingdom of Belgium Government
Bonds, Series 88, 1.700%, 6/22/2050,
(EUR)
1,670,972
 
1,950,515
Brazil — 1.5%
1,020,000
Banco do Brasil SA,
4.625%, 1/15/2025(a)
995,342
22,836(b
)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2027,
(BRL)
4,433,033
4,600(b
)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2029,
(BRL)
870,085
 
6,298,460
Canada — 3.9%
2,065,000
Bank of Nova Scotia, EMTN,
3.250%, 1/18/2028, (EUR)
2,134,942
9,240,000
Canada Government Bonds,
0.500%, 12/01/2030, (CAD)
5,295,695
1,825,000
Canada Government Bonds,
1.500%, 9/01/2024, (CAD)
1,300,913
286,608
CNH Capital Canada Receivables Trust,
Series 2021-1A, Class A2,
1.001%, 11/16/2026, (CAD)(a)
203,741
5,245,000
Province of Ontario,
1.900%, 12/02/2051, (CAD)
2,159,515
5,175,000
Province of Quebec, Zero Coupon,
3.540%–3.542%, 10/29/2030, (EUR)(c)
4,258,912
1,260,000
Toronto-Dominion Bank, EMTN,
3.715%, 3/13/2030, (EUR)
1,322,986
 
16,676,704
China — 6.4%
42,910,000
China Development Bank, Series 2103,
3.300%, 3/03/2026, (CNY)
5,989,740
Principal
Amount(‡)
Description
Value (†)
China — continued
41,870,000
China Development Bank, Series 2115,
3.120%, 9/13/2031, (CNY)
$5,823,699
38,870,000
China Government Bonds,
1.990%, 4/09/2025, (CNY)
5,294,717
30,390,000
China Government Bonds,
3.270%, 11/19/2030, (CNY)
4,340,496
17,610,000
China Government Bonds,
3.320%, 4/15/2052, (CNY)
2,525,442
20,670,000
China Government Bonds,
3.720%, 4/12/2051, (CNY)
3,162,979
 
27,137,073
Colombia — 0.3%
1,300,000
Colombia Government International
Bonds, 7.500%, 2/02/2034
1,227,486
Denmark — 1.0%
32,600,000
Denmark Government Bonds,
2.250%, 11/15/2033, (DKK)
4,285,236
France — 2.9%
1,300,000
Electricite de France SA, EMTN,
2.000%, 12/09/2049, (EUR)
746,464
300,000
Electricite de France SA, EMTN,
4.625%, 1/25/2043, (EUR)
290,025
300,000
Electricite de France SA,
5.000%, 9/21/2048(a)
234,682
600,000
Electricite de France SA, EMTN,
5.125%, 9/22/2050, (GBP)
574,196
6,685,000
French Republic Government Bonds
OAT, Zero Coupon,
2.371%, 5/25/2032, (EUR)(d)
5,340,445
3,275,000
French Republic Government Bonds
OAT, 0.500%, 6/25/2044, (EUR)
1,853,646
2,245,000
French Republic Government Bonds
OAT, 0.750%, 5/25/2028, (EUR)
2,131,379
1,600,000
Mutuelle Assurance Des Commercants et
Industriels de France et Des Cadres et
Sal, (fixed rate to 3/21/2032, variable
rate thereafter), 2.125%, 6/21/2052,
(EUR)
1,169,608
 
12,340,445
Germany — 9.0%
7,675,000
Bundesrepublik Deutschland
Bundesanleihe, Zero Coupon,
0.000%–1.110%, 8/15/2026, (EUR)(c)
7,470,874
2,660,000
Bundesrepublik Deutschland
Bundesanleihe, Zero Coupon,
0.308%, 8/15/2050, (EUR)(d)
1,288,550
790,000
Bundesrepublik Deutschland
Bundesanleihe, Zero Coupon,
1.365%, 8/15/2052, (EUR)(d)
359,963
8,420,000
Bundesrepublik Deutschland
Bundesanleihe, 0.250%, 8/15/2028,
(EUR)
7,908,310
See accompanying notes to financial statements.
37 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Principal
Amount(‡)
Description
Value (†)
Germany — continued
2,485,000
Bundesrepublik Deutschland
Bundesanleihe, 0.500%, 8/15/2027,
(EUR)
$2,409,734
12,325,000
Bundesrepublik Deutschland
Bundesanleihe, 1.000%, 8/15/2024,
(EUR)
12,749,876
790,000
Bundesrepublik Deutschland
Bundesanleihe, 1.000%, 8/15/2025,
(EUR)
802,251
2,345,000
Bundesrepublik Deutschland
Bundesanleihe, 1.250%, 8/15/2048,
(EUR)
1,736,339
815,000
Deutsche Bank AG, (fixed rate to
10/14/2030, variable rate thereafter),
3.729%, 1/14/2032
606,681
1,805,000
Deutsche Bank AG, (fixed rate to
10/07/2031, variable rate thereafter),
3.742%, 1/07/2033
1,295,258
400,000
Deutsche Bank AG, EMTN, (fixed rate
to 3/24/2027, variable rate thereafter),
4.000%, 6/24/2032, (EUR)
376,935
1,525,000
Kreditanstalt fuer Wiederaufbau,
EMTN, 2.875%, 12/28/2029, (EUR)
1,574,459
 
38,579,230
Indonesia — 1.6%
18,722,000,000
Indonesia Treasury Bonds, Series FR78,
8.250%, 5/15/2029, (IDR)
1,302,060
38,485,000,000
Indonesia Treasury Bonds, Series FR87,
6.500%, 2/15/2031, (IDR)
2,441,451
50,865,000,000
Indonesia Treasury Bonds, Series FR96,
7.000%, 2/15/2033, (IDR)
3,310,816
 
7,054,327
Ireland — 1.6%
650,000
AIB Group PLC, EMTN, (fixed rate to
7/23/2028, variable rate thereafter),
4.625%, 7/23/2029, (EUR)
676,629
1,055,000
AIB Group PLC, (fixed rate to
2/16/2028, variable rate thereafter),
5.750%, 2/16/2029, (EUR)
1,147,777
320,000
AIB Group PLC, (fixed rate to
9/13/2028, variable rate thereafter),
6.608%, 9/13/2029(a)
318,669
400,000
Bank of Ireland Group PLC, (fixed rate
to 9/30/2026, variable rate thereafter),
2.029%, 9/30/2027(a)
350,430
1,310,000
Ireland Government Bonds, Zero
Coupon, 0.029%, 10/18/2031,
(EUR)(d)
1,074,283
3,205,000
Ireland Government Bonds,
1.000%, 5/15/2026, (EUR)
3,206,393
 
6,774,181
Israel — 0.2%
3,425,000
Israel Government Bonds - Fixed,
Series 330, 1.000%, 3/31/2030, (ILS)
735,398
Principal
Amount(‡)
Description
Value (†)
Italy — 1.3%
1,600,000
Enel Finance International NV,
6.000%, 10/07/2039(a)
$1,487,256
1,110,000
Intesa Sanpaolo SpA, EMTN, (fixed rate
to 3/14/2028, variable rate thereafter),
6.500%, 3/14/2029, (GBP)
1,316,146
535,000
Intesa Sanpaolo SpA,
6.625%, 6/20/2033(a)
502,756
1,260,000
Intesa Sanpaolo SpA, (fixed rate to
11/21/2032, variable rate thereafter),
8.248%, 11/21/2033(a)
1,268,026
370,000
UniCredit SpA, (fixed rate to 6/03/2031,
variable rate thereafter),
3.127%, 6/03/2032(a)
282,785
700,000
UniCredit SpA, (fixed rate to 6/30/2030,
variable rate thereafter),
5.459%, 6/30/2035
586,813
 
5,443,782
Japan — 4.9%
435,950,000
Japan Government Five Year Bonds,
Series 139, 0.100%, 3/20/2024, (JPY)
2,920,550
497,250,000
Japan Government Thirty Year Bonds,
Series 26, 2.400%, 3/20/2037, (JPY)
3,885,398
468,600,000
Japan Government Thirty Year Bonds,
Series 41, 1.700%, 12/20/2043, (JPY)
3,264,647
164,800,000
Japan Government Thirty Year Bonds,
Series 51, 0.300%, 6/20/2046, (JPY)
845,173
646,500,000
Japan Government Thirty Year Bonds,
Series 62, 0.500%, 3/20/2049, (JPY)
3,339,313
997,300,000
Japan Government Two Year Bonds,
Series 436, 0.005%, 5/01/2024, (JPY)
6,677,986
 
20,933,067
Korea — 2.2%
8,400,000,000
Korea Treasury Bonds, Series 3006,
1.375%, 6/10/2030, (KRW)
5,275,932
5,200,000,000
Korea Treasury Bonds, Series 3212,
4.250%, 12/10/2032, (KRW)
3,956,023
 
9,231,955
Luxembourg — 1.4%
1,180,000
Blackstone Property Partners Europe
Holdings Sarl, EMTN,
1.000%, 5/04/2028, (EUR)
982,824
1,435,000
Blackstone Property Partners Europe
Holdings Sarl, EMTN,
1.750%, 3/12/2029, (EUR)
1,188,111
345,000
Blackstone Property Partners Europe
Holdings Sarl, 3.625%, 10/29/2029,
(EUR)
309,455
1,810,000
Logicor Financing Sarl, EMTN,
0.875%, 1/14/2031, (EUR)
1,309,331
See accompanying notes to financial statements.
| 38

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Principal
Amount(‡)
Description
Value (†)
Luxembourg — continued
2,785,000
Logicor Financing Sarl, EMTN,
1.625%, 1/17/2030, (EUR)
$2,220,827
100,000
Logicor Financing Sarl, EMTN,
2.000%, 1/17/2034, (EUR)
70,109
 
6,080,657
Malaysia — 0.4%
7,770,000
Malaysia Government Bonds, Series 119,
3.906%, 7/15/2026, (MYR)
1,668,980
Mexico — 1.6%
405,000
America Movil SAB de CV,
2.875%, 5/07/2030
339,041
996,320(e
)
Mexico Bonos, Series M 20,
8.500%, 5/31/2029, (MXN)
5,368,780
1,450,000
Mexico Government International
Bonds, 3.500%, 2/12/2034
1,133,765
 
6,841,586
New Zealand — 1.2%
8,975,000
New Zealand Government Bonds,
Series 427, 4.500%, 4/15/2027, (NZD)
5,227,044
Norway — 1.3%
320,000
Aker BP ASA, 3.750%, 1/15/2030(a)
274,975
1,235,000
Aker BP ASA, 4.000%, 1/15/2031(a)
1,060,897
655,000
Aker BP ASA, 6.000%, 6/13/2033(a)
633,043
2,000,000
City of Oslo, NO, 2.300%, 3/14/2024,
(NOK)
184,589
2,000,000
City of Oslo, NO, 2.350%, 9/04/2024,
(NOK)
182,264
1,000,000
City of Oslo, NO, 3.650%, 11/08/2023,
(NOK)
93,378
3,340,000
SpareBank 1 Boligkreditt AS, EMTN,
0.050%, 11/03/2028, (EUR)
2,943,388
 
5,372,534
Portugal — 0.1%
230,000
EDP Finance BV, EMTN,
0.375%, 9/16/2026, (EUR)
218,577
435,000
EDP Finance BV, 1.710%, 1/24/2028(a)
367,849
 
586,426
Singapore — 0.5%
2,780,000
Singapore Government Bonds,
2.125%, 6/01/2026, (SGD)
1,955,885
South Africa — 2.3%
400,000
Anglo American Capital PLC,
2.875%, 3/17/2031(a)
317,894
440,000
Anglo American Capital PLC,
5.625%, 4/01/2030(a)
424,941
214,850,000
Republic of South Africa Government
Bonds, Series R213, 7.000%, 2/28/2031,
(ZAR)
8,903,218
 
9,646,053
Principal
Amount(‡)
Description
Value (†)
Spain — 2.3%
400,000
Banco Santander SA,
4.250%, 4/11/2027
$373,202
2,600,000
Banco Santander SA,
5.179%, 11/19/2025
2,530,398
1,725,000
Spain Government Bonds,
1.300%, 10/31/2026, (EUR)
1,710,100
2,460,000
Spain Government Bonds,
1.950%, 7/30/2030, (EUR)
2,341,948
2,835,000
Spain Government Bonds,
4.200%, 1/31/2037, (EUR)
3,026,078
 
9,981,726
Supranationals — 2.2%
4,940,000
European Union, 1.000%, 7/06/2032,
(EUR)
4,272,263
2,665,000
Inter-American Development Bank,
Series 112, 4.400%, 1/26/2026, (CAD)
1,935,576
36,080,000
Nordic Investment Bank, EMTN,
1.500%, 3/13/2025, (NOK)
3,221,226
 
9,429,065
Sweden — 0.6%
190,000
Heimstaden Bostad Treasury BV,
EMTN, 1.625%, 10/13/2031, (EUR)
125,423
9,900,000
Kommuninvest I Sverige AB, MTN,
1.000%, 5/12/2025, (SEK)
862,878
18,000,000
Sweden Government Bonds, Series 1058,
2.500%, 5/12/2025, (SEK)
1,621,500
 
2,609,801
Switzerland — 0.7%
195,000
UBS Group AG, EMTN, (fixed rate to
1/14/2027, variable rate thereafter),
0.650%, 1/14/2028, (EUR)
179,688
1,620,000
UBS Group AG, EMTN,
0.650%, 9/10/2029, (EUR)
1,345,725
715,000
UBS Group AG, (fixed rate to
5/14/2031, variable rate thereafter),
3.091%, 5/14/2032(a)
564,742
200,000
UBS Group AG, EMTN, (fixed rate to
6/15/2029, variable rate thereafter),
3.125%, 6/15/2030, (EUR)
192,619
655,000
Zurich Finance Ireland Designated
Activity Co., EMTN, (fixed rate to
8/23/2032, variable rate thereafter),
5.125%, 11/23/2052, (GBP)
704,973
 
2,987,747
Thailand — 0.3%
54,870,000
Thailand Government Bonds,
1.600%, 12/17/2029, (THB)
1,395,567
United Kingdom — 4.2%
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)
1,012,370
See accompanying notes to financial statements.
39 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Principal
Amount(‡)
Description
Value (†)
United Kingdom — continued
3,350,000
CK Hutchison International 19 Ltd.,
3.625%, 4/11/2029(a)
$3,028,308
85,500
Lanark Master Issuer PLC,
Series 2020-1A, Class 2A, SONIA Index
+ 0.570%, 5.789%, 12/22/2069,
(GBP)(a)(f)
104,339
885,000
National Grid Electricity Distribution
South Wales PLC, EMTN,
1.625%, 10/07/2035, (GBP)
681,174
135,000
National Grid Electricity Distribution
West Midlands PLC, EMTN,
5.750%, 4/16/2032, (GBP)
161,901
630,000
National Grid Electricity
Transmission PLC, EMTN,
2.750%, 2/06/2035, (GBP)
561,032
2,405,000
U.K. Gilts, 0.625%, 6/07/2025, (GBP)
2,746,340
625,000
U.K. Gilts, 3.250%, 1/31/2033, (GBP)
695,135
2,930,000
U.K. Gilts, 4.250%, 12/07/2055, (GBP)
3,236,007
4,155,000
U.K. Gilts, 4.750%, 12/07/2030, (GBP)
5,213,084
390,000
Virgin Money U.K. PLC, GMTN, (fixed
rate to 9/03/2026, variable rate
thereafter), 4.000%, 9/03/2027, (GBP)
435,252
205,000
Virgin Money U.K. PLC, GMTN, (fixed
rate to 10/29/2027, variable rate
thereafter), 4.625%, 10/29/2028, (EUR)
208,561
 
18,083,503
United States — 37.8%
1,651,233
AASET Trust, Series 2021-2A, Class A,
2.798%, 1/15/2047(a)
1,411,452
750,000
AES Corp., 3.950%, 7/15/2030(a)
646,440
290,000,000
Aflac, Inc., 0.932%, 1/25/2027, (JPY)
1,938,385
390,000,000
Aflac, Inc., (fixed rate to 10/23/2027,
variable rate thereafter),
2.108%, 10/23/2047, (JPY)
2,615,641
275,000
Ally Financial, Inc., 3.875%, 5/21/2024
269,874
2,860,000
Amgen, Inc., 5.250%, 3/02/2033
2,734,042
1,185,000
Amgen, Inc., 5.650%, 3/02/2053
1,109,068
4,125,000
AT&T, Inc., 2.250%, 2/01/2032
3,104,595
140,000
AT&T, Inc., 3.650%, 6/01/2051
90,271
700,000
AT&T, Inc., 5.400%, 2/15/2034
655,129
165,000
Boeing Co., 2.196%, 2/04/2026
151,500
85,000
Boeing Co., 2.250%, 6/15/2026
77,341
10,000
Boeing Co., 3.250%, 2/01/2035
7,688
120,000
Boeing Co., 3.550%, 3/01/2038
87,971
40,000
Boeing Co., 3.625%, 3/01/2048
25,959
210,000
Boeing Co., 3.750%, 2/01/2050
142,384
195,000
Boeing Co., 3.825%, 3/01/2059
124,562
235,000
Boeing Co., 3.850%, 11/01/2048
160,490
390,000
Boeing Co., 3.900%, 5/01/2049
271,961
175,000
Boeing Co., 3.950%, 8/01/2059
116,125
1,385,000
BPR Trust, Series 2022-OANA, Class A,
1 mo. USD SOFR + 1.898%,
7.230%, 4/15/2037(a)(f)
1,359,983
803,000
Broadcom, Inc., 2.450%, 2/15/2031(a)
627,629
479,000
Broadcom, Inc., 3.187%, 11/15/2036(a)
343,916
Principal
Amount(‡)
Description
Value (†)
United States — continued
410,000
Broadcom, Inc., 3.419%, 4/15/2033(a)
$327,941
215,000
Centene Corp., 2.450%, 7/15/2028
181,641
2,266,000
Centene Corp., 4.625%, 12/15/2029
2,040,828
155,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
2.300%, 2/01/2032
112,960
2,000,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
2.800%, 4/01/2031
1,559,714
210,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
4.800%, 3/01/2050
146,846
1,440,000
Charter Communications
Operating LLC/Charter
Communications Operating Capital,
5.050%, 3/30/2029
1,346,044
2,930,000
Citigroup, Inc., Series MPLE,
4.090%, 6/09/2025, (CAD)
2,082,010
120,000
Comcast Corp., 4.250%, 1/15/2033
107,933
505,000
Comcast Corp., 4.650%, 2/15/2033
472,789
1,100,000
Continental Resources, Inc.,
2.875%, 4/01/2032(a)
823,734
947,000
Continental Resources, Inc.,
4.375%, 1/15/2028
878,341
580,000
Continental Resources, Inc.,
5.750%, 1/15/2031(a)
544,884
600,000,000
Corning, Inc., 0.698%, 8/09/2024,
(JPY)
4,006,317
2,840,000
CVS Health Corp., 5.300%, 6/01/2033
2,689,939
1,690,000
Digital Dutch Finco BV,
1.000%, 1/15/2032, (EUR)
1,287,159
865,000
Energy Transfer LP, 5.300%, 4/15/2047
702,618
830,000
EQT Corp., 3.625%, 5/15/2031(a)
702,130
580,000
EQT Corp., 5.000%, 1/15/2029
545,206
6,306,588
Federal Home Loan Mortgage Corp.,
2.500%, 12/01/2051
5,007,108
9,581,346
Federal National Mortgage Association,
2.000%, 5/01/2051
7,305,000
5,846,256
Federal National Mortgage Association,
2.000%, 11/01/2051
4,451,063
4,400,186
Federal National Mortgage Association,
2.000%, 11/01/2051
3,354,022
2,984,100
Federal National Mortgage Association,
2.000%, 2/01/2052
2,271,650
4,983,829
Federal National Mortgage Association,
2.500%, 5/01/2052
3,959,525
220,166
Federal National Mortgage Association,
3.000%, 11/01/2046
185,950
8,951,273
Federal National Mortgage Association,
3.000%, 11/01/2051
7,405,558
663,235
Federal National Mortgage Association,
3.500%, 6/01/2045
585,969
See accompanying notes to financial statements.
| 40

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Principal
Amount(‡)
Description
Value (†)
United States — continued
247,896
Federal National Mortgage Association,
3.500%, 9/01/2047
$213,654
3,976,293
Federal National Mortgage Association,
3.500%, 5/01/2052
3,424,123
202,641
Federal National Mortgage Association,
4.000%, 8/01/2048
183,525
4,130,194
Federal National Mortgage Association,
4.000%, 3/01/2049
3,731,558
1,403,667
Federal National Mortgage Association,
4.000%, 5/01/2050
1,265,510
329,161
Federal National Mortgage Association,
4.500%, 11/01/2043
309,401
53,553
Federal National Mortgage Association,
4.500%, 7/01/2046
49,746
355,456
Federal National Mortgage Association,
4.500%, 3/01/2047
332,878
61,892
Federal National Mortgage Association,
4.500%, 9/01/2047
57,639
7,188,821
Federal National Mortgage Association,
4.500%, 9/01/2052
6,603,235
2,859,911
Federal National Mortgage Association,
5.000%, 8/01/2052
2,701,328
585,000
Ferguson Finance PLC,
3.250%, 6/02/2030(a)
495,844
270,000
Freeport-McMoRan, Inc.,
4.250%, 3/01/2030
238,573
820,000
GS Mortgage Securities Corp. II,
Series 2023- SHIP, Class A,
4.466%, 9/10/2038(a)(g)
780,904
3,780,000
HCA, Inc., 2.375%, 7/15/2031
2,893,171
65,000
HCA, Inc., 3.625%, 3/15/2032
53,878
805,000
HCA, Inc., 5.500%, 6/01/2033
761,307
1,663,930
Legacy Mortgage Asset Trust,
Series 2019-GS7, Class A1,
6.250%, 11/25/2059(a)(g)
1,648,437
1,407,702
Legacy Mortgage Asset Trust,
Series 2020-GS1, Class A1,
5.882%, 10/25/2059(a)(g)
1,399,276
55,000
Lennar Corp., 4.750%, 5/30/2025
53,806
420,000
Lennar Corp., 5.000%, 6/15/2027
408,513
2,166,979
Navigator Aircraft ABS Ltd.,
Series 2021-1, Class A,
2.771%, 11/15/2046(a)(g)
1,880,396
1,310,000
Oracle Corp., 5.550%, 2/06/2053
1,147,774
472,000
Ovintiv, Inc., 6.500%, 8/15/2034
464,859
265,000
Ovintiv, Inc., 6.500%, 2/01/2038
253,090
195,000
Ovintiv, Inc., 7.200%, 11/01/2031
200,726
932,000
Ovintiv, Inc., 7.375%, 11/01/2031
976,564
1,475,000
Pfizer Investment Enterprises Pte. Ltd.,
4.750%, 5/19/2033
1,394,285
1,365,000
Pfizer Investment Enterprises Pte. Ltd.,
5.300%, 5/19/2053
1,268,293
530,000,000
Prologis Yen Finance LLC,
0.972%, 9/25/2028, (JPY)
3,458,264
1,453,618
PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026(a)(g)
1,369,061
Principal
Amount(‡)
Description
Value (†)
United States — continued
841,126
PRPM LLC, Series 2021-10, Class A1,
2.487%, 10/25/2026(a)(g)
$780,092
593,000
PulteGroup, Inc., 5.000%, 1/15/2027
579,741
305,000
Santander Holdings USA, Inc.,
3.244%, 10/05/2026
276,289
1,585,000
Taubman Centers Commercial Mortgage
Trust, Series 2022-DPM, Class A, 1 mo.
USD SOFR + 2.186%,
7.518%, 5/15/2037(a)(f)
1,554,185
1,935,000
Thermo Fisher Scientific, Inc.,
5.086%, 8/10/2033
1,871,041
625,000
T-Mobile USA, Inc., 3.300%, 2/15/2051
391,063
350,000
T-Mobile USA, Inc.,
3.400%, 10/15/2052
218,626
2,020,000
T-Mobile USA, Inc., 3.875%, 4/15/2030
1,789,661
840,000
T-Mobile USA, Inc., 4.375%, 4/15/2040
674,963
2,570,000
T-Mobile USA, Inc., 5.050%, 7/15/2033
2,384,474
8,075,000
U.S. Treasury Bonds,
2.875%, 5/15/2043(h)
5,982,440
11,872,384
U.S. Treasury Inflation-Indexed Notes,
0.625%, 7/15/2032(i)
10,343,699
3,775,000
U.S. Treasury Notes, 3.375%, 5/15/2033
3,423,453
2,180,000
U.S. Treasury Notes, 4.750%, 7/31/2025
2,165,523
2,135,000
Uniform Mortgage-Backed Security,
TBA, 6.500%, 11/01/2053
2,143,340
677,037
United Airlines Pass-Through Trust,
Series 2016-1, Class B,
3.650%, 7/07/2027
633,958
864,809
United Airlines Pass-Through Trust,
Series 2016-2, Class B,
3.650%, 4/07/2027
812,099
6,030,000
UnitedHealth Group, Inc.,
4.500%, 4/15/2033
5,579,624
2,416,773
Vericrest Opportunity Loan Transferee,
Series 2021-NP11, Class A1,
1.868%, 8/25/2051(a)(g)
2,234,660
350,000
Verizon Communications, Inc.,
2.850%, 9/03/2041
226,270
1,885,000
VMware, Inc., 2.200%, 8/15/2031
1,422,480
2,040,627
VOLT XCIII LLC, Series 2021-NPL2,
Class A1, 1.893%, 2/27/2051(a)(g)
1,895,777
899,974
VOLT XCVII LLC, Series 2021-NPL6,
Class A1, 2.240%, 4/25/2051(a)(g)
838,221
 
161,398,582
Total Bonds and Notes

(Identified Cost $478,802,291)
412,517,505
See accompanying notes to financial statements.
41 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Principal
Amount(‡)
Description
Value (†)
Short-Term Investments — 1.6%
$4,890,216
Tri-Party Repurchase Agreement with
Fixed Income Clearing Corporation,
dated 9/29/2023 at 2.500% to be
repurchased at $4,891,234
on 10/02/2023  collateralized by
$5,601,800 U.S. Treasury Note, 0.750%
due 8/31/2026 valued at $4,988,074
including accrued interest (Note 2 of
Notes to Financial Statements)
$4,890,216
2,200,000
U.S. Treasury Bills,
5.291%, 12/12/2023(j)
2,176,960
Total Short-Term Investments

(Identified Cost $7,066,937)
7,067,176
Total Investments — 98.3%

(Identified Cost $485,869,228)
419,584,681
Other assets less liabilities — 1.7%
7,149,402
Net Assets — 100.0%
$426,734,083
 
(†)
See Note 2 of Notes to Financial Statements.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise noted.
(a)
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,
2023, the value of Rule 144A holdings amounted to
$35,155,724 or 8.2% of net assets.
(b)
Amount shown represents units. One unit represents a
principal amount of 1,000.
(c)
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.
(d)
Interest rate represents annualized yield at time of purchase;
not a coupon rate.
(e)
Amount shown represents units. One unit represents a
principal amount of 100.
(f)
Variable rate security. Rate as of September 30, 2023 is
disclosed.
(g)
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, 2023 is disclosed.
(h)
Security (or a portion thereof) has been pledged as collateral
for open derivative contracts.
(i)
Treasury Inflation Protected Security (TIPS).
(j)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
 
ABS
Asset-Backed Securities
EMTN
Euro Medium Term Note
GMTN
Global Medium Term Note
MTN
Medium Term Note
SOFR
Secured Overnight Financing Rate
SONIA
Sterling Overnight Index
TBA
To Be Announced
 
AUD
Australian Dollar
BRL
Brazilian Real
CAD
Canadian Dollar
CHF
Swiss Franc
CNH
Chinese Yuan Renminbi Offshore
CNY
Chinese Yuan Renminbi
DKK
Danish Krone
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
SEK
Swedish Krona
SGD
Singapore Dollar
THB
Thai Baht
ZAR
South African Rand
At September 30, 2023, 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.
12/04/2023
BRL
S
25,224,000
$5,124,746
$4,978,388
$146,358
Bank of America N.A.
12/20/2023
KRW
S
6,623,166,000
5,007,308
4,930,430
76,878
Barclays Bank PLC
12/20/2023
SGD
S
1,520,000
1,122,185
1,115,866
6,319
BNP Paribas SA
12/20/2023
CNH
B
20,136,000
2,775,848
2,767,486
(8,362
)
BNP Paribas SA
12/20/2023
GBP
S
3,793,000
4,706,658
4,630,356
76,302
BNP Paribas SA
12/20/2023
NZD
S
8,127,000
4,811,306
4,871,081
(59,775
)
Citibank N.A.
12/20/2023
ZAR
S
108,731,000
5,664,961
5,703,253
(38,292
)
Goldman Sachs Bank USA
12/20/2023
MXN
S
72,882,000
4,200,377
4,127,578
72,799
HSBC Bank USA N.A.
12/20/2023
CAD
S
2,542,000
1,878,019
1,873,839
4,180
Morgan Stanley Capital Services LLC
12/20/2023
JPY
B
2,835,193,000
19,570,736
19,216,906
(353,830
)
Standard Chartered Bank
12/20/2023
EUR
S
13,489,000
14,502,186
14,313,532
188,654
UBS AG
12/20/2023
AUD
S
5,124,000
3,315,689
3,303,329
12,360
UBS AG
12/20/2023
CHF
B
2,330,000
2,630,581
2,567,780
(62,801
)
See accompanying notes to financial statements.
| 42

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Counterparty
Delivery
Date
Currency
Bought/
Sold (B/S)
Units
of
Currency
In Exchange
for
Notional
Value
Unrealized
Appreciation
(Depreciation)
UBS AG
12/20/2023
IDR
S
82,626,616,000
$5,361,038
$5,345,303
$15,735
UBS AG
12/20/2023
SEK
S
7,374,000
662,692
677,564
(14,872
)
Total
 
 
 
$61,653
At September 30, 2023, the Fund had the following open forward cross currency contracts: 
Counterparty
Settlement
Date
Deliver/Units
of Currency
Receive/Units
of Currency
Notional
Value
Unrealized
Appreciaation
(Depreciation)
Barclays Bank PLC
12/20/2023
EUR
595,796
PLN
2,770,000
$632,194
$(22
)
BNP Paribas SA
12/20/2023
DKK
24,858,000
EUR
3,336,600
3,540,553
907
Goldman Sachs Bank USA
11/09/2023
EUR
1,201,567
HUF
470,391,000
1,268,442
(3,865
)
HSBC Bank USA N.A.
12/20/2023
NOK
36,818,000
EUR
3,218,075
3,414,784
(34,701
)
UBS AG
12/20/2023
ZAR
24,015,000
EUR
1,169,128
1,240,592
(19,063
)
Total
$(56,744
)
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
23
$2,534,249
$2,485,438
$(48,811
)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
94
19,102,278
19,054,828
(47,450
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
173
18,390,310
18,227,172
(163,138
)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
71
9,037,844
8,426,812
(611,032
)
Eurex 10 Year Euro BUND Futures
12/07/2023
42
5,886,766
5,712,195
(174,571
)
Eurex 30 Year Euro BUXL Futures
12/07/2023
4
548,507
517,460
(31,047
)
Long Gilt Futures
12/27/2023
13
1,484,478
1,493,500
9,022
Ultra 10-Year U.S. Treasury Notes Futures
12/19/2023
42
4,799,240
4,685,625
(113,615
)
Total
$(1,180,642
)
At September 30, 2023, open short futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT U.S. Long Bond Futures
12/19/2023
52
$6,245,574
$5,916,625
$328,949
Eurex 5 Year Euro BOBL Futures
12/07/2023
75
9,313,736
9,178,252
135,484
Total
$464,433
See accompanying notes to financial statements.
43 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Bond Fund (continued)
Industry Summary at September 30, 2023 
Treasuries
43.6
%
Mortgage Related
12.9
Banking
5.7
Government Owned - No Guarantee
4.3
Local Authorities
3.6
ABS Home Equity
2.4
Supranational
2.2
Other Investments, less than 2% each
22.0
Short-Term Investments
1.6
Total Investments
98.3
Other assets less liabilities (including forward
foreign currency and futures contracts)
1.7
Net Assets
100.0
%
Currency Exposure Summary at September 30, 2023 
United States Dollar
41.2
%
Euro
20.7
Japanese Yen
7.7
Yuan Renminbi
6.4
British Pound
3.8
Canadian Dollar
3.0
South Korean Won
2.2
Australian Dollar
2.1
South African Rand
2.1
Other, less than 2% each
9.1
Total Investments
98.3
Other assets less liabilities (including forward
foreign currency and futures contracts)
1.7
Net Assets
100.0
%
See accompanying notes to financial statements.
| 44

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Inflation Protected Securities Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 94.8% of Net Assets
Aerospace & Defense — 0.3%
$465,000
Boeing Co., 5.705%, 5/01/2040
$429,010
Automotive — 0.3%
410,000
Magna International, Inc.,
5.980%, 3/21/2026
410,275
Banking — 2.3%
400,000
Banco Santander SA, 6.921%, 8/08/2033
382,193
410,000
Deutsche Bank AG, (fixed rate to
11/10/2032, variable rate thereafter),
7.079%, 2/10/2034
370,534
895,000
HSBC USA, Inc., 5.625%, 3/17/2025
889,701
720,000
ING Groep NV, SOFR + 1.560%,
6.905%, 9/11/2027(a)
722,203
505,000
Morgan Stanley, MTN, (fixed rate to
4/20/2028, variable rate thereafter),
5.164%, 4/20/2029
485,838
300,000
Truist Financial Corp., MTN, (fixed rate to
6/08/2026, variable rate thereafter),
6.047%, 6/08/2027
296,737
 
3,147,206
Electric — 0.2%
235,000
NextEra Energy Capital Holdings, Inc.,
6.051%, 3/01/2025
235,356
Environmental — 0.1%
170,000
Republic Services, Inc., 5.000%, 4/01/2034
160,925
Finance Companies — 1.1%
1,520,000
Blue Owl Credit Income Corp.,
5.500%, 3/21/2025
1,470,301
Food & Beverage — 0.6%
910,000
Mars, Inc., 4.750%, 4/20/2033(b)
859,386
Life Insurance — 0.3%
400,000
Allianz SE, (fixed rate to 3/06/2033, variable
rate thereafter), 6.350%, 9/06/2053(b)
386,167
Midstream — 0.5%
780,000
Magellan Midstream Partners LP,
5.000%, 3/01/2026
765,554
Natural Gas — 0.2%
385,000
Sempra, 3.700%, 4/01/2029
346,872
Railroads — 0.0%
15,000
Canadian Pacific Railway Co.,
2.050%, 3/05/2030
12,115
Sovereigns — 0.1%
200,000
Abu Dhabi Government International
Bonds, 3.875%, 4/16/2050(b)
149,677
Transportation Services — 0.4%
530,000
AP Moller - Maersk AS,
5.875%, 9/14/2033(b)
514,418
Principal
Amount
Description
Value (†)
Treasuries — 88.4%
$21,394,975
U.S. Treasury Inflation-Indexed Bonds,
0.250%, 2/15/2050(c)
$12,586,890
7,575,456
U.S. Treasury Inflation-Indexed Bonds,
0.750%, 2/15/2042(c)
5,735,079
559,989
U.S. Treasury Inflation-Indexed Notes,
0.125%, 7/15/2024(c)
546,980
15,147,392
U.S. Treasury Inflation-Indexed Notes,
0.125%, 4/15/2025(c)
14,449,586
18,404,370
U.S. Treasury Inflation-Indexed Notes,
0.125%, 4/15/2027(c)
16,893,918
23,836,032
U.S. Treasury Inflation-Indexed Notes,
0.125%, 7/15/2031(c)
20,236,186
25,592,917
U.S. Treasury Inflation-Indexed Notes,
0.375%, 1/15/2027(c)
23,804,662
7,364,350
U.S. Treasury Inflation-Indexed Notes,
0.625%, 7/15/2032(c)
6,416,118
21,790,260
U.S. Treasury Inflation-Indexed Notes,
0.875%, 1/15/2029(c)
20,215,786
 
120,885,205
Total Bonds and Notes

(Identified Cost $156,205,025)
129,772,467
Short-Term Investments — 4.0%
1,322,530
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$1,322,806 on 10/02/2023  collateralized by
$1,359,300 U.S. Treasury Note, 4.375%
due 8/15/2026 valued at $1,349,050
including accrued interest (Note 2 of Notes
to Financial Statements)
1,322,530
4,220,000
U.S. Treasury Bills, 5.308%, 3/21/2024(d)
4,113,341
Total Short-Term Investments

(Identified Cost $5,435,509)
5,435,871
Total Investments — 98.8%

(Identified Cost $161,640,534)
135,208,338
Other assets less liabilities — 1.2%
1,601,887
Net Assets — 100.0%
$136,810,225
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(b)
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, 2023, the value
of Rule 144A holdings amounted to $1,909,648 or 1.4% of net
assets.
(c)
Treasury Inflation Protected Security (TIPS).
(d)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
 
MTN
Medium Term Note
SOFR
Secured Overnight Financing Rate
See accompanying notes to financial statements.
45 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Inflation Protected Securities Fund (continued)
At September 30, 2023, the Fund had the following open centrally cleared interest rate swap agreements: 
Notional
Value
Currency
Expiration Date
Fund Pays1
Fund Receives1
Market Value
Unrealized
Appreciation
(Depreciation)
10,505,000
USD
1/18/2028
1 yr. SOFR
3.36%
$(554,127
)
$(554,127
)
2,450,000
USD
1/18/2053
(2.942%)
1 yr. SOFR
484,677
484,677
Total
 
 
 
 
$(69,450
)
$(69,450
)
 
1
Payments are made annually.
At September 30, 2023, 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.
12/14/2023
EUR
S
772,000
$830,170
$818,869
$11,301
Industry Summary at September 30, 2023 
Treasuries
88.4
%
Banking
2.3
Other Investments, less than 2% each
4.1
Short-Term Investments
4.0
Total Investments
98.8
Other assets less liabilities (including swap
agreements and forward foreign currency
contracts)
1.2
Net Assets
100.0
%
See accompanying notes to financial statements.
| 46

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund
 
Principal
Amount (‡)
Description
Value (†)
Bonds and Notes — 86.6% of Net Assets
Non-Convertible Bonds — 82.2%
ABS Car Loan — 0.7%
$802,000
Hertz Vehicle Financing III LLC,
Series 2022-1A, Class D,
4.850%, 6/25/2026(a)
$750,365
488,000
Hertz Vehicle Financing III LLC,
Series 2022-3A, Class D,
6.310%, 3/25/2025(a)
484,078
300,000
Hertz Vehicle Financing III LLC,
Series 2023-2A, Class D,
9.400%, 9/25/2029(a)
301,711
440,000
Hertz Vehicle Financing LLC,
Series 2022-2A, Class D,
5.160%, 6/26/2028(a)
380,103
410,000
Hertz Vehicle Financing LLC,
Series 2022-4A, Class D,
6.560%, 9/25/2026(a)
391,443
 
2,307,700
ABS Other — 0.1%
191,786
Business Jet Securities LLC, Series 2021-1A,
Class C, 5.067%, 4/15/2036(a)
178,516
198,440
Sierra Timeshare Receivables Funding LLC,
Series 2021-1A, Class D,
3.170%, 11/20/2037(a)
182,974
 
361,490
Aerospace & Defense — 1.5%
400,000
Bombardier, Inc., 6.000%, 2/15/2028(a)
362,878
1,355,000
Bombardier, Inc., 7.125%, 6/15/2026(a)
1,312,805
620,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
615,012
160,000
TransDigm, Inc., 6.250%, 3/15/2026(a)
157,213
1,655,000
TransDigm, Inc., 6.750%, 8/15/2028(a)
1,629,329
695,000
TransDigm, Inc., 6.875%, 12/15/2030(a)
681,478
 
4,758,715
Airlines — 1.3%
485,000
Allegiant Travel Co., 7.250%, 8/15/2027(a)
456,506
390,557
American Airlines Pass-Through Trust,
Series 2016-3, Class B, 3.750%, 4/15/2027
364,901
1,058,164
American Airlines Pass-Through Trust,
Series 2017-2, Class B, 3.700%, 4/15/2027
1,004,814
2,285,000
American Airlines, Inc./AAdvantage Loyalty
IP Ltd., 5.750%, 4/20/2029(a)
2,125,165
 
3,951,386
Automotive — 3.2%
480,000
Allison Transmission, Inc.,
4.750%, 10/01/2027(a)
442,968
385,000
American Axle & Manufacturing, Inc.,
5.000%, 10/01/2029
311,385
180,000
Ford Motor Co., 3.250%, 2/12/2032
138,719
1,115,000
Ford Motor Credit Co. LLC,
2.300%, 2/10/2025
1,045,833
Principal
Amount (‡)
Description
Value (†)
Automotive — continued
$3,080,000
Ford Motor Credit Co. LLC,
3.375%, 11/13/2025
$2,857,673
545,000
Ford Motor Credit Co. LLC,
6.950%, 3/06/2026
544,101
1,200,000
Ford Motor Credit Co. LLC,
6.950%, 6/10/2026
1,198,530
1,620,000
General Motors Financial Co., Inc.,
Series A, (fixed rate to 9/30/2027, variable
rate thereafter), 5.750%(b)
1,304,570
895,000
General Motors Financial Co., Inc.,
Series B, (fixed rate to 9/30/2028, variable
rate thereafter), 6.500%(b)
761,854
320,000
General Motors Financial Co., Inc.,
Series C, (fixed rate to 9/30/2030, variable
rate thereafter), 5.700%(b)
273,475
750,000
Jaguar Land Rover Automotive PLC,
5.500%, 7/15/2029(a)
641,247
265,000
Wheel Pros, Inc., 6.500%, 5/15/2029(a)
88,762
280,000
ZF North America Capital, Inc.,
7.125%, 4/14/2030(a)
274,568
 
9,883,685
Banking — 1.8%
665,000
Ally Financial, Inc., 5.750%, 11/20/2025
645,953
715,000
Barclays PLC, (fixed rate to 6/27/2033,
variable rate thereafter), 7.119%, 6/27/2034
688,640
405,000
Barclays PLC, (fixed rate to 9/23/2030,
variable rate thereafter), 3.564%, 9/23/2035
312,705
750,000
Deutsche Bank AG, (fixed rate to
10/07/2031, variable rate thereafter),
3.742%, 1/07/2033
538,196
605,000
Deutsche Bank AG, (fixed rate to
10/14/2030, variable rate thereafter),
3.729%, 1/14/2032
450,358
620,000
Deutsche Bank AG, (fixed rate to
12/01/2027, variable rate thereafter),
4.875%, 12/01/2032
528,942
1,630,000
Intesa Sanpaolo SpA, 6.625%, 6/20/2033(a)
1,531,760
1,180,000
UniCredit SpA, (fixed rate to 6/30/2030,
variable rate thereafter),
5.459%, 6/30/2035(a)
989,199
 
5,685,753
Brokerage — 0.5%
340,000
Coinbase Global, Inc.,
3.375%, 10/01/2028(a)
244,915
185,000
Coinbase Global, Inc.,
3.625%, 10/01/2031(a)
122,749
405,000
Jefferies Finance LLC/JFIN Co-Issuer
Corp., 5.000%, 8/15/2028(a)
341,013
95,000
NFP Corp., 4.875%, 8/15/2028(a)
83,634
540,000
NFP Corp., 6.875%, 8/15/2028(a)
462,606
445,000
NFP Corp., 8.500%, 10/01/2031(a)
445,675
 
1,700,592
See accompanying notes to financial statements.
47 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Building Materials — 2.4%
$470,000
ACProducts Holdings, Inc.,
6.375%, 5/15/2029(a)
$310,200
485,000
Advanced Drainage Systems, Inc.,
6.375%, 6/15/2030(a)
465,818
790,000
Beacon Roofing Supply, Inc.,
6.500%, 8/01/2030(a)
765,597
490,000
Builders FirstSource, Inc.,
4.250%, 2/01/2032(a)
401,832
635,000
Camelot Return Merger Sub, Inc.,
8.750%, 8/01/2028(a)
612,553
745,000
Cemex SAB de CV, (fixed rate to
3/14/2028, variable rate thereafter),
9.125%(a)(b)
775,549
840,000
Cemex SAB de CV, (fixed rate to
6/08/2026, variable rate thereafter),
5.125%(a)(b)
786,402
1,305,000
Foundation Building Materials, Inc.,
6.000%, 3/01/2029(a)
1,086,081
540,000
LBM Acquisition LLC,
6.250%, 1/15/2029(a)
442,800
450,000
MIWD Holdco II LLC/MIWD Finance
Corp., 5.500%, 2/01/2030(a)
371,810
470,000
Patrick Industries, Inc.,
4.750%, 5/01/2029(a)
392,450
810,000
Specialty Building Products
Holdings LLC/SBP Finance Corp.,
6.375%, 9/30/2026(a)
757,467
320,000
Standard Industries, Inc.,
4.375%, 7/15/2030(a)
265,024
 
7,433,583
Cable Satellite — 8.4%
3,845,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.250%, 2/01/2031(a)
3,061,812
3,335,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.250%, 1/15/2034(a)
2,455,487
15,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.500%, 5/01/2032
11,773
605,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 4.500%, 6/01/2033(a)
462,909
790,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 5.000%, 2/01/2028(a)
717,429
45,000
CCO Holdings LLC/CCO Holdings
Capital Corp., 5.125%, 5/01/2027(a)
41,927
400,000
CSC Holdings LLC, 3.375%, 2/15/2031(a)
272,575
200,000
CSC Holdings LLC,
4.500%, 11/15/2031(a)
141,556
7,305,000
CSC Holdings LLC,
4.625%, 12/01/2030(a)
3,883,727
3,755,000
CSC Holdings LLC,
5.000%, 11/15/2031(a)
2,012,591
215,000
CSC Holdings LLC, 5.500%, 4/15/2027(a)
184,271
1,955,000
CSC Holdings LLC, 5.750%, 1/15/2030(a)
1,095,378
425,000
CSC Holdings LLC, 6.500%, 2/01/2029(a)
352,085
2,505,000
Directv Financing LLC/Directv Financing
Co-Obligor, Inc., 5.875%, 8/15/2027(a)
2,214,871
Principal
Amount (‡)
Description
Value (†)
Cable Satellite — continued
$1,145,000
DISH DBS Corp., 5.125%, 6/01/2029
$634,765
1,410,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
1,198,290
1,105,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
849,469
4,160,000
DISH DBS Corp., 7.750%, 7/01/2026
3,120,000
1,810,000
Sirius XM Radio, Inc.,
3.875%, 9/01/2031(a)
1,371,005
665,000
Sirius XM Radio, Inc.,
5.000%, 8/01/2027(a)
607,411
385,000
Telesat Canada/Telesat LLC,
5.625%, 12/06/2026(a)
264,687
1,355,000
Ziggo Bond Co. BV, 6.000%, 1/15/2027(a)
1,240,490
 
26,194,508
Chemicals — 2.6%
205,000
Ashland, Inc., 3.375%, 9/01/2031(a)
159,415
810,000
ASP Unifrax Holdings, Inc.,
5.250%, 9/30/2028(a)
576,837
1,120,000
Braskem Netherlands Finance BV,
8.500%, 1/12/2031(a)
1,109,864
390,000
Consolidated Energy Finance SA,
5.625%, 10/15/2028(a)
322,238
4,738,000
Hercules LLC, 6.500%, 6/30/2029
4,341,145
240,000
INEOS Quattro Finance 2 PLC,
3.375%, 1/15/2026(a)
218,627
1,225,000
Olympus Water U.S. Holding Corp.,
4.250%, 10/01/2028(a)
998,638
325,000
Olympus Water U.S. Holding Corp.,
9.750%, 11/15/2028(a)
324,298
165,000
WR Grace Holdings LLC,
5.625%, 8/15/2029(a)
133,444
 
8,184,506
Consumer Cyclical Services — 3.1%
1,585,000
ADT Security Corp., 4.125%, 8/01/2029(a)
1,340,133
340,000
Arches Buyer, Inc., 4.250%, 6/01/2028(a)
289,881
285,000
Match Group Holdings II LLC,
3.625%, 10/01/2031(a)
224,899
210,000
Match Group Holdings II LLC,
5.000%, 12/15/2027(a)
193,687
150,000
Prime Security Services
Borrower LLC/Prime Finance, Inc.,
3.375%, 8/31/2027(a)
131,415
830,000
Realogy Group LLC/Realogy Co-Issuer
Corp., 5.750%, 1/15/2029(a)
600,049
1,235,000
Uber Technologies, Inc.,
4.500%, 8/15/2029(a)
1,103,913
4,595,000
Uber Technologies, Inc.,
6.250%, 1/15/2028(a)
4,493,290
230,000
Uber Technologies, Inc.,
7.500%, 9/15/2027(a)
231,910
535,000
Uber Technologies, Inc.,
8.000%, 11/01/2026(a)
541,289
450,000
VT Topco, Inc., 8.500%, 8/15/2030(a)
445,747
 
9,596,213
See accompanying notes to financial statements.
| 48

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Consumer Products — 1.2%
$520,000
Coty, Inc./HFC Prestige Products,
Inc./HFC Prestige International U.S. LLC,
4.750%, 1/15/2029(a)
$468,920
685,000
Coty, Inc./HFC Prestige Products,
Inc./HFC Prestige International U.S. LLC,
6.625%, 7/15/2030(a)
668,793
1,705,000
Energizer Holdings, Inc.,
4.375%, 3/31/2029(a)
1,422,908
690,000
Newell Brands, Inc., 5.200%, 4/01/2026
650,251
225,000
Prestige Brands, Inc., 3.750%, 4/01/2031(a)
181,125
505,000
Tempur Sealy International, Inc.,
3.875%, 10/15/2031(a)
389,586
 
3,781,583
Diversified Manufacturing — 0.5%
365,000
Chart Industries, Inc.,
7.500%, 1/01/2030(a)
367,000
385,000
Madison IAQ LLC, 5.875%, 6/30/2029(a)
310,018
920,000
Resideo Funding, Inc.,
4.000%, 9/01/2029(a)
755,854
 
1,432,872
Electric — 1.1%
2,545,000
Calpine Corp., 4.500%, 2/15/2028(a)
2,293,621
985,000
NRG Energy, Inc., 3.875%, 2/15/2032(a)
739,430
290,000
Talen Energy Supply LLC,
8.625%, 6/01/2030(a)
297,279
 
3,330,330
Environmental — 0.5%
35,000
Clean Harbors, Inc., 5.125%, 7/15/2029(a)
32,197
285,000
Clean Harbors, Inc., 6.375%, 2/01/2031(a)
277,125
1,390,000
Covanta Holding Corp.,
4.875%, 12/01/2029(a)
1,140,356
 
1,449,678
Finance Companies — 4.9%
1,000,000
AGFC Capital Trust I, 3 mo. USD SOFR +
2.012%, 7.320%, 1/15/2067(a)(c)
527,460
330,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
323,624
345,000
Aircastle Ltd., Series A, (fixed rate to
6/15/2026, variable rate thereafter),
5.250%(a)(b)
271,290
160,000
Blackstone Secured Lending Fund,
2.750%, 9/16/2026
140,648
775,000
Blackstone Secured Lending Fund,
3.625%, 1/15/2026
715,972
880,000
Blue Owl Capital Corp.,
3.400%, 7/15/2026
788,975
130,000
Cobra AcquisitionCo LLC,
6.375%, 11/01/2029(a)
96,200
510,406
Global Aircraft Leasing Co. Ltd., 7.250%
PIK or 6.500% Cash, 9/15/2024(a)(d)
486,162
535,000
Nationstar Mortgage Holdings, Inc.,
5.000%, 2/01/2026(a)
499,741
660,000
Nationstar Mortgage Holdings, Inc.,
5.125%, 12/15/2030(a)
535,871
Principal
Amount (‡)
Description
Value (†)
Finance Companies — continued
$350,000
Nationstar Mortgage Holdings, Inc.,
5.500%, 8/15/2028(a)
$308,723
1,320,000
Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031(a)
1,091,933
3,105,000
Navient Corp., Series A, MTN,
5.625%, 8/01/2033
2,253,143
715,000
OneMain Finance Corp.,
3.500%, 1/15/2027
612,219
1,380,000
OneMain Finance Corp.,
4.000%, 9/15/2030
1,035,490
125,000
OneMain Finance Corp.,
5.375%, 11/15/2029
104,687
990,000
OneMain Finance Corp.,
7.125%, 3/15/2026
969,588
1,220,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 2.875%, 10/15/2026(a)
1,074,442
3,135,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(a)
2,499,755
1,235,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(a)
932,651
 
15,268,574
Financial Other — 1.2%
200,000
Agile Group Holdings Ltd.,
5.500%, 4/21/2025
25,744
400,000
Agile Group Holdings Ltd.,
6.050%, 10/13/2025
43,772
200,000
Central China Real Estate Ltd.,
7.250%, 7/16/2024(e)
8,176
200,000
Central China Real Estate Ltd.,
7.250%, 8/13/2024(e)
8,114
280,000
Central China Real Estate Ltd.,
7.650%, 8/27/2025(e)
10,195
441,195
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(f)
38,168
535,665
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(f)
16,156
55,431
CFLD Cayman Investment Ltd., Zero
Coupon,
0.000%–36.271%, 1/31/2031(a)(g)
554
810,000
China Aoyuan Group Ltd.,
6.200%, 3/24/2026(e)
12,433
405,000
China Evergrande Group,
8.750%, 6/28/2025(e)
8,100
200,000
China Evergrande Group,
9.500%, 4/11/2022(e)
4,000
674,699
Easy Tactic Ltd., 7.500% PIK or 6.500%
Cash, 7/11/2027(h)
36,953
200,000
Fantasia Holdings Group Co. Ltd.,
11.875%, 6/01/2023(e)
6,000
3,015,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.375%, 2/01/2029
2,410,973
825,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 5.250%, 5/15/2027
725,158
400,000
Kaisa Group Holdings Ltd.,
9.375%, 6/30/2024(e)
23,356
See accompanying notes to financial statements.
49 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Financial Other — continued
$200,000
Kaisa Group Holdings Ltd.,
9.950%, 7/23/2025(e)
$11,708
800,000
Kaisa Group Holdings Ltd.,
11.250%, 4/16/2025(e)
45,960
610,000
Kaisa Group Holdings Ltd.,
11.650%, 6/01/2026(e)
33,550
200,000
Kaisa Group Holdings Ltd.,
11.700%, 11/11/2025(e)
11,416
210,000
KWG Group Holdings Ltd.,
6.300%, 2/13/2026(e)
16,800
205,000
Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(e)
8,200
260,000
Shimao Group Holdings Ltd.,
4.750%, 7/03/2022(e)
9,747
200,000
Shimao Group Holdings Ltd.,
5.200%, 1/16/2027(e)
6,000
200,000
Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(e)
8,000
200,000
Sunac China Holdings Ltd.,
6.500%, 1/10/2025(e)
31,000
405,000
Sunac China Holdings Ltd.,
6.500%, 1/26/2026(e)
62,775
265,000
Sunac China Holdings Ltd.,
6.650%, 8/03/2024(e)
33,141
200,000
Times China Holdings Ltd.,
5.750%, 1/14/2027(e)
6,000
405,000
Times China Holdings Ltd.,
6.200%, 3/22/2026(e)
12,150
920,000
Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(e)
55,605
200,000
Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(e)
13,100
205,000
Yuzhou Group Holdings Co. Ltd.,
7.850%, 8/12/2026(e)
12,448
295,000
Zhenro Properties Group Ltd.,
6.630%, 1/07/2026(e)
1,549
 
3,757,001
Food & Beverage — 0.8%
425,000
HLF Financing Sarl LLC/Herbalife
International, Inc., 4.875%, 6/01/2029(a)
301,750
1,205,000
Lamb Weston Holdings, Inc.,
4.375%, 1/31/2032(a)
1,009,474
895,000
Post Holdings, Inc., 4.500%, 9/15/2031(a)
744,902
375,000
Simmons Foods, Inc./Simmons Prepared
Foods, Inc./Simmons Pet Food,
Inc./Simmons Feed, 4.625%, 3/01/2029(a)
307,622
 
2,363,748
Gaming — 2.2%
340,000
Boyd Gaming Corp., 4.750%, 6/15/2031(a)
289,332
750,000
Caesars Entertainment, Inc.,
6.250%, 7/01/2025(a)
739,734
755,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
742,097
1,310,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
1,283,800
Principal
Amount (‡)
Description
Value (†)
Gaming — continued
$260,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
$256,971
1,025,000
Melco Resorts Finance Ltd.,
5.375%, 12/04/2029(a)
840,786
90,000
Penn Entertainment, Inc.,
4.125%, 7/01/2029(a)
73,547
745,000
Sands China Ltd., 5.650%, 8/08/2028
701,288
600,000
Studio City Finance Ltd.,
5.000%, 1/15/2029(a)
451,710
705,000
Wynn Macau Ltd., 5.500%, 1/15/2026(a)
659,023
1,020,000
Wynn Macau Ltd., 5.625%, 8/26/2028(a)
884,291
 
6,922,579
Government Owned - No Guarantee — 0.2%
490,000
Antares Holdings LP, 7.950%, 8/11/2028(a)
487,095
Health Care REITs — 0.2%
795,000
MPT Operating Partnership LP/MPT
Finance Corp., 3.500%, 3/15/2031
496,453
Health Insurance — 0.2%
90,000
Molina Healthcare, Inc.,
3.875%, 11/15/2030(a)
74,485
870,000
Molina Healthcare, Inc.,
3.875%, 5/15/2032(a)
697,727
 
772,212
Healthcare — 1.9%
190,000
AdaptHealth LLC, 4.625%, 8/01/2029(a)
145,826
965,000
AdaptHealth LLC, 5.125%, 3/01/2030(a)
747,274
1,015,000
Bausch & Lomb Escrow Corp.,
8.375%, 10/01/2028(a)
1,018,015
1,475,000
CHS/Community Health Systems, Inc.,
5.250%, 5/15/2030(a)
1,121,260
150,000
Fortrea Holdings, Inc.,
7.500%, 7/01/2030(a)
145,952
440,000
Garden Spinco Corp.,
8.625%, 7/20/2030(a)
459,297
185,000
Hologic, Inc., 3.250%, 2/15/2029(a)
156,270
675,000
Medline Borrower LP,
3.875%, 4/01/2029(a)
570,660
1,120,000
Star Parent, Inc., 9.000%, 10/01/2030(a)
1,131,763
350,000
U.S. Acute Care Solutions LLC,
6.375%, 3/01/2026(a)
301,000
 
5,797,317
Home Construction — 0.0%
115,000
Forestar Group, Inc., 3.850%, 5/15/2026(a)
104,385
40,000
Meritage Homes Corp.,
3.875%, 4/15/2029(a)
34,409
 
138,794
Independent Energy — 5.9%
585,000
Antero Resources Corp.,
5.375%, 3/01/2030(a)
538,591
65,000
Apache Corp., 4.375%, 10/15/2028
58,785
285,000
Apache Corp., 4.750%, 4/15/2043
207,583
315,000
Baytex Energy Corp., 8.500%, 4/30/2030(a)
318,726
See accompanying notes to financial statements.
| 50

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Independent Energy — continued
$270,000
Baytex Energy Corp., 8.750%, 4/01/2027(a)
$274,219
925,000
Chesapeake Energy Corp.,
5.500%, 2/01/2026(a)
895,061
585,000
Chesapeake Energy Corp.,
6.750%, 4/15/2029(a)
572,483
1,050,000
Civitas Resources, Inc.,
8.375%, 7/01/2028(a)
1,068,375
2,180,000
Continental Resources, Inc.,
2.875%, 4/01/2032(a)
1,632,491
330,000
Continental Resources, Inc.,
4.900%, 6/01/2044
242,429
455,000
Continental Resources, Inc.,
5.750%, 1/15/2031(a)
427,452
490,000
Crescent Energy Finance LLC,
7.250%, 5/01/2026(a)
480,200
585,000
Crescent Energy Finance LLC,
9.250%, 2/15/2028(a)
597,256
655,000
Energian Israel Finance Ltd.,
4.875%, 3/30/2026(a)
608,364
345,000
Energian Israel Finance Ltd.,
5.375%, 3/30/2028(a)
309,413
315,000
Gulfport Energy Corp.,
8.000%, 5/17/2026(a)
315,394
1,170,000
Leviathan Bond Ltd., 6.750%, 6/30/2030(a)
1,075,326
440,000
Matador Resources Co., 5.875%, 9/15/2026
424,656
515,000
Matador Resources Co.,
6.875%, 4/15/2028(a)
505,649
260,000
MEG Energy Corp., 5.875%, 2/01/2029(a)
242,808
795,000
Northern Oil & Gas, Inc.,
8.125%, 3/01/2028(a)
794,046
750,000
Northern Oil & Gas, Inc.,
8.750%, 6/15/2031(a)
755,625
300,000
Occidental Petroleum Corp.,
6.125%, 1/01/2031
295,693
215,000
Occidental Petroleum Corp.,
6.450%, 9/15/2036
211,116
645,000
Occidental Petroleum Corp.,
6.625%, 9/01/2030
653,546
650,000
Occidental Petroleum Corp.,
8.875%, 7/15/2030
730,801
590,000
Permian Resources Operating LLC,
5.875%, 7/01/2029(a)
555,004
185,000
Permian Resources Operating LLC,
6.875%, 4/01/2027(a)
182,359
380,000
Permian Resources Operating LLC,
7.000%, 1/15/2032(a)
374,761
315,000
Range Resources Corp., 8.250%, 1/15/2029
322,946
1,540,000
Sanchez Energy Corp.,
6.125%, 1/15/2023(e)
107,800
1,410,000
Sitio Royalties Operating
Partnership LP/Sitio Finance Corp.,
7.875%, 11/01/2028(a)
1,413,525
135,000
SM Energy Co., 5.625%, 6/01/2025
132,125
210,000
SM Energy Co., 6.625%, 1/15/2027
205,800
430,000
SM Energy Co., 6.750%, 9/15/2026
422,097
Principal
Amount (‡)
Description
Value (†)
Independent Energy — continued
$360,000
Southwestern Energy Co.,
5.375%, 2/01/2029
$331,555
345,000
Strathcona Resources Ltd.,
6.875%, 8/01/2026(a)
325,162
 
18,609,222
Industrial Other — 0.1%
385,000
Brundage-Bone Concrete Pumping
Holdings, Inc., 6.000%, 2/01/2026(a)
366,216
Leisure — 3.5%
1,830,000
Carnival Corp., 5.750%, 3/01/2027(a)
1,656,560
40,000
Carnival Corp., 6.000%, 5/01/2029(a)
34,119
110,000
Carnival Corp., 7.000%, 8/15/2029(a)
108,463
115,000
Carnival Corp., 9.875%, 8/01/2027(a)
120,051
380,000
Cinemark USA, Inc., 5.250%, 7/15/2028(a)
337,311
2,765,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
2,552,767
5,000
NCL Corp. Ltd., 5.875%, 3/15/2026
4,616
295,000
NCL Finance Ltd., 6.125%, 3/15/2028(a)
260,338
465,000
Royal Caribbean Cruises Ltd.,
3.700%, 3/15/2028
393,454
1,315,000
Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026(a)
1,205,712
1,730,000
Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028(a)
1,586,396
530,000
Royal Caribbean Cruises Ltd.,
11.625%, 8/15/2027(a)
574,996
305,000
SeaWorld Parks & Entertainment, Inc.,
5.250%, 8/15/2029(a)
267,912
565,000
Viking Cruises Ltd., 5.875%, 9/15/2027(a)
515,676
260,000
Viking Cruises Ltd., 7.000%, 2/15/2029(a)
239,200
870,000
Viking Ocean Cruises Ship VII Ltd.,
5.625%, 2/15/2029(a)
787,350
335,000
VOC Escrow Ltd., 5.000%, 2/15/2028(a)
304,685
 
10,949,606
Lodging — 1.4%
255,000
Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032(a)
205,580
1,670,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc.,
4.875%, 7/01/2031(a)
1,361,420
705,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc.,
5.000%, 6/01/2029(a)
611,549
790,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
661,941
450,000
Travel & Leisure Co.,
4.500%, 12/01/2029(a)
377,438
1,435,000
Travel & Leisure Co.,
4.625%, 3/01/2030(a)
1,207,581
 
4,425,509
See accompanying notes to financial statements.
51 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Media Entertainment — 1.2%
$665,000
Diamond Sports Group LLC/Diamond
Sports Finance Co.,
5.375%, 8/15/2026(a)(e)
$13,300
425,000
Diamond Sports Group LLC/Diamond
Sports Finance Co.,
6.625%, 8/15/2027(a)(e)
8,500
1,950,000
iHeartCommunications, Inc.,
4.750%, 1/15/2028(a)
1,490,731
1,050,000
iHeartCommunications, Inc.,
6.375%, 5/01/2026
904,769
255,000
Playtika Holding Corp.,
4.250%, 3/15/2029(a)
212,925
960,000
Stagwell Global LLC,
5.625%, 8/15/2029(a)
775,613
245,000
Warnermedia Holdings, Inc.,
4.279%, 3/15/2032
207,960
 
3,613,798
Metals & Mining — 2.8%
900,000
ATI, Inc., 4.875%, 10/01/2029
791,759
550,000
ATI, Inc., 7.250%, 8/15/2030
545,875
510,000
Commercial Metals Co.,
4.125%, 1/15/2030
443,985
1,008,000
First Quantum Minerals Ltd.,
6.875%, 3/01/2026(a)
978,451
3,030,000
First Quantum Minerals Ltd.,
6.875%, 10/15/2027(a)
2,906,913
850,000
GrafTech Finance, Inc.,
4.625%, 12/15/2028(a)
657,301
485,000
GrafTech Global Enterprises, Inc.,
9.875%, 12/15/2028(a)
460,018
355,000
Mineral Resources Ltd.,
8.000%, 11/01/2027(a)
348,344
735,000
Mineral Resources Ltd.,
8.125%, 5/01/2027(a)
725,063
655,000
Mineral Resources Ltd.,
9.250%, 10/01/2028(a)
661,550
163,000
U.S. Steel Corp., 6.875%, 3/01/2029
160,238
170,000
Volcan Cia Minera SAA,
4.375%, 2/11/2026(a)
97,033
 
8,776,530
Midstream — 5.0%
520,000
Antero Midstream Partners LP/Antero
Midstream Finance Corp.,
5.375%, 6/15/2029(a)
476,106
240,000
Antero Midstream Partners LP/Antero
Midstream Finance Corp.,
7.875%, 5/15/2026(a)
241,709
820,000
Blue Racer Midstream LLC/Blue Racer
Finance Corp., 7.625%, 12/15/2025(a)
823,059
595,000
CQP Holdco LP/BIP-V Chinook
Holdco LLC, 5.500%, 6/15/2031(a)
527,377
490,000
Crestwood Midstream
Partners LP/Crestwood Midstream Finance
Corp., 6.000%, 2/01/2029(a)
472,997
Principal
Amount (‡)
Description
Value (†)
Midstream — continued
$1,695,000
Energy Transfer LP, Series A, 3 mo. USD
LIBOR + 4.028%, 9.654%(b)(c)
$1,584,451
485,000
EnLink Midstream LLC,
6.500%, 9/01/2030(a)
470,532
90,000
EnLink Midstream Partners LP,
5.050%, 4/01/2045
67,585
370,000
EnLink Midstream Partners LP,
5.450%, 6/01/2047
289,091
625,000
EnLink Midstream Partners LP,
5.600%, 4/01/2044
518,750
85,000
Enterprise Products Operating LLC,
Series E, (fixed rate to 8/16/2027, variable
rate thereafter), 5.250%, 8/16/2077
74,799
1,080,000
EQM Midstream Partners LP,
4.125%, 12/01/2026
999,705
140,000
EQM Midstream Partners LP,
6.500%, 7/15/2048
123,117
1,230,000
EQM Midstream Partners LP,
7.500%, 6/01/2027(a)
1,232,450
210,000
EQM Midstream Partners LP,
7.500%, 6/01/2030(a)
210,892
570,000
Ferrellgas LP/Ferrellgas Finance Corp.,
5.375%, 4/01/2026(a)
534,258
1,430,000
Hess Midstream Operations LP,
4.250%, 2/15/2030(a)
1,205,831
895,000
Hess Midstream Operations LP,
5.125%, 6/15/2028(a)
823,235
310,000
Holly Energy Partners LP/Holly Energy
Finance Corp., 5.000%, 2/01/2028(a)
285,213
190,000
Holly Energy Partners LP/Holly Energy
Finance Corp., 6.375%, 4/15/2027(a)
186,538
1,025,000
Kinetik Holdings LP, 5.875%, 6/15/2030(a)
960,937
520,000
Suburban Propane Partners LP/Suburban
Energy Finance Corp.,
5.000%, 6/01/2031(a)
434,060
350,000
Sunoco LP/Sunoco Finance Corp.,
4.500%, 5/15/2029
307,187
1,555,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
1,207,341
320,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(a)
262,599
130,000
Western Midstream Operating LP,
4.500%, 3/01/2028
120,954
450,000
Western Midstream Operating LP,
4.750%, 8/15/2028
420,866
300,000
Western Midstream Operating LP,
5.250%, 2/01/2050
233,710
540,000
Western Midstream Operating LP,
5.300%, 3/01/2048
421,493
10,000
Western Midstream Operating LP,
6.150%, 4/01/2033
9,644
 
15,526,486
See accompanying notes to financial statements.
| 52

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — 1.2%
$800,000
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class D,
5.105%, 5/10/2047(a)(i)
$492,882
165,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class E,
4.373%, 9/15/2037(a)
87,981
205,000
GS Mortgage Securities Trust,
Series 2011-GC5, Class C,
5.299%, 8/10/2044(a)(i)
143,504
1,830,000
GS Mortgage Securities Trust,
Series 2011-GC5, Class D,
5.299%, 8/10/2044(a)(i)
540,650
425,000
GS Mortgage Securities Trust,
Series 2014-GC22, Class D,
4.842%, 6/10/2047(a)(i)
192,394
720,000
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C14, Class C,
4.385%, 8/15/2046(i)
612,360
1,135,000
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C11, Class B,
4.220%, 8/15/2046(i)
479,146
475,000
MSBAM Commercial Mortgage Securities
Trust, Series 2012-CKSV, Class C,
4.305%, 10/15/2030(a)(i)
292,602
190,252
Starwood Retail Property Trust,
Series 2014-STAR, Class A, PRIME +
0.000%, 8.500%, 11/15/2027(a)(c)
136,030
310,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class B,
4.322%, 8/15/2050
235,697
545,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class C,
4.458%, 8/15/2050
201,821
215,000
WFRBS Commercial Mortgage Trust,
Series 2012-C10, Class C,
4.484%, 12/15/2045(i)
147,274
185,000
WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class C,
4.352%, 8/15/2046(i)
136,899
 
3,699,240
Oil Field Services — 1.6%
420,000
Diamond Foreign Asset Co./Diamond
Finance LLC, 8.500%, 10/01/2030(a)
420,059
170,000
Oceaneering International, Inc.,
6.000%, 2/01/2028(a)
159,965
265,000
Precision Drilling Corp.,
6.875%, 1/15/2029(a)
251,008
40,000
Precision Drilling Corp.,
7.125%, 1/15/2026(a)
39,609
325,000
Seadrill Finance Ltd., 8.375%, 8/01/2030(a)
330,889
380,000
Solaris Midstream Holdings LLC,
7.625%, 4/01/2026(a)
366,718
405,000
Transocean Aquila Ltd.,
8.000%, 9/30/2028(a)
405,000
Principal
Amount (‡)
Description
Value (†)
Oil Field Services — continued
$1,743,750
Transocean Poseidon Ltd.,
6.875%, 2/01/2027(a)
$1,716,827
410,000
Transocean Titan Financing Ltd.,
8.375%, 2/01/2028(a)
417,175
625,000
Transocean, Inc., 7.500%, 1/15/2026(a)
610,825
440,000
Weatherford International Ltd.,
8.625%, 4/30/2030(a)
443,368
 
5,161,443
Other REITs — 0.2%
120,000
Service Properties Trust, 3.950%, 1/15/2028
93,474
280,000
Service Properties Trust,
4.350%, 10/01/2024
268,605
75,000
Service Properties Trust, 4.650%, 3/15/2024
73,978
60,000
Service Properties Trust,
4.750%, 10/01/2026
51,456
215,000
Service Properties Trust, 4.950%, 2/15/2027
181,542
 
669,055
Packaging — 0.3%
422,598
ARD Finance SA, 7.250% PIK or 6.500%
Cash, 6/30/2027(d)
318,825
410,000
LABL, Inc., 5.875%, 11/01/2028(a)
368,065
360,000
Sealed Air Corp./Sealed Air Corp. U.S.,
6.125%, 2/01/2028(a)
348,667
 
1,035,557
Pharmaceuticals — 3.9%
3,190,000
Bausch Health Cos., Inc.,
4.875%, 6/01/2028(a)
1,814,109
160,000
Bausch Health Cos., Inc.,
5.250%, 1/30/2030(a)
60,064
965,000
Bausch Health Cos., Inc.,
6.125%, 2/01/2027(a)
600,193
640,000
Cheplapharm Arzneimittel GmbH,
5.500%, 1/15/2028(a)
582,842
385,000
Grifols SA, 4.750%, 10/15/2028(a)
328,255
1,750,000
Organon & Co./Organon Foreign Debt
Co-Issuer BV, 5.125%, 4/30/2031(a)
1,402,367
870,000
Perrigo Finance Unlimited Co.,
4.650%, 6/15/2030
741,662
770,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
682,814
245,000
Teva Pharmaceutical Finance Netherlands II
BV, 7.375%, 9/15/2029, (EUR)
262,943
200,000
Teva Pharmaceutical Finance Netherlands II
BV, 7.875%, 9/15/2031, (EUR)
218,586
265,000
Teva Pharmaceutical Finance Netherlands
III BV, 3.150%, 10/01/2026
236,187
5,915,000
Teva Pharmaceutical Finance Netherlands
III BV, 4.100%, 10/01/2046
3,702,587
510,000
Teva Pharmaceutical Finance Netherlands
III BV, 4.750%, 5/09/2027
467,942
See accompanying notes to financial statements.
53 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Pharmaceuticals — continued
$715,000
Teva Pharmaceutical Finance Netherlands
III BV, 7.875%, 9/15/2029
$724,341
515,000
Teva Pharmaceutical Finance Netherlands
III BV, 8.125%, 9/15/2031
532,794
 
12,357,686
Property & Casualty Insurance — 1.3%
355,000
Acrisure LLC/Acrisure Finance, Inc.,
4.250%, 2/15/2029(a)
298,309
780,000
Acrisure LLC/Acrisure Finance, Inc.,
6.000%, 8/01/2029(a)
655,468
65,000
Alliant Holdings Intermediate LLC/Alliant
Holdings Co-Issuer, 4.250%, 10/15/2027(a)
58,197
670,000
AmWINS Group, Inc.,
4.875%, 6/30/2029(a)
587,073
425,000
BroadStreet Partners, Inc.,
5.875%, 4/15/2029(a)
374,985
975,000
HUB International Ltd.,
7.250%, 6/15/2030(a)
973,216
935,000
Liberty Mutual Group, Inc.,
4.300%, 2/01/2061(a)
553,146
1,920,000
MBIA Insurance Corp., 3 mo. USD SOFR
+ 11.522%, 16.830%, 1/15/2033(a)(f)
57,600
560,000
USI, Inc., 6.875%, 5/01/2025(a)
555,687
 
4,113,681
Refining — 0.5%
545,000
Parkland Corp., 4.500%, 10/01/2029(a)
466,697
1,025,000
Parkland Corp., 4.625%, 5/01/2030(a)
873,792
325,000
PBF Holding Co. LLC/PBF Finance Corp.,
7.875%, 9/15/2030(a)
323,885
 
1,664,374
Restaurants — 1.2%
245,000
1011778 BC ULC/New Red Finance, Inc.,
3.500%, 2/15/2029(a)
209,733
265,000
1011778 BC ULC/New Red Finance, Inc.,
3.875%, 1/15/2028(a)
237,716
1,815,000
1011778 BC ULC/New Red Finance, Inc.,
4.375%, 1/15/2028(a)
1,635,947
340,000
Bloomin' Brands, Inc./OSI Restaurant
Partners LLC, 5.125%, 4/15/2029(a)
297,939
190,000
KFC Holding Co./Pizza Hut
Holdings LLC/Taco Bell of America LLC,
4.750%, 6/01/2027(a)
180,500
735,000
Papa John's International, Inc.,
3.875%, 9/15/2029(a)
606,698
530,000
Yum! Brands, Inc., 3.625%, 3/15/2031
436,283
 
3,604,816
Retailers — 1.4%
480,000
Asbury Automotive Group, Inc.,
4.500%, 3/01/2028
429,703
1,150,000
Asbury Automotive Group, Inc.,
4.625%, 11/15/2029(a)
987,712
525,000
Bath & Body Works, Inc.,
5.250%, 2/01/2028
485,863
Principal
Amount (‡)
Description
Value (†)
Retailers — continued
$75,000
Bath & Body Works, Inc.,
6.625%, 10/01/2030(a)
$70,313
315,000
Bath & Body Works, Inc.,
6.875%, 11/01/2035
281,321
90,000
Crocs, Inc., 4.125%, 8/15/2031(a)
69,633
85,000
Lithia Motors, Inc., 4.375%, 1/15/2031(a)
70,322
390,000
Michaels Cos., Inc., 7.875%, 5/01/2029(a)
254,610
370,000
NMG Holding Co., Inc./Neiman Marcus
Group LLC, 7.125%, 4/01/2026(a)
347,100
125,000
Nordstrom, Inc., 4.250%, 8/01/2031
90,653
845,000
Sonic Automotive, Inc.,
4.625%, 11/15/2029(a)
700,466
480,000
Sonic Automotive, Inc.,
4.875%, 11/15/2031(a)
382,169
90,000
Victoria's Secret & Co.,
4.625%, 7/15/2029(a)
65,228
 
4,235,093
Technology — 5.9%
675,000
Block, Inc., 2.750%, 6/01/2026
607,094
270,000
Broadcom, Inc., 4.300%, 11/15/2032
235,559
780,000
CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029
665,098
125,000
CDW LLC/CDW Finance Corp.,
3.276%, 12/01/2028
107,846
25,000
CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028
22,788
805,000
Cloud Software Group, Inc.,
6.500%, 3/31/2029(a)
711,886
2,855,000
CommScope Technologies LLC,
5.000%, 3/15/2027
1,620,356
740,000
CommScope Technologies LLC,
5.000%, 3/15/2027(a)
419,987
70,000
CommScope, Inc., 4.750%, 9/01/2029(a)
51,488
225,000
Dun & Bradstreet Corp.,
5.000%, 12/15/2029(a)
193,981
700,000
Elastic NV, 4.125%, 7/15/2029(a)
596,159
935,000
Entegris Escrow Corp.,
5.950%, 6/15/2030(a)
867,079
270,000
Everi Holdings, Inc., 5.000%, 7/15/2029(a)
232,385
470,000
Gartner, Inc., 3.750%, 10/01/2030(a)
394,426
940,000
GoTo Group, Inc., 5.500%, 9/01/2027(a)
522,360
1,232,000
GTCR W-2 Merger Sub LLC,
7.500%, 1/15/2031(a)
1,233,725
360,000
Iron Mountain, Inc., 4.500%, 2/15/2031(a)
296,087
975,000
Iron Mountain, Inc., 5.250%, 3/15/2028(a)
901,366
405,000
Iron Mountain, Inc., 5.250%, 7/15/2030(a)
353,826
1,410,000
Micron Technology, Inc.,
6.750%, 11/01/2029
1,432,623
1,095,000
NCR Atleos Escrow Corp.,
9.500%, 4/01/2029(a)
1,059,084
495,000
NCR Corp., 5.000%, 10/01/2028(a)
443,073
795,000
NCR Corp., 5.125%, 4/15/2029(a)
700,442
45,000
NCR Corp., 5.250%, 10/01/2030(a)
38,780
665,000
Neptune Bidco U.S., Inc.,
9.290%, 4/15/2029(a)
602,033
See accompanying notes to financial statements.
| 54

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Technology — continued
$1,340,000
Newfold Digital Holdings Group, Inc.,
6.000%, 2/15/2029(a)
$1,011,727
725,000
Open Text Corp., 6.900%, 12/01/2027(a)
726,650
40,000
Open Text Holdings, Inc.,
4.125%, 2/15/2030(a)
33,464
380,000
Paysafe Finance PLC/Paysafe Holdings
U.S. Corp., 4.000%, 6/15/2029(a)
318,900
225,000
Sabre Global, Inc., 11.250%, 12/15/2027(a)
206,460
400,000
Seagate HDD Cayman, 4.091%, 6/01/2029
344,928
540,000
Seagate HDD Cayman,
8.250%, 12/15/2029(a)
554,579
30,600
Seagate HDD Cayman,
9.625%, 12/01/2032(a)
32,973
1,125,000
Sensata Technologies, Inc.,
3.750%, 2/15/2031(a)
910,491
125,000
Sensata Technologies, Inc.,
4.375%, 2/15/2030(a)
107,938
 
18,557,641
Transportation Services — 0.6%
2,035,000
Rand Parent LLC, 8.500%, 2/15/2030(a)
1,882,070
Treasuries — 0.2%
3,818(j
)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2029, (BRL)
722,170
Wireless — 1.5%
665,000
Altice France Holding SA,
10.500%, 5/15/2027(a)
415,233
655,000
Altice France SA, 5.125%, 1/15/2029(a)
465,722
685,000
Altice France SA, 5.500%, 10/15/2029(a)
492,594
705,000
Altice France SA, 8.125%, 2/01/2027(a)
625,191
445,000
IHS Holding Ltd., 5.625%, 11/29/2026(a)
366,155
615,000
IHS Holding Ltd., 6.250%, 11/29/2028(a)
466,404
255,000
IHS Netherlands Holdco BV,
8.000%, 9/18/2027(a)
213,557
1,735,000
SoftBank Group Corp., 4.625%, 7/06/2028
1,513,389
105,000
Vodafone Group PLC, (fixed rate to
12/04/2050, variable rate thereafter),
5.125%, 6/04/2081
71,241
 
4,629,486
Wirelines — 2.0%
935,000
Cincinnati Bell Telephone Co. LLC,
6.300%, 12/01/2028
774,779
1,255,000
Frontier Communications Holdings LLC,
5.000%, 5/01/2028(a)
1,071,547
1,375,000
Frontier Communications Holdings LLC,
5.875%, 10/15/2027(a)
1,250,519
630,000
Iliad Holding SASU,
6.500%, 10/15/2026(a)
591,893
705,000
Level 3 Financing, Inc.,
3.625%, 1/15/2029(a)
394,800
245,000
Level 3 Financing, Inc.,
4.250%, 7/01/2028(a)
152,643
200,000
Liquid Telecommunications Financing PLC,
5.500%, 9/04/2026(a)
128,182
Principal
Amount (‡)
Description
Value (†)
Wirelines — continued
$465,000
Lumen Technologies, Inc.,
4.000%, 2/15/2027(a)
$306,179
1,185,000
Telecom Italia Capital SA,
6.375%, 11/15/2033
1,027,481
805,000
Uniti Group LP/Uniti Group Finance,
Inc./CSL Capital LLC,
4.750%, 4/15/2028(a)
657,349
 
6,355,372
Total Non-Convertible Bonds

(Identified Cost $289,800,503)
257,011,418
Convertible Bonds — 4.4%
Airlines — 0.4%
1,390,000
Southwest Airlines Co., 1.250%, 5/01/2025
1,379,575
Cable Satellite — 1.5%
7,350,000
DISH Network Corp., 3.375%, 8/15/2026
4,417,350
200,000
DISH Network Corp., Zero Coupon,
6.944%–33.748%, 12/15/2025(g)
134,738
 
4,552,088
Consumer Cyclical Services — 0.0%
85,000
Zillow Group, Inc., 1.375%, 9/01/2026
101,278
Consumer Products — 0.1%
590,000
Beauty Health Co., 1.250%, 10/01/2026(a)
458,725
Gaming — 0.1%
190,000
Penn Entertainment, Inc.,
2.750%, 5/15/2026
230,603
Healthcare — 1.0%
850,000
Envista Holdings Corp.,
1.750%, 8/15/2028(a)
782,850
310,000
Lantheus Holdings, Inc.,
2.625%, 12/15/2027(a)
359,414
2,470,000
Teladoc Health, Inc., 1.250%, 6/01/2027
1,968,343
 
3,110,607
Leisure — 0.2%
555,000
NCL Corp. Ltd., 1.125%, 2/15/2027
460,328
Pharmaceuticals — 0.9%
2,130,000
BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
2,109,978
715,000
Livongo Health, Inc., 0.875%, 6/01/2025
653,009
 
2,762,987
Technology — 0.2%
660,000
Unity Software, Inc., Zero Coupon,
7.197%–7.662%, 11/15/2026(g)
522,390
See accompanying notes to financial statements.
55 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Technology — continued
$110,000
Wolfspeed, Inc., 0.250%, 2/15/2028
$74,140
200,000
Wolfspeed, Inc., 1.875%, 12/01/2029(a)
130,100
 
726,630
Total Convertible Bonds

(Identified Cost $17,401,811)
13,782,821
Total Bonds and Notes

(Identified Cost $307,202,314)
270,794,239
 
Shares
 
 
Common Stocks— 2.7%
Aerospace & Defense — 0.1%
410
Lockheed Martin Corp.
167,674
Air Freight & Logistics — 0.1%
1,413
United Parcel Service, Inc., Class B
220,244
Banks — 0.0%
671
JPMorgan Chase & Co.
97,308
Beverages — 0.1%
3,050
Coca-Cola Co.
170,739
Biotechnology — 0.2%
4,984
AbbVie, Inc.
742,915
Capital Markets — 0.1%
137
BlackRock, Inc.
88,569
1,826
Morgan Stanley
149,130
 
237,699
Chemicals — 0.0%
258
Linde PLC
96,066
Communications Equipment — 0.0%
1,229
Cisco Systems, Inc.
66,071
Consumer Staples Distribution & Retail — 0.1%
182
Costco Wholesale Corp.
102,823
1,041
Walmart, Inc.
166,487
 
269,310
Containers & Packaging — 0.0%
482
Packaging Corp. of America
74,011
Electric Utilities — 0.1%
1,364
Duke Energy Corp.
120,387
539
NextEra Energy, Inc.
30,879
 
151,266
Electrical Equipment — 0.0%
1,200
Emerson Electric Co.
115,884
Financial Services — 0.0%
246
Mastercard, Inc., Class A
97,394
Ground Transportation — 0.0%
635
Union Pacific Corp.
129,305
Shares
Description
Value (†)
Health Care Equipment & Supplies — 0.1%
1,489
Abbott Laboratories
$144,210
Health Care Providers & Services — 0.1%
413
Elevance Health, Inc.
179,828
382
UnitedHealth Group, Inc.
192,601
 
372,429
Hotels, Restaurants & Leisure — 0.1%
2,176
Starbucks Corp.
198,604
Household Products — 0.1%
1,475
Procter & Gamble Co.
215,144
IT Services — 0.1%
505
Accenture PLC, Class A
155,091
Life Sciences Tools & Services — 0.0%
235
Thermo Fisher Scientific, Inc.
118,950
Machinery — 0.1%
474
Cummins, Inc.
108,290
429
Deere & Co.
161,896
 
270,186
Media — 0.2%
110,256
Altice USA, Inc., Class A(f)
360,537
5,431
Comcast Corp., Class A
240,810
27,529
iHeartMedia, Inc., Class A(f)
86,992
 
688,339
Metals & Mining — 0.0%
3,765
Newmont Corp.
139,117
Oil, Gas & Consumable Fuels — 0.5%
42,669
Battalion Oil Corp.(f)
263,695
7,700
Canadian Natural Resources Ltd.
497,959
632
Devon Energy Corp.
30,146
3,030
Diamondback Energy, Inc.
469,286
811
Pioneer Natural Resources Co.
186,165
4,262
Williams Cos., Inc.
143,587
 
1,590,838
Pharmaceuticals — 0.1%
2,400
Bristol-Myers Squibb Co.
139,296
1,180
Johnson & Johnson
183,785
296
Merck & Co., Inc.
30,473
 
353,554
Professional Services — 0.0%
357
Clarivate PLC(f)
2,395
Semiconductors & Semiconductor Equipment — 0.2%
340
Broadcom, Inc.
282,397
2,332
Microchip Technology, Inc.
182,013
1,666
QUALCOMM, Inc.
185,026
 
649,436
Software — 0.1%
826
Microsoft Corp.
260,809
See accompanying notes to financial statements.
| 56

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Shares
Description
Value (†)
Specialized REITs — 0.0%
841
American Tower Corp.
$138,302
Specialty Retail — 0.1%
523
Home Depot, Inc.
158,030
Technology Hardware, Storage & Peripherals — 0.1%
1,048
Apple, Inc.
179,428
321
IQOR US, Inc.(f)
254
 
179,682
Trading Companies & Distributors — 0.0%
1,666
Fastenal Co.
91,030
Total Common Stocks

(Identified Cost $15,324,501)
8,362,032
 
Principal
Amount (‡)
 
 
Senior Loans — 2.1%
Chemicals — 0.2%
$550,000
Chemours Co., 2023 USD Term Loan B,
1 mo. USD SOFR + 3.500%,
8.816%, 8/18/2028(c)(k)
543,125
Electric — 0.1%
199,500
Talen Energy Supply LLC, 2023 Term Loan
B, 3 mo. USD SOFR + 4.500%,
9.877%, 5/17/2030(c)(k)
200,125
Healthcare — 0.2%
495,000
Star Parent, Inc., 2023 Term Loan B,
9/19/2030(l)
483,382
Leisure — 0.4%
487,144
Carnival Corp., 2021 Incremental Term
Loan B, 1 mo. USD SOFR + 3.250%,
8.681%, 10/18/2028(c)(m)
484,100
575,279
Carnival Corp., 2021 Incremental Term
Loan B, 10/18/2028(l)
571,683
60,244
Carnival Corp., 2023 Term Loan B,
8/08/2027(l)
60,018
273,591
Carnival Corp., 2023 Term Loan B, 1 mo.
USD SOFR + 3.000%,
8.327%, 8/08/2027(c)(m)
272,565
 
1,388,366
Media Entertainment — 0.5%
1,604,461
MH Sub I LLC, 2023 Term Loan, 1 mo.
USD SOFR + 4.250%,
9.566%, 5/03/2028(c)(k)
1,550,054
Property & Casualty Insurance — 0.2%
190,000
AssuredPartners, Inc., 2023 Term Loan B4,
2/12/2027(l)
189,882
386,050
USI, Inc., 2022 Incremental Term Loan,
3 mo. USD SOFR + 3.750%,
9.140%, 11/22/2029(c)(k)
385,460
Principal
Amount (‡)
Description
Value (†)
Property & Casualty Insurance — continued
$56,292
USI, Inc., 2023 Acquisition Term Loan,
9/27/2030(l)
$56,128
37,528
USI, Inc., 2023 Refi Term Loan,
9/27/2030(l)
37,403
 
668,873
Restaurants — 0.1%
474,140
1011778 BC Unlimited Liability Co., 2023
Term Loan B5, 1 mo. USD SOFR +
2.250%, 7.566%, 9/23/2030(n)
472,068
Technology — 0.4%
633,209
Gen Digital, Inc., 2022 Term Loan B, 1 mo.
USD SOFR + 2.000%,
7.416%, 9/12/2029(c)(k)
630,676
719,017
Neptune Bidco U.S., Inc., 2022 USD Term
Loan B, 3 mo. USD SOFR + 5.000%,
10.399%, 4/11/2029(c)(k)
645,620
 
1,276,296
Total Senior Loans

(Identified Cost $6,600,698)
6,582,289
Collateralized Loan Obligations — 1.9%
325,000
Battalion CLO XVI Ltd., Series 2019-16A,
Class ER, 3 mo. USD SOFR + 6.862%,
12.188%, 12/19/2032(a)(c)
275,771
920,000
Clover CLO LLC, Series 2021-2A, Class E,
3 mo. USD SOFR + 6.762%,
12.088%, 7/20/2034(a)(c)
902,418
730,000
NYACK Park CLO Ltd., Series 2021-1A,
Class E, 3 mo. USD SOFR + 6.362%,
11.688%, 10/20/2034(a)(c)
655,287
730,000
Octagon Investment Partners 44 Ltd.,
Series 2019-1A, Class ER, 3 mo. USD
SOFR + 7.012%,
12.320%, 10/15/2034(a)(c)
635,425
735,000
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class ER, 3 mo. USD
LIBOR + 6.360%,
11.955%, 4/21/2034(a)(c)
728,913
985,000
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class ER, 3 mo. USD
SOFR + 6.512%,
11.838%, 7/02/2035(a)(c)
970,063
470,000
Palmer Square CLO Ltd., Series 2021-3A,
Class E, 3 mo. USD SOFR + 6.412%,
11.720%, 1/15/2035(a)(c)
451,864
730,000
Palmer Square CLO Ltd., Series 2021-4A,
Class E, 3 mo. USD SOFR + 6.312%,
11.620%, 10/15/2034(a)(c)
692,913
See accompanying notes to financial statements.
57 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
Principal
Amount (‡)
Description
Value (†)
$285,000
PPM CLO 5 Ltd., Series 2021-5A, Class E,
3 mo. USD SOFR + 6.762%,
12.072%, 10/18/2034(a)(c)
$256,428
445,000
Whetstone Park CLO Ltd., Series 2021-1A,
Class E, 3 mo. USD SOFR + 6.412%,
11.738%, 1/20/2035(a)(c)
413,801
Total Collateralized Loan Obligations

(Identified Cost $6,347,577)
5,982,883
 
Shares
 
 
Exchange-Traded Funds — 0.8%
33,000
iShares® iBoxx $ High Yield Corporate Bond
ETF
(Identified Cost$2,897,347)
2,432,760
Preferred Stocks — 0.4%
Convertible Preferred Stocks — 0.2%
Midstream — 0.0%
3,556
El Paso Energy Capital Trust I, 4.750%
161,478
Technology — 0.2%
23,105
Clarivate PLC, Series A, 5.250%
675,359
Total Convertible Preferred Stocks

(Identified Cost $1,312,685)
836,837
Non-Convertible Preferred Stocks — 0.2%
Home Construction — 0.1%
21,265
Hovnanian Enterprises, Inc., 7.625%
375,540
Other REITs — 0.1%
3,363
Prologis, Inc., Series Q, 8.540%
189,740
Total Non-Convertible Preferred Stocks
(Identified Cost $192,799)
565,280
Total Preferred Stocks

(Identified Cost $1,505,484)
1,402,117
 
Principal
Amount (‡)
Description
Value (†)
Short-Term Investments — 5.4%
$5,916,904
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$5,918,137 on 10/02/2023  collateralized by
$6,777,900 U.S. Treasury Note, 0.750%
due 8/31/2026 valued at $6,035,322
including accrued interest (Note 2 of Notes
to Financial Statements)
$5,916,904
11,095,000
U.S. Treasury Bills,
5.285%–5.290%, 1/04/2024(o)(p)
10,941,313
Total Short-Term Investments

(Identified Cost $16,857,378)
16,858,217
Total Investments — 99.9%

(Identified Cost $356,735,299)
312,414,537
Other assets less liabilities — 0.1%
328,611
Net Assets — 100.0%
$312,743,148
 
(†)
See Note 2 of Notes to Financial Statements.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise noted.
(a)
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, 2023, the value
of Rule 144A holdings amounted to $197,265,173 or 63.1% of
net assets.
(b)
Perpetual bond with no specified maturity date.
(c)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(d)
Payment-in-kind security for which the issuer, at each interest
payment date, may make interest payments in cash and/or
additional principal. For the period ended September 30, 2023,
interest payments were made in cash.
(e)
The issuer is in default with respect to interest and/or principal
payments. Income is not being accrued.
(f)
Non-income producing security.
(g)
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.
(h)
Payment–in–kind security for which the issuer, at each interest
payment date, may make interest payments in cash and/or
additional principal. For the period ended September 30, 2023,
interest payments were made in principal.
(i)
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, 2023 is disclosed.
(j)
Amount shown represents units. One unit represents a principal
amount of 1,000.
(k)
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 0.50%, to which the spread is added.
(l)
Position is unsettled. Contract rate was not determined at
September 30, 2023 and does not take effect until settlement date.
Maturity date is not finalized until settlement date.
See accompanying notes to financial statements.
| 58

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Institutional High Income Fund (continued)
(m)
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 0.75%, to which the spread is added.
(n)
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 0.00%, to which the spread is added.
(o)
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.
(p)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
 
ABS
Asset-Backed Securities
ETF
Exchange-Traded Fund
LIBOR
London Interbank Offered Rate
MTN
Medium Term Note
PIK
Payment-in-Kind
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
 
BRL
Brazilian Real
EUR
Euro
At September 30, 2023, 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.
12/20/2023
EUR
S
445,000
$479,763
$472,201
$7,562
Industry Summary at September 30, 2023 
Cable Satellite
9.9
%
Technology
6.7
Independent Energy
5.9
Midstream
5.0
Finance Companies
4.9
Pharmaceuticals
4.9
Leisure
4.1
Automotive
3.2
Consumer Cyclical Services
3.1
Healthcare
3.1
Chemicals
2.8
Metals & Mining
2.8
Building Materials
2.4
Gaming
2.3
Wirelines
2.0
Other Investments, less than 2% each
28.7
Collateralized Loan Obligations
1.9
Short-Term Investments
5.4
Exchange-Traded Funds
0.8
Total Investments
99.9
Other assets less liabilities (including forward
foreign currency contracts)
0.1
Net Assets
100.0
%
See accompanying notes to financial statements.
59 |

Statements of Assets and Liabilities
September 30, 2023
 
 
Fixed Income
Fund
Global Bond
Fund
Inflation
Protected
Securities Fund
ASSETS
Investments at cost
$479,859,252
$485,869,228
$161,640,534
Net unrealized depreciation
(53,823,978
)
(66,284,547
)
(26,432,196
)
Investments at value
426,035,274
419,584,681
135,208,338
Cash
4,340
—
—
Due from brokers (Note 2)
—
433,073
1,334,000
Foreign currency at value (identified cost $0, $3,544,546 and $832,377,
respectively)
—
3,508,074
827,161
Receivable for Fund shares sold
—
356,594
148,609
Receivable for securities sold
1,391,948
3,323,447
—
Receivable for when-issued/delayed delivery securities sold (Note 2)
—
4,280,315
—
Collateral received for open forward foreign currency
contracts (Notes 2 and 4)
—
270,000
—
Dividends and interest receivable
4,669,936
3,417,569
201,572
Unrealized appreciation on forward foreign currency contracts (Note 2)
18,064
600,492
11,301
Tax reclaims receivable
135
39,692
—
Receivable for variation margin on centrally cleared swap agreements (Note 2)
—
—
12,655
Receivable for variation margin on futures contracts (Note 2)
176,539
41,562
—
Prepaid expenses (Note 8)
270
289
199
TOTAL ASSETS
432,296,506
435,855,788
137,743,835
LIABILITIES
Payable for securities purchased
8,215,239
—
—
Payable for when-issued/delayed delivery securities purchased (Note 2)
—
6,438,372
—
Payable for Fund shares redeemed
—
1,120,771
707,304
Unrealized depreciation on forward foreign currency contracts (Note 2)
—
595,583
—
Foreign taxes payable (Note 2)
—
1,603
—
Due to brokers (Note 2)
—
270,000
—
Management fees payable (Note 6)
175,756
159,087
3,589
Deferred Trustees’ fees (Note 6)
298,576
422,140
146,594
Administrative fees payable (Note 6)
16,281
16,538
5,397
Payable to distributor (Note 6d)
—
3,703
1,841
Other accounts payable and accrued expenses
68,610
93,908
68,885
TOTAL LIABILITIES
8,774,462
9,121,705
933,610
NET ASSETS
$423,522,044
$426,734,083
$136,810,225
NET ASSETS CONSIST OF:
Paid-in capital
$478,633,510
$556,437,130
$196,848,828
Accumulated loss
(55,111,466
)
(129,703,047
)
(60,038,603
)
NET ASSETS
$423,522,044
$426,734,083
$136,810,225
See accompanying notes to financial statements.
| 60

Statements of Assets and Liabilities (continued)
September 30, 2023
 
Fixed Income
Fund
Global Bond
Fund
Inflation
Protected
Securities Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class shares:
Net assets
$423,522,044
$229,009,743
$93,239,847
Shares of beneficial interest
37,868,221
17,002,735
10,092,425
Net asset value, offering and redemption price per share
$11.18
$13.47
$9.24
Retail Class shares:
Net assets
$—
$103,002,961
$29,500,394
Shares of beneficial interest
—
7,820,884
3,199,512
Net asset value, offering and redemption price per share
$—
$13.17
$9.22
Class N shares:
Net assets
$—
$94,721,379
$14,069,984
Shares of beneficial interest
—
7,006,941
1,521,511
Net asset value, offering and redemption price per share
$—
$13.52
$9.25
See accompanying notes to financial statements.
61 |

Statements of Assets and Liabilities (continued)
September 30, 2023
 
 
Institutional
High Income
Fund
ASSETS
Investments at cost
$356,735,299
Net unrealized depreciation
(44,320,762
)
Investments at value
312,414,537
Cash
29,012
Foreign currency at value (identified cost $101)
99
Receivable for securities sold
3,361,948
Dividends and interest receivable
4,423,803
Unrealized appreciation on forward foreign currency contracts (Note 2)
7,562
Prepaid expenses (Note 8)
254
TOTAL ASSETS
320,237,215
LIABILITIES
Payable for securities purchased
7,045,220
Management fees payable (Note 6)
151,342
Deferred Trustees’ fees (Note 6)
222,242
Administrative fees payable (Note 6)
12,040
Payable to distributor (Note 6d)
516
Other accounts payable and accrued expenses
62,707
TOTAL LIABILITIES
7,494,067
NET ASSETS
$312,743,148
NET ASSETS CONSIST OF:
Paid-in capital
$372,934,345
Accumulated loss
(60,191,197
)
NET ASSETS
$312,743,148
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class shares:
Net assets
$312,743,148
Shares of beneficial interest
57,247,014
Net asset value, offering and redemption price per share
$5.46
See accompanying notes to financial statements.
| 62

Statements of Operations
For the Year Ended September 30, 2023
 
 
Fixed Income
Fund
Global Bond
Fund
Inflation
Protected
Securities Fund
INVESTMENT INCOME
Interest
$19,283,784
$14,940,029
$5,625,947
Dividends
413,914
—
—
Less net foreign taxes withheld
(5,809
)
(50,493
)
—
 
19,691,889
14,889,536
5,625,947
Expenses
Management fees (Note 6)
2,108,550
2,698,219
439,774
Service and distribution fees (Note 6)
—
286,627
83,426
Administrative fees (Note 6)
195,434
227,376
81,539
Trustees' fees and expenses (Note 6)
64,456
80,324
38,023
Transfer agent fees and expenses (Notes 6 and 7)
3,729
373,946
176,349
Audit and tax services fees
62,662
60,304
50,846
Custodian fees and expenses
23,968
42,222
12,271
Legal fees
17,469
20,920
8,195
Registration fees
12,076
54,153
53,881
Shareholder reporting expenses
7,742
74,428
57,603
Miscellaneous expenses
56,122
57,943
48,785
Total expenses
2,552,208
3,976,462
1,050,692
Less waiver and/or expense reimbursement (Note 6)
—
(367,024
)
(271,486
)
Net expenses
2,552,208
3,609,438
779,206
Net investment income
17,139,681
11,280,098
4,846,741
Net realized and unrealized gain (loss) on Investments, Futures
contracts, Swap agreements, Forward foreign currency contracts
and Foreign currency transactions
Net realized gain (loss) on:
Investments
(2,541,681
)
(36,783,861
)
(17,399,373
)
Futures contracts
(7,362,890
)
(1,997,094
)
(263,558
)
Swap agreements
—
—
(563
)
Forward foreign currency contracts (Note 2d)
6,277
(1,907,280
)
(77,461
)
Foreign currency transactions (Note 2c)
(21,192
)
412,094
144,689
Net change in unrealized appreciation (depreciation) on:
Investments
6,780,727
43,989,208
16,990,309
Futures contracts
(1,084,991
)
(426,501
)
(293,627
)
Swap agreements
—
—
(69,450
)
Forward foreign currency contracts (Note 2d)
18,064
(1,325,047
)
(51,082
)
Foreign currency translations (Note 2c)
4,444
354,707
7,576
Net realized and unrealized gain (loss) on Investments, Futures contracts, Swap
agreements, Forward foreign currency contracts and Foreign currency
transactions
(4,201,242
)
2,316,226
(1,012,540
)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$12,938,439
$13,596,324
$3,834,201
See accompanying notes to financial statements.
63 |

Statements of Operations (continued)
For the Year Ended September 30, 2023
 
 
Institutional
High Income
Fund
INVESTMENT INCOME
Interest
$22,042,845
Dividends
584,647
Less net foreign taxes withheld
(2,120
)
 
22,625,372
Expenses
Management fees (Note 6)
1,969,135
Administrative fees (Note 6)
153,321
Trustees' fees and expenses (Note 6)
52,092
Transfer agent fees and expenses (Notes 6 and 7)
36,643
Audit and tax services fees
58,019
Custodian fees and expenses
23,634
Legal fees
14,359
Registration fees
13,320
Shareholder reporting expenses
7,613
Miscellaneous expenses
51,551
Total expenses
2,379,687
Net investment income
20,245,685
Net realized and unrealized gain (loss) on Investments, Swap agreements, Forward foreign currency
contracts and Foreign currency transactions
Net realized gain (loss) on:
Investments
(20,217,449
)
Swap agreements
217,876
Forward foreign currency contracts (Note 2d)
2,628
Foreign currency transactions (Note 2c)
(5,716
)
Net change in unrealized appreciation (depreciation) on:
Investments
24,465,433
Swap agreements
(4,207
)
Forward foreign currency contracts (Note 2d)
7,562
Foreign currency translations (Note 2c)
919
Net realized and unrealized gain on Investments, Swap agreements, Forward foreign currency contracts and Foreign
currency transactions
4,467,046
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$24,712,731
See accompanying notes to financial statements.
| 64

Statements of Changes in Net Assets
 
 
Fixed Income Fund
Global Bond Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment income
$17,139,681
$12,067,668
$11,280,098
$9,937,962
Net realized loss on investments, futures contracts, forward
foreign currency contracts and foreign currency
transactions
(9,919,486
)
(4,722,736
)
(40,276,141
)
(43,791,789
)
Net change in unrealized appreciation (depreciation) on
investments, futures contracts, forward foreign currency
contracts and foreign currency translations
5,718,244
(71,187,395
)
42,592,367
(115,973,259
)
Net increase (decrease) in net assets resulting from
operations
12,938,439
(63,842,463
)
13,596,324
(149,827,086
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class
(6,051,005
)
(30,083,728
)
—
(15,886,291
)
Retail Class
—
—
—
(6,461,573
)
Class N
—
—
—
(8,245,710
)
Total distributions
(6,051,005
)
(30,083,728
)
—
(30,593,574
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARES TRANSACTIONS (NOTE 11)
16,936,243
(17,433,441
)
(100,908,806
)
(54,019,429
)
Net increase (decrease) in net assets
23,823,677
(111,359,632
)
(87,312,482
)
(234,440,089
)
NET ASSETS
Beginning of the year
399,698,367
511,057,999
514,046,565
748,486,654
End of the year
$423,522,044
$399,698,367
$426,734,083
$514,046,565
See accompanying notes to financial statements.
65 |

Statements of Changes in Net Assets (continued)
 
 
Inflation Protected Securities Fund
Institutional High Income Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment income
$4,846,741
$16,681,384
$20,245,685
$16,303,353
Net realized loss on investments, futures contracts, swap
agreements, forward foreign currency contracts and
foreign currency transactions
(17,596,266
)
(8,401,173
)
(20,002,661
)
(9,519,302
)
Net change in unrealized appreciation (depreciation) on
investments, futures contracts, swap agreements, forward
foreign currency contracts and foreign currency
translations
16,583,726
(45,113,913
)
24,469,707
(58,567,337
)
Net increase (decrease) in net assets resulting from
operations
3,834,201
(36,833,702
)
24,712,731
(51,783,286
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class
(4,548,824
)
(19,933,500
)
(15,201,101
)
(20,772,904
)
Retail Class
(1,212,172
)
(3,466,542
)
—
—
Class N
(667,949
)
(954,553
)
—
—
Total distributions
(6,428,945
)
(24,354,595
)
(15,201,101
)
(20,772,904
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL
SHARES TRANSACTIONS (Note 11)
(81,488,073
)
21,869,371
(8,833,771
)
20,176,895
Net increase (decrease) in net assets
(84,082,817
)
(39,318,926
)
677,859
(52,379,295
)
NET ASSETS
Beginning of the year
220,893,042
260,211,968
312,065,289
364,444,584
End of the year
$136,810,225
$220,893,042
$312,743,148
$312,065,289
See accompanying notes to financial statements.
| 66

Financial Highlights
For a share outstanding throughout each period.
 
 
Fixed Income Fund– Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$10.99
$13.52
$13.17
$13.49
$13.40
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.46
0.33
0.44
0.55
0.59
Net realized and unrealized gain (loss)
(0.10
)
(2.06
)
0.73
(0.31
)
0.19
Total from Investment Operations
0.36
(1.73
)
1.17
0.24
0.78
LESS DISTRIBUTIONS FROM:
Net investment income
(0.11
)
(0.29
)
(0.64
)
(0.56
)
(0.59
)
Net realized capital gains
(0.06
)
(0.51
)
(0.18
)
—
(0.10
)
Total Distributions
(0.17
)
(0.80
)
(0.82
)
(0.56
)
(0.69
)
Net asset value, end of the period
$11.18
$10.99
$13.52
$13.17
$13.49
Total return
3.26
%
(13.63
)%
9.08
%
1.78
%
6.29
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$423,522
$399,698
$511,058
$633,060
$776,812
Net expenses
0.61
%
0.58
%
0.59
%
0.58
%
0.57
%
Gross expenses
0.61
%
0.58
%
0.59
%
0.58
%
0.57
%
Net investment income
4.06
%
2.66
%
3.27
%
4.23
%
4.51
%
Portfolio turnover rate
35
%
36
%
99
%(b)
29
%
14
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
The variation in the Fund's turnover rate from 2020 to 2021 was primarily due to a repositioning of the portfolio due to a change in the portfolio management team.
 
See accompanying notes to financial statements.
67 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Global Bond Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$13.22
$17.62
$18.33
$17.07
$16.16
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.33
0.25
0.27
0.33
0.33
Net realized and unrealized gain (loss)
(0.08
)(b)
(3.93
)
(0.07
)
1.12
0.69
Total from Investment Operations
0.25
(3.68
)
0.20
1.45
1.02
LESS DISTRIBUTIONS FROM:
Net investment income
—
(0.38
)
(0.35
)
(0.08
)
(0.05
)
Net realized capital gains
—
(0.34
)
(0.56
)
(0.11
)
(0.06
)
Total Distributions
—
(0.72
)
(0.91
)
(0.19
)
(0.11
)
Net asset value, end of the period
$13.47
$13.22
$17.62
$18.33
$17.07
Total return(c)
1.89
%
(21.73
)%
0.91
%
8.57
%
6.27
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$229,010
$258,963
$381,340
$375,501
$353,872
Net expenses(d)
0.69
%
0.70
%(e)
0.69
%
0.69
%
0.70
%(e)
Gross expenses
0.78
%
0.75
%(e)
0.75
%
0.76
%
0.76
%(e)
Net investment income
2.35
%
1.58
%
1.47
%
1.90
%
2.00
%
Portfolio turnover rate
49
%
103
%(f)
267
%
273
%
215
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of
sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
(e)
Includes interest expense. Without this expense the ratio of net expenses would have been 0.69% and the ratio of gross expenses would have been 0.75%.
(f)
The variation in the Fund's turnover rate from 2021 to 2022 was primarily due to a change in trading strategy from a previously utilized auction strategy used in prior
fiscal years.
 
See accompanying notes to financial statements.
| 68

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Global Bond Fund– Retail Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$12.96
$17.29
$18.00
$16.76
$15.86
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.29
0.21
0.22
0.28
0.28
Net realized and unrealized gain (loss)
(0.08
)(b)
(3.87
)
(0.07
)
1.10
0.68
Total from Investment Operations
0.21
(3.66
)
0.15
1.38
0.96
LESS DISTRIBUTIONS FROM:
Net investment income
—
(0.33
)
(0.30
)
(0.03
)
(0.00
)(c)
Net realized capital gains
—
(0.34
)
(0.56
)
(0.11
)
(0.06
)
Total Distributions
—
(0.67
)
(0.86
)
(0.14
)
(0.06
)
Net asset value, end of the period
$13.17
$12.96
$17.29
$18.00
$16.76
Total return(d)
1.62
%
(21.96
)%
0.67
%
8.32
%
6.08
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$103,003
$117,540
$171,318
$178,887
$207,251
Net expenses(e)
0.94
%
0.95
%(f)
0.94
%
0.94
%
0.95
%(f)
Gross expenses
1.03
%
1.00
%(f)
1.00
%
1.01
%
1.01
%(f)
Net investment income
2.10
%
1.33
%
1.22
%
1.65
%
1.75
%
Portfolio turnover rate
49
%
103
%(g)
267
%
273
%
215
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of
sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(c)
Amount rounds to less than $0.01 per share.
(d)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
(f)
Includes interest expense. Without this expense the ratio of net expenses would have been 0.94% and the ratio of gross expenses would have been 1.00%.
(g)
The variation in the Fund's turnover rate from 2021 to 2022 was primarily due to a change in trading strategy from a previously utilized auction strategy used in prior
fiscal years.
 
See accompanying notes to financial statements.
69 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Global Bond Fund– Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$13.26
$17.68
$18.39
$17.12
$16.21
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.33
0.26
0.27
0.33
0.34
Net realized and unrealized gain (loss)
(0.07
)(b)
(3.95
)
(0.07
)
1.14
0.69
Total from Investment Operations
0.26
(3.69
)
0.20
1.47
1.03
LESS DISTRIBUTIONS FROM:
Net investment income
—
(0.39
)
(0.35
)
(0.09
)
(0.06
)
Net realized capital gains
—
(0.34
)
(0.56
)
(0.11
)
(0.06
)
Total Distributions
—
(0.73
)
(0.91
)
(0.20
)
(0.12
)
Net asset value, end of the period
$13.52
$13.26
$17.68
$18.39
$17.12
Total return(c)
1.96
%
(21.73
)%
0.95
%
8.66
%
6.31
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$94,721
$137,544
$195,829
$157,341
$246,394
Net expenses(d)
0.64
%
0.65
%(e)
0.64
%
0.64
%
0.65
%(e)
Gross expenses
0.68
%
0.66
%(e)
0.66
%
0.66
%
0.66
%(e)
Net investment income
2.39
%
1.63
%
1.51
%
1.93
%
2.06
%
Portfolio turnover rate
49
%
103
%(f)
267
%
273
%
215
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of
sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
(e)
Includes interest expense. Without this expense the ratio of net expenses would have been 0.64% and the ratio of gross expenses would have been 0.65%.
(f)
The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to a change in trading strategy from a previously utilized auction strategy used in prior
fiscal years.
 
See accompanying notes to financial statements.
| 70

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Inflation Protected Securities Fund – Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$9.53
$11.94
$11.78
$10.59
$10.13
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.27
0.66
0.44
0.11
0.20
Net realized and unrealized gain (loss)
(0.17
)
(2.09
)
0.18
1.18
0.48
Total from Investment Operations
0.10
(1.43
)
0.62
1.29
0.68
LESS DISTRIBUTIONS FROM:
Net investment income
(0.39
)
(0.84
)
(0.46
)
(0.10
)
(0.22
)
Net realized capital gains
—
(0.14
)
—
—
—
Total Distributions
(0.39
)
(0.98
)
(0.46
)
(0.10
)
(0.22
)
Net asset value, end of the period
$9.24
$9.53
$11.94
$11.78
$10.59
Total return(b)
0.99
%
(12.55
)%
5.33
%
12.20
%
6.73
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$93,240
$176,873
$217,863
$116,549
$24,076
Net expenses(c)
0.40
%
0.40
%
0.40
%
0.40
%
0.40
%
Gross expenses
0.56
%
0.49
%
0.52
%
0.70
%
0.96
%
Net investment income
2.73
%
5.90
%
3.65
%
1.00
%
1.92
%
Portfolio turnover rate
36
%
107
%
57
%
82
%
246
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
 
Inflation Protected Securities Fund– Retail Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$9.51
$11.92
$11.77
$10.57
$10.11
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.26
0.62
0.45
0.10
0.18
Net realized and unrealized gain (loss)
(0.18
)
(2.07
)
0.14
1.17
0.47
Total from Investment Operations
0.08
(1.45
)
0.59
1.27
0.65
LESS DISTRIBUTIONS FROM:
Net investment income
(0.37
)
(0.82
)
(0.44
)
(0.07
)
(0.19
)
Net realized capital gains
—
(0.14
)
—
—
—
Total Distributions
(0.37
)
(0.96
)
(0.44
)
(0.07
)
(0.19
)
Net asset value, end of the period
$9.22
$9.51
$11.92
$11.77
$10.57
Total return(b)
0.74
%
(12.79
)%
5.04
%
12.09
%
6.47
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$29,500
$31,496
$33,949
$7,805
$1,076
Net expenses(c)
0.65
%
0.65
%
0.65
%
0.65
%
0.65
%
Gross expenses
0.81
%
0.74
%
0.77
%
0.95
%
1.21
%
Net investment income
2.67
%
5.50
%
3.76
%
0.91
%
1.77
%
Portfolio turnover rate
36
%
107
%
57
%
82
%
246
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
See accompanying notes to financial statements.
71 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
Inflation Protected Securities Fund– Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$9.54
$11.95
$11.79
$10.59
$10.13
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.31
0.70
0.49
0.10
0.21
Net realized and unrealized gain (loss)
(0.20
)
(2.12
)
0.14
1.20
0.47
Total from Investment Operations
0.11
(1.42
)
0.63
1.30
0.68
LESS DISTRIBUTIONS FROM:
Net investment income
(0.40
)
(0.85
)
(0.47
)
(0.10
)
(0.22
)
Net realized capital gains
—
(0.14
)
—
—
—
Total Distributions
(0.40
)
(0.99
)
(0.47
)
(0.10
)
(0.22
)
Net asset value, end of the period
$9.25
$9.54
$11.95
$11.79
$10.59
Total return(b)
1.05
%
(12.49
)%
5.37
%
12.33
%
6.78
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$14,070
$12,523
$8,401
$3,291
$1,779
Net expenses(c)
0.35
%
0.35
%
0.35
%
0.35
%
0.35
%
Gross expenses
0.47
%
0.41
%
0.46
%
0.68
%
0.91
%
Net investment income
3.14
%
6.26
%
4.06
%
0.90
%
2.09
%
Portfolio turnover rate
36
%
107
%
57
%
82
%
246
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would
have been higher.
 
 
Institutional High Income Fund– Institutional Class
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$5.31
$6.56
$5.99
$6.44
$6.90
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income(a)
0.33
0.28
0.26
0.29
0.34
Net realized and unrealized gain (loss)
0.08
(1.15
)
0.63
(0.32
)
(0.35
)
Total from Investment Operations
0.41
(0.87
)
0.89
(0.03
)
(0.01
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.26
)
(0.23
)
(0.32
)
(0.37
)
(0.37
)
Net realized capital gains
—
(0.15
)
—
(0.05
)
(0.08
)
Total Distributions
(0.26
)
(0.38
)
(0.32
)
(0.42
)
(0.45
)
Net asset value, end of the period
$5.46
$5.31
$6.56
$5.99
$6.44
Total return
7.88
%
(14.06
)%
15.16
%
(0.67
)%
0.20
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$312,743
$312,065
$364,445
$516,815
$572,393
Net expenses
0.72
%
0.69
%
0.70
%
0.69
%
0.68
%
Gross expenses
0.72
%
0.69
%
0.70
%
0.69
%
0.68
%
Net investment income
6.12
%
4.70
%
4.07
%
4.84
%
5.33
%
Portfolio turnover rate
64
%
65
%
105
%(b)
25
%
23
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
The variation in the Fund's turnover rate from 2020 to 2021 was primarily due to a repositioning of the portfolio due to a change in the portfolio management team.
See accompanying notes to financial statements.
| 72

Notes to Financial Statements
September 30, 2023
1.Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Fixed Income Fund (“Fixed Income Fund”)
Loomis Sayles Global Bond Fund (“Global Bond Fund”)
Loomis Sayles Inflation Protected Securities Fund (“Inflation Protected Securities Fund”)
Loomis Sayles Institutional High Income Fund (“Institutional High Income Fund”)
Each Fund is a diversified investment company.
Each Fund offers Institutional Class shares. Global Bond Fund and Inflation Protected Securities Fund also offer Retail Class shares and Class N shares.
Each share class is sold without a sales charge. Retail Class shares pay a Rule 12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Global Bond Fund and Inflation Protected Securities Fund and $3,000,000 for Fixed Income Fund and Institutional High Income Fund. Certain categories of investors are exempted from the minimum investment amounts for Class N and Institutional Class as outlined in the relevant Fund's prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, and Gateway Trust (“Natixis Funds Trusts”) and Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class), and transfer agent fees are borne collectively for Institutional Class and Retail Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2.Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds' financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds' financial statements.
a. Valuation.  Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations ("CLOs") are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an
73 |

Notes to Financial Statements (continued)
September 30, 2023
independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the
| 74

Notes to Financial Statements (continued)
September 30, 2023
Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
e. Futures Contracts. A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Option Contracts. A Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
g. Swap Agreements. A Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a
75 |

Notes to Financial Statements (continued)
September 30, 2023
specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
h. When-Issued and Delayed Delivery Transactions. A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
i. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on
| 76

Notes to Financial Statements (continued)
September 30, 2023
investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
j. Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, paydown gains and losses, convertible bond adjustments, net operating losses, return of capital distributions received, capital gain distributions received, swaps, distribution re-designations, distributions in excess of income and/or capital gains and premium amortization. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, swaps, forward foreign currency contract mark-to-market, convertible bond adjustments, distributions in excess of income and/or capital gains, foreign currency gains and losses, return of capital distributions received, trust preferred securities, corporate actions, straddle loss deferral adjustments, futures contract mark-to-market and defaulted and/ or non-income producing securities. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2023 and 2022 was as follows: 
 
2023 Distributions
2022 Distributions
Fund
Ordinary
Income
Long-Term
Capital
Gains
Total
Ordinary
Income
Long-Term
Capital
Gains
Total
Fixed Income Fund
$4,963,120
$1,087,885
$6,051,005
$11,271,018
$18,812,710
$30,083,728
Global Bond Fund
—
—
—
21,919,363
8,674,211
30,593,574
Inflation Protected Securities Fund
6,428,945
—
6,428,945
22,470,195
1,884,400
24,354,595
Institutional High Income Fund
15,201,101
—
15,201,101
20,772,904
—
20,772,904
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
77 |

Notes to Financial Statements (continued)
September 30, 2023
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows: 
 
Fixed Income
Fund
Global Bond
Fund
Inflation
Protected
Securities Fund
Institutional
High Income
Fund
Undistributed ordinary income
$14,706,824
$—
$40,265
$16,897,939
Capital loss carryforward:
Short-term:
No expiration date
(3,583,755
)
(10,875,864
)
(9,041,686
)
(2,248,535
)
Long-term:
No expiration date
(7,553,414
)
(37,838,130
)
(21,314,310
)
(24,644,597
)
Total capital loss carryforward
(11,137,169
)
(48,713,994
)
(30,355,996
)
(26,893,132
)
Late-year ordinary and post-October
 capital loss deferrals*
—
(10,054,892
)
—
—
Unrealized depreciation
(54,875,377
)
(70,510,418
)
(29,576,278
)
(45,946,478
)
Total accumulated losses
$(51,305,722
)
$(129,279,304
)
$(59,892,009
)
$(55,941,671
)
 
*
Under current tax law, net operating losses, capital losses, foreign currency losses, losses on passive foreign investment companies and contingent payment debt instruments
after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Global Bond Fund is deferring foreign
currency losses.
As of September 30, 2023, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows: 
 
Fixed Income
Fund
Global Bond
Fund
Inflation
Protected
Securities Fund
Institutional
High Income
Fund
Federal tax cost
$480,909,989
$490,032,783
$164,709,950
$358,360,982
Gross tax appreciation
$2,448,023
$661,467
$2,840
$1,961,486
Gross tax depreciation
(57,322,738
)
(71,095,879
)
(29,573,902
)
(47,907,931
)
Net tax depreciation
$(54,874,715
)
$(70,434,412
)
$(29,571,062
)
$(45,946,445
)
The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market and foreign capital gains taxes.
k. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. A Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
l. Loan Participations. A Fund’s investment in senior loans may be in the form of participations in loans. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, a Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
m. Collateralized Loan Obligations. A Fund may invest in CLOs. A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called
| 78

Notes to Financial Statements (continued)
September 30, 2023
tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
n. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
o. Due to/from Brokers.  Transactions and positions in certain futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Global Bond Fund represents cash pledged as collateral for forward foreign currency contracts and as initial margin for futures contracts. The due from brokers balance in the Statements of Assets and Liabilities for Inflation Protected Securities Fund represents cash pledged as initial margin for futures contracts and centrally cleared swaps agreements. The due to brokers balance in the Statements of Assets and Liabilities for Global Bond Fund represents cash received as collateral for forward foreign currency contracts. In certain circumstances a Fund’s use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.
p. Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
q. New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”) in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which was expected to occur no later than June 30, 2023. In January 2021, FASB issued Accounting Standard Update 2021-01 (“ASU 2021-01”), which is an update of ASU 2020-04. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation than LIBOR. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. In December 2022, FASB issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. As of June 30, 2023, LIBOR had ceased to be published on a representative basis, and will be replaced by an alternative reference rate at the next reset date subsequent to June 30, 2023 for all investments for which LIBOR is the current reference rate. Management has elected to apply the optional expedients when appropriate and account for such modifications by prospectively adjusting the effective interest rate. There is no material impact to the Funds' financial statements.
3.Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
79 |

Notes to Financial Statements (continued)
September 30, 2023
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds' investments as of September 30, 2023, at value: 
Fixed Income Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes(a)
$—
$379,633,892
$—
$379,633,892
Collateralized Loan Obligations
—
16,538,482
—
16,538,482
Common Stocks(a)
6,904,901
—
—
6,904,901
Senior Loans(a)
—
3,362,925
—
3,362,925
Preferred Stocks(a)
2,247,784
—
—
2,247,784
Short-Term Investments
—
17,347,290
—
17,347,290
Total Investments
9,152,685
416,882,589
—
426,035,274
Forward Foreign Currency Contracts (unrealized appreciation)
—
18,064
—
18,064
Futures Contracts (unrealized appreciation)
1,674,028
—
—
1,674,028
Total
$10,826,713
$416,900,653
$—
$427,727,366
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(3,898,279
)
$—
$—
$(3,898,279
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Global Bond Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes(a)
$—
$412,517,505
$—
$412,517,505
Short-Term Investments
—
7,067,176
—
7,067,176
Total Investments
—
419,584,681
—
419,584,681
Forward Foreign Currency Contracts (unrealized appreciation)
—
600,492
—
600,492
Futures Contracts (unrealized appreciation)
473,455
—
—
473,455
Total
$473,455
$420,185,173
$—
$420,658,628
| 80

Notes to Financial Statements (continued)
September 30, 2023
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Forward Foreign Currency Contracts (unrealized depreciation)
$—
$(595,583
)
$—
$(595,583
)
Futures Contracts (unrealized depreciation)
(1,189,664
)
—
—
(1,189,664
)
Total
$(1,189,664
)
$(595,583
)
$—
$(1,785,247
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Inflation Protected Securities Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes(a)
$—
$129,772,467
$—
$129,772,467
Short-Term Investments
—
5,435,871
—
5,435,871
Total Investments
—
135,208,338
—
135,208,338
Centrally Cleared Interest Rate Swap Agreements (unrealized
appreciation)
—
484,677
—
484,677
Forward Foreign Currency Contracts (unrealized appreciation)
—
11,301
—
11,301
Total
$—
$135,704,316
$—
$135,704,316
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Centrally Cleared Interest Rate Swap Agreements (unrealized
depreciation)
$—
$(554,127
)
$—
$(554,127
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
81 |

Notes to Financial Statements (continued)
September 30, 2023
 
Institutional High Income Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Non-Convertible Bonds(a)
$—
$257,011,418
$—
$257,011,418
Convertible Bonds(a)
—
13,782,821
—
13,782,821
Total Bonds and Notes
—
270,794,239
—
270,794,239
Common Stocks
Technology Hardware, Storage & Peripherals
179,428
254
—
179,682
All Other Common Stocks(a)
8,182,350
—
—
8,182,350
Total Common Stocks
8,361,778
254
—
8,362,032
Senior Loans(a)
—
6,582,289
—
6,582,289
Collateralized Loan Obligations
—
5,982,883
—
5,982,883
Exchange-Traded Funds
2,432,760
—
—
2,432,760
Preferred Stocks
Convertible Preferred Stocks(a)
836,837
—
—
836,837
Non-Convertible Preferred Stocks
Other REITs
—
189,740
—
189,740
All Other Non-Convertible Preferred Stocks(a)
375,540
—
—
375,540
Total Non-Convertible Preferred Stocks
375,540
189,740
—
565,280
Total Preferred Stocks
1,212,377
189,740
—
1,402,117
Short-Term Investments
—
16,858,217
—
16,858,217
Total Investments
12,006,915
300,407,622
—
312,414,537
Forward Foreign Currency Contracts (unrealized appreciation)
—
7,562
—
7,562
Total
$12,006,915
$300,415,184
$—
$312,422,099
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2022 and/or September 30, 2023: 
Fixed Income Fund
Asset Valuation Inputs
Investments in Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Non-Convertible Bonds
Property & Casualty Insurance
$199,675
$—
$—
$—
$—
$—
$—
$(199,675
)
$—
$—
A debt security valued at $199,675 was transferred from Level 3 to Level 2 during the period ended September 30, 2023. At September 30, 2022, this security was fair valued as determined by the Fund's valuation designee as an independent pricing service was unable to price the
| 82

Notes to Financial Statements (continued)
September 30, 2023
security. At September 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. 
Institutional High Income Fund
Asset Valuation Inputs
Investments in Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Non-Convertible Bonds
Independent Energy
$30,800
$—
$—
$—
$—
$—
$—
$(30,800
)
$—
$—
Property & Casualty Insurance
235,200
—
—
—
—
—
—
(235,200
)
—
—
Total
$266,000
$—
$—
$—
$—
$—
$—
$(266,000
)
$—
$—
Debt securities valued at $266,000 were transferred from Level 3 to Level 2 during the period ended September 30, 2023. At September 30, 2022, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service was unable to price the securities. At September 30, 2023, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.
4.Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Fixed Income Fund, Global Bond Fund, Inflation Protected Securities Fund and Institutional High Income Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.
The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended September 30, 2023, the Funds engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.
The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the year ended September 30, 2023, Fixed Income Fund, Global Bond Fund and Inflation Protected Securities used futures contracts to manage duration. Inflation Protected Securities Fund also used futures contracts and interest rate swap agreements for hedging purposes.
The Funds are subject to the risk that companies in which the Funds invest will fail financially or otherwise be unwilling or unable to meet their obligations to the Funds. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the year ended September 30, 2023, Institutional High Income Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.
83 |

Notes to Financial Statements (continued)
September 30, 2023
The following is a summary of derivative instruments for Fixed Income Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Assets
Unrealized
appreciation
on forward
foreign
currency
contracts
Unrealized
appreciation
on futures
contracts1
Total
Over-the-counter asset derivatives
Foreign exchange contracts
$18,064
$—
$18,064
Exchange-traded asset derivatives
Interest rate contracts
—
1,674,028
1,674,028
Total asset derivatives
$18,064
$1,674,028
$1,692,092
 
Liabilities
Unrealized
depreciation
on futures
contracts1
Exchange-traded liability derivatives
Interest rate contracts
$(3,898,279
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
Transactions in derivative instruments for Fixed Income Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Forward
foreign
currency
contracts
Futures
contracts
Interest rate contracts
$—
$(7,362,890
)
Foreign exchange contracts
6,277
—
Total
$6,277
$(7,362,890
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Forward
foreign
currency
contracts
Futures
contracts
Interest rate contracts
$—
$(1,084,991
)
Foreign exchange contracts
18,064
—
Total
$18,064
$(1,084,991
)
| 84

Notes to Financial Statements (continued)
September 30, 2023
The following is a summary of derivative instruments for Global Bond Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Assets
Unrealized
appreciation
on forward
foreign
currency
contracts
Unrealized
appreciation
on futures
contracts1
Total
Over-the-counter asset derivatives
Foreign exchange contracts
$600,492
$—
$600,492
Exchange-traded asset derivatives
Interest rate contracts
—
473,455
473,455
Total asset derivatives
$600,492
$473,455
$1,073,947
 
Liabilities
Unrealized
depreciation
on forward
foreign
currency
contracts
Unrealized
depreciation
on futures
contracts1
Total
Over-the-counter liability derivatives
Foreign exchange contracts
$(595,583
)
$—
$(595,583
)
Exchange-traded liability derivatives
Interest rate contracts
—
(1,189,664
)
(1,189,664
)
Total liability derivatives
$(595,583
)
$(1,189,664
)
$(1,785,247
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
Transactions in derivative instruments for Global Bond Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Forward
foreign
currency
contracts
Futures
contracts
Interest rate contracts
$—
$(1,997,094
)
Foreign exchange contracts
(1,907,280
)
—
Total
$(1,907,280
)
$(1,997,094
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Forward
foreign
currency
contracts
Futures
contracts
Interest rate contracts
$—
$(426,501
)
Foreign exchange contracts
(1,325,047
)
—
Total
$(1,325,047
)
$(426,501
)
85 |

Notes to Financial Statements (continued)
September 30, 2023
The following is a summary of derivative instruments for Inflation Protected Securities Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Assets
Unrealized
appreciation
on forward
foreign
currency
contracts
Swap
agreements
at value
Total
Over-the-counter asset derivatives
Foreign exchange contracts
$11,301
$—
$11,301
Exchange-traded/cleared asset derivatives
Interest rate contracts
—
484,677
484,677
Total asset derivatives
$11,301
$484,677
$495,978
 
Liabilities
Swap
agreements
at value
Exchange-traded/cleared liability derivatives
Interest rate contracts
$(554,127
)
Transactions in derivative instruments for Inflation Protected Securities Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Forward
foreign
currency
contracts
Futures
contracts
Swap
agreements
Interest rate contracts
$—
$(263,558
)
$(563
)
Foreign exchange contracts
(77,461
)
—
—
Total
$(77,461
)
$(263,558
)
$(563
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Forward
foreign
currency
contracts
Futures
contracts
Swap
agreements
Interest rate contracts
$—
$(293,627
)
$(69,450
)
Foreign exchange contracts
(51,082
)
—
—
Total
$(51,082
)
$(293,627
)
$(69,450
)
The following is a summary of derivative instruments for Institutional High Income Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Assets
Unrealized
appreciation
on forward
foreign
currency
contracts
Over-the-counter asset derivatives
Foreign exchange contracts
$7,562
| 86

Notes to Financial Statements (continued)
September 30, 2023
Transactions in derivative instruments for Institutional High Income Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Forward
foreign
currency
contracts
Swap
agreements
Foreign exchange contracts
$2,628
$—
Credit contracts
—
217,876
Total
$2,628
$217,876
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Forward
foreign
currency
contracts
Swap
agreements
Foreign exchange contracts
$7,562
$—
Credit contracts
—
(4,207
)
Total
$7,562
$(4,207
)
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Fixed Income Fund, Global Bond Fund, Inflation Protected Securities Fund and Institutional High Income Fund based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2023: 
Fixed Income Fund
Forwards
Futures
Average Notional Amount Outstanding
0.15
%
23.51
%
Highest Notional Amount Outstanding
0.27
%
58.05
%
Lowest Notional Amount Outstanding
0.00
%
7.56
%
Notional Amount Outstanding as of September 30, 2023
0.27
%
58.05
%
 
Global Bond Fund
Forwards
Futures
Average Notional Amount Outstanding
30.27
%
18.67
%
Highest Notional Amount Outstanding
43.60
%
20.51
%
Lowest Notional Amount Outstanding
23.59
%
16.45
%
Notional Amount Outstanding as of September 30, 2023
23.59
%
17.74
%
 
Inflation Protected Securities Fund
Forwards
Futures
Interest
Rate
Swaps
Average Notional Amount Outstanding
0.91
%
2.05
%
5.12
%
Highest Notional Amount Outstanding
1.72
%
7.52
%
9.47
%
Lowest Notional Amount Outstanding
0.46
%
0.00
%
0.00
%
Notional Amount Outstanding as of September 30, 2023
0.60
%
0.00
%
9.47
%
 
Institutional High Income Fund
Forwards
Credit
Default
Swaps
Average Notional Amount Outstanding
0.08
%
0.29
%
Highest Notional Amount Outstanding
0.16
%
0.98
%
Lowest Notional Amount Outstanding
0.00
%
0.00
%
Notional Amount Outstanding as of September 30, 2023
0.15
%
0.00
%
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
87 |

Notes to Financial Statements (continued)
September 30, 2023
Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds' net assets.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.
As of September 30, 2023, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows: 
Fixed Income Fund
Counterparty
Gross Amounts of
Assets
Offset
Amount
Net Asset
Balance
Collateral
(Received)/
Pledged
Net
Amount
Bank of America N.A.
$18,064
$—
$18,064
$—
$18,064
 
Global Bond Fund
Counterparty
Gross Amounts of
Assets
Offset
Amount
Net Asset
Balance
Collateral
(Received)/
Pledged
Net
Amount
Bank of America N.A.
$223,236
$—
$223,236
$—
$223,236
Barclays Bank PLC
6,319
(22
)
6,297
—
6,297
BNP Paribas SA
77,209
(68,137
)
9,072
—
9,072
Goldman Sachs Bank USA
72,799
(3,865
)
68,934
—
68,934
HSBC Bank USA N.A.
4,180
(4,180
)
—
—
—
Standard Chartered Bank
188,654
—
188,654
(188,654
)
—
UBS AG
28,095
(28,095
)
—
—
—
 
$600,492
$(104,299
)
$496,193
$(188,654
)
$307,539
 
 
 
 
 
 
 
Counterparty
Gross Amounts of
Liabilities
Offset
Amount
Net Liability
Balance
Collateral
(Received)/
Pledged
Net
Amount
Barclays Bank PLC
$(22
)
$22
$—
$—
$—
BNP Paribas SA
(68,137
)
68,137
—
—
—
Citibank N.A.
(38,292
)
—
(38,292
)
—
(38,292
)
Goldman Sachs Bank USA
(3,865
)
3,865
—
—
—
HSBC Bank USA N.A.
(34,701
)
4,180
(30,521
)
—
(30,521
)
Morgan Stanley Capital Services LLC
(353,830
)
—
(353,830
)
133,073
(220,757
)
UBS AG
(96,736
)
28,095
(68,641
)
—
(68,641
)
 
$(595,583
)
$104,299
$(491,284
)
$133,073
$(358,211
)
 
Inflation Protected Securities Fund
Counterparty
Gross Amounts of
Assets
Offset
Amount
Net Asset
Balance
Collateral
(Received)/
Pledged
Net
Amount
Bank of America N.A.
$11,301
$—
$11,301
$—
$11,301
| 88

Notes to Financial Statements (continued)
September 30, 2023
 
Institutional High Income Fund
Counterparty
Gross Amounts of
Assets
Offset
Amount
Net Asset
Balance
Collateral
(Received)/
Pledged
Net
Amount
Bank of America N.A.
$7,562
$—
$7,562
$—
$7,562
The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank and Trust Company (“State Street Bank”).
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.
5.Purchases and Sales of Securities. For the year ended September 30, 2023, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows: 
 
U.S. Government/
Agency Securities
Other Securities
Fund
Purchases
Sales
Purchases
Sales
Fixed Income Fund
$43,671,643
$79,518,960
$122,674,223
$58,197,471
Global Bond Fund
70,702,559
97,399,473
152,422,295
184,697,416
Inflation Protected Securities Fund
22,890,076
105,289,128
39,339,404
49,263,662
Institutional High Income Fund
—
15,638,341
202,305,217
198,298,236
6.Management Fees and Other Transactions with Affiliates. 
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets: 
 
Percentage of Average Daily Net Assets
Fund
First
$1 Billion
Next
$1 Billion
Next
$3 Billion
Next
$5 Billion
Over
$10 Billion
Fixed Income Fund
0.50
%
0.50
%
0.50
%
0.50
%
0.50
%
Global Bond Fund
0.55
%
0.50
%
0.48
%
0.45
%
0.40
%
Inflation Protected Securities Fund
0.25
%
0.25
%
0.25
%
0.25
%
0.25
%
Institutional High Income Fund
0.58
%
0.58
%
0.58
%
0.58
%
0.58
%
Prior to July 1, 2023, Institutional High Income Fund paid a management fee of 0.60%, calculated daily and payable monthly, based on the Fund's average daily net assets.
Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertaking are in effect until January 31, 2024, except for Institutional High
89 |

Notes to Financial Statements (continued)
September 30, 2023
Income Fund which is in effect until January 31, 2025, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, are net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended September 30, 2023 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows: 
 
Expense Limit as a Percentage of
Average Daily Net Assets
Fund
Institutional
Class
Retail
Class
Class N
Fixed Income Fund
0.65
%
—
%
—
%
Global Bond Fund
0.69
%
0.94
%
0.64
%
Inflation Protected Securities Fund
0.40
%
0.65
%
0.35
%
Institutional High Income Fund
0.73
%
—
%
—
%
Prior to July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Institutional High Income Fund were as follows: 
 
Expense Limit as a Percentage of
Average Daily Net Assets
Fund
Institutional Class
Institutional High Income Fund
0.75
%
Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the year ended September 30, 2023, the management fees and waivers of management fees for each Fund were as follows: 
 
Gross
Management
Fees
Contractual
Waivers of
Management
Fees1
Net
Management
Fees
Percentage of
Average
Daily Net Assets
Fund
Gross
Net
Fixed Income Fund
$2,108,550
$—
$2,108,550
0.50
%
0.50
%
Global Bond Fund
2,698,219
367,024
2,331,195
0.55
%
0.48
%
Inflation Protected Securities Fund
439,774
268,896
170,878
0.25
%
0.10
%
Institutional High Income Fund
1,969,135
—
1,969,135
0.60
%
0.60
%
 
1
Management fee waivers are subject to possible recovery until September 30, 2024
No expenses were recovered for any of the Funds during the year ended September 30, 2023 under the terms of the expense limitation agreements.
b. Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, Global Bond Fund and Inflation Protected Securities Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”).
Under the Retail Class Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.
| 90

Notes to Financial Statements (continued)
September 30, 2023
For the year ended September 30, 2023, the distribution fees for each Fund were as follows: 
Fund
Retail Class
Global Bond Fund
$286,627
Inflation Protected Securities Fund
83,426
c. Administrative Fees.  Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended September 30, 2023, the administrative fees for each Fund were as follows: 
Fund
Administrative
Fees
Fixed Income Fund
$195,434
Global Bond Fund
227,376
Inflation Protected Securities Fund
81,539
Institutional High Income Fund
153,321
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended September 30, 2023, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows: 
Fund
Sub-Transfer
Agent Fees
Global Bond Fund
$321,112
Inflation Protected Securities Fund
151,979
Institutional High Income Fund
32,189
As of September 30, 2023, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor): 
Fund
Reimbursements
of Sub-Transfer
Agent Fees
Global Bond Fund
$3,703
Inflation Protected Securities Fund
1,841
Institutional High Income Fund
516
Sub-transfer agent fees attributable to Institutional Class and Retail Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e.  Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of
91 |

Notes to Financial Statements (continued)
September 30, 2023
the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.
f. Affiliated Ownership. As of September 30, 2023, the percentage of each Fund’s net assets owned by affiliates is as follows: 
 
Percentage of
Net Assets
Inflation Protected Securities Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
3.77%
Loomis Sayles Non-Qualified Retirement Plans
4.23%
Natixis Sustainable Future 2015 Fund
0.65%
Natixis Sustainable Future 2020 Fund
0.37%
Natixis Sustainable Future 2025 Fund
0.45%
Natixis Sustainable Future 2030 Fund
0.60%
Natixis Sustainable Future 2035 Fund
0.56%
Natixis Sustainable Future 2040 Fund
0.46%
Natixis Sustainable Future 2045 Fund
0.29%
Natixis Sustainable Future 2050 Fund
0.12%
Natixis Sustainable Future 2055 Fund
0.01%
 
11.51%
Institutional High Income Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
5.74%
Loomis Sayles Non-Qualified Retirement Plans
7.32%
Loomis Sayles Employees
14.39%
 
27.45%
Investment activities of affiliated shareholders could have material impacts on the Funds.
g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Inflation Protected Securities Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2024 and is not subject to recovery under the expense limitation agreement described above.
For the year ended September 30, 2023, Natixis Advisors reimbursed the Fund $2,590 for transfer agency expenses related to Class N shares.
7.Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Global Bond Fund and Inflation Protected Securities Fund attributable to Institutional Class and Retail Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
| 92

Notes to Financial Statements (continued)
September 30, 2023
For the year ended September 30, 2023, Global Bond Fund and Inflation Protected Securities Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable): 
 
Transfer Agent Fees and Expenses
Fund
Institutional
Class
Retail
Class
Class N
Global Bond Fund
$253,525
$115,612
$4,809
Inflation Protected Securities Fund
137,477
36,282
2,590
8. Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the year ended September 30, 2023, none of the Funds had borrowings under this agreement.
9.Risk.  Certain Funds’ investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
Geopolitical events (such as trading halts, sanctions or wars) could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These, and other related events, could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to issuers in the country or countries involved.
10.Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows: 
Fund
Number of 5%
Non-Affiliated
Account Holders
Percentage of
Non-Affiliated
Ownership
Percentage of
Affiliated
Ownership
(Note 6f)
Total
Percentage of
Ownership
Fixed Income Fund
6
52.93
%
—
52.93
%
Global Bond Fund
2
11.66
%
—
11.66
%
Inflation Protected Securities Fund
3
26.69
%
11.51
%
38.20
%
Institutional High Income Fund
2
38.13
%
27.45
%
65.58
%
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
93 |

Notes to Financial Statements (continued)
September 30, 2023
11.Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows: 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Fixed Income Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
2,890,331
$32,655,465
2,605,768
$32,281,330
Issued in connection with the reinvestment of distributions
531,632
5,975,549
2,333,029
29,722,796
Redeemed
(1,924,924
)
(21,694,771
)
(6,362,131
)
(79,437,567
)
Increase (decrease) from capital share transactions
1,497,039
$16,936,243
(1,423,334
)
$(17,433,441
)
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Global Bond Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
3,726,239
$52,204,626
4,447,369
$71,156,433
Issued in connection with the reinvestment of distributions
—
—
902,143
15,110,903
Redeemed
(6,318,212
)
(88,549,846
)
(7,391,340
)
(116,101,764
)
Net change
(2,591,973
)
$(36,345,220
)
(2,041,828
)
$(29,834,428
)
Retail Class
Issued from the sale of shares
1,470,580
$19,944,442
1,228,258
$19,044,087
Issued in connection with the reinvestment of distributions
—
—
383,679
6,311,520
Redeemed
(2,722,425
)
(37,073,401
)
(2,449,024
)
(38,312,560
)
Net change
(1,251,845
)
$(17,128,959
)
(837,087
)
$(12,956,953
)
Class N
Issued from the sale of shares
1,483,309
$20,766,079
2,833,108
$43,699,498
Issued in connection with the reinvestment of distributions
—
—
472,290
7,934,482
Redeemed
(4,850,760
)
(68,200,706
)
(4,007,619
)
(62,862,028
)
Net change
(3,367,451
)
$(47,434,627
)
(702,221
)
$(11,228,048
)
Decrease from capital share transactions
(7,211,269
)
$(100,908,806
)
(3,581,136
)
$(54,019,429
)
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Inflation Protected Securities Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
3,045,279
$29,563,914
15,214,922
$175,070,093
Issued in connection with the reinvestment of distributions
471,031
4,519,612
1,844,768
19,744,333
Redeemed
(11,989,124
)
(116,475,940
)
(16,738,225
)
(185,873,673
)
Net change
(8,472,814
)
$(82,392,414
)
321,465
$8,940,753
Retail Class
Issued from the sale of shares
978,076
$9,440,601
2,407,076
$28,500,810
Issued in connection with the reinvestment of distributions
126,780
1,211,738
323,729
3,461,976
Redeemed
(1,217,822
)
(11,885,361
)
(2,266,276
)
(25,607,484
)
Net change
(112,966
)
$(1,233,022
)
464,529
$6,355,302
Class N
Issued from the sale of shares
857,383
$8,380,603
836,792
$9,115,939
Issued in connection with the reinvestment of distributions
68,672
658,034
90,934
954,553
Redeemed
(717,922
)
(6,901,274
)
(317,230
)
(3,497,176
)
Net change
208,133
$2,137,363
610,496
$6,573,316
Increase (decrease) from capital share transactions
(8,377,647
)
$(81,488,073
)
1,396,490
$21,869,371
| 94

Notes to Financial Statements (continued)
September 30, 2023
11.Capital Shares (continued).
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Institutional High Income Fund
Shares
Amount
Shares
Amount
Institutional Class
Issued from the sale of shares
11,855,806
$62,899,685
5,056,311
$30,488,164
Issued in connection with the reinvestment of distributions
2,289,111
12,155,178
2,642,067
16,327,976
Redeemed
(15,681,063
)
(83,888,634
)
(4,445,781
)
(26,639,245
)
Increase (decrease) from capital share transactions
(1,536,146
)
$(8,833,771
)
3,252,597
$20,176,895
95 |

Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds I and Shareholders of Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund and Loomis Sayles Institutional High Income Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund and Loomis Sayles Institutional High Income Fund (four of the funds constituting Loomis Sayles Funds I, hereafter collectively referred to as the “Funds”) as of September 30, 2023, the related statements of operations for the year ended September 30, 2023, the statements of changes in net assets for each of the two years in the period ended September 30, 2023, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2023 and each of the financial highlights for each of the five years in the period ended September 30, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023 by correspondence with the custodian, transfer agent, agency banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
November 21, 2023
We have served as the auditor of one or more investment companies in the Natixis Investment Company Complex since at least 1995. We have not determined the specific year we began serving as auditor.
| 96

2023 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2023, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows: 
Fund
Qualifying
Percentage
Fixed Income Fund
2.89%
Institutional High Income Fund
4.18%
Qualified Dividend Income. For the fiscal year ended September 30, 2023, the Funds below will designate up to the maximum amount
allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0%
to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2023, complete information will be
reported in conjunction with Form 1099-DIV.
Fund
Fixed Income Fund
Institutional High Income Fund
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2023, unless subsequently determined to be different. 
Fund
Amount
Fixed Income Fund
$1,087,885
Foreign Tax Credit. For the year ended September 30, 2023, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to: 
Fund
Foreign-Tax
Credit Pass-Through
Foreign Source
Income
Global Bond Fund
$—
$9,636,487
97 |

Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Loomis Sayles Funds I (the "Trust"). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds' Statements of Additional Information include additional information about the Trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330. 
Name and Year of Birth
Position(s) Held with
the Trust, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees
 
 
 
 
Edmond J. English
(1953)
Trustee since 2013
Contract Review
Committee Member
and Governance
Committee Member
Executive Chairman of
Bob’s Discount Furniture
(retail)
52
Director, Burlington
Stores, Inc. (retail);
Director, Rue Gilt
Groupe, Inc.
(e-commerce retail)
Significant experience on
the Board and on the
boards of other business
organizations (including
retail companies and a
bank); executive
experience (including at a
retail company)
Richard A. Goglia
(1951)
Trustee since 2015
Audit Committee
Member and
Governance
Committee Member
Retired
52
Formerly, Director of
Triumph Group
(aerospace industry)
Significant experience on
the Board and executive
experience (including his
role as Vice President and
treasurer of a defense
company and experience
at a financial services
company)
Martin T.  Meehan
(1956)
Trustee since 2012
Chairperson of the
Governance Committee
and Contract Review
Committee Member
President, University of
Massachusetts
52
None
Significant experience on
the Board and on the
boards of other business
organizations; experience
as President of the
University of
Massachusetts;
government experience
(including as a member
of the U.S. House of
Representatives);
academic experience
Maureen B. Mitchell
(1951)
Trustee since 2017
Chairperson of the
Contract Review
Committee
Retired
52
Director, Sterling
Bancorp (bank)
Significant experience on
the Board; financial
services industry and
executive experience
(including role as
President of global sales
and marketing at a
financial services
company)
| 98

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trust, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees − continued
James P. Palermo
(1955)
Trustee since 2016
Audit Committee Member
and Governance
Committee Member
Founding Partner, Breton
Capital
Management, LLC
(private equity); Partner,
STEP Partners, LLC
(private equity)
52
Director, FutureFuel.io
(chemicals and biofuels)
Significant experience on
the Board; financial
services industry and
executive experience
(including roles as Chief
Executive Officer of
client management and
asset servicing for a
banking and financial
services company)
Erik R. Sirri
(1958)
Chairperson of the Board
of Trustees since 2021
Trustee since 2009
Ex Officio Member of the
Audit Committee,
Contract Review
Committee and
Governance Committee
Professor of Finance at
Babson College
52
None
Significant experience on
the Board; experience as
Director of the Division
of Trading and Markets
at the Securities and
Exchange Commission;
academic experience;
training as an economist
Peter J. Smail
(1952)
Trustee since 2009
Contract Review
Committee Member
Retired
52
None
Significant experience on
the Board; mutual fund
industry and executive
experience (including
roles as President and
Chief Executive Officer
for an investment
adviser)
Kirk A. Sykes
(1958)
Trustee since 2019
Audit Committee Member
and Governance
Committee Member
Managing Director of
Accordia Partners, LLC
(real estate development);
President of Primary
Corporation (real estate
development); Managing
Principal of Merrick
Capital Partners
(infrastructure finance)
52
Advisor/Risk
Management
Committee, Eastern
Bank (bank); Director,
Apartment Investment
and Management
Company (real estate
investment trust);
formerly, Director, Ares
Commercial Real Estate
Corporation (real estate
investment trust)
Experience on the Board
and significant experience
on the boards of other
business organizations
(including real estate
companies and banks)
Cynthia L. Walker
(1956)
Trustee since 2005
Chairperson of the Audit
Committee
Retired; formerly, Deputy
Dean for Finance and
Administration, Yale
University School of
Medicine
52
None
Significant experience on
the Board; executive
experience in a variety of
academic organizations
(including roles as dean
for finance and
administration)
99 |

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trust, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Interested Trustees
 
 
 
 
Kevin P. Charleston3
(1965)
One Financial Center
Boston, MA 02111
Trustee since 2015
President and Chief
Executive Officer of
Loomis Sayles Funds I
since 2015
President, Chief
Executive Officer and
Chairman of the Board
of Directors, Loomis,
Sayles & Company, L.P.
52
None
Significant experience on
the Board; continuing
service as President, Chief
Executive Officer and
Chairman of the Board
of Directors of Loomis,
Sayles & Company, L.P.
David L. Giunta4
(1965)
Trustee since 2011
Executive Vice President
of Loomis Sayles
Funds I since 2008
President and Chief
Executive Officer, Natixis
Advisors, LLC and
Natixis
Distribution, LLC
52
None
Significant experience on
the Board; experience as
President and Chief
Executive Officer of
Natixis Advisors, LLC
and Natixis
Distribution, LLC
 
1
Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a
three-year term.
2
The Trustees of the Trust serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway
Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”).
3
Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust:  President, Chief Executive
Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.
4
Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust:  President and Chief Executive
Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.
| 100

Trustee and Officer Information
 
Name and Year of Birth
Position(s) Held
with the Trust
Term of Office1
and Length
of Time Served
Principal Occupation(s)
During Past 5 Years2
Officers of the Trusts
 
 
 
Matthew J. Block
(1981)
Treasurer, Principal
Financial and
Accounting Officer
Since 2022
Senior Vice President, Natixis Advisors, LLC and
Natixis Distribution, LLC; formerly, Vice President,
Natixis Advisors, LLC and Natixis Distribution, LLC;
Assistant Treasurer of the Fund Complex; Managing
Director, State Street Bank and Trust Company
Susan McWhan Tobin
(1963)
Secretary and Chief
Legal Officer
Since 2022
Executive Vice President, General Counsel and
Secretary, Natixis Advisors, LLC and Natixis
Distribution, LLC; formerly, Executive Vice President
and Chief Compliance Officer of Natixis Investment
Managers (March 2019 – May 2022) and Senior Vice
President and Head of Compliance, U.S. for Natixis
Investment Managers (July 2011 – March 2019)
Natalie R. Wagner
(1979)
Chief Compliance
Officer, Assistant
Secretary and
Anti-Money
Laundering Officer
Since 2021
Senior Vice President, Natixis Advisors, LLC and
Natixis Distribution, LLC; formerly, Vice President,
Head of Corporate Compliance, Global Atlantic
Financial Group
 
1
Each officer of the Trust serves for an indefinite term in accordance with the Trust's current by-laws until the date his or her successor is elected and qualified, or until he or
she sooner dies, retires, is removed or becomes disqualified.
2
Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC,
Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity.
101 |

This Page Intentionally Left Blank

 
LOOMIS SAYLES FUNDS
Loomis Sayles Funds, a Boston-based family of mutual funds advised by Loomis, Sayles & Company, L.P., offers a range of fixed income and equity investments to fit the goals of the most demanding investor. Investment minimums and a pricing structure that includes multiple share classes make the funds suitable investments for individual investors, retirement plan participants, high net worth individuals and small institutions, including endowments and foundations.
PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION:
•  Net asset values, yields, distribution information, fund information and fund literature
•  Speak to a customer service representative regarding new or existing accounts
Before investing, consider the fund’s investment objectives, risks, charges, and expenses. Please visit www.loomissayles.com or call 800-633-3330 for a prospectus and a summary prospectus, if available, containing this and other information.
If you wish to communicate with the funds’ Board of Trustees, you may do so by writing to:
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
The correspondence must be in writing, signed by the shareholder, including the shareholder’s name and address, and should identify the fund(s), account number, class of shares, and number of shares held in the fund(s) as of a recent date.
or by email at:
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.
Please note:  Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
 
 
Exp. 11/30/24
6031445.1.1
M-LSFIA-0923

 
 
Annual Report
September 30, 2023
 
Loomis Sayles Core Plus Bond Fund
Loomis Sayles Credit Income Fund
Loomis Sayles Global Allocation Fund
Loomis Sayles Growth Fund
Loomis Sayles Intermediate Duration Bond Fund
Loomis Sayles Limited Term Government and Agency Fund
 

Loomis Sayles Core Plus Bond Fund
 
Managers
Ian Anderson
Peter W. Palfrey, CFA®
Richard G. Raczkowski
Barath W. Sankaran, CFA®
Loomis, Sayles & Company, L.P.
 
Symbols
Class A
NEFRX
Class C
NECRX
Class N
NERNX
Class Y
NERYX
Investment Goal
The Fund seeks high total investment return through a combination of current income and capital appreciation.
Market Conditions
The US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes, even as the Fed continued to raise rates. This backdrop changed for the worse as crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition to being hurt by the prospect of rising rates, US Treasuries faced pressure from increased supply due to the need to fund the nation’s burgeoning debt load. Later in the period, the possibility of a government shutdown emerged as an additional source of instability for the market.
Investment grade corporate bonds logged robust, broad-based gains and strongly outperformed Treasuries. The category was helped by both its yield advantage and a decline in its yield spread relative to government issues. Lower-rated bonds, shorter-term debt, and economically sensitive issues exhibited leadership. High yield corporate bonds delivered a strong, double-digit gain and finished well ahead of the investment grade market, mostly due to its lower degree of sensitivity to interest rates. A large contribution from yield helped results, as did a decline in yield spreads brought about by investors’ elevated appetite for risk.
Floating rate securitized credit sectors displayed outperformance versus corporates and the broader fixed income markets. Agency mortgage-backed securities (MBS) continued to suffer from unfavorable supply/demand dynamics. Despite elevated levels of rate volatility, agency MBS outperformed US Treasuries over the period.
Performance Results
For the 12 months ended September 30, 2023, Class Y shares of the Loomis Sayles Core Plus Bond Fund returned 1.28% at net asset value. The Fund outperformed its benchmark, the Bloomberg US Aggregate Bond Index, which returned 0.64%.
Explanation of Fund Performance
The Fund’s excess returns over the trailing twelve months were primarily driven by sector allocation. Out-of-benchmark positions in “plus” sectors were the most impactful. We currently hold non-US dollar local government emerging market bonds in Mexico and Uruguay, which has been an important source of diversification and yield. Our allocation to high yield was also additive, due to spread tightening over the period and its lower interest rate sensitivity in general. Allocations to floating rate bank loans and collateralized loan obligations (CLOs) contributed positively, also a result of lower interest rate sensitivity. Within the “core” sectors, the Fund’s market value underweight to US Treasuries contributed to positive relative performance, while the underweight to investment grade corporates was a detractor.
Security selection over the period was also positive, as our relative value process identified issues and issuers which outperformed the benchmark across investment grade corporate, securitized credit, government-related, and securitized agency sectors. Securities held within the finance companies, banking, and electric utilities industries contributed the most to corporate-specific returns. Within government-related, our security selection in sovereigns was a contributor, while our decision not to own supranationals detracted. A 2% allocation to non-agency commercial mortgage-backed securities (CMBS), diversified across retail, office, and hospitality, also detracted.
The primary detractor from relative performance was due to duration and yield curve positioning. The Fund’s interest rate risk, as measured by duration, was higher than that of the benchmark by 1.3 years. This detracted from relative value in an environment of rising yields. Additionally, our decision to concentrate in the belly of the yield curve modestly detracted from relative returns. We are
1 |

Loomis Sayles Core Plus Bond Fund
expressing our duration and curve views through US Treasuries and utilizing interest rate futures to make adjustments efficiently. Exposure to Ultra Bond interest rate futures, which effectively increased the Fund’s allocation to the long end of the curve, detracted from performance.
Outlook
We continue to believe that we remain in the very late expansion phase of the credit cycle1, and that the significant increase in rates is now starting to impact business and consumer spending decisions. Corporate and consumer balance sheets have begun to show some signs of strain, and we expect the lagged effects of tighter credit conditions on the real economy will eventually translate to employment pressure and corporate profit degradation. Should growth and inflation sufficiently moderate over the coming three-to-six-month period, we think the Fed can pause hiking at or near the current 5.5% fed funds rate, and then consider easing policy somewhat starting in early summer 2024. This "soft landing" scenario is also currently the stated goal of the Fed. Recession risk could continue to be a factor if incoming economic data obscures the true impact of higher rates and restrictive monetary policy pushes the economy into downturn. We believe interest rates are likely to fall in either of those scenarios and are positioned with more interest rate risk in the portfolio relative to our benchmark. Our yield curve positioning continues to be concentrated in the five-to-ten-year part of the curve, an expression of our view that the yield curve will steepen, with short-term rates falling more sharply than long-term rates. The primary risk we face is that inflation remains above the Fed’s target, and doesn't moderate as we forecast, in which case we could see more rate hikes, and a peak fed funds rate of 6% or higher.
Portfolio liquidity remains at cycle highs, with nearly 40% of the portfolio in US Treasuries and cash equivalents. Looking ahead, we expect Treasury valuations to be supported by slowing economic activity and decelerating inflation. Additionally, Treasuries are a source of significant liquidity for re-entering credit sectors, should tangible signs of economic weakness cause credit spreads to widen from current levels. Weaker agency MBS valuations provided an opportunity to add to the sector in August, although we remain modestly underweight. In our view, MBS remain an attractive alternative to credit securities given their high current yield, return potential and the full backing of the US agencies. Within investment grade corporate credit, we remain approximately 8% market value underweight. We have a modest bias towards BBB-rated securities for incremental carry and tend to favor industries that we believe are less economically sensitive.
We have a large overweight to investment grade securitized credit, primarily in the front end of the yield curve for more defensive, non-corporate yield. We continue to favor higher-rated asset-backed securities (ABS) related to consumer receivables, as well as whole loan ABS, and have minimal exposure to commercial real estate.
Within the plus sectors, we have continued to reduce our overall allocation to high yield, which is currently approximately 5% in fixed rate high yield corporates, including just over 1% in emerging market high yield corporates. We have been incrementally reducing high yield exposure in response to the Fed's aggressive tightening path along with growing signs of economic slowdown. We have rotated bank loan exposure to high quality, investment grade CLOs, which are now at approximately 3%. We currently hold a 3.3% allocation to non-US dollar, now evenly split between Mexico and Uruguay, after monetizing a portion of our Mexican exposure to lock in significant gains.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
| 2

Loomis Sayles Core Plus Bond Fund
 
Hypothetical Growth of $100,000 Investment in Class Y Shares1
September 30, 2013 through September 30, 2023
 
 
3 |

Loomis Sayles Core Plus Bond Fund
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios3
 
Gross
Net
Class Y
NAV
1.28
%
0.51
%
1.80
%
0.49
%
0.49
%
Class A
NAV
1.04
0.27
1.55
0.74
0.74
With 4.25% Maximum Sales Charge
-3.28
-0.61
1.12
Class C
NAV
0.26
-0.49
0.94
1.49
1.49
With CDSC4
-0.72
-0.49
0.94
Class N
NAV
1.37
0.62
1.90
0.38
0.38
Comparative Performance
Bloomberg U.S. Aggregate Bond Index2
0.64
0.10
1.13
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 im.natixis.com/performance. 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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Bloomberg U.S. Aggregate Bond Index is a broad-based index that covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-
registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and
collateralized mortgage-backed securities sectors.
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 1/31/24. When a
Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about
the Fund’s expense limitations.
4
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes
automatic conversion to Class A shares after eight years.
| 4

Loomis Sayles Credit Income Fund
 
Managers
Matthew J. Eagan, CFA®
Brian P. Kennedy
Peter Sheehan*
Elaine M. Stokes
Loomis, Sayles & Company, L.P.
 
Symbols
Class A
LOCAX
Class C
LOCCX
Class N
LOCNX
Class Y
LOCYX
 
*
Effective June 30, 2023, Peter Sheehan serves as portfolio manager of the Fund.
Investment Goal
The Fund seeks high current income with a secondary objective of capital growth.
Market Conditions
The US fixed income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the 10-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Investment grade corporate bonds logged robust, broad-based gains and strongly outperformed Treasuries. The category was helped by both its yield advantage and a decline in its yield spread relative to government issues. The ICE BofA US Corporate Index Option-Adjusted Spread opened the period at 1.67 over Treasuries and closed at 1.23, indicating outperformance. Lower-rated bonds, shorter-term debt, and economically sensitive issues exhibited leadership, providing a tailwind for the category.
High yield corporate bonds delivered a strong, double-digit gain and finished well ahead of the investment-grade market, mostly due to the lower duration of high yield. A large contribution from yield helped results, as did a decline in yield spreads brought about by investors’ elevated appetite for risk. Senior loans, which typically feature floating rates, benefited from the rising-rate environment and were one of the top-performing segments of the bond market.
Over the prior year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized loan obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first half of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader Bloomberg US Aggregate Bond Index. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasuries over the period.
5 |

Loomis Sayles Credit Income Fund
Developed market government bonds weakened in local currency terms given the challenging rate environment. However, emerging market bonds gained ground, reflecting both positive local market performance and favorable currency translation.
Performance Results
For the 12 months ended September 30, 2023, Class Y shares of the Loomis Sayles Credit Income Fund returned 3.27% at net asset value. The Fund underperformed its benchmark, the Bloomberg US Credit Index, which returned 3.47%.
Explanation of Fund Performance
The year brought continued volatility as the positive returns investors realized in the first half of the year were erased by the rise in US long-term yields during the third quarter of 2023. Due to this volatility, the Fund underperformed its index during the period. Duration positioning in US Treasuries was the main detractor from performance, and the team continued to use Treasury futures to manage overall portfolio duration, which had a negative impact. The Fund began the period with shorter duration relative to the benchmark but brought overall duration positioning closer to neutral (increased duration) during the year as we believed the Fed could be nearing the end of its hiking cycle. Given this positioning, the rise in interest rates in 2023 led to the majority of negative returns.
Both high yield and investment grade credit were strong contributors to performance over the year. Within high yield credit, our higher conviction names in the consumer cyclical and communications space were beneficial. For investment grade credit, names in banking and consumer cyclical were positive. Securitized credit was also beneficial given the asset class’ shorter duration profile. Here, holdings in CLOs aided returns. Finally, performance was aided by defensive, reserve-like positions.
Outlook
A rise in US long-term yields during the third quarter erased the overall positive returns realized in the first half of the year across most sectors of the global fixed income market. Inflation — while still above the Fed’s 2% target — continued to decline from its mid-2022 peak and helped create optimism early in the year that central banks would be able to conclude their long series of interest rate hikes. More recently, a re-pricing of expectations for growth (resilient), inflation (stickier) and Fed policy (higher for longer), as well as concern for significant US Treasury issuance over the coming 12-24 months, pushed yields higher. Since hitting a low of 3.31% for the year on April 6, the 10-year US Treasury yield climbed higher, ending September at 4.57%. As a result, performance of high quality, long duration bonds suffered. Sectors that have less interest rate sensitivity, such as high yield corporates and bank loans, continue to be bright spots on a year-to-date return basis.
In our view, the credit cycle1is firmly in the late cycle stage. Monetary policy is restrictive and lending standards have tightened; however, the economic backdrop has remained resilient and forecasts are reflecting better-than-expected growth for the remainder of 2023. Most notably, resiliency can be seen in areas such as services/housing, while manufacturing has also experienced a bounce from more depressed levels witnessed late last year. While the risk of downturn remains, at this time we do not expect a technical recession of back-to-back quarters with negative GDP. Our base case calls for below trend US growth and our view is dependent on a strong consumer and stable corporate fundamentals. The consumer appears to maintain strong levels of excess savings and continues to spend at a healthy rate. Shifts in hiring and firing dynamics, including labor hoarding, have led to employment remaining robust. We believe these factors should help support consumer confidence and spending going forward. Monetary policy has helped to cool employment, but it is still growing, and investors have likely had to reassess how much flexibility the Fed may have in the near term.
Corporate fundamentals appear stable, highlighted by strong leverage and interest coverage ratios, and specific to the high yield market, a maturity wall that seems manageable, in our opinion, through 2025. We are carefully monitoring the pace of corporate earnings growth. Earnings have contracted over the past three quarters, putting us in the midst of a “profits recession.” While we believe earnings will trough at the end of 2023, if this trend continues, or accelerates as pricing power fades and margins come under further pressure, companies may need to aggressively cut costs (via job cuts). This could lead to an environment where the pace of earnings growth declines materially and ultimately leads to recession. Under this scenario, we believe a healthy consumer combined with stable corporate fundamentals should serve to minimize the potential for a hard landing by providing a floor to economic activity that could result in a mild or shallow recession.
While inflation has peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, in our opinion inflation will continue to be sticky. We believe inflation will remain elevated and above the Fed's target through the end of 2023 and into 2024 as services inflation remains high, which is worrisome because services inflation is currently stickier than goods inflation. Rising wages may be a major factor that keeps inflation elevated and constrains Fed policy in the near term. In addition, we foresee longer-term structural concerns that could support higher levels of inflation, including the impact of de-globalization, de-carbonization, aging demographics and growing government deficits. We anticipate the Fed will be driven by how firm evidence is that inflation continues to moderate. The potential for an extended Fed pause and short-term rates that stay “higher for longer” remains; in our view, policymakers will be slow to react to the onset of a downturn and will likely tolerate a rise in unemployment, particularly
| 6

Loomis Sayles Credit Income Fund
while inflation is above target. We believe value has returned to US fixed income markets and a combination of discount-to-par, favorable yields and an increase in issuer performance dispersion is helping to create opportunities in bonds. We expect defaults/losses to remain relatively low, while slowly increasing to more normal levels associated with a late cycle environment. With the potential for a downturn in 2024, we have been holding larger-than-average liquid reserves. We are comfortable with how we are being compensated by short-term yields as we patiently wait for opportunities to potentially develop. If volatility increases and we see what we view as more attractive yields and spreads, we would consider re-deploying reserves. Overall, we are maintaining an up-in-quality bias and are focused on credits that we believe can weather a slowdown, or credits that will benefit from the transition of goods to services spending. We are mindful of the risks going forward, such as tighter financial conditions and their impact on the financial system, slower Chinese growth, geopolitical risk, and the broader economic impact of a further decline in the commercial real estate market. Much of the turmoil leaves us with a wide range of potential outcomes for growth, inflation and central bank policy response. Based on the uncertain backdrop, we feel it is prudent to maintain a balanced risk profile between interest rate and spread risk. We believe the 10-year US Treasury range is currently around 3.75% - 4.75%, with a potential path to 5% over the long term. We have structured our portfolios for a steeper yield curve, which we believe will be primarily driven by a fall in short-term rates as inflation moderates, combined with secular trends that could potentially keep a floor under long-term yields.
The Fund closed as of November 6, 2023, and as it closed, primary consideration was given to clients and their interests. There was no unusual market action that affected our trading of the portfolio during liquidation. All Fund assets were subsequently redeemed or distributed to Fund shareholders.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
 
Hypothetical Growth of $100,000 Investment in Class Y Shares1
September 29, 2020 (inception) through September 30, 2023
 
 
7 |

Loomis Sayles Credit Income Fund
Average Annual Total Returns — September 30, 20231
 
1 Year
Life of Fund
Expense Ratios3
 
Gross
Net
Class Y (Inception 9/29/20)
NAV
3.27
%
-2.88
%
3.12
%
0.57
%
Class A (Inception 9/29/20)
NAV
3.13
-3.08
3.37
0.82
With 4.25% Maximum Sales Charge
-1.26
-4.46
Class C (Inception 9/29/20)
NAV
2.37
-3.85
4.18
1.57
With CDSC4
1.38
-3.85
Class N (Inception 9/29/20)
NAV
3.45
-2.79
1.30
0.52
Comparative Performance
Bloomberg U.S. Credit Index2
3.47
-4.89
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 im.natixis.com/performance. 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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Bloomberg U.S. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is
composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The Index
was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The Index is a subset of
the U.S. Government/Credit Index and U.S. Aggregate Index.
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 1/31/24. When a
Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about
the Fund’s expense limitations.
4
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.
| 8

Loomis Sayles Global Allocation Fund
 
Managers
Matthew J. Eagan, CFA®
Eileen N. Riley, CFA®
David W. Rolley, CFA®
Lee M. Rosenbaum
Loomis, Sayles & Company, L.P
 
Symbols
Class A
LGMAX
Class C
LGMCX
Class N
LGMNX
Class Y
LSWWX
Investment Goal
The Fund seeks high total investment return through a combination of capital appreciation and current income.
Market Conditions
The past 12-month period was characterized by “risk on” sentiment, with credit and equity markets outperforming global government bonds. One reason for the favorable showing from risk assets was timing:  when the reporting period began in October 2022, risk assets were near the end of a protracted, 10-month decline brought about by the US Federal Reserve’s (Fed) aggressive interest rate increases. By the fourth quarter of 2022, however, cooler inflation prompted investors to begin looking ahead to when the central bank could shift to a neutral policy. Although the Fed continued to raise rates throughout 2023, the slower pace of tightening fostered persistent optimism about the longer-term outlook. The markets were further cheered by economic data and corporate earnings that consistently exceeded the depressed expectations that were in place in late 2022.
While total returns were generally positive for the full period, the backdrop became less supportive in August and September of 2023. A sharp increase in oil prices raised fears that inflation would reaccelerate and lead the Fed and other central banks to maintain tight monetary policies for longer than the markets had been expecting. Signs of slowing growth, particularly in Europe and China, further weighed on sentiment by raising the odds that the world economy could enter a period of stagflation.
The US fixed-income market posted a narrow gain for the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. US Treasuries suffered losses and underperformed the more credit-oriented areas of the bond market. Performance was mixed across the yield curve:  while the two- and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond experienced a double-digit decline. Global developed market government bonds weakened in local currency terms, but currency translation helped results. The credit-sensitive segments of the market—investment grade corporate high-yield bonds, senior loans, and emerging-market issues—finished with healthy gains and strongly outpaced government debt thanks in part to the “risk-on” market in the first half of 2023.
The US dollar posted mixed results, initially falling sharply in late 2022 on expectations that the Fed would shift to a less aggressive policy stance. However, once investors began to see “higher-for-longer” as being the most likely scenario, the dollar staged an impressive rally in the third calendar quarter of 2023 and made up for most of its earlier losses. For the full period, the euro and British pound appreciated relative to the dollar while the Japanese yen struggled against the dollar.
Despite the late downturn, equities delivered robust gains over the full 12 months. Growth stocks in general, and US mega-cap technology companies in particular, generated meaningful outperformance. Mid- and small-cap stocks, while finishing behind large caps, also posted solid gains. The developed international markets were an additional source of positive performance, with Europe leading the way higher. Value stocks, defensive sectors, and the emerging markets gained ground in absolute terms but underperformed the broad-based indexes. The emerging markets were hurt by the weak showing for China, which experienced a slower-than-expected economic recovery after reopening from the government’s extended Covid-19 lockdowns.
Performance Results
For the 12 months ended September 30, 2023, Class Y shares of the Loomis Sayles Global Allocation Fund returned 19.00% at net asset value. The Fund underperformed its primary benchmark, the MSCI All Country World Index (Net), which returned 20.80%. The Fund outperformed its secondary blended index (60% MSCI All Country World Index (Net)/40% Bloomberg Global Aggregate Bond Index) which returned 13.18%.
Explanation of Fund Performance
In equities, the largest detractors from performance were Zions Bank, Estee Lauder and Danaher.
Zions Bank is a high-quality regional bank with a client base dominated by small to mid-size businesses (SME’s) in the western US. It has a strong franchise in its home base of Utah, where it has the leading market share, and in higher growth southern and western
9 |

Loomis Sayles Global Allocation Fund
states. Zions has a high-quality management team; since 2018, management’s strategy has shifted away from acquisitions and towards better allocation of excess capital generation, including share buybacks. Its focus on SME’s provides it with low-cost funding, as it has a relatively high proportion of non-interest bearing commercial deposits. The bank has made significant improvements since the Global Financial Crisis, better managing its expenses and materially improving its efficiency ratio to bring it more in line with peers. Zions has also improved its credit risk management through diversifying its loan book, primarily by reducing the proportion of real estate and energy loans. We believe the bank is well placed to benefit in a rising interest rate environment due to its strong base of non-interest bearing deposits. We also think Zions has an opportunity to further improve its operations by increasing its fee income through wealth management and capital market services. The stock is attractively valued under our discounted cash flow methodology.
Shares of Zions fell just under 40% in the first quarter; investors were concerned about midsize regional bank deposit outflows and rising cost of deposits that could put pressure on profitability. These concerns were exacerbated by the failure of Silicon Valley Bank and another regional bank in March, following deposit runs amid scrutiny of banks’ unrealized losses in their securities portfolios. The stock recovered in the third quarter on signs of the regional banking crisis receding. Zions also announced second quarter results which showed stable credit quality and some signs that the downward pressure on net interest margins is easing.
Shares of Estee Lauder, a multi-national manufacturer and marketer of prestige beauty products, underperformed. We eliminated our position due to concerns regarding the company's ability to grow its intrinsic value. There has been significant erosion of the company's earning power due to an oversupply of inventory in the Asia-Pacific region and a slowdown in developed markets, with limited ability to forecast a path to recovery. Additionally, we have been finding better risk/reward opportunities to include in the portfolio and had been trimming the position size prior to exiting.
Danaher is a technology-focused health care company with a highly durable portfolio. Approximately three quarters of its businesses are healthcare-centric (life sciences and diagnostics) and are supported by secular drivers, such as an aging population, growth of chronic disease and rising healthcare costs. Its other businesses, under the umbrella of “Environmental & Applied Solutions,” sell products geared toward water quality where demand is underpinned by increasing regulatory and safety requirements. Shares retreated in the third quarter after the company reduced its full-year revenue and profit guidance on lower expectations for bioprocessing growth. The adjusted growth forecast stemmed from a decline in pandemic-related demand; we believe these Covid revenue streams will be fully replaced over the next two years driven by strong demand for bioprocessing instruments consumables as well as a recovery in demand for non-Covid molecular tests as patient volume returns. We believe Danaher is well positioned to manage any economic slowdown with three-quarters of its revenue recurring and over 85% of revenue attributable to healthcare end markets. Longer-term, we expect Danaher to continue apply the Danaher Business System continuous improvement strategy to consolidate the life science and tools industry, to right-size acquired companies and to deliver attractive returns to shareholders. Danaher’s shares are attractively valued based on our discounted cash flow methodology.
Within fixed income, while yield curve exposure as a whole contributed to performance, allocations to the US dollar (particularly the five- and ten-year segments) and euro-pay markets detracted. Both the Fed and European Central Bank (ECB) continued aggressive monetary tightening over the year in order to tame persistently high inflation.
Within corporate credit, select holdings in the communications and technology sectors detracted from performance. Within communications, cable satellite provider CSC and media entertainment company IHRT were the biggest detractors, while within technology Commscope was a notable underperformer.
In equities, the largest contributors to performance were Nvidia, ASML and Linde.
Nvidia's origins are in hardware and the gaming end market; it created the world’s first discrete graphics processing unit (GPU) in 1999. The company has since evolved into a larger ecosystem of products with the GPU at its core; its accelerators are used in the gaming, professional visualization, data center and automotive markets. The company created a singular platform across all products and updates are fully compatible, making for seamless transitions for their customers. Nvidia has only one GPU competitor, and holds a 70% or higher market share across all of its end markets. The company has continued to grow by creating new uses for its hardware and software. Specifically, the recent artificial intelligence (AI) renaissance is increasingly leveraging GPUs rather than CPUs, leading to new and larger opportunities in the data center and automotive markets. The company is starting to explore options to monetize its software (currently it is "free" with its hardware) via licensing and subscription models. Nvidia’s gross margin has been on an upward trajectory over the last decade as its business mix shifts towards the more profitable data center business; we expect this trend to continue as standalone software sales and new markets provide a lift. Capital allocation is strong with dividends, repurchases and select M&A, while maintaining a net cash position.
Shares of Nvidia outperformed over the period. In the company’s first quarter earnings release, management noted their view of the data center market had improved given the excitement around ChatGPT (an AI tool). Management also introduced AI as a Service which will provide access to sophisticated AI tools otherwise not affordable to many. In the second quarter, shares continued to outperform; the company announced first quarter revenue above consensus expectations while raising guidance materially. The rapid
| 10

Loomis Sayles Global Allocation Fund
rise in AI utilization and popularity of generative AI tools such as ChatGPT has been a significant tailwind for Nvidia, as the company is a critical supplier to the industry.
Shares of ASML, a leader in photolithography (the process in which a light source is used to etch a pattern on a silicon wafer) outperformed. We believe ASML is uniquely positioned in the utilization of extreme ultraviolet (EUV), the next generation technology which allows chipmakers to continue to make chips smaller while maintaining their power (i.e., Moore’s law). The barriers to entry are high given the required technical expertise (EUV was in development for ten years) and associated R&D spending. ASML partners with its customers, aligning its product roadmap with their needs, which we believe has led to a symbiotic relationship. ASML is moving toward a value-based service model under which it will be paid according to the wafer output of its machines, which should be more profitable. Under this model, ASML agrees to meet a set level of output, and if it is not met ASML is obligated to fix the issues at no additional cost to the customer. Assuming their machines are delivering as promised, we believe the company should enjoy a solid revenue stream based on chip output.
Linde is one of the largest industrial gases companies in the world, formed in 2018 as the result of a merger between Linde and Praxair. Linde’s industrial gases are used across industries – from high purity gases in semiconductor production to natural gas liquefaction plants in the energy sector. The company rates highly across our quality criteria. Industrial gases are critical products in many applications, driving pricing power. Contracts are long-term in nature and switching costs are high, particularly for large customers with on-site plants, which provides revenue visibility. We believe the company has meaningful scale, holding the top one or two positions in every market globally, where density is a competitive advantage; the market structure is also consolidated creating a disciplined market environment. With regard to ESG initiatives, we believe greenhouse gas emissions reduction presents a material opportunity for the company. Linde continues to lower its carbon footprint internally and, most importantly, we believe it also has an opportunity externally as the company continues to expand its hydrogen portfolio, which can help lower the carbon footprint of its customers. We expect revenue growth, operating margin expansion and capital allocation to be among the key drivers of intrinsic value growth. The company’s strong free cash flow generation and appetite to repurchase shares over time further add to our intrinsic value growth outlook. The stock outperformed over the period as business execution around top line, margin expansion and capital deployment continued to be strong.
In fixed income, credit positioning was a top contributor to performance over the period. In particular, allocations to the consumer non-cyclical, consumer cyclical and finance company industries contributed over the period. Holdings of pharmaceutical and healthcare companies such as Teva Pharmaceuticals and Teladoc Health were top drivers of returns. Exposure to Uber contributed positively to performance within the consumer cyclical sector.
Currency allocation also contributed to performance over the period. In particular, exposure to the euro, Brazilian real and Polish zloty contributed over the period, as those currencies appreciated against the US dollar.
Outlook
Currently, our core view is that the global economy is in a vulnerable position and therefore at risk of entering the downturn phase of the credit cycle1. However, asset valuations are generally reflecting a “soft landing” scenario. As we view the probability of this outcome as only around 20%, we find risk assets optimistically priced.
While earnings for companies in the S&P 500 Index were negative for the past three quarters, they did not collapse to the point where companies began to shed jobs – a scenario that typically heralds a downturn in the economy. Corporations have been losing pricing power, and economic growth appears set to continue slowing. We believe top-line revenue growth will be more challenging to generate, and we suspect that further profit margin compression is ahead. We view credit spreads as tight and likely to widen over the next six-to-twelve months. In our view, growth expectations are too high as bond yields have surged, the US dollar has strengthened and energy prices have increased.
China’s economic growth has been a disappointment for the last few months. It wasn’t long ago that the market was incredibly bullish on the country’s post-Covid recovery story, but that optimistic scenario has failed to play out. Since China is a large source of external demand for the rest of the global economy, its continued economic underperformance would weigh on total global economic growth. However, the most recent data prints in the country have shown evidence of stabilization.
We are watching 2024 GDP growth expectations closely. Bloomberg consensus estimates are calling for growth of 0.9% in the United States in the coming year, while the Fed sees an expansion of 1.5%. In our view, growth expectations are too high given the combination of higher bond yields, the strong US dollar and rising energy prices. In this vein, leading indicators have continued to show a stagnant economic environment in the euro area. Manufacturing purchasing managers indexes (PMIs) in the region remained weak, and services PMIs also dropped into contraction territory. At its September 14 meeting, the ECB revised down its 2023 growth forecasts due to weaker second quarter growth and the slowdown in China. The ECB acknowledged that tighter financial conditions
11 |

Loomis Sayles Global Allocation Fund
have had an increasing impact on activity, and that core inflation pressure has begun to ease. This is in line with our expectation that the ECB will soon shift from aggressive hiking to a more neutral posture.
Globally, inflation remains far above central banks’ typical 2% targets. In our view, this adds to a growing belief that the economy is entering a higher-for-longer interest rate environment. The Fed’s September forecasts boosted the median expected fed funds rate in 2024 from 4.6% to 5.1%. The central bank’s September Summary of Economic Projections included higher GDP growth forecasts for 2023 and 2024, further suggesting that rates could remain elevated for some time.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
 
Top Ten Holdings as of September 30, 2023
Security Name
% of
Net Assets
  1 Alphabet, Inc., Class A
3.28%
  2 Amazon.com, Inc.
3.24
  3 Mastercard, Inc., Class A
2.89
  4 S&P Global, Inc.
2.88
  5 Linde PLC
2.78
  6 UnitedHealth Group, Inc.
2.67
  7 Accenture PLC, Class A
2.65
  8 Airbnb, Inc., Class A
2.61
  9 ASML Holding NV
2.47
 10 Atlas Copco AB, Class A
2.39
 
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed
exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
 
Hypothetical Growth of $100,000 Investment in Class Y Shares1
September 30, 2013 through September 30, 2023
 
See notes to chart on page 13.
 
| 12

Loomis Sayles Global Allocation Fund
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Life of
Class N
Expense Ratios4
 
Gross
Net
Class Y
NAV
19.00
%
4.98
%
6.72
%
—
%
0.89
%
0.89
%
Class A
NAV
18.67
4.71
6.45
—
1.14
1.14
With 5.75% Maximum Sales Charge
11.82
3.47
5.83
—
Class C
NAV
17.84
3.92
5.81
—
1.89
1.89
With CDSC5
16.84
3.92
5.81
—
Class N (Inception 2/2/17)
NAV
19.16
5.07
—
7.19
0.81
0.81
Comparative Performance
MSCI All Country World Index (Net)2
20.80
6.46
7.56
8.38
Blended Index3
13.18
3.44
4.49
4.92
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 im.natixis.com/performance. 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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
MSCI All Country World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of
developed and emerging markets.
3
Blended Index is an unmanaged, blended index composed of the following weights:  60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate
Bond Index. The 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.
4
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 1/31/25. When a
Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about
the Fund’s expense limitations.
5
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes
automatic conversion to Class A shares after eight years.
13 |

Loomis Sayles Growth Fund
 
Managers
Aziz V. Hamzaogullari, CFA®
Loomis, Sayles & Company, L.P.
 
Symbols
Class A
LGRRX
Class C
LGRCX
Class N
LGRNX
Class Y
LSGRX
Investment Goal
The Fund seeks long-term growth of capital.
Market Conditions
US equities produced strong performance in the 12 months ended September 30, 2023. When the reporting period began in October 2022, stocks were near the end of a protracted, ten-month decline brought about in part by the US Federal Reserve’s (Fed) aggressive interest rate increases. By the fourth quarter of 2022, however, cooler inflation prompted the Fed to begin decelerating the pace of rate hikes, which provided relief to markets. Although the Fed continued to raise rates throughout 2023, its slower pace of tightening may have fostered renewed optimism about the longer-term outlook. Investors may have been further encouraged by economic data and corporate earnings that consistently exceeded the depressed expectations that were in place in late 2022. While the backdrop became less favorable in August and September, the US market finished firmly in positive territory on the strength of its earlier gains. Growth stocks in general, and US mega-cap technology companies in particular, delivered meaningful outperformance. Mid- and small-cap stocks, while finishing behind large caps, also posted solid gains.
Performance Results
For the 12 months ended September 30, 2023, Class Y shares of the Loomis Sayles Growth Fund returned 40.97% at net asset value. The Fund outperformed its benchmark, the Russell 1000® Growth Index, which returned 27.72%.
Explanation of Fund Performance
We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Given the rare confluence of quality, growth, and valuation, we may study dozens of companies but may only invest in a select few businesses each year. We believe identifying those few businesses with these characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30-40 names.
The Fund’s positions in Nvidia, Meta Platforms, and Boeing contributed the most to performance. Stock selection in the information technology, communication services, industrials, consumer staples, consumer discretionary, and healthcare sectors, along with our allocations in the communication services, consumer staples, consumer discretionary, healthcare, and industrials sectors, contributed positively to relative performance.
Nvidia is the world leader in artificial intelligence (AI) computing, which enable computers to mimic human-like intelligence for problem solving and decision-making capabilities. We believe the company’s competitive advantages include its intellectual property, brands, and a large and growing ecosystem of developers and applications utilizing its GPU (graphic processing unit) technology. A portfolio holding since January 2019, after shares were under pressure throughout most of 2022 given a weak market backdrop, shares rebounded substantially over the past 12 months, with gains accelerating following the company’s first quarter earnings report in May. Nvidia reported financial results that were well above consensus expectations, as AI applications, including generative AI, are driving strong demand for GPUs by companies looking to leverage these capabilities and drive competitive differentiation. The company also provided revenue guidance that was substantially higher than consensus expectations, resulting in a material increase in expectations for revenue, profits, and free cash flow for its full fiscal year. Revenue in the company’s gaming segment has been depressed, which we believe reflected global demand for PCs returning to pre-pandemic levels after a period of excess, and the impact of macroeconomic weakness and Covid-19 restrictions on China consumer spending. However, we believe the company has done a good job of clearing existing inventory in its retail channels, which contributed to the gaming business returning to growth in the most recent quarter. In the company’s data center business, we believe the company’s decades of focused investment, cumulative know-how, and robust software platform and architecture that has attracted millions of developers, position the company to benefit from several secular long-term growth drivers, including continued growth in use cases for artificial intelligence. To further drive adoption by enterprises, Nvidia is also partnering with cloud service providers including Oracle, Microsoft, and Google to offer AI services via the cloud. We believe Nvidia remains strongly positioned to benefit from secular growth in gaming and is still in the early stages of growth in its data center business, which has the potential to be much larger in the long term. We believe Nvidia’s strong growth prospects are not currently
| 14

Loomis Sayles Growth Fund
reflected in its share price. As a result, we believe the company’s shares are trading at a significant discount to our estimate of intrinsic value, offering a compelling reward-to-risk opportunity.
Meta Platforms operates online social networking platforms that allow people to connect, share, and interact with friends and communities. With 3.9 billion monthly users, 200 million businesses, and 10 million advertisers worldwide using its family of apps – Facebook, Messenger, WhatsApp, and Instagram – the scale and reach of Meta’s network is unrivaled. A strategy holding since its IPO in 2012, Meta’s shares were under pressure throughout most of 2022, due to a perceived lack of discipline in the company’s capital expenditures – especially with respect to the metaverse – that coincided with what we believed was temporary fundamental weakness arising from the company’s transition to a new advertising format and maneuvering around privacy changes imposed by Apple in 2021. Our analysis suggested that Meta was being priced as if a high-quality, high-returning, growth company – whose returns on capital were many times larger than its cost of capital – would become a low-quality business that ceased to grow and would henceforth generate low margins and low returns on invested capital. We took advantage of near-term price weakness to add to our holdings on multiple occasions during this period, most recently in October and November 2022. Despite ongoing macroeconomic pressure on advertising spending, Meta has since posted three consecutive quarters of better-than-expected financial results, including accelerating revenue growth in the second half of the period. Following this period of temporary weakness and elevated investment spending, Meta announced a set of efficiency measures that have already led to significant improvements in margins and lower capital expenditure plans, and shares responded positively to the company’s increased focus on productivity and cost management. We believe founder and CEO Mark Zuckerberg has always managed the company with a long-term focus and strong strategic vision. Over the past ten years, Meta has spent over $125 billion on research and development and $110 billion on capital expenditures – a level of investment that few firms can match and which creates high barriers to entry for competitors that are further compounded by the growth of cumulative knowledge over time. The successful development of a metaverse is not an explicit part of our investment thesis for Meta. However, given the potential size of the opportunity, which we estimate could impact over $1 trillion of spending over the long term, and Meta’s positioning with billions of users and hundreds of millions of businesses, we believe Meta’s current balanced approach to its forward-looking investments make sense. We expect that corporations will continue to allocate an increasing proportion of their advertising spending online, and Meta remains one of very few platforms where advertisers can reach consumers at such scale in such a targeted and effective fashion. We believe Meta’s brands, network, and targeting advantage position the company to take increasing share of the industry’s profit pool and grow its market share from 6% currently to approximately 10% of the total global advertising market over our investment time horizon. On the basis of its core business alone, we believe the company is substantially undervalued and trades at a significant to our estimate of intrinsic value. In the second half of the period, we trimmed our position on multiple occasions as it reached our maximum allowable position size of eight percent due to market appreciation.
Founded in 1916, Boeing is a global leader in the commercial and defense aerospace industries. Along with Airbus, Boeing is part of a global duopoly that accounts for almost all commercial planes sold with greater than 125 seats – the largest market segment. A holding since March 2020, Boeing’s financial results during the period were mixed and largely below consensus expectations from an income statement standpoint. However, shares responded positively to the company’s significantly improved free cash flow (FCF) generation and outlook for substantial further FCF growth. While the company has previously faced execution issues across several programs that temporarily paused aircraft deliveries, it is increasing production of both its 737 MAX and 787 Dreamliner models, and will resume production of the 777x earlier than anticipated, with expected entry into service in 2025. Despite the near-term challenges, we did not view the issues as structural and believed the long-term earnings power of the company remained unchanged and significantly underappreciated. Boeing has also made significant progress with the 737 MAX, which is now cleared to fly in almost all countries, including China. However, while over 90% of the MAX fleet in China is back in service, there has not been any concrete progress with respect to pending deliveries, and Boeing has remarked over one-third of planes originally earmarked for Chinese customers to other customers. We estimate that Boeing has approximately $38 billion of aircraft currently in inventory that will generate substantial revenue and cash flow as they are likely delivered over the next 12-to-24 months. As of June quarter-end, backlog of $440 billion, or approximately 4,900 aircraft, was up 18% year over year. Despite still uneven quarterly results, air traffic recovery is underway and absent further issues with the MAX and 787, we believe the company’s long-term earnings power remains intact. In the interim, Boeing’s financial results remain impacted by the decline in global air travel that began with Covid-19. At its low point in April 2020, travel demand, as measured by revenue passenger kilometer (RPK), which represents distance flown by paying passengers, had declined 94% from April 2019. And while demand year to date has returned to 89% of pre-pandemic levels, with domestic travel exceeding 2019 levels, international travel remains at 83%, due primarily to China. We believe the impact of Covid-19, along with the grounding of the MAX, the fourth generation of its most profitable airplane model, represented temporary, not structural, issues that created the opportunity to initiate our position. We believe Boeing’s strong and sustainable competitive advantages include its significant cumulative knowledge and experience in aeronautical development, scale, and a client base that faces switching costs due to plane-specific operational and maintenance issues, which collectively result in significant barriers to entry. Global growth in air travel is the primary secular growth driver for Boeing. Over our long-term investment horizon, we believe demand for global air travel will continue to grow at a mid-single-digit rate, as it has for the past four decades. We believe Boeing is one of only two companies globally which possess the requisite expertise and scale to profitably serve the global demand for commercial aircraft. We believe the current
15 |

Loomis Sayles Growth Fund
market price embeds expectations for aircraft deliveries and margins that are well below our long-term assumptions. As a result, we believe the company is selling at a significant discount to our estimate of intrinsic value and offers a compelling reward-to-risk opportunity. We took advantage of near-term price weakness to add to our position on several occasions during the year.
The Fund’s positions in PayPal, Walt Disney, and Illumina detracted the most from performance. Stock selection in the financials sector, along with our allocations in the information technology and financials sectors, detracted from relative performance.
PayPal is a leading technology platform that enables digital payments and simplifies commerce experiences on behalf of consumers and merchants, globally. The company operates a “two-sided” network that connects almost 400 million consumers with 35 million merchants across more than 200 markets around the world. The company provides its solutions through a family of brands that span several areas of payment solutions and include Braintree, Honey, Zettle, Venmo, and Xoom. While the majority of its transactions take place online, PayPal offers customers the ability to move money in digital form from any device when sending payments or getting paid. PayPal provides merchants with an end-to-end payments solution that provides authorization and settlement capabilities, as well as instant access to funds. A strategy holding since the first quarter of 2022, PayPal reported fundamentally solid financial results that were generally above or in-line with consensus expectations during the period. However, shares responded negatively to a modest reduction in the company’s target for year-end operating margin expansion, as well as lower-than-expected transaction margins in its most recent quarterly report. We believe the decline in margins was due to short-term factors that do not impact our structural investment thesis for the company. We took advantage of near-term price weakness to add to our position during the period. We believe PayPal’s strong and sustainable competitive advantages include its two-sided network, scale, and brand advantages. We believe the company’s biggest advantage is its rare two-sided network, which very few companies have been able to replicate. The network is sustained by the high value proposition offered to both consumers and merchants. Consumers benefit from a secure digital wallet that enables seamless checkout across devices, platforms, and merchants, along with solutions to manage and move money domestically and internationally, and access to credit and alternative payment solutions. Merchants benefit from the ability to enable all aspects of digital checkouts online and in store, as well as credit solutions, risk management and fraud prevention tools, and other value-added services to attract new customers and increase sales. As PayPal’s already massive two-sided network grows, we believe it becomes increasingly attractive to new participants, which we believe will enable the company to grow its digital checkout volumes from approximately 1.5% of global personal consumption expenditures today to approximately 3% over our long-term investment horizon. Collectively, we believe PayPal can generate compounded annual revenue growth in the low-double-digits. As the company continues to grow, we expect it will realize operating leverage in general and administrative, customer support, and operations expenses that will enable operating margins to expand. As a result, we expect operating profits and free cash flows will grow faster than revenues, in the low-to-mid teens. We believe the assumptions embedded in PayPal’s share price underestimate the company’s significant long-term growth opportunities and the sustainability of its business model. We believe the company’s shares currently sell at a significant discount to our estimate of intrinsic value and thereby offer a compelling reward-to-risk opportunity.
Founded almost 100 years ago, Disney is one of the largest and most renowned vertically integrated media companies in the world, with iconic entertainment brands and decades of film and TV content that it leverages across its media networks, theme parks, motion picture studios, and direct-to-consumer (DTC) businesses. A holding since the second quarter of 2020, Disney’s share price has been volatile over the past year due in part to activist investor campaigns, the surprise return of Bob Iger as CEO, greater than expected losses in the company’s DTC business, and continued weakness in linear networks. In the second half of the period, shares also responded negatively to lower-than-expected subscriptions to the company’s core Disney+ DTC platform, due in part to pricing increases implemented in the beginning of the year in North America (NA). The price hikes contributed to a modest decline in NA subscribers, but also to healthy growth in NA average revenue per user (ARPU). We believe the market continues to underappreciate the long-term opportunity for subscriber growth, pricing increases, and margin expansion in the company’s DTC platform. Globally, subscribers to its DTC streaming services declined 1% year over year, driven by subscriber declines at Disney Hotstar, where last year the company walked away from the digital rights to broadcast Indian Premiere League (IPL) cricket, which had been an important customer acquisition tool for the service. ARPU at Hotstar was over six-times lower than Disney’s core markets, and the company has been re-evaluating its level of investment spending in markets with lower profitability. Following the November 2019 launch of its Disney+ service, the company surpassed its five-year goal of attaining 130 million global subscribers in just 12 months, which we believe underscores the global appeal of its unique content and brands. Recently, operating losses of $512 million in the company’s DTC segment narrowed from $1.1 billion in the prior-year quarter, benefiting from price increases for both Disney+ and ESPN+, as well as lower content and marketing spending. We believe Disney’s strong and sustainable competitive advantages include its iconic brands, content, and intellectual property (IP), its massive scale in the media, entertainment, and leisure industries, and a structural cost advantage that directly benefits its streaming business. We believe the company is pursuing a well-articulated strategy to optimize distribution for its high-quality, best-in-class brands and franchises through a multi-pronged DTC approach that we believe will be central to the company’s media strategy over the next decade. Over our long-term investment horizon, we believe the company’s portfolio of iconic brands, its massive scale and geographic reach, and nearly impossible-to-replicate guest experiences, leave the company well positioned to benefit from secular growth in global entertainment spending. We believe current market expectations
| 16

Loomis Sayles Growth Fund
substantially underestimate the uniqueness of the company’s IP, the opportunity to monetize that IP across several global business segments, and its ability to generate sustainable growth in free cash flow. As a result we believe the shares trade at a substantial discount to our estimate of intrinsic value and offer a compelling reward-to-risk opportunity. We took advantage of near-term price weakness to add to our position on multiple occasions during the period.
Founded in 1998, Illumina is the industry leader in fast-growing field of sequencing for genetic and genomic analysis, supporting research, clinical, and consumer genetics applications. The company’s customers include leading genomic research centers, academic institutions, government laboratories, hospitals, pharmaceutical and biotechnology companies, commercial molecular diagnostic laboratories, and consumer genomics companies. Because genes determine cell function and characteristics, understanding genetic sequencing and variation can provide valuable information in fields ranging from disease treatment to crop optimization. A strategy holding since March 2020, Illumina’s shares have been pressured during the period due to lower-than-expected results in its core business, ongoing uncertainty regarding its acquisition of GRAIL, and an activist investor campaign that succeeded in ousting the Chairman of the Board and later prompted the resignation of CEO Francis DeSouza. The company did report strong orders for its newest sequencing platform, NovaSeq X, including over 260 orders from approximately 30 countries that led it to increase its full-year projected shipments. However, the company’s recent results and guidance are below our long-term expectations. While the launch of a new platform typically results in an initial slowdown in revenues as customers exhaust existing inventory while evaluating the new platform, we believe the company’s acquisition of GRAIL has detracted from near-term focus and returns. GRAIL was founded by Illumina in 2016 and was spun out as a standalone company in 2017, with Illumina retaining an equity interest that represented approximately 15% ownership. The company reacquired GRAIL in August 2021, but uncertainty remains as the company closed the transaction prior to receiving approval from the EU, which has since ordered that the business be divested. Illumina is challenging divestiture rulings from both the EU and FTC. We believe the legal challenges should conclude by the first quarter of 2024. GRAIL is an early leader in asymptomatic cancer screening through liquid biopsies, which utilize Illumina’s Next Generation Sequencing technology to detect tumor DNA in the bloodstream before it could otherwise be sampled via a traditional biopsy. To date, GRAIL has produced increasingly compelling data in support of its screening technology, and we believe continued reduction in sequencing costs is broadening the accessible market opportunity that we estimate to be in excess of $20 billion. We believe the combination with Illumina provides GRAIL with structural operating and distribution advantages relative to competitors that potentially position it to become the standard of care. And while realizing the acquisition’s potential will take substantial ongoing investment that will depress Illumina’s near-term financial results, we believe successful execution could yield significant value to Illumina. However, our structural investment thesis for Illumina is not premised on a successful completion of the GRAIL acquisition. While the process is likely to remain a distraction over the coming year, we believe Illumina’s core business remains highly attractive on a reward-to-risk basis and remains substantially discounted to intrinsic value regardless of the GRAIL outcome. As we do with all regulatory developments, we continue to monitor and assess any potential structural impact to our investment thesis for Illumina. The activist investor campaign was seeking three board seats. They succeeded in securing one seat while the Chairman, John Thompson, was voted off the board. About two weeks following the annual meeting, CEO Francis DeSouza submitted his resignation. The timing of the leadership turnover comes at an inopportune moment. Illumina is in the early stages of a major platform launch while simultaneously facing more competition than in recent years. They are also involved in legal disputes with regulators both home and abroad. Though this level of management uncertainty is not a desirable situation, we believe it presents an opportunity for the business to redouble its focus on the significant opportunity in its core markets and reinvigorate operational execution - which appears to have diminished over last several quarters under DeSouza. In September, the company named Jacob Thaysen, Ph.D. as its new CEO. Thaysen previously served as President of the Life Sciences and Applied Markets Group at Agilent, a well-regarded life sciences company. Jacob brings a background in research and development (R&D) as well as experience operating in genetics and clinical end markets. In addition to the activist sponsored candidate, Illumina also added two new board members with significant experience at innovative, market-expanding healthcare businesses that we believe should contribute positively to Illumina’s to return to growth. Despite the near term uncertainty, we believe Illumina remains advantageously positioned in a high quality industry benefitting from long-term, secular growth. We believe Illumina is at the forefront of a multi-decade transformation that will see genetic analysis incorporated into multiple facets of our lives. While demand today is still predominantly from large life sciences research facilities, over the next decade we believe democratization of gene sequencing technology and greater practical application will result in the equipment becoming ubiquitous in clinical settings as well, with oncology offering the largest market opportunity. We believe Illumina is a dominant competitor whose sequencing technology represents the critical enabling technology that ideally positions it to capitalize on an approximately $100 billion market opportunity. We believe Illumina’s shares embed expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions. As a result, we believe the company is selling at a significant discount to our estimate of its intrinsic value and offers a compelling reward-to-risk opportunity. We added to our position on multiple occasions during the period.
All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur. During the period, we initiated a new
17 |

Loomis Sayles Growth Fund
positions in Thermo Fisher Scientific. We added to our existing holdings in Amazon, Block, Disney, Illumina, Meta Platforms, PayPal, and Tesla. We trimmed our existing positions in Deere, Monster Beverage, Novartis, Regeneron Pharmaceuticals, Roche, Vertex Pharmaceuticals, and Yum China. We also trimmed our positions in Meta Platforms and Nvidia as they reached our maximum allowable position size due to market appreciation.
Outlook
Our investment process is characterized by bottom-up, fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. As of September 30, we were overweight in the communication services, financials, healthcare, and industrials sectors and equal weight in the consumer discretionary sector. We were underweight in the information technology and consumer staples sectors. We held no positions in the real estate, energy, materials, or utilities sectors.
 
Top Ten Holdings as of September 30, 2023
Security Name
% of
Net Assets
  1 Meta Platforms, Inc., Class A
7.79%
  2 NVIDIA Corp.
7.38
  3 Tesla, Inc.
5.92
  4 Visa, Inc., Class A
5.50
  5 Amazon.com, Inc.
5.19
  6 Microsoft Corp.
4.90
  7 Boeing Co.
4.75
  8 Oracle Corp.
4.64
  9 Alphabet, Inc., Class A
4.48
 10 Netflix, Inc.
3.87
 
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed
exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
| 18

Loomis Sayles Growth Fund
 
Hypothetical Growth of $100,000 Investment in Class Y Shares1
September 30, 2013 through September 30, 2023
 
 
19 |

Loomis Sayles Growth Fund
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Expense Ratios3
 
Gross
Net
Class Y
NAV
40.97
%
11.81
%
13.94
%
0.65
%
0.65
%
Class A
NAV
40.67
11.54
13.66
0.90
0.90
With 5.75% Maximum Sales Charge
32.61
10.23
12.99
Class C
NAV
39.68
10.71
12.98
1.65
1.65
With CDSC4
38.68
10.71
12.98
Class N
NAV
41.19
11.91
14.00
0.57
0.57
Comparative Performance
Russell 1000® Growth Index2
27.72
12.42
14.48
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 im.natixis.com/performance. 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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those
Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.
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 1/31/25. When a
Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about
the Fund’s expense limitations.
4
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes
automatic conversion to Class A shares after eight years.
| 20

Loomis Sayles Intermediate Duration Bond Fund
 
Managers
Daniel Conklin, CFA®
Christopher T.  Harms
Clifton V. Rowe, CFA®
Loomis, Sayles & Company, L.P.
 
Symbols
Class A
LSDRX
Class C
LSCDX
Class N
LSDNX
Class Y
LSDIX
Investment Goal
The Fund seeks above-average total return through a combination of current income and capital appreciation.
Market Conditions
The US fixed-income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest-rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two- and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the 10-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Investment-grade corporate bonds logged robust, broad-based gains and strongly outperformed Treasuries. The category was helped by both its yield advantage and a decline in its yield spread relative to government issues. The ICE BofA US Corporate Index Option-Adjusted Spread opened the period at 1.67 over Treasuries and closed at 1.23, indicating outperformance. Lower-rated bonds, shorter-term debt, and economically sensitive issues exhibited leadership, providing a tailwind for the category.
Over the prior year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized loan obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first half of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader Bloomberg US Aggregate Bond Index. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasury over the period.
Performance Results
For the 12 months ended September 30, 2023, Class Y shares of the Loomis Sayles Intermediate Duration Bond Fund returned 2.81%. The Fund outperformed its benchmark, the Bloomberg US Intermediate Government/Credit Bond Index, which returned 2.20%.
Explanation of Fund Performance
Sector allocation coupled with effects from duration and yield curve positioning positively contributed to performance over the year. Investment grade corporate bonds were beneficial to performance due to positive sector allocation effects. The sector also generated positive issue selection. US Treasuries and securitized credit also generated positive allocation effects over the one-year period.
21 |

Loomis Sayles Intermediate Duration Bond Fund
Security selection effects overall dragged on performance slightly over the year. US Treasury positions weighed on return by way of negative selection effects. Securitized credit holdings generated negative issue selection during the period as well.
Outlook
The Fed increased rates by another 0.25% in July, after skipping the June meeting, bringing the Fed Funds rate to 5.50%. The Fed expressed encouragement over the continued moderation of inflationary pressures through most measures. However, the Fed remained concerned about shelter costs, wage-led pressures in the services economy, tight credit spreads and solid equity market performance. The Fed Funds rate remained steady at the September meeting but bond yields rose sharply in the subsequent weeks in response to hawkish Fed guidance and improving economic sentiment. Expectations for an eventual reversal in monetary policy have been pushed out to mid-2024. From a yield curve perspective, the net result over the quarter was that the curve remains inverted but experienced some "bear-steepening" as longer dated yields rose more than intermediate yields. While the equity market has pulled back from its recent highs, credit spreads have moved relatively little off of their recent cycle tightening, at least thus far.
We continue to believe that we remain in the very late expansion phase of the credit cycle1, and that the significant increase in rates is now starting to impact business and consumer spending decisions. Corporate and consumer balance sheets have been starting to show some signs of strain, and we expect that the lagged effects of tighter credit conditions on the real economy eventually translate into employment pressure and corporate profit degradation. Should growth and inflation sufficiently moderate over the coming 3-6 month period, we think the Fed can pause hiking at or near the current 5.5% Fed Funds rate, and then consider easing policy somewhat starting in the early summer of 2024. This "soft landing" scenario is also currently the stated goal of the Fed.
We view the primary market risks to be above-trend economic growth and persistent "sticky" inflation. If inflation remains above the Fed’s target, and doesn't moderate as we forecast, we could see several more rate hikes this year. Rate hikes may continue into next year, with a peak fed funds rate of 6% or higher, even if unemployment is starting to rise and economic growth is weakening. Recession risk could continue to be a factor if incoming economic data obscures the true impact of higher rates and restrictive monetary policy pushes the economy into downturn. We anticipate potential volatility around government shutdowns, labor unrest, and other knock-on effects from higher inflation and tighter credit conditions.
We continue to favor spread sectors, such as corporate bonds and securitized assets.
The strategy’s corporate bond risk relative to benchmark declined during the quarter, migrating closer to one-third of budget. For mandates which allow for non-investment grade allocations, the team continues to hold a small number of issuers we believe offer value.
We believe ABS continue to be a favorable alternative in the front end of the curve. We currently favor consumer related collateral and prefer the top of the capital stack but are not limited to the highest quality band of the structure. We believe the strategy’s ABS risk relative to benchmark is healthy, but in the lower third of our budget.
The strategy continues to hold CMBS, including both agency and non-agency backed CMBS. CMBS risk relative to benchmark is healthy in our view and sized similarly to ABS risk. We tend to favor senior parts of the capital stack in CMBS opportunities.
We continue to follow our process of seeking to build diversified exposures by asset class, industry and issuers.
1 A credit cycle is a cyclical pattern that follows credit availability and corporate health.
| 22

Loomis Sayles Intermediate Duration Bond Fund
 
Hypothetical Growth of $100,000 Investment in Class Y Shares1, 2
September 30, 2013 through September 30, 2023
 
 
23 |

Loomis Sayles Intermediate Duration Bond Fund
Average Annual Total Returns — September 30, 20231,2
 
1 Year
5 Years
10 Years
Life of
Class N
Expense Ratios4
 
Gross
Net
Class Y
NAV
2.81
%
1.35
%
1.67
%
—
%
0.44
%
0.40
%
Class A
NAV
2.53
1.09
1.40
—
0.68
0.65
With 4.25% Maximum Sales Charge
-1.83
0.22
0.96
—
Class C (Inception 8/31/16)
NAV
1.69
0.33
0.78
—
1.43
1.40
With CDSC5
0.70
0.33
0.78
—
Class N (Inception 2/1/19)
NAV
2.97
—
—
1.07
0.37
0.35
Comparative Performance
Bloomberg U.S. Intermediate Government/Credit Bond
Index3
2.20
1.02
1.27
0.59
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 im.natixis.com/performance. 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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
As of August 31, 2016, the Fund's Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively.
Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A
shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Class C shares
(August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares.
3
Bloomberg U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range within the Government and Credit Indices. The
Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly
issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes
publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.
4
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 1/31/24. When a
Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about
the Fund’s expense limitations.
5
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes
automatic conversion to Class A shares after eight years.
| 24

Loomis Sayles Limited Term Government and Agency Fund
 
Managers
Daniel Conklin, CFA®
Christopher T.  Harms
Clifton V. Rowe, CFA®
Loomis, Sayles & Company, L.P.
 
Symbols
Class A
NEFLX
Class C
NECLX
Class N
LGANX
Class Y
NELYX
Investment Goal
The Fund seeks high current return consistent with preservation of capital.
Market Conditions
The US fixed-income market produced a narrow gain in the 12 months ended September 30, 2023, albeit with a high level of volatility along the way. The majority of the positive return occurred in the early part of the period. During this time, signs of cooling inflation and slightly more dovish commentary from US Federal Reserve (Fed) officials raised hopes that the central bank was approaching the end of its long series of interest rate hikes. While the Fed continued to raise rates—with a total of 1.25 percentage points of increases in late 2022, followed by four quarter-point hikes in 2023—investors appeared encouraged by hopes that the Fed was nearing the end of its hiking cycle.
This backdrop changed for the worse in the final three months of the period, leading to a downturn that significantly dampened 12-month returns. Crude oil prices surged to their highest level since July 2022, raising the possibility that inflation—which had been ticking lower since late last year—would begin to reaccelerate. In addition, the Fed made it clear that although its pace of interest-rate increases slowed in 2023, it remained open to further hikes if necessary. These developments fed through to longer-term expectations, with the futures markets beginning to factor in fewer rate cuts in 2024 than was the case earlier in the year.
US Treasuries posted a loss and underperformed the more credit-oriented areas of the bond market in the annual period. Performance was mixed across the curve:  while the two- and five-year issues produced positive total returns, the 10-year note lost ground and the 30-year bond suffered a double-digit loss. In terms of yield movements, the two-year climbed from 4.22% at the start of the period to 5.03% on the final trading day of September 2023, and the ten-year rose from 3.83% to 4.57%.
Notably, the yield curve remained inverted throughout the period (meaning that short-term yields traded above those on longer-term debt). At the end of June, in fact, the curve was at its highest degree of inversion on the last day of a calendar quarter in history. Although an inverted yield curve has often been a precursor to a recession historically, economic growth stayed in positive territory.
Over the prior year, securitized assets produced largely positive total returns, with the exception of non-agency commercial mortgage-backed securities (CMBS) and agency mortgage-backed securities (MBS). Collateralized loan obligations (CLOs) and commercial asset-backed securities (ABS) provided particularly strong returns over the period, with portions of the residential mortgage-backed securities (RMBS) market also outperforming. Headwinds facing the commercial real estate sector emerged in the first half of 2023, negatively impacting non-agency CMBS performance over the period. The shorter duration in most securitized credit sectors led to outperformance versus corporates and the broader Bloomberg US Aggregate Bond Index. A challenging technical backdrop negatively impacted agency MBS returns as elevated levels of rate volatility continued. However, agency MBS did outperform US Treasury over the period.
Performance Results
For the 12 months ended September 30, 2023, Class Y shares of the Loomis Sayles Limited Term Government and Agency Fund returned 2.79%. The Fund outperformed its benchmark, the Bloomberg US 1-5 Year Government Bond Index, which returned 2.10%.
Explanation of Fund Performance
Duration and yield curve contributions were the bulk of the excess return over the benchmark during the period. The 2-Year US Treasury yield increased approximately 70 bps over the period. The duration posture of the fund over the period was near our target of 2 years while the duration of the benchmark remains longer - closer to 2.5 years. This accounted for the performance impact from duration during the period. Contributions from holdings in agency backed mortgages contributed to performance as well, representing the second largest contribution over the period. Holdings in agency space included agency CMBS, CMOs and GNMA reverse mortgages. Non-agency backed holdings of ABS and CMBS also contributed to performance but to a smaller extent.
Detractors over the period included issue selection within US Treasury securities. Additionally, the fund did not hold any US Agency securities while the benchmark contains securities from the sector. As a result, this accounted for some slight performance detraction during the period. This also represented a detractor from an allocation perspective.
25 |

Loomis Sayles Limited Term Government and Agency Fund
Outlook
Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) are trending higher than their longer-term averages. We continue to favor MBS sectors less likely to face refinancing and extension risk, such as low loan balance mortgages and home equity conversion mortgages.
Within the commercial real estate sector, we have focused on agency CMBS opportunities.
Our non-agency securitized exposures remain steady, utilizing ABS and CMBS equally. In aggregate, non-agency exposure continues to be in the upper end of our preferred zone.
 
Hypothetical Growth of $100,000 Investment in Class Y Shares1
September 30, 2013 through September 30, 2023
 
See notes to chart on page 27.
 
| 26

Loomis Sayles Limited Term Government and Agency Fund
Average Annual Total Returns — September 30, 20231
 
1 Year
5 Years
10 Years
Life of
Class N
Expense Ratios3
 
Gross
Net
Class Y
NAV
2.79
%
0.95
%
0.94
%
—
%
0.48
%
0.45
%
Class A
NAV
2.64
0.71
0.70
—
0.72
0.70
With 2.25% Maximum Sales Charge
0.28
0.25
0.47
—
Class C
NAV
1.86
-0.05
0.09
—
1.48
1.45
With CDSC4
0.87
-0.05
0.09
—
Class N (Inception 2/1/17)
NAV
2.94
1.04
—
0.96
0.40
0.39
Comparative Performance
Bloomberg U.S. 1-5 Year Government Bond Index2
2.10
0.90
0.80
0.72
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 im.natixis.com/performance. 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
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.
2
Bloomberg U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg U.S. Government Index, which is comprised of the Bloomberg U.S. Treasury and
U.S. Agency Indices. The Bloomberg U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than
one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the
U.S. government). The Bloomberg U.S. Government Index is a component of the Bloomberg U.S. Government/Credit Index and the Bloomberg U.S. Aggregate Bond
Index.
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 1/31/24. When a
Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about
the Fund’s expense limitations.
4
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes
automatic conversion to Class A shares after eight years.
27 |

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 Natixis Funds' proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com, and on the Securities and Exchange Commission (“SEC”) website at www.sec.gov. Information about how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available through the Natixis Funds’ website and the SEC website.
QUARTERLY PORTFOLIO SCHEDULES
The Natixis 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 website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
| 28

Understanding Fund Expenses
As a mutual fund shareholder, you incur different costs:  transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees ("12b-1 fees"), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ 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 of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2023 through September 30, 2023. 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 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 and 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, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning funds. If transaction costs were included, total costs would be higher.  
Loomis Sayles Core Plus Bond Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Class A
Actual
$1,000.00
$951.80
$3.62
Hypothetical (5% return before expenses)
$1,000.00
$1,021.36
$3.75
Class C
Actual
$1,000.00
$948.10
$7.28
Hypothetical (5% return before expenses)
$1,000.00
$1,017.60
$7.54
Class N
Actual
$1,000.00
$953.10
$1.91
Hypothetical (5% return before expenses)
$1,000.00
$1,023.11
$1.98
Class Y
Actual
$1,000.00
$952.60
$2.40
Hypothetical (5% return before expenses)
$1,000.00
$1,022.61
$2.48
 
*
Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement):  0.74%, 1.49%, 0.39% and 0.49% for Class A, C, N and Y, 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).
  
29 |

Loomis Sayles Credit Income Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Class A
Actual
$1,000.00
$968.40
$4.05
Hypothetical (5% return before expenses)
$1,000.00
$1,020.96
$4.15
Class C
Actual
$1,000.00
$963.70
$7.68
Hypothetical (5% return before expenses)
$1,000.00
$1,017.25
$7.89
Class N
Actual
$1,000.00
$970.00
$2.57
Hypothetical (5% return before expenses)
$1,000.00
$1,022.46
$2.64
Class Y
Actual
$1,000.00
$969.70
$2.81
Hypothetical (5% return before expenses)
$1,000.00
$1,022.21
$2.89
 
*
Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement):  0.82%, 1.56%, 0.52% and 0.57% for Class A, C, N and Y, 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 Global Allocation Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Class A
Actual
$1,000.00
$1,018.50
$5.92
Hypothetical (5% return before expenses)
$1,000.00
$1,019.20
$5.92
Class C
Actual
$1,000.00
$1,014.80
$9.70
Hypothetical (5% return before expenses)
$1,000.00
$1,015.44
$9.70
Class N
Actual
$1,000.00
$1,020.60
$4.15
Hypothetical (5% return before expenses)
$1,000.00
$1,020.96
$4.15
Class Y
Actual
$1,000.00
$1,019.70
$4.66
Hypothetical (5% return before expenses)
$1,000.00
$1,020.46
$4.66
 
*
Expenses are equal to the Fund's annualized expense ratio:  1.17%, 1.92%, 0.82% and 0.92% for Class A, C, N and Y, 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).
  
| 30

Loomis Sayles Growth Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Class A
Actual
$1,000.00
$1,092.00
$4.82
Hypothetical (5% return before expenses)
$1,000.00
$1,020.46
$4.66
Class C
Actual
$1,000.00
$1,087.80
$8.74
Hypothetical (5% return before expenses)
$1,000.00
$1,016.70
$8.44
Class N
Actual
$1,000.00
$1,093.90
$2.99
Hypothetical (5% return before expenses)
$1,000.00
$1,022.21
$2.89
Class Y
Actual
$1,000.00
$1,093.10
$3.52
Hypothetical (5% return before expenses)
$1,000.00
$1,021.71
$3.40
 
*
Expenses are equal to the Fund's annualized expense ratio:  0.92%, 1.67%, 0.57% and 0.67% for Class A, C, N and Y, 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 Intermediate Duration Bond Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Class A
Actual
$1,000.00
$987.30
$3.24
Hypothetical (5% return before expenses)
$1,000.00
$1,021.81
$3.29
Class C
Actual
$1,000.00
$983.80
$6.96
Hypothetical (5% return before expenses)
$1,000.00
$1,018.05
$7.08
Class N
Actual
$1,000.00
$990.00
$1.75
Hypothetical (5% return before expenses)
$1,000.00
$1,023.31
$1.78
Class Y
Actual
$1,000.00
$988.70
$1.99
Hypothetical (5% return before expenses)
$1,000.00
$1,023.06
$2.03
 
*
Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement):  0.65%, 1.40%, 0.35% and 0.40% for Class A, C, N and Y, 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).
  
31 |

Loomis Sayles Limited Term Government And Agency Fund
Beginning
Account Value
4/1/2023
Ending
Account Value
9/30/2023
Expenses Paid
During Period*
4/1/2023 – 9/30/2023
Class A
Actual
$1,000.00
$1,001.40
$3.51
Hypothetical (5% return before expenses)
$1,000.00
$1,021.56
$3.55
Class C
Actual
$1,000.00
$997.60
$7.26
Hypothetical (5% return before expenses)
$1,000.00
$1,017.80
$7.33
Class N
Actual
$1,000.00
$1,002.90
$2.01
Hypothetical (5% return before expenses)
$1,000.00
$1,023.06
$2.03
Class Y
Actual
$1,000.00
$1,001.80
$2.26
Hypothetical (5% return before expenses)
$1,000.00
$1,022.81
$2.28
 
*
Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement):  0.70%, 1.45%, 0.40% and 0.45% for Class A, C, N and Y, 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).
| 32

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (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 and Loomis Sayles Core Plus Bond Fund’s advisory administrator (the “Advisers”) believe 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 Advisers, 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 Advisers, including how profitability is determined by the Fund, and (v) information obtained through the completion by the Advisers 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 Advisers’ investment staffs and their 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 Advisers and the use of “soft” commission dollars to pay for research and other similar services, (iv) the Advisers’ 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 Advisers and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.
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. The information received by the Trustees 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, performance rankings provided by a third-party data provider 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 Advisers 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 2023. 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 Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates. The Trustees also considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers 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 Advisers 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 recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.
33 |

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 Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. The Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third-party rating organization 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, 2022, 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 Core Plus Bond Fund
29%
19%
30%
Loomis Sayles Credit Income Fund
18%
N/A
N/A
Loomis Sayles Global Allocation Fund
100%
74%
19%
Loomis Sayles Growth Fund
32%
58%
62%
Loomis Sayles Intermediate Duration Bond Fund
97%
85%
61%
Loomis Sayles Limited Term Government and Agency Fund
48%
44%
40%
In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider 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 Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund had outperformed its relevant performance benchmark for the one-year period ended December 31, 2022; (3) that the Fund had outperformed its relevant performance benchmark for the three-, five-, and ten-year periods ended December 31, 2022; (4) that the average duration of funds in the Fund’s category is considerably shorter than that of the Fund, as a result of the Fund’s mandate, such that its performance relative to its category would be expected to lag in certain market conditions; and (5) that the Fund’s long-term (five-year and 10-year) performance was stronger relative to its category. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.
The Trustees also considered the Advisers’ performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers 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 Advisers 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 Advisers and their 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 Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating
| 34

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 Advisers 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 the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Advisers for Loomis Sayles Core Plus Bond Fund, Loomis Sayles Credit Income Fund, Loomis Sayles Intermediate Duration Bond Fund, and Loomis Sayles Limited Term Government and Agency Fund under their respective expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Global Allocation Fund and Loomis Sayles Growth Fund were below each Fund’s expense limitation and that management had proposed to reduce the expense limitation for all share classes of those Funds, effective July 1, 2023. The Trustees also noted that the total advisory fee rate for Loomis Sayles Growth Fund, Loomis Sayles Intermediate Duration Bond Fund, and Loomis Sayles Limited Term Government and Agency Fund was below the median of its peer group of funds. The Board also considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.
The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) that the advisory fee was only one basis point higher than the median of a peer group of funds; and (2) that the advisory fee was only two basis points higher than the median of a peer group of funds.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their 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 Advisers 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. The Board also noted the competitive nature of the global asset management industry.
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 Advisers and their 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 Advisers 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, which reduced the total expenses borne by shareholders of certain Funds. With respect to economies of scale, the Trustees noted that each of Loomis Sayles Core Plus Bond Fund, Loomis Sayles Global Allocation Fund and Loomis Sayles Limited Term Government and Agency Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding 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 various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign central bank policies, and lingering effects of the Covid-19 crisis, as applicable, 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 Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.
35 |

• So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. 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 the existing Agreements should be continued through June 30, 2024.
| 36

LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through September 30, 2023)
Effective December 1, 2018 (September 29, 2020 for Loomis Sayles Credit Income Fund), 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 Core Plus Bond Fund, Loomis Sayles Credit Income Fund and Loomis Sayles Intermediate Duration Bond Fund have established an HLIM.
During the period from January 1, 2022 to December 31, 2022, 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, 2023 through September 30, 2023, 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.
37 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund
 
Principal
Amount (‡)
Description
Value (†)
Bonds and Notes — 91.8% of Net Assets
Non-Convertible Bonds — 91.7%
ABS Car Loan — 2.6%
$4,420,000
AmeriCredit Automobile Receivables Trust,
Series 2023-1, Class C, 5.800%, 12/18/2028
$4,391,411
6,444,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2019-2A, Class A, 3.350%, 9/22/2025(a)
6,301,347
7,064,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2020-2A, Class A, 2.020%, 2/20/2027(a)
6,446,222
8,160,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2022-1A, Class A, 3.830%, 8/21/2028(a)
7,514,919
1,840,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-2A, Class A, 5.200%, 10/20/2027(a)
1,794,227
3,245,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-8A, Class A, 6.020%, 2/20/2030(a)
3,231,446
6,504,109
Carvana Auto Receivables Trust,
Series 2023-N1, Class A, 6.360%, 4/12/2027(a)
6,499,055
9,895,000
Carvana Auto Receivables Trust,
Series 2023-P1, Class A3, 5.980%, 12/10/2027(a)
9,838,576
7,300,000
Credit Acceptance Auto Loan Trust,
Series 2023-1A, Class A, 6.480%, 3/15/2033(a)
7,299,006
2,020,000
DT Auto Owner Trust, Series 2023-1A, Class C,
5.550%, 10/16/2028(a)
1,982,747
2,110,473
Exeter Automobile Receivables Trust,
Series 2021-2A, Class C, 0.980%, 6/15/2026
2,075,664
4,320,000
Exeter Automobile Receivables Trust,
Series 2023-1A, Class C, 5.820%, 2/15/2028
4,262,563
4,805,000
Ford Credit Auto Lease Trust, Series 2023-B,
Class C, 6.430%, 4/15/2027
4,787,731
3,455,000
Ford Credit Auto Owner Trust, Series 2018-1,
Class B, 3.340%, 7/15/2031(a)
3,322,529
14,500,000
Ford Credit Auto Owner Trust, Series 2023-1,
Class A, 4.850%, 8/15/2035(a)
14,031,708
4,950,000
GM Financial Automobile Leasing Trust,
Series 2023-1, Class B, 5.510%, 1/20/2027
4,884,417
12,845,000
Hertz Vehicle Financing III LLC,
Series 2023-2A, Class A, 5.570%, 9/25/2029(a)
12,505,194
9,874,000
Hertz Vehicle Financing LLC, Series 2021-1A,
Class A, 1.210%, 12/26/2025(a)
9,370,443
9,930,000
NextGear Floorplan Master Owner Trust,
Series 2023-1A, Class A2, 5.740%, 3/15/2028(a)
9,899,555
10,730,000
OneMain Direct Auto Receivables Trust,
Series 2023-1A, Class A, 5.410%, 11/14/2029(a)
10,579,276
1,315,148
Santander Bank Auto Credit-Linked Notes,
Series 2022-C, Class B, 6.451%, 12/15/2032(a)
1,312,061
834,307
Santander Bank Auto Credit-Linked Notes,
Series 2022-C, Class C, 6.986%, 12/15/2032(a)
834,352
6,158,594
Santander Drive Auto Receivables Trust,
Series 2021-3, Class C, 0.950%, 9/15/2027
6,064,880
19,695,000
Santander Drive Auto Receivables Trust,
Series 2022-2, Class B, 3.440%, 9/15/2027
19,143,166
6,865,000
Westlake Automobile Receivables Trust,
Series 2022-2A, Class C, 4.850%, 9/15/2027(a)
6,739,144
1,295,000
Westlake Automobile Receivables Trust,
Series 2023-1A, Class B, 5.410%, 1/18/2028(a)
1,278,628
4,910,000
Westlake Automobile Receivables Trust,
Series 2023-2A, Class C, 6.290%, 3/15/2028(a)
4,902,090
 
171,292,357
ABS Home Equity — 0.3%
2,506,668
CoreVest American Finance Ltd.,
Series 2019-3, Class A, 2.705%, 10/15/2052(a)
2,384,819
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$10,197
Countrywide Asset-Backed Certificates,
Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)
$10,030
954,131
OBX Trust, Series 2018-EXP1, Class 1A3,
4.000%, 4/25/2048(a)(b)
848,506
2,963,430
Progress Residential Trust, Series 2023-SFR1,
Class A, 4.300%, 3/17/2040(a)
2,767,659
77,613
Sequoia Mortgage Trust, Series 2017-CH1,
Class A1, 4.000%, 8/25/2047(a)(b)
71,271
367,003
Sequoia Mortgage Trust, Series 2018-CH1,
Class A1, 4.000%, 3/25/2048(a)(b)
330,168
218,632
Sequoia Mortgage Trust, Series 2018-CH3,
Class A2, 4.000%, 8/25/2048(a)(b)
211,105
1,298,545
Towd Point Mortgage Trust, Series 2015-1,
Class A5, 4.308%, 10/25/2053(a)(b)
1,271,149
2,888,347
Towd Point Mortgage Trust, Series 2015-4,
Class M2, 3.750%, 4/25/2055(a)(b)
2,822,832
5,101,352
Towd Point Mortgage Trust, Series 2016-2,
Class M2, 3.000%, 8/25/2055(a)(b)
4,537,439
4,082,532
Towd Point Mortgage Trust, Series 2018-3,
Class A1, 3.750%, 5/25/2058(a)(b)
3,863,603
 
19,118,581
ABS Other — 1.5%
2,230,000
Affirm Asset Securitization Trust,
Series 2023-A, Class A, 6.610%, 1/18/2028(a)
2,215,559
6,492,060
CLI Funding VIII LLC, Series 2021-1A, Class A,
1.640%, 2/18/2046(a)
5,544,099
11,824,388
DB Master Finance LLC, Series 2021-1A,
Class A2II, 2.493%, 11/20/2051(a)
9,864,755
2,974,825
Donlen Fleet Lease Funding 2 LLC,
Series 2021-2, Class A2, 0.560%, 12/11/2034(a)
2,912,170
7,992,800
Jack in the Box Funding LLC, Series 2022-1A,
Class A2I, 3.445%, 2/26/2052(a)
7,154,299
13,449,050
Jack in the Box Funding LLC, Series 2022-1A,
Class A2II, 4.136%, 2/26/2052(a)
10,733,095
6,417,091
Lunar Structured Aircraft Portfolio Notes,
Series 2021-1, Class A, 2.636%, 10/15/2046(a)
5,547,428
8,837,961
Navigator Aircraft ABS Ltd., Series 2021-1,
Class A, 2.771%, 11/15/2046(a)(b)
7,669,141
457,223
OneMain Financial Issuance Trust,
Series 2020-1A, Class A, 3.840%, 5/14/2032(a)
456,504
13,500,000
OneMain Financial Issuance Trust,
Series 2021-1A, Class A2, 30 day USD SOFR
Average + 0.760%, 6.073%, 6/16/2036(a)(c)
13,209,062
18,175,000
Textainer Marine Containers Ltd.,
Series 2021-3A, Class A, 1.940%, 8/20/2046(a)
14,886,630
2,996,129
Textainer Marine Containers VII Ltd.,
Series 2020-2A, Class A, 2.100%, 9/20/2045(a)
2,624,738
15,890,000
Wheels Fleet Lease Funding 1 LLC,
Series 2023-1A, Class A, 5.800%, 4/18/2038(a)
15,767,218
 
98,584,698
ABS Student Loan — 0.6%
3,043,377
Navient Private Education Refi Loan Trust,
Series 2020-HA, Class A, 1.310%, 1/15/2069(a)
2,754,757
8,340,714
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A, 1.060%, 10/15/2069(a)
7,091,617
8,624,492
Navient Private Education Refi Loan Trust,
Series 2023-A, Class A, 5.510%, 10/15/2071(a)
8,445,560
3,072,875
SMB Private Education Loan Trust,
Series 2021-A, Class APT2,
1.070%, 1/15/2053(a)
2,627,069
See accompanying notes to financial statements.
| 38

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
ABS Student Loan — continued
$7,344,767
SMB Private Education Loan Trust,
Series 2021-C, Class A2, 1 mo. USD SOFR +
0.914%, 6.247%, 1/15/2053(a)(c)
$7,197,829
8,646,567
SMB Private Education Loan Trust,
Series 2023-A, Class A1A, 5.380%, 1/15/2053(a)
8,394,528
2,120,564
SoFi Professional Loan Program LLC,
Series 2020-A, Class A2FX,
2.540%, 5/15/2046(a)
1,941,011
 
38,452,371
ABS Whole Business — 0.3%
7,162,800
Domino's Pizza Master Issuer LLC,
Series 2018-1A, Class A2I, 4.116%, 7/25/2048(a)
6,795,721
4,713,225
Planet Fitness Master Issuer LLC,
Series 2022-1A, Class A2I,
3.251%, 12/05/2051(a)
4,214,457
11,928,350
Planet Fitness Master Issuer LLC,
Series 2022-1A, Class A2II,
4.008%, 12/05/2051(a)
9,614,751
 
20,624,929
Aerospace & Defense — 0.5%
15,199,000
Boeing Co., 5.705%, 5/01/2040
14,022,637
20,159,000
Boeing Co., 5.805%, 5/01/2050
18,254,322
1,329,000
Textron, Inc., 3.000%, 6/01/2030
1,118,308
 
33,395,267
Agency Commercial Mortgage-Backed Securities — 0.5%
6,067,911
Federal Home Loan Mortgage Corp.,
3.350%, 8/01/2037
5,000,284
3,619,051
Federal Home Loan Mortgage Corp.,
3.450%, 5/01/2037
3,025,424
1,248,432
Federal Home Loan Mortgage Corp.,
3.700%, 5/01/2037
1,077,862
8,638,006
Federal Home Loan Mortgage Corp.,
3.750%, 5/01/2037
7,410,826
2,087,596
Federal Home Loan Mortgage Corp.,
3.900%, 7/01/2037
1,818,482
2,087,782
Federal Home Loan Mortgage Corp.,
3.900%, 7/01/2037
1,790,067
7,013,000
Federal National Mortgage Association,
3.850%, 9/01/2037
5,915,777
160,000
Federal National Mortgage Association,
3.940%, 9/01/2032
144,947
6,597,982
Federal National Mortgage Association,
4.240%, 7/01/2038
5,804,921
 
31,988,590
Airlines — 0.8%
5,384,603
American Airlines, Inc./AAdvantage Loyalty IP
Ltd., 5.500%, 4/20/2026(a)
5,258,941
5,620,467
American Airlines, Inc./AAdvantage Loyalty IP
Ltd., 5.750%, 4/20/2029(a)
5,227,317
1,416,818
Continental Airlines Pass-Through Trust,
Series 2012-2, Class A, 4.000%, 4/29/2026
1,377,728
14,751,433
Delta Air Lines, Inc./SkyMiles IP Ltd.,
4.750%, 10/20/2028(a)
14,018,919
3,178,194
United Airlines Pass-Through Trust,
Series 2020-1, Class B, 4.875%, 7/15/2027
3,057,454
22,605,000
United Airlines Pass-Through Trust,
Series 2023-1, Class A, 5.800%, 7/15/2037
21,980,650
Principal
Amount (‡)
Description
Value (†)
Airlines — continued
$2,266,000
United Airlines, Inc., 4.375%, 4/15/2026(a)
$2,095,575
3,543,000
United Airlines, Inc., 4.625%, 4/15/2029(a)
3,045,317
 
56,061,901
Apartment REITs — 0.0%
1,715,000
American Homes 4 Rent LP, 3.375%, 7/15/2051
1,029,299
Automotive — 1.4%
11,690,000
Ford Motor Credit Co. LLC, 6.800%, 5/12/2028
11,676,478
5,315,000
Ford Motor Credit Co. LLC, 6.950%, 3/06/2026
5,306,234
17,142,000
General Motors Co., 5.000%, 4/01/2035
14,797,703
1,000,000
General Motors Financial Co., Inc.,
2.350%, 1/08/2031
756,390
5,067,000
General Motors Financial Co., Inc.,
2.900%, 2/26/2025
4,834,247
11,519,000
Goodyear Tire & Rubber Co., 5.625%, 4/30/2033
9,427,283
6,206,000
Hyundai Capital America,
2.375%, 10/15/2027(a)
5,372,745
10,356,000
Hyundai Capital America, 2.650%, 2/10/2025(a)
9,890,285
7,453,000
Hyundai Capital America, 3.000%, 2/10/2027(a)
6,752,392
11,455,000
Hyundai Capital America, 6.100%, 9/21/2028(a)
11,373,275
1,725,000
Lear Corp., 3.550%, 1/15/2052
1,051,570
12,381,000
Lear Corp., 5.250%, 5/15/2049
10,008,838
4,550,000
Nissan Motor Acceptance Co. LLC,
7.050%, 9/15/2028(a)
4,549,213
 
95,796,653
Banking — 7.2%
10,051,000
Banco Santander Chile, 2.700%, 1/10/2025(a)
9,637,420
11,000,000
Banco Santander SA, 1.849%, 3/25/2026
9,892,586
3,800,000
Banco Santander SA, 2.958%, 3/25/2031
3,021,877
15,850,000
Bangkok Bank PCL, 4.050%, 3/19/2024(a)
15,703,865
4,000,000
Bank of America Corp., (fixed rate to
11/10/2027, variable rate thereafter),
6.204%, 11/10/2028
4,018,065
26,146,000
Bank of America Corp., (fixed rate to 4/22/2024,
variable rate thereafter), 0.976%, 4/22/2025
25,331,631
5,475,000
Bank of America Corp., (fixed rate to 4/24/2027,
variable rate thereafter), 3.705%, 4/24/2028
5,042,437
16,280,000
Bank of America Corp., (fixed rate to 4/25/2033,
variable rate thereafter), 5.288%, 4/25/2034
15,148,718
24,210,000
Bank of America Corp., MTN, (fixed rate to
4/23/2026, variable rate thereafter),
3.559%, 4/23/2027
22,713,271
18,664,000
Barclays PLC, (fixed rate to 3/10/2041, variable
rate thereafter), 3.811%, 3/10/2042
12,184,819
7,864,000
BBVA Bancomer SA, 1.875%, 9/18/2025(a)
7,214,539
13,513,000
BNP Paribas SA, (fixed rate to 1/13/2026,
variable rate thereafter), 1.323%, 1/13/2027(a)
12,101,107
26,613,000
BNP Paribas SA, (fixed rate to 11/19/2024,
variable rate thereafter), 2.819%, 11/19/2025(a)
25,559,936
23,750,000
Capital One Financial Corp., (fixed rate to
6/08/2033, variable rate thereafter),
6.377%, 6/08/2034
22,413,246
1,154,000
Citigroup, Inc., (fixed rate to 5/01/2024, variable
rate thereafter), 0.981%, 5/01/2025
1,116,856
9,038,000
Deutsche Bank AG, 1.686%, 3/19/2026
8,185,518
8,585,000
Deutsche Bank AG, (fixed rate to 10/07/2031,
variable rate thereafter), 3.742%, 1/07/2033
6,160,547
6,737,000
Deutsche Bank AG, (fixed rate to 10/14/2030,
variable rate thereafter), 3.729%, 1/14/2032
5,014,981
1,750,000
Deutsche Bank AG, (fixed rate to 11/10/2032,
variable rate thereafter), 7.079%, 2/10/2034
1,581,548
See accompanying notes to financial statements.
39 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Banking — continued
$10,680,000
Deutsche Bank AG, (fixed rate to 11/24/2025,
variable rate thereafter), 2.129%, 11/24/2026
$9,658,464
12,486,000
Goldman Sachs Group, Inc., 6.750%, 10/01/2037
12,643,913
6,320,000
Goldman Sachs Group, Inc., (fixed rate to
6/05/2027, variable rate thereafter),
3.691%, 6/05/2028
5,824,462
1,326,000
HSBC Holdings PLC, 4.950%, 3/31/2030
1,239,080
13,610,000
HSBC Holdings PLC, (fixed rate to 5/24/2024,
variable rate thereafter), 0.976%, 5/24/2025
13,112,184
4,740,000
Intesa Sanpaolo SpA, (fixed rate to 6/01/2031,
variable rate thereafter), 4.198%, 6/01/2032(a)
3,496,698
24,590,000
JPMorgan Chase & Co., (fixed rate to
10/15/2029, variable rate thereafter),
2.739%, 10/15/2030
20,563,807
14,076,000
JPMorgan Chase & Co., (fixed rate to
5/13/2030, variable rate thereafter),
2.956%, 5/13/2031
11,565,189
14,145,000
Macquarie Bank Ltd., 3.231%, 3/21/2025(a)
13,641,760
7,950,000
Mitsubishi UFJ Financial Group, Inc., (fixed
rate to 4/19/2033, variable rate thereafter),
5.406%, 4/19/2034
7,541,748
1,500,000
Morgan Stanley, (fixed rate to 2/01/2028,
variable rate thereafter), 5.123%, 2/01/2029
1,444,524
13,321,000
Morgan Stanley, (fixed rate to 7/22/2027,
variable rate thereafter), 3.591%, 7/22/2028(b)
12,153,811
10,135,000
Morgan Stanley, MTN, (fixed rate to 4/20/2028,
variable rate thereafter), 5.164%, 4/20/2029
9,750,425
5,600,000
PNC Financial Services Group, Inc., (fixed rate
to 1/24/2033, variable rate thereafter),
5.068%, 1/24/2034
5,078,355
11,465,000
Santander Holdings USA, Inc., (fixed rate to
1/06/2027, variable rate thereafter),
2.490%, 1/06/2028
9,954,799
24,503,000
Societe Generale SA, 2.625%, 1/22/2025(a)
23,295,384
18,840,000
Standard Chartered PLC, (fixed rate to
1/12/2032, variable rate thereafter),
3.603%, 1/12/2033(a)
14,438,976
22,346,000
Standard Chartered PLC, (fixed rate to
1/30/2025, variable rate thereafter),
2.819%, 1/30/2026(a)
21,256,142
660,000
Standard Chartered PLC, (fixed rate to
3/15/2028, variable rate thereafter),
4.866%, 3/15/2033(a)
590,713
5,660,000
Sumitomo Mitsui Financial Group, Inc.,
1.474%, 7/08/2025
5,235,673
10,888,000
Sumitomo Mitsui Financial Group, Inc.,
3.040%, 7/16/2029
9,301,018
23,580,000
Toronto-Dominion Bank, MTN,
5.523%, 7/17/2028
23,274,377
6,655,000
Truist Financial Corp., MTN, (fixed rate to
6/08/2033, variable rate thereafter),
5.867%, 6/08/2034
6,263,838
5,040,000
UBS Group AG, (fixed rate to 11/15/2032,
variable rate thereafter), 9.016%, 11/15/2033(a)
5,820,266
690,000
UBS Group AG, (fixed rate to 7/15/2025,
variable rate thereafter), 6.373%, 7/15/2026(a)
687,399
7,695,000
UBS Group AG, (fixed rate to 8/11/2027,
variable rate thereafter), 6.442%, 8/11/2028(a)
7,680,303
15,845,000
UniCredit SpA, (fixed rate to 6/03/2026, variable
rate thereafter), 1.982%, 6/03/2027(a)
13,997,019
 
481,553,294
Principal
Amount (‡)
Description
Value (†)
Building Materials — 0.4%
$15,155,000
American Builders & Contractors Supply Co.,
Inc., 3.875%, 11/15/2029(a)
$12,599,109
8,962,000
Cemex SAB de CV, 3.875%, 7/11/2031(a)
7,506,708
9,128,000
Mohawk Industries, Inc., 3.625%, 5/15/2030
7,972,943
17,000
Summit Materials LLC/Summit Materials
Finance Corp., 5.250%, 1/15/2029(a)
15,436
 
28,094,196
Cable Satellite — 0.6%
17,010,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 1/15/2034(a)
12,524,089
21,060,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 5.500%, 4/01/2063
15,579,075
5,285,000
Time Warner Cable LLC, 4.500%, 9/15/2042
3,661,547
783,000
Time Warner Cable LLC, 5.500%, 9/01/2041
612,489
2,245,000
Time Warner Cable LLC, 5.875%, 11/15/2040
1,860,100
7,162,000
Time Warner Cable LLC, 6.550%, 5/01/2037
6,496,001
1,707,000
Time Warner Cable LLC, 6.750%, 6/15/2039
1,562,530
 
42,295,831
Chemicals — 0.9%
1,610,000
Alpek SAB de CV, 3.250%, 2/25/2031(a)
1,263,772
21,698,000
Braskem America Finance Co.,
7.125%, 7/22/2041(a)
18,937,466
1,873,000
Celanese U.S. Holdings LLC, 6.050%, 3/15/2025
1,866,274
4,145,000
Celanese U.S. Holdings LLC, 6.330%, 7/15/2029
4,062,975
6,640,000
Celanese U.S. Holdings LLC, 6.379%, 7/15/2032
6,397,788
4,410,000
Nutrien Ltd., 5.800%, 3/27/2053
4,050,864
8,271,000
Orbia Advance Corp. SAB de CV,
5.875%, 9/17/2044(a)
6,814,769
9,466,000
Orbia Advance Corp. SAB de CV,
6.750%, 9/19/2042(a)
8,792,690
3,830,000
Sociedad Quimica y Minera de Chile SA,
3.500%, 9/10/2051(a)
2,372,340
10,424,000
Sociedad Quimica y Minera de Chile SA,
4.250%, 1/22/2050(a)
7,686,553
 
62,245,491
Collateralized Mortgage Obligations — 0.6%
33,880,000
Federal Home Loan Mortgage Corp.,
6.763%, 10/25/2053(c)
33,880,000
150,826
Government National Mortgage Association,
Series 2010-H24, Class FA, 1 mo. USD SOFR +
0.464%, 5.782%, 10/20/2060(c)
149,847
100,969
Government National Mortgage Association,
Series 2012-H18, Class NA, 1 mo. USD SOFR +
0.634%, 5.952%, 8/20/2062(c)
100,461
498
Government National Mortgage Association,
Series 2013-H01, Class FA, 1.650%, 1/20/2063(d)
425
8,692
Government National Mortgage Association,
Series 2013-H03, Class HA,
1.750%, 12/20/2062(d)
7,479
7,207
Government National Mortgage Association,
Series 2013-H04, Class BA,
1.650%, 2/20/2063(d)
6,224
85,742
Government National Mortgage Association,
Series 2013-H10, Class PA,
2.500%, 4/20/2063(d)
75,887
See accompanying notes to financial statements.
| 40

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Collateralized Mortgage Obligations — continued
$4,654,763
Government National Mortgage Association,
Series 2015-H10, Class JA, 2.250%, 4/20/2065
$4,482,125
6,819
Government National Mortgage Association,
Series 2015-H13, Class FL, 1 mo. USD SOFR +
0.394%, 4.908%, 5/20/2063(c)(d)
6,163
 
38,708,611
Consumer Cyclical Services — 0.0%
1,791,000
Expedia Group, Inc., 6.250%, 5/01/2025(a)
1,793,946
Consumer Products — 0.1%
2,157,000
Kimberly-Clark de Mexico SAB de CV,
2.431%, 7/01/2031(a)
1,759,342
1,425,000
Natura &Co. Luxembourg Holdings Sarl,
6.000%, 4/19/2029(a)
1,311,655
2,738,000
Natura Cosmeticos SA, 4.125%, 5/03/2028(a)
2,351,199
 
5,422,196
Electric — 1.3%
3,587,000
AES Corp., 3.300%, 7/15/2025(a)
3,397,521
1,609,000
AES Corp., 3.950%, 7/15/2030(a)
1,386,829
10,104,000
Calpine Corp., 5.000%, 2/01/2031(a)
8,169,990
12,220,000
CenterPoint Energy, Inc., SOFR Index + 0.650%,
5.991%, 5/13/2024(c)
12,217,754
13,354,000
Clearway Energy Operating LLC,
3.750%, 2/15/2031(a)
10,533,617
20,355,874
Cometa Energia SA de CV, 6.375%, 4/24/2035(a)
18,956,906
2,415,000
DPL, Inc., 4.350%, 4/15/2029
1,996,383
852,000
Edison International, 4.950%, 4/15/2025
834,974
2,811,000
Enel Americas SA, 4.000%, 10/25/2026
2,613,415
1,348,000
Enel Generacion Chile SA, 4.250%, 4/15/2024
1,326,531
4,316,000
Entergy Corp., 2.800%, 6/15/2030
3,580,521
750,000
IPALCO Enterprises, Inc., 4.250%, 5/01/2030
657,769
10,966,000
National Rural Utilities Cooperative Finance
Corp., (fixed rate to 5/01/2023, variable rate
thereafter), 8.541%, 4/30/2043(c)
10,774,171
3,800,000
NRG Energy, Inc., 3.875%, 2/15/2032(a)
2,852,623
3,509,000
Pattern Energy Operations LP/Pattern Energy
Operations, Inc., 4.500%, 8/15/2028(a)
3,047,566
7,133,000
Transelec SA, 4.250%, 1/14/2025(a)
6,924,526
 
89,271,096
Finance Companies — 2.0%
6,365,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.000%, 10/29/2028
5,457,849
18,150,000
Air Lease Corp., GMTN, 3.750%, 6/01/2026
17,107,745
20,287,000
Aircastle Ltd., 2.850%, 1/26/2028(a)
17,213,170
22,772,000
Ares Capital Corp., 2.150%, 7/15/2026
19,979,200
15,425,000
Avolon Holdings Funding Ltd.,
2.750%, 2/21/2028(a)
13,069,641
4,262,000
Blue Owl Capital Corp., 2.625%, 1/15/2027
3,660,425
13,397,000
Blue Owl Capital Corp., 3.400%, 7/15/2026
12,011,245
10,958,000
Blue Owl Technology Finance Corp.,
3.750%, 6/17/2026(a)
9,724,924
18,679,000
FS KKR Capital Corp., 3.400%, 1/15/2026
17,117,197
6,000,000
Navient Corp., 5.000%, 3/15/2027
5,393,160
6,547,000
Navient Corp., MTN, 6.125%, 3/25/2024
6,512,014
1,580,000
OneMain Finance Corp., 3.875%, 9/15/2028
1,268,175
5,769,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(a)
4,600,027
1,655,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(a)
1,249,828
 
134,364,600
Principal
Amount (‡)
Description
Value (†)
Financial Other — 0.1%
$4,763,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.375%, 2/01/2029
$3,808,778
Food & Beverage — 0.7%
14,008,000
BRF SA, 5.750%, 9/21/2050(a)
9,358,465
2,032,000
Gruma SAB de CV, 4.875%, 12/01/2024(a)
2,003,250
24,100,000
JBS USA LUX SA/JBS USA Food Co./JBS
Luxembourg Sarl, 7.250%, 11/15/2053(a)
23,298,675
11,530,000
Minerva Luxembourg SA, 4.375%, 3/18/2031(a)
8,922,492
6,134,000
Post Holdings, Inc., 4.500%, 9/15/2031(a)
5,105,288
1,599,000
Smithfield Foods, Inc., 3.000%, 10/15/2030(a)
1,222,290
 
49,910,460
Government Owned - No Guarantee — 1.5%
6,872,000
Antares Holdings LP, 3.950%, 7/15/2026(a)
6,184,319
17,141,000
BOC Aviation USA Corp., 1.625%, 4/29/2024(a)
16,702,978
3,903,000
Empresa de los Ferrocarriles del Estado,
3.068%, 8/18/2050(a)
2,231,027
8,230,000
Freeport Indonesia PT, 5.315%, 4/14/2032(a)
7,409,963
6,355,000
Korea National Oil Corp., 4.875%, 4/03/2028(a)
6,192,355
16,956,000
NBN Co. Ltd., 1.450%, 5/05/2026(a)
15,235,547
7,985,000
OCP SA, 3.750%, 6/23/2031(a)
6,291,493
11,538,000
Saudi Arabian Oil Co., 3.500%, 11/24/2070(a)
6,850,688
11,825,000
Tennessee Valley Authority, 4.250%, 9/15/2065
9,376,639
7,669,000
Tennessee Valley Authority, 4.625%, 9/15/2060
6,645,734
5,427,000
Tennessee Valley Authority, 4.875%, 1/15/2048
4,980,024
9,290,000
Tennessee Valley Authority, 5.250%, 9/15/2039
9,088,323
 
97,189,090
Health Insurance — 0.1%
7,364,000
Centene Corp., 3.375%, 2/15/2030
6,142,106
Healthcare — 0.2%
2,650,000
CVS Health Corp., 5.250%, 1/30/2031
2,546,180
12,395,000
HCA, Inc., 4.625%, 3/15/2052
9,306,108
 
11,852,288
Home Construction — 0.2%
4,801,000
Forestar Group, Inc., 3.850%, 5/15/2026(a)
4,357,832
8,905,000
NVR, Inc., 3.000%, 5/15/2030
7,419,049
 
11,776,881
Independent Energy — 0.4%
8,952,000
Devon Energy Corp., 4.500%, 1/15/2030
8,135,123
1,765,000
EQT Corp., 3.125%, 5/15/2026(a)
1,632,961
4,696,000
EQT Corp., 3.900%, 10/01/2027
4,343,676
601,000
EQT Corp., 5.000%, 1/15/2029
564,946
9,078,204
Leviathan Bond Ltd., 6.125%, 6/30/2025(a)
8,829,552
5,835,000
Pan American Energy LLC,
9.125%, 4/30/2027(a)
6,162,168
 
29,668,426
Industrial Other — 0.0%
3,408,000
Georgetown University, Series A,
5.215%, 10/01/2118
2,838,182
Life Insurance — 0.2%
14,171,000
Brighthouse Financial, Inc., 5.625%, 5/15/2030
13,261,902
2,327,000
OneAmerica Financial Partners, Inc.,
4.250%, 10/15/2050(a)
1,488,512
 
14,750,414
Lodging — 0.1%
6,397,000
Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032(a)
5,157,236
See accompanying notes to financial statements.
41 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Media Entertainment — 0.6%
54,020,000
Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043,
(MXN)
1,894,412
5,553,000
Outfront Media Capital LLC/Outfront Media
Capital Corp., 4.250%, 1/15/2029(a)
4,406,417
12,303,000
Prosus NV, 3.680%, 1/21/2030(a)
9,916,576
13,750,000
Prosus NV, 3.832%, 2/08/2051(a)
7,594,092
20,770,000
Warnermedia Holdings, Inc., 5.391%, 3/15/2062
15,340,380
 
39,151,877
Metals & Mining — 0.9%
1,835,000
Anglo American Capital PLC,
2.250%, 3/17/2028(a)
1,566,088
3,620,000
Anglo American Capital PLC,
3.875%, 3/16/2029(a)
3,243,875
3,322,000
Anglo American Capital PLC,
3.950%, 9/10/2050(a)
2,257,900
7,696,000
Anglo American Capital PLC,
5.625%, 4/01/2030(a)
7,432,601
9,977,000
FMG Resources August 2006 Pty. Ltd.,
4.375%, 4/01/2031(a)
8,208,980
14,428,000
Fresnillo PLC, 4.250%, 10/02/2050(a)
10,086,903
25,662,000
Glencore Funding LLC, 2.500%, 9/01/2030(a)
20,291,456
5,290,000
POSCO, 5.625%, 1/17/2026(a)
5,267,767
3,555,000
SunCoke Energy, Inc., 4.875%, 6/30/2029(a)
3,020,772
 
61,376,342
Midstream — 0.6%
568,000
Energy Transfer LP, 5.150%, 2/01/2043
451,384
1,500,000
Energy Transfer LP, 5.300%, 4/15/2047
1,218,412
125,000
Energy Transfer LP, 5.400%, 10/01/2047
103,093
4,900,000
Energy Transfer LP, 5.950%, 10/01/2043
4,307,714
8,548,000
Energy Transfer LP, 6.500%, 2/01/2042
8,172,549
1,338,000
Energy Transfer LP, 6.625%, 10/15/2036
1,320,740
2,445,000
EQM Midstream Partners LP,
6.500%, 7/01/2027(a)
2,387,486
2,014,000
Gray Oak Pipeline LLC, 2.600%, 10/15/2025(a)
1,856,167
982,000
Gray Oak Pipeline LLC, 3.450%, 10/15/2027(a)
869,984
12,960,000
Sempra Global, 3.250%, 1/15/2032(a)
10,149,530
930,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 6.500%, 7/15/2027
937,207
13,096,000
Williams Cos., Inc., 3.500%, 11/15/2030
11,291,736
 
43,066,002
Mortgage Related — 24.3%
9,705,593
Federal Home Loan Mortgage Corp., 1.500%,
with various maturities from 2050 to 2051(e)
32,444,718
1,291,643
Federal Home Loan Mortgage Corp., 2.000%,
with various maturities from 2050 to 2052(e)
85,397,021
4,266,296
Federal Home Loan Mortgage Corp., 2.500%,
with various maturities from 2050 to 2051(e)
33,075,276
1,024,131
Federal Home Loan Mortgage Corp., 3.000%,
with various maturities from 2042 to 2052(e)
44,948,902
572,862
Federal Home Loan Mortgage Corp., 3.500%,
with various maturities from 2043 to 2052(e)
13,595,211
866,706
Federal Home Loan Mortgage Corp., 4.000%,
with various maturities from 2044 to 2052(e)
52,901,667
564,502
Federal Home Loan Mortgage Corp., 4.500%,
with various maturities from 2041 to 2052(e)
22,801,600
1,277,293
Federal Home Loan Mortgage Corp., 5.000%,
with various maturities in 2048(e)
11,658,994
1,643,062
Federal Home Loan Mortgage Corp., 5.500%,
with various maturities in 2053(e)
28,645,852
Principal
Amount (‡)
Description
Value (†)
Mortgage Related — continued
$3,683
Federal Home Loan Mortgage Corp., 6.000%,
with various maturities from 2035 to 2053(e)
$55,063,916
1,403,236
Federal Home Loan Mortgage Corp., 6.500%,
with various maturities in 2053(e)
35,202,027
1,078,300
Federal Home Loan Mortgage Corp.,
7.000%, 9/01/2053
1,109,394
56,831,939
Federal National Mortgage Association,
2.000%, with various maturities from 2037 to
2052(e)
201,522,301
384,669
Federal National Mortgage Association,
2.500%, with various maturities from 2045 to
2062(e)
532,125,278
3,065,405
Federal National Mortgage Association,
3.000%, with various maturities from 2045 to
2052(e)
51,505,125
132,478
Federal National Mortgage Association,
3.500%, with various maturities from 2043 to
2052(e)
98,943,994
2,966,990
Federal National Mortgage Association,
4.000%, with various maturities from 2041 to
2052(e)
33,556,063
68,029
Federal National Mortgage Association,
4.500%, with various maturities from 2043 to
2053(e)
16,379,055
1,650,296
Federal National Mortgage Association,
5.000%, with various maturities from 2048 to
2053(e)
11,740,699
2,802,766
Federal National Mortgage Association,
5.500%, with various maturities from 2050 to
2053(e)
8,282,661
16,951
Federal National Mortgage Association,
6.000%, with various maturities from 2034 to
2053(e)
56,458,504
1,699
Federal National Mortgage Association,
6.500%, with various maturities from 2029 to
2053(e)
22,540,231
9,228
Federal National Mortgage Association,
7.000%, with various maturities in 2030(e)
15,511
128
Federal National Mortgage Association,
7.500%, with various maturities from 2024 to
2032(e)
8,223
4,506
Government National Mortgage Association,
3.659%, 7/20/2063(b)
4,335
1,136
Government National Mortgage Association,
3.890%, 12/20/2062(b)
1,068
3,034,689
Government National Mortgage Association,
4.344%, 11/20/2066(b)
2,957,443
5,068,619
Government National Mortgage Association,
4.387%, 12/20/2066(b)
4,895,133
1,243,325
Government National Mortgage Association,
4.388%, 12/20/2063(b)
1,223,509
17,654
Government National Mortgage Association,
4.390%, 11/20/2062(b)
16,682
2,226,838
Government National Mortgage Association,
4.393%, 2/20/2066(b)
2,158,849
945,649
Government National Mortgage Association,
4.408%, 6/20/2064(b)
923,177
1,078,380
Government National Mortgage Association,
4.412%, 2/20/2066(b)
1,045,030
2,302
Government National Mortgage Association,
4.422%, 5/20/2063(b)
2,231
See accompanying notes to financial statements.
| 42

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Mortgage Related — continued
$1,352,570
Government National Mortgage Association,
4.426%, 10/20/2066(b)
$1,307,305
1,502,470
Government National Mortgage Association,
4.450%, 6/20/2066(b)
1,463,195
1,655,802
Government National Mortgage Association,
4.496%, 9/20/2066(b)
1,607,850
2,429,693
Government National Mortgage Association,
4.507%, 6/20/2066(b)
2,363,238
2,281,143
Government National Mortgage Association,
4.510%, 12/20/2064(b)
2,236,273
2,771,897
Government National Mortgage Association,
4.544%, 10/20/2064(b)
2,711,563
502,409
Government National Mortgage Association,
4.557%, 1/20/2064(b)
497,650
2,086,966
Government National Mortgage Association,
4.574%, 2/20/2065(b)
2,040,799
741,756
Government National Mortgage Association,
4.600%, 1/20/2065(b)
726,495
1,068,797
Government National Mortgage Association,
4.605%, 3/20/2065(b)
1,044,424
2,828,840
Government National Mortgage Association,
4.609%, with various maturities from 2065 to
2066(b)(e)
3,788,203
2,273,941
Government National Mortgage Association,
4.615%, 3/20/2066(b)
2,204,569
1,738,726
Government National Mortgage Association,
4.634%, 12/20/2064(b)
1,707,270
1,264,577
Government National Mortgage Association,
4.654%, 6/20/2064(b)
1,239,608
2,680
Government National Mortgage Association,
4.657%, 5/20/2063(b)
2,612
4,368,692
Government National Mortgage Association,
4.659%, 12/20/2066(b)
4,235,444
3,470
Government National Mortgage Association,
4.677%, 8/20/2061(b)
3,389
2,058,014
Government National Mortgage Association,
4.692%, 1/20/2065(b)
2,012,273
42,664
Government National Mortgage Association,
4.700%, with various maturities from 2062 to
2066(b)(e)
1,163,840
1,459,723
Government National Mortgage Association,
4.730%, 1/20/2064(b)
1,438,425
72,333
Government National Mortgage Association,
5.500%, 4/15/2038
71,700
9,351
Government National Mortgage Association,
6.000%, with various maturities from 2029 to
2038(e)
13,535
2,505
Government National Mortgage Association,
6.500%, with various maturities from 2029 to
2032(e)
15,402
10,448
Government National Mortgage Association,
7.000%, 9/15/2025
10,404
1,124
Government National Mortgage Association,
7.500%, with various maturities from 2025 to
2030(e)
1,530
155,178,000
Uniform Mortgage-Backed Security, TBA,
3.500%, 11/01/2053(f)
133,562,190
 
1,630,618,866
Natural Gas — 0.0%
2,701,000
Boston Gas Co., 3.001%, 8/01/2029(a)
2,287,828
Principal
Amount (‡)
Description
Value (†)
Non-Agency Commercial Mortgage-Backed Securities — 2.0%
$22,085,000
AOA Mortgage Trust, Series 2021-1177,
Class A, 1 mo. USD SOFR + 0.989%,
6.322%, 10/15/2038(a)(c)
$20,383,925
1,531,640
BANK, Series 2019-BN16, Class A4,
4.005%, 2/15/2052
1,390,522
3,409,380
BANK, Series 2019-BN20, Class A3,
3.011%, 9/15/2062
2,837,231
12,696,152
BANK, Series 2019-BN22, Class A4,
2.978%, 11/15/2062
10,713,545
6,138,240
BANK, Series 2019-BN24, Class A3,
2.960%, 11/15/2062
5,187,419
7,135,000
BPR Trust, Series 2021-NRD, Class A, 1 mo.
USD SOFR + 1.525%, 6.858%, 12/15/2038(a)(c)
6,730,865
14,179,842
Citigroup Commercial Mortgage Trust,
Series 2019-C7, Class A4, 3.102%, 12/15/2072
11,999,706
7,070,071
Citigroup Commercial Mortgage Trust,
Series 2019-GC43, Class A4, 3.038%, 11/10/2052
5,918,720
8,877,514
Citigroup Commercial Mortgage Trust,
Series 2020-GC46, Class A5, 2.717%, 2/15/2053
7,283,610
735,606
Commercial Mortgage Trust, Series 2010-C1,
Class D, 5.985%, 7/10/2046(a)(b)
684,116
2,112,208
Credit Suisse Mortgage Trust,
Series 2014-USA, Class A1,
3.304%, 9/15/2037(a)
1,761,255
11,367,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class A2,
3.953%, 9/15/2037(a)
9,699,756
8,025,000
DC Commercial Mortgage Trust,
Series 2023-DC, Class A, 6.314%, 9/12/2040(a)
7,999,739
7,694,197
Extended Stay America Trust,
Series 2021-ESH, Class A, 1 mo. USD SOFR +
1.194%, 6.527%, 7/15/2038(a)(c)
7,628,986
1,411,474
Extended Stay America Trust,
Series 2021-ESH, Class D, 1 mo. USD SOFR +
2.364%, 7.697%, 7/15/2038(a)(c)
1,388,437
5,627,003
GS Mortgage Securities Trust,
Series 2011-GC5, Class C,
5.299%, 8/10/2044(a)(b)
3,939,007
2,317,554
GS Mortgage Securities Trust,
Series 2014-GC18, Class B,
4.885%, 1/10/2047(b)
1,927,569
6,596,065
GS Mortgage Securities Trust,
Series 2020-GC45, Class A5, 2.911%, 2/13/2053
5,515,603
8,330,022
Med Trust, Series 2021-MDLN, Class A, 1 mo.
USD SOFR + 1.064%, 6.397%, 11/15/2038(a)(c)
8,120,961
845,294
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C11, Class A4,
4.020%, 8/15/2046(b)
838,954
4,982,141
WFRBS Commercial Mortgage Trust,
Series 2011-C4, Class D,
4.993%, 6/15/2044(a)(b)
4,205,076
5,245,978
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class AS, 4.176%, 5/15/2047
4,912,691
 
131,067,693
Other REITs — 0.0%
3,790,000
EPR Properties, 3.600%, 11/15/2031
2,809,412
Paper — 0.2%
11,175,000
Klabin Austria GmbH, 7.000%, 4/03/2049(a)
10,548,579
Pharmaceuticals — 0.4%
12,370,000
Amgen, Inc., 5.750%, 3/02/2063
11,411,085
See accompanying notes to financial statements.
43 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Pharmaceuticals — continued
$10,284,000
Teva Pharmaceutical Finance Netherlands III
BV, 3.150%, 10/01/2026
$9,165,825
7,588,000
Teva Pharmaceutical Finance Netherlands III
BV, 7.125%, 1/31/2025
7,614,232
1,903,000
Viatris, Inc., 4.000%, 6/22/2050
1,150,427
 
29,341,569
Property & Casualty Insurance — 0.1%
2,585,000
Ascot Group Ltd., 4.250%, 12/15/2030(a)
1,907,705
5,865,000
Liberty Mutual Group, Inc.,
3.950%, 5/15/2060(a)
3,679,049
 
5,586,754
Refining — 0.2%
1,000,000
Thaioil Treasury Center Co. Ltd.,
3.750%, 6/18/2050(a)
602,387
19,664,000
Thaioil Treasury Center Co. Ltd.,
4.875%, 1/23/2043(a)
15,020,936
 
15,623,323
Retailers — 0.4%
3,081,000
Alibaba Group Holding Ltd., 3.250%, 2/09/2061
1,645,608
12,355,000
Dick's Sporting Goods, Inc., 4.100%, 1/15/2052
7,505,709
4,907,000
El Puerto de Liverpool SAB de CV,
3.875%, 10/06/2026(a)
4,596,525
8,985,000
Falabella SA, 3.375%, 1/15/2032(a)
6,608,118
6,632,000
Lithia Motors, Inc., 4.375%, 1/15/2031(a)
5,486,767
4,582,000
MercadoLibre, Inc., 3.125%, 1/14/2031
3,605,537
 
29,448,264
Sovereigns — 0.2%
4,185,000
Panama Government International Bonds,
6.853%, 3/28/2054
3,886,057
14,320,000
Republic of South Africa Government
International Bonds, 7.300%, 4/20/2052
11,315,234
 
15,201,291
Technology — 1.6%
3,175,000
Baidu, Inc., 2.375%, 10/09/2030
2,509,742
4,515,000
Baidu, Inc., 3.075%, 4/07/2025
4,372,236
5,890,000
Broadcom, Inc., 3.137%, 11/15/2035(a)
4,294,291
11,954,000
Corning, Inc., 5.450%, 11/15/2079
10,039,054
2,133,000
Equifax, Inc., 2.600%, 12/15/2025
1,984,396
4,324,000
Equifax, Inc., 7.000%, 7/01/2037
4,331,663
15,011,000
Hewlett Packard Enterprise Co.,
6.200%, 10/15/2035
15,083,481
12,714,000
Iron Mountain, Inc., 4.500%, 2/15/2031(a)
10,456,800
5,460,000
Jabil, Inc., 3.000%, 1/15/2031
4,423,910
2,250,000
Jabil, Inc., 5.450%, 2/01/2029
2,188,010
6,151,000
Molex Electronic Technologies LLC,
3.900%, 4/15/2025(a)
5,886,683
14,161,000
Oracle Corp., 4.100%, 3/25/2061
9,444,868
4,505,000
Qorvo, Inc., 1.750%, 12/15/2024(a)
4,232,755
3,513,000
Sabre Global, Inc., 8.625%, 6/01/2027(a)
2,978,344
39,000
Science Applications International Corp.,
4.875%, 4/01/2028(a)
35,394
4,204,000
Sensata Technologies, Inc.,
3.750%, 2/15/2031(a)
3,402,402
13,563,000
Tencent Holdings Ltd., 3.290%, 6/03/2060(a)
7,344,033
13,307,000
Ziff Davis, Inc., 4.625%, 10/15/2030(a)
11,266,364
 
104,274,426
Tobacco — 0.4%
26,019,000
BAT Capital Corp., 2.789%, 9/06/2024
25,246,929
Principal
Amount (‡)
Description
Value (†)
Treasuries — 33.3%
6,545,647(g
)
Mexico Bonos, Series M, 5.750%, 3/05/2026,
(MXN)
33,674,917
12,930,849(g
)
Mexico Bonos, Series M 20, 8.500%, 5/31/2029,
(MXN)
69,679,302
154,795,000
U.S. Treasury Bonds, 1.750%, 8/15/2041
96,396,168
241,735,000
U.S. Treasury Bonds, 2.000%, 11/15/2041
156,872,795
71,990,000
U.S. Treasury Bonds, 2.375%, 2/15/2042
49,760,276
46,925,000
U.S. Treasury Bonds, 3.250%, 5/15/2042
37,393,359
91,165,000
U.S. Treasury Bonds, 3.375%, 8/15/2042
73,865,017
61,645,000
U.S. Treasury Bonds, 3.625%, 2/15/2053
50,982,341
25,855,000
U.S. Treasury Bonds, 3.625%, 5/15/2053
21,407,132
15,860,000
U.S. Treasury Bonds, 3.875%, 2/15/2043
13,803,156
84,395,000
U.S. Treasury Bonds, 3.875%, 5/15/2043
73,370,903
30,715,000
U.S. Treasury Bonds, 4.125%, 8/15/2053
27,883,461
33,540,000
U.S. Treasury Notes, 2.750%, 7/31/2027
31,243,296
45,850,000
U.S. Treasury Notes, 2.750%, 8/15/2032
39,703,234
1,135,000
U.S. Treasury Notes, 2.875%, 5/15/2032
996,273
175,885,000
U.S. Treasury Notes, 3.125%, 8/31/2029
162,089,020
160,115,000
U.S. Treasury Notes, 3.375%, 5/15/2033
145,204,291
41,465,000
U.S. Treasury Notes, 3.500%, 1/31/2028
39,571,540
25,800,000
U.S. Treasury Notes, 3.500%, 4/30/2028
24,590,625
21,635,000
U.S. Treasury Notes, 3.500%, 1/31/2030
20,278,587
127,735,000
U.S. Treasury Notes, 3.500%, 2/15/2033
117,196,862
31,760,000
U.S. Treasury Notes, 3.625%, 3/31/2028
30,447,419
31,255,000
U.S. Treasury Notes, 3.625%, 5/31/2028
29,955,964
12,305,000
U.S. Treasury Notes, 3.625%, 3/31/2030
11,606,595
3,655,000
U.S. Treasury Notes, 3.750%, 6/30/2030
3,469,109
14,275,000
U.S. Treasury Notes, 3.875%, 11/30/2027
13,837,828
33,275,000
U.S. Treasury Notes, 3.875%, 12/31/2027
32,249,454
150,610,000
U.S. Treasury Notes, 3.875%, 9/30/2029
144,473,819
30,770,000
U.S. Treasury Notes, 3.875%, 11/30/2029
29,491,122
60,010,000
U.S. Treasury Notes, 3.875%, 12/31/2029
57,485,361
128,115,000
U.S. Treasury Notes, 3.875%, 8/15/2033
121,048,657
10,015,000
U.S. Treasury Notes, 4.000%, 6/30/2028
9,747,803
10,050,000
U.S. Treasury Notes, 4.125%, 9/30/2027
9,840,756
19,250,000
U.S. Treasury Notes, 4.125%, 10/31/2027
18,840,186
17,846,000
U.S. Treasury Notes, 4.125%, 7/31/2028
17,461,196
235,490,000
U.S. Treasury Notes, 4.125%, 11/15/2032
227,119,065
88,215,000
U.S. Treasury Notes, 4.625%, 9/30/2028
88,270,134
4,053,612,000
Uruguay Government International Bonds,
8.250%, 5/21/2031, (UYU)
98,389,009
213,447,000
Uruguay Government International Bonds,
8.500%, 3/15/2028, (UYU)(a)
5,349,077
93,095,000
Uruguay Government International Bonds,
8.500%, 3/15/2028, (UYU)
2,333,002
 
2,237,378,111
Wireless — 0.8%
17,567,000
Bharti Airtel Ltd., 4.375%, 6/10/2025(a)
17,121,095
983,000
Crown Castle, Inc., 4.150%, 7/01/2050
700,152
3,360,000
Empresa Nacional de Telecomunicaciones SA,
3.050%, 9/14/2032(a)
2,562,000
8,085,000
Kenbourne Invest SA, 4.700%, 1/22/2028(a)
5,030,245
5,452,000
Millicom International Cellular SA,
4.500%, 4/27/2031(a)
3,893,555
14,210,000
SBA Communications Corp., 3.125%, 2/01/2029
11,852,167
16,530,000
Sitios Latinoamerica SAB de CV,
5.375%, 4/04/2032(a)
14,213,816
 
55,373,030
Wirelines — 0.6%
18,528,000
AT&T, Inc., 1.700%, 3/25/2026
16,811,229
7,956,000
AT&T, Inc., 3.500%, 9/15/2053
4,915,607
See accompanying notes to financial statements.
| 44

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Wirelines — continued
$2,905,000
AT&T, Inc., 3.550%, 9/15/2055
$1,778,319
1,863,000
AT&T, Inc., 3.650%, 6/01/2051
1,201,251
11,891,000
AT&T, Inc., 3.650%, 9/15/2059
7,235,055
7,539,000
AT&T, Inc., 3.800%, 12/01/2057
4,776,151
 
36,717,612
Total Non-Convertible Bonds
(Identified Cost $6,983,349,225)
6,158,305,676
Municipals — 0.1%
Virginia — 0.1%
12,785,000
University of Virginia, 3.227%, 9/01/2119
(Identified Cost $12,785,000)
7,354,441
Total Bonds and Notes
(Identified Cost $6,996,134,225)
6,165,660,117
Collateralized Loan Obligations — 3.1%
2,390,000
37 Capital CLO 1 Ltd., Series 2021-1A, Class D,
3 mo. USD SOFR + 3.782%,
9.090%, 10/15/2034(a)(c)
2,355,177
1,000,000
37 Capital CLO II Ltd., Series 2022-1A, Class C1,
3 mo. USD SOFR + 3.350%,
8.658%, 7/15/2034(a)(c)
1,001,316
1,000,000
AIMCO CLO 14 Ltd., Series 2021-14A, Class B,
3 mo. USD SOFR + 1.612%,
6.938%, 4/20/2034(a)(c)
979,032
1,575,000
Allegro CLO XII Ltd., Series 2020-1A, Class B,
3 mo. USD SOFR + 1.962%,
7.295%, 1/21/2032(a)(c)
1,551,154
1,896,362
AMMC CLO 16 Ltd., Series 2015-16A,
Class BR2, 3 mo. USD SOFR + 1.712%,
7.023%, 4/14/2029(a)(c)
1,896,386
4,275,000
AMMC CLO 26 Ltd., Series 2023-26A, Class D,
3 mo. USD SOFR + 5.750%,
10.893%, 4/15/2036(a)(c)
4,337,864
400,000
ARES XXXVII CLO Ltd., Series 2015-4A,
Class A3R, 3 mo. USD SOFR + 1.762%,
7.070%, 10/15/2030(a)(c)
394,260
745,000
Atrium IX, Series 9A, Class BR2, 3 mo. USD
SOFR + 1.762%, 7.150%, 5/28/2030(a)(c)
737,612
982,443
Atrium XIII, Series 13A, Class A1, 3 mo. USD
SOFR + 1.442%, 6.787%, 11/21/2030(a)(c)
980,158
1,650,000
Atrium XV, Series 15A, Class B, 3 mo. USD
SOFR + 2.012%, 7.357%, 1/23/2031(a)(c)
1,647,612
3,000,000
Atrium XV, Series 15A, Class D, 3 mo. USD
SOFR + 3.262%, 8.607%, 1/23/2031(a)(c)
2,936,103
1,165,000
Bain Capital Credit CLO Ltd., Series 2019-1A,
Class CR, 3 mo. USD SOFR + 2.412%,
7.732%, 4/19/2034(a)(c)
1,144,423
845,000
Bain Capital Credit CLO Ltd., Series 2020-1A,
Class B, 3 mo. USD SOFR + 1.962%,
7.272%, 4/18/2033(a)(c)
837,937
1,750,000
Bain Capital Credit CLO Ltd., Series 2021-7A,
Class D, 3 mo. USD SOFR + 3.512%,
8.857%, 1/22/2035(a)(c)
1,694,149
565,000
Bain Capital Credit CLO Ltd., Series 2023-1A,
Class B, 3 mo. USD SOFR + 2.250%,
6.993%, 4/16/2036(a)(c)
552,916
2,250,000
Bain Capital Credit CLO Ltd., Series 2023-1A,
Class D, 3 mo. USD SOFR + 4.900%,
9.643%, 4/16/2036(a)(c)
2,261,785
Principal
Amount (‡)
Description
Value (†)
$4,165,000
Balboa Bay Loan Funding Ltd., Series 2021-1A,
Class A, 3 mo. USD SOFR + 1.462%,
6.788%, 7/20/2034(a)(c)
$4,142,092
3,420,000
Balboa Bay Loan Funding Ltd., Series 2023-1A,
Class B, 3 mo. USD SOFR + 2.550%,
7.429%, 4/20/2035(a)(c)
3,426,416
1,400,000
Ballyrock CLO Ltd., Series 2019-1A, Class A2R,
3 mo. USD SOFR + 1.812%,
7.120%, 7/15/2032(a)(c)
1,386,192
1,065,000
Battalion CLO VIII, Series 2015-8A, Class BR2,
3 mo. USD SOFR + 2.262%,
7.572%, 7/18/2030(a)(c)
1,056,003
5,000,000
Battalion CLO X Ltd., Series 2016-10A,
Class A1R2, 3 mo. USD SOFR + 1.432%,
6.777%, 1/25/2035(a)(c)
4,939,940
400,000
Battalion CLO XIX Ltd., Series 2021-19A,
Class D, 3 mo. USD SOFR + 3.512%,
8.820%, 4/15/2034(a)(c)
372,448
1,675,000
Betony CLO 2 Ltd., Series 2018-1A, Class A2,
3 mo. USD SOFR + 1.862%,
7.231%, 4/30/2031(a)(c)
1,660,201
1,865,000
BlueMountain CLO XXIX Ltd., Series 2020-29A,
Class BR, 3 mo. USD SOFR + 2.012%,
7.363%, 7/25/2034(a)(c)
1,837,786
2,400,000
Buttermilk Park CLO Ltd., Series 2018-1A,
Class C, 3 mo. USD SOFR + 2.362%,
7.670%, 10/15/2031(a)(c)
2,343,024
1,875,320
Carbone CLO Ltd., Series 2017-1A, Class A1,
3 mo. USD SOFR + 1.402%,
6.728%, 1/20/2031(a)(c)
1,873,253
545,000
Carlyle Global Market Strategies CLO Ltd.,
Series 2015-5A, Class A2RR, 3 mo. USD SOFR +
1.912%, 7.238%, 1/20/2032(a)(c)
537,569
3,975,000
CarVal CLO II Ltd., Series 2019-1A, Class DR,
3 mo. USD SOFR + 3.462%,
8.788%, 4/20/2032(a)(c)
3,860,150
3,515,000
CarVal CLO III Ltd., Series 2019-2A, Class DR,
3 mo. USD SOFR + 3.212%,
8.538%, 7/20/2032(a)(c)
3,460,888
525,000
Cayuga Park CLO Ltd., Series 2020-1A,
Class B1R, 3 mo. USD SOFR + 1.912%,
7.220%, 7/17/2034(a)(c)
515,469
1,255,000
CIFC Funding Ltd., Series 2017-1A, Class B,
3 mo. USD SOFR + 1.962%,
7.295%, 4/23/2029(a)(c)
1,251,116
540,000
CIFC Funding Ltd., Series 2019-3A, Class CR,
3 mo. USD SOFR + 3.312%,
8.620%, 10/16/2034(a)(c)
537,814
2,500,000
CIFC Funding Ltd., Series 2019-5A, Class CR,
3 mo. USD SOFR + 3.412%,
8.720%, 1/15/2035(a)(c)
2,473,292
2,935,000
CIFC Funding Ltd., Series 2020-1A, Class BR,
3 mo. USD SOFR + 1.912%,
7.220%, 7/15/2036(a)(c)
2,888,342
4,500,000
CIFC Funding Ltd., Series 2020-3A, Class DR,
3 mo. USD SOFR + 3.362%,
8.688%, 10/20/2034(a)(c)
4,403,871
7,190,000
CIFC Funding Ltd., Series 2021-7A, Class D,
3 mo. USD SOFR + 3.262%,
8.607%, 1/23/2035(a)(c)
6,904,960
4,210,000
Clover CLO LLC, Series 2018-1A, Class A1R,
3 mo. USD SOFR + 1.382%,
6.708%, 4/20/2032(a)(c)
4,199,795
See accompanying notes to financial statements.
45 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
$725,000
Clover CLO Ltd., Series 2019-1A, Class BR,
3 mo. USD SOFR + 1.850%,
7.160%, 4/18/2035(a)(c)
$710,065
7,655,000
Crown City CLO III, Series 2021-1A, Class A1A,
3 mo. USD SOFR + 1.432%,
6.758%, 7/20/2034(a)(c)
7,567,871
633,374
Dryden 30 Senior Loan Fund, Series 2013-30A,
Class AR, 3 mo. USD SOFR + 1.082%,
6.446%, 11/15/2028(a)(c)
631,450
5,450,000
Dryden 78 CLO Ltd., Series 2020-78A, Class A,
3 mo. USD SOFR + 1.442%,
6.750%, 4/17/2033(a)(c)
5,379,297
4,520,000
Elmwood CLO III Ltd., Series 2019-3A,
Class AR, 3 mo. USD SOFR + 1.422%,
6.748%, 10/20/2034(a)(c)
4,500,713
2,700,000
Elmwood CLO IV Ltd., Series 2020-1A, Class A,
3 mo. USD SOFR + 1.502%,
6.810%, 4/15/2033(a)(c)
2,691,949
1,750,000
Fortress Credit BSL XII Ltd., Series 2021-4A,
Class D, 3 mo. USD SOFR + 3.912%,
9.220%, 10/15/2034(a)(c)
1,733,478
500,000
Generate CLO 9 Ltd., Series 9A, Class A, 3 mo.
USD SOFR + 1.462%, 6.788%, 10/20/2034(a)(c)
496,347
1,875,000
GoldenTree Loan Management U.S. CLO 2 Ltd.,
Series 2017-2A, Class BR, 3 mo. USD SOFR +
1.662%, 6.988%, 11/20/2030(a)(c)
1,859,539
1,518,000
Greywolf CLO VI Ltd., Series 2018-1A, Class A2,
3 mo. USD SOFR + 1.890%,
7.241%, 4/26/2031(a)(c)
1,509,504
2,575,000
Hayfin U.S. XII Ltd., Series 2018-9A, Class BR,
3 mo. USD SOFR + 2.062%,
7.427%, 4/28/2031(a)(c)
2,560,322
5,000,000
Invesco U.S. CLO Ltd., Series 2023-2A, Class D,
3 mo. USD SOFR + 4.950%,
9.806%, 4/21/2036(a)(c)
5,033,375
2,000,000
LCM XX LP, Series 20A, Class BR, 3 mo. USD
SOFR + 1.812%, 7.138%, 10/20/2027(a)(c)
1,999,662
1,190,000
Long Point Park CLO Ltd., Series 2017-1A,
Class A2, 3 mo. USD SOFR + 1.637%,
6.945%, 1/17/2030(a)(c)
1,172,401
3,155,000
Madison Park Funding LIX Ltd.,
Series 2021-59A, Class A, 3 mo. USD SOFR +
1.402%, 6.712%, 1/18/2034(a)(c)
3,136,367
680,000
Madison Park Funding XXII Ltd.,
Series 2016-22A, Class BR, 3 mo. USD SOFR +
1.862%, 7.170%, 1/15/2033(a)(c)
670,528
475,000
Madison Park Funding XXXV Ltd.,
Series 2019-35A, Class CR, 3 mo. USD SOFR +
2.162%, 7.488%, 4/20/2032(a)(c)
467,574
835,000
Madison Park Funding XXXVIII Ltd.,
Series 2021-38A, Class B, 3 mo. USD SOFR +
1.912%, 7.220%, 7/17/2034(a)(c)
824,074
1,410,903
Magnetite XVIII Ltd., Series 2016-18A,
Class AR2, 3 mo. USD SOFR + 1.142%,
6.506%, 11/15/2028(a)(c)
1,407,197
1,250,000
Magnetite XXI Ltd., Series 2019-21A, Class BR,
3 mo. USD SOFR + 1.612%,
6.938%, 4/20/2034(a)(c)
1,224,033
465,000
MP CLO VIII Ltd., Series 2015-2A, Class ARR,
3 mo. USD LIBOR + 1.200%,
6.827%, 4/28/2034(a)(c)
456,307
Principal
Amount (‡)
Description
Value (†)
$1,345,000
Neuberger Berman CLO XIV, Series 2013-14A,
Class BR2, 3 mo. USD SOFR + 1.762%,
7.127%, 1/28/2030(a)(c)
$1,332,961
650,000
Neuberger Berman CLO XIV Ltd.,
Series 2013-14A, Class CR2, 3 mo. USD SOFR +
2.162%, 7.527%, 1/28/2030(a)(c)
642,511
3,410,000
Neuberger Berman Loan Advisers CLO 40 Ltd.,
Series 2021-40A, Class B, 3 mo. USD SOFR +
1.662%, 6.970%, 4/16/2033(a)(c)
3,359,399
2,745,000
NYACK Park CLO Ltd., Series 2021-1A, Class D,
3 mo. USD SOFR + 3.062%,
8.388%, 10/20/2034(a)(c)
2,582,996
1,750,000
Octagon Investment Partners 31 Ltd.,
Series 2017-1A, Class B1R, 3 mo. USD SOFR +
1.762%, 7.088%, 7/20/2030(a)(c)
1,735,960
4,385,000
Octagon Investment Partners 32 Ltd.,
Series 2017-1A, Class CR, 3 mo. USD SOFR +
2.312%, 7.620%, 7/15/2029(a)(c)
4,294,915
4,000,000
OHA Credit Funding 10 Ltd., Series 2021-10A,
Class A, 3 mo. USD SOFR + 1.392%,
6.702%, 1/18/2036(a)(c)
3,980,664
1,000,000
OHA Credit Funding 16 Ltd., Series 2023-16A,
Class B, 3 mo. USD SOFR + 2.250%,
6.745%, 10/20/2036(a)(c)
1,000,000
8,880,000
OHA Credit Funding 8 Ltd., Series 2021-8A,
Class B1, 3 mo. USD SOFR + 1.762%,
7.072%, 1/18/2034(a)(c)
8,795,010
1,280,000
OHA Credit Partners XI Ltd., Series 2015-11A,
Class BR, 3 mo. USD SOFR + 1.912%,
7.238%, 1/20/2032(a)(c)
1,273,902
470,000
OZLM Funding IV Ltd., Series 2013-4A,
Class A2R, 3 mo. USD SOFR + 1.962%,
7.307%, 10/22/2030(a)(c)
462,997
260,000
Palmer Square CLO Ltd., Series 2015-2A,
Class BR2, 3 mo. USD SOFR + 2.212%,
7.538%, 7/20/2030(a)(c)
257,264
250,000
Palmer Square CLO Ltd., Series 2019-1A,
Class A2R, 3 mo. USD SOFR + 1.962%,
7.331%, 11/14/2034(a)(c)
246,586
2,120,000
Palmer Square Loan Funding Ltd.,
Series 2020-4A, Class C, 3 mo. USD SOFR +
3.862%, 9.253%, 11/25/2028(a)(c)
2,118,453
1,250,000
Palmer Square Loan Funding Ltd.,
Series 2021-1A, Class B, 3 mo. USD SOFR +
2.062%, 7.388%, 4/20/2029(a)(c)
1,237,027
750,000
Palmer Square Loan Funding Ltd.,
Series 2021-3A, Class A2, 3 mo. USD SOFR +
1.662%, 6.988%, 7/20/2029(a)(c)
747,846
1,500,000
Palmer Square Loan Funding Ltd.,
Series 2021-4A, Class A2, 3 mo. USD SOFR +
1.662%, 6.970%, 10/15/2029(a)(c)
1,491,268
1,000,000
Palmer Square Loan Funding Ltd.,
Series 2022-2A, Class A2, 3 mo. USD SOFR +
1.900%, 7.208%, 10/15/2030(a)(c)
996,533
1,450,000
Post CLO Ltd., Series 2021-1A, Class A, 3 mo.
USD SOFR + 1.462%, 6.770%, 10/15/2034(a)(c)
1,439,965
5,670,000
Post CLO Ltd., Series 2021-1A, Class B, 3 mo.
USD SOFR + 2.012%, 7.320%, 10/15/2034(a)(c)
5,610,618
1,245,000
Post CLO Ltd., Series 2022-1A, Class B, 3 mo.
USD SOFR + 1.900%, 7.226%, 4/20/2035(a)(c)
1,215,235
3,730,000
PPM CLO 5 Ltd., Series 2021-5A, Class B, 3 mo.
USD SOFR + 1.962%, 7.272%, 10/18/2034(a)(c)
3,646,821
See accompanying notes to financial statements.
| 46

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount (‡)
Description
Value (†)
$1,460,000
Recette CLO Ltd., Series 2015-1A, Class BRR,
3 mo. USD SOFR + 1.662%,
6.988%, 4/20/2034(a)(c)
$1,433,136
750,000
Regatta IX Funding Ltd., Series 2017-1A,
Class B, 3 mo. USD SOFR + 2.062%,
7.370%, 4/17/2030(a)(c)
749,575
3,250,000
Riserva CLO Ltd., Series 2016-3A, Class DRR,
3 mo. USD SOFR + 3.512%,
8.822%, 1/18/2034(a)(c)
3,125,736
1,495,000
Rockford Tower CLO Ltd., Series 2017-1A,
Class BR2A, 3 mo. USD SOFR + 1.912%,
7.238%, 4/20/2034(a)(c)
1,458,223
2,750,000
RR 26 Ltd., Series 2023-26A, Class A1, 3 mo.
USD SOFR + 1.780%, 6.512%, 4/15/2038(a)(c)
2,751,752
3,000,000
Signal Peak CLO 1 Ltd., Series 2014-1A,
Class AR3, 3 mo. USD SOFR + 1.422%,
6.730%, 4/17/2034(a)(c)
2,974,992
1,000,000
Signal Peak CLO Ltd., Series 2022-12A,
Class B1, 3 mo. USD SOFR + 2.600%,
7.910%, 7/18/2034(a)(c)
1,000,400
1,000,000
Silver Creek CLO Ltd., Series 2014-1A,
Class DR, 3 mo. USD SOFR + 3.612%,
8.938%, 7/20/2030(a)(c)
1,002,516
2,085,000
THL Credit Wind River CLO Ltd.,
Series 2017-4A, Class B, 3 mo. USD SOFR +
1.712%, 7.091%, 11/20/2030(a)(c)
2,052,682
3,500,000
TICP CLO V Ltd., Series 2016-5A, Class CR,
3 mo. USD SOFR + 2.462%,
7.770%, 7/17/2031(a)(c)
3,480,071
1,880,000
TICP CLO XII Ltd., Series 2018-12A, Class BR,
3 mo. USD SOFR + 1.912%,
7.220%, 7/15/2034(a)(c)
1,845,258
5,000,000
Trestles CLO IV Ltd., Series 2021-4A, Class A,
3 mo. USD SOFR + 1.432%,
6.765%, 7/21/2034(a)(c)
4,952,880
1,000,000
Trinitas CLO XVI Ltd., Series 2021-16A,
Class A1, 3 mo. USD SOFR + 1.442%,
6.768%, 7/20/2034(a)(c)
987,151
500,000
Trinitas CLO XVIII Ltd., Series 2021-18A,
Class A1, 3 mo. USD SOFR + 1.432%,
6.758%, 1/20/2035(a)(c)
493,591
2,280,000
Wellington Management CLO 1 Ltd.,
Series 2023-1A, Class C, 3 mo. USD SOFR +
3.100%, 9.400%, 10/20/2036(a)(c)
2,280,401
250,000
Wind River CLO Ltd., Series 2021-3A, Class A,
3 mo. USD SOFR + 1.412%,
6.738%, 7/20/2033(a)(c)
247,703
Total Collateralized Loan Obligations
(Identified Cost $203,861,428)
204,715,556
Short-Term Investments — 8.8%
80,539,294
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 9/29/2023
at 2.500% to be repurchased at $80,556,073
on 10/02/2023  collateralized by $58,545,500
U.S. Treasury Note, 0.750% due 8/31/2026
valued at $52,131,330; $33,072,800
U.S. Treasury Note, 1.375% due 8/31/2026
valued at $30,018,791; including accrued
interest (Note 2 of Notes to Financial
Statements)
80,539,294
13,005,000
Federal Home Loan Bank Discount Notes,
5.150%-5.220%, 10/05/2023(h)(i)
12,999,446
Principal
Amount (‡)
Description
Value (†)
$28,525,000
Federal Home Loan Bank Discount Notes,
5.220%-5.270%, 10/02/2023(h)(i)(j)
$28,525,000
73,300,000
Federal Home Loan Bank Discount Notes,
5.250%, 10/10/2023(i)
73,216,545
52,405,000
Federal Home Loan Bank Discount Notes,
5.250%, 10/11/2023(i)
52,336,178
71,255,000
Federal Home Loan Bank Discount Notes,
5.250%, 10/16/2023(i)
71,113,089
100,000,000
Federal National Mortgage Association
Discount Notes, 5.225%, 10/02/2023(i)
100,000,000
40,890,000
U.S. Treasury Bills,
5.251%–5.262%, 2/01/2024(h)(i)(k)
40,155,224
126,320,000
U.S. Treasury Bills,
5.266%–5.268%, 11/02/2023(h)(i)
125,744,577
3,110,000
U.S. Treasury Bills, 5.300%, 12/21/2023(i)
3,073,278
Total Short-Term Investments
(Identified Cost $587,663,098)
587,702,631
Total Investments — 103.7%
(Identified Cost $7,787,658,751)
6,958,078,304
Other assets less liabilities — (3.7)%
(245,069,150
)
Net Assets — 100.0%
$6,713,009,154
 
(†)
See Note 2 of Notes to Financial Statements.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise noted.
(a)
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, 2023,
the value of Rule 144A holdings amounted to $1,401,270,934 or
20.9% of net assets.
(b)
Variable rate security. The interest rate adjusts periodically
based on; (i) changes in current interest rates and/or
prepayments on underlying pools of assets, if applicable,
(ii) reference to a base lending rate plus or minus a margin,
and/or (iii) reference to a base lending rate adjusted by a
multiplier and/or subject to certain floors or caps. Rate as of
September 30, 2023 is disclosed.
(c)
Variable rate security. Rate as of September 30, 2023 is
disclosed.
(d)
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial
Statements.
(e)
The Fund’s investment in mortgage related securities of Federal
Home Loan Mortgage Corporation, Federal National Mortgage
Association and Government 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)
When-issued/delayed delivery.
(g)
Amount shown represents units. One unit represents a principal
amount of 100.
(h)
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.
(i)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
See accompanying notes to financial statements.
47 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Core Plus Bond Fund (continued)
(j)
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.
(k)
Security (or a portion thereof) has been pledged as collateral
for open derivative contracts.
 
ABS
Asset-Backed Securities
EMTN
Euro Medium Term Note
GMTN
Global Medium Term Note
LIBOR
London Interbank Offered Rate
MTN
Medium Term Note
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
TBA
To Be Announced
 
MXN
Mexican Peso
UYU
Uruguayan Peso
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
2,936
$323,502,359
$317,271,500
$(6,230,859
)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
654
132,903,087
132,572,953
(330,134
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
4,776
507,700,124
503,196,375
(4,503,749
)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
435
55,372,707
51,629,063
(3,743,644
)
Ultra 10-Year U.S. Treasury Notes Futures
12/19/2023
2,976
342,303,832
332,010,000
(10,293,832
)
Total
$(25,102,218
)
Industry Summary at September 30, 2023 
Treasuries
33.3
%
Mortgage Related
24.3
Banking
7.2
ABS Car Loan
2.6
Finance Companies
2.0
Non-Agency Commercial Mortgage-Backed Securities
2.0
Other Investments, less than 2% each
20.4
Collateralized Loan Obligations
3.1
Short-Term Investments
8.8
Total Investments
103.7
Other assets less liabilities (including futures contracts)
(3.7
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 48

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Credit Income Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 88.6% of Net Assets
Non-Convertible Bonds — 83.3%
Aerospace & Defense — 0.8%
$20,000
Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030
$18,087
125,000
Textron, Inc., 3.000%, 6/01/2030
105,183
20,000
TransDigm, Inc., 6.250%, 3/15/2026(a)
19,652
10,000
TransDigm, Inc., 6.750%, 8/15/2028(a)
9,845
 
152,767
Airlines — 0.6%
66,193
American Airlines Pass-Through Trust, Series 2016-3,
Class A, 3.250%, 4/15/2030
56,628
9,698
United Airlines Pass-Through Trust, Series 2020-1,
Class B, 4.875%, 7/15/2027
9,329
55,000
United Airlines Pass-Through Trust, Series 2023-1,
Class A, 5.800%, 7/15/2037
53,481
 
119,438
Apartment REITs — 0.0%
10,000
American Homes 4 Rent LP, 2.375%, 7/15/2031
7,624
Automotive — 1.2%
60,000
Allison Transmission, Inc., 3.750%, 1/30/2031(a)
48,504
70,000
General Motors Co., 5.200%, 4/01/2045
54,426
40,000
General Motors Co., 6.250%, 10/02/2043
35,838
5,000
General Motors Financial Co., Inc., 3.100%, 1/12/2032
3,869
5,000
General Motors Financial Co., Inc., 5.850%, 4/06/2030
4,789
90,000
General Motors Financial Co., Inc., 6.000%, 1/09/2028
88,898
5,000
General Motors Financial Co., Inc., Series C, (fixed
rate to 9/30/2030, variable rate thereafter), 5.700%(b)
4,273
 
240,597
Banking — 13.4%
40,000
Ally Financial, Inc., 2.200%, 11/02/2028
31,605
65,000
Ally Financial, Inc., Series B, (fixed rate to 5/15/2026,
variable rate thereafter), 4.700%(b)
44,606
50,000
Ally Financial, Inc., Series C, (fixed rate to 5/15/2028,
variable rate thereafter), 4.700%(b)
31,310
30,000
Bank of America Corp., (fixed rate to 4/25/2033,
variable rate thereafter), 5.288%, 4/25/2034
27,915
65,000
Bank of America Corp., (fixed rate to 9/15/2033,
variable rate thereafter), 5.872%, 9/15/2034
63,257
270,000
Bank of America Corp., MTN, 4.250%, 10/22/2026
256,489
200,000
Barclays PLC, (fixed rate to 5/09/2033, variable rate
thereafter), 6.224%, 5/09/2034
189,458
200,000
Barclays PLC, (fixed rate to 9/23/2030, variable rate
thereafter), 3.564%, 9/23/2035
154,422
215,000
Citigroup, Inc., 4.450%, 9/29/2027
201,852
250,000
Credit Agricole SA, (fixed rate to 1/10/2028, variable
rate thereafter), 4.000%, 1/10/2033(a)
221,672
150,000
Deutsche Bank AG, (fixed rate to 9/18/2030, variable
rate thereafter), 3.547%, 9/18/2031
120,931
390,000
Morgan Stanley, 3.625%, 1/20/2027
364,079
50,000
Morgan Stanley, (fixed rate to 1/19/2033, variable rate
thereafter), 5.948%, 1/19/2038
46,734
80,000
Morgan Stanley, (fixed rate to 1/21/2027, variable rate
thereafter), 2.475%, 1/21/2028
71,329
200,000
NatWest Group PLC, (fixed rate to 6/14/2026, variable
rate thereafter), 1.642%, 6/14/2027
176,626
115,000
Santander Holdings USA, Inc., 3.244%, 10/05/2026
104,175
200,000
Societe Generale SA, (fixed rate to 7/08/2030, variable
rate thereafter), 3.653%, 7/08/2035(a)
157,363
Principal
Amount
Description
Value (†)
Banking — continued
$200,000
Standard Chartered PLC, (fixed rate to 4/01/2030,
variable rate thereafter), 4.644%, 4/01/2031(a)
$179,927
250,000
UBS Group AG, (fixed rate to 8/12/2032, variable rate
thereafter), 6.537%, 8/12/2033(a)
247,650
 
2,691,400
Brokerage — 0.9%
15,000
Jefferies Financial Group, Inc., 6.250%, 1/15/2036
14,744
180,000
Jefferies Financial Group, Inc., 6.500%, 1/20/2043
173,334
 
188,078
Building Materials — 1.1%
260,000
Cemex SAB de CV, 3.875%, 7/11/2031(a)
217,780
Cable Satellite — 5.4%
125,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031(a)
99,539
120,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 8/15/2030(a)
98,497
35,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.750%, 2/01/2032(a)
28,000
25,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
5.125%, 5/01/2027(a)
23,293
10,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
5.500%, 5/01/2026(a)
9,659
5,000
Charter Communications Operating LLC/Charter
Communications Operating Capital, 2.300%, 2/01/2032
3,644
20,000
Charter Communications Operating LLC/Charter
Communications Operating Capital, 2.800%, 4/01/2031
15,597
90,000
Charter Communications Operating LLC/Charter
Communications Operating Capital, 3.950%, 6/30/2062
51,052
5,000
Charter Communications Operating LLC/Charter
Communications Operating Capital, 4.400%, 4/01/2033
4,253
150,000
Charter Communications Operating LLC/Charter
Communications Operating Capital, 4.800%, 3/01/2050
104,890
200,000
CSC Holdings LLC, 4.625%, 12/01/2030(a)
106,330
200,000
CSC Holdings LLC, 5.000%, 11/15/2031(a)
107,195
15,000
Directv Financing LLC/Directv Financing Co-Obligor,
Inc., 5.875%, 8/15/2027(a)
13,263
175,000
DISH DBS Corp., 5.125%, 6/01/2029
97,016
175,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
148,724
45,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
34,594
200,000
Time Warner Cable LLC, 4.500%, 9/15/2042
138,564
 
1,084,110
Chemicals — 0.9%
15,000
Celanese U.S. Holdings LLC, 6.330%, 7/15/2029
14,703
10,000
Celanese U.S. Holdings LLC, 6.379%, 7/15/2032
9,635
15,000
Celanese U.S. Holdings LLC, 6.700%, 11/15/2033
14,601
70,000
CF Industries, Inc., 4.500%, 12/01/2026(a)
66,978
15,000
FMC Corp., 3.450%, 10/01/2029
12,631
60,000
Hercules LLC, 6.500%, 6/30/2029
54,975
 
173,523
Construction Machinery — 1.6%
200,000
Ashtead Capital, Inc., 5.950%, 10/15/2033(a)
189,871
90,000
Caterpillar Financial Services Corp., MTN,
0.950%, 1/10/2024
88,851
20,000
John Deere Capital Corp., MTN, 0.900%, 1/10/2024
19,743
35,000
John Deere Capital Corp., MTN, 1.250%, 1/10/2025
33,166
 
331,631
Consumer Cyclical Services — 2.6%
10,000
Expedia Group, Inc., 2.950%, 3/15/2031
8,056
195,000
Expedia Group, Inc., 3.250%, 2/15/2030
164,932
See accompanying notes to financial statements.
49 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Credit Income Fund (continued)
Principal
Amount
Description
Value (†)
Consumer Cyclical Services — continued
$50,000
Go Daddy Operating Co. LLC/GD Finance Co., Inc.,
3.500%, 3/01/2029(a)
$42,068
325,000
Uber Technologies, Inc., 4.500%, 8/15/2029(a)
290,503
25,000
Uber Technologies, Inc., 7.500%, 9/15/2027(a)
25,208
 
530,767
Diversified Manufacturing — 0.4%
5,000
Ingersoll Rand, Inc., 5.700%, 8/14/2033
4,825
5,000
Nordson Corp., 5.600%, 9/15/2028
4,952
10,000
Nordson Corp., 5.800%, 9/15/2033
9,768
55,000
Veralto Corp., 5.450%, 9/18/2033(a)
53,214
 
72,759
Electric — 0.8%
15,000
AES Corp., 2.450%, 1/15/2031
11,536
5,000
AES Corp., 3.950%, 7/15/2030(a)
4,310
60,000
Calpine Corp., 3.750%, 3/01/2031(a)
48,337
20,000
IPALCO Enterprises, Inc., 4.250%, 5/01/2030
17,541
35,000
NRG Energy, Inc., 4.450%, 6/15/2029(a)
30,353
15,000
Pacific Gas & Electric Co., 5.450%, 6/15/2027
14,436
25,000
Southern Co., 5.700%, 3/15/2034
24,484
20,000
Vistra Operations Co. LLC, 3.700%, 1/30/2027(a)
18,243
 
169,240
Finance Companies — 7.2%
150,000
AerCap Ireland Capital DAC/AerCap Global Aviation
Trust, 3.875%, 1/23/2028
136,034
20,000
Air Lease Corp., 3.125%, 12/01/2030
16,285
60,000
Air Lease Corp., MTN, 3.000%, 2/01/2030
49,350
40,000
Air Lease Corp., Series B, (fixed rate to 6/15/2026,
variable rate thereafter), 4.650%(b)
35,225
125,000
Aircastle Ltd., 4.125%, 5/01/2024
123,211
40,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
39,227
15,000
Aircastle Ltd., Series A, (fixed rate to 6/15/2026,
variable rate thereafter), 5.250%(a)(b)
11,795
40,000
Ares Capital Corp., 2.875%, 6/15/2028
33,456
60,000
Ares Capital Corp., 3.200%, 11/15/2031
45,909
35,000
Aviation Capital Group LLC, 1.950%, 1/30/2026(a)
31,466
35,000
Aviation Capital Group LLC, 6.250%, 4/15/2028(a)
34,187
30,000
Aviation Capital Group LLC, 6.375%, 7/15/2030(a)
29,051
30,000
Barings BDC, Inc., 3.300%, 11/23/2026
26,322
115,000
Blackstone Secured Lending Fund, 2.125%, 2/15/2027
97,501
50,000
Blue Owl Capital Corp., 2.625%, 1/15/2027
42,943
70,000
Blue Owl Capital Corp., 2.875%, 6/11/2028
57,559
60,000
Blue Owl Technology Finance Corp., 2.500%, 1/15/2027
50,375
55,000
GATX Corp., 5.450%, 9/15/2033
51,615
5,000
GATX Corp., 6.050%, 3/15/2034
4,883
65,000
Hercules Capital, Inc., 3.375%, 1/20/2027
56,832
35,000
Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031(a)
28,953
60,000
Navient Corp., 5.000%, 3/15/2027
53,932
10,000
Oaktree Specialty Lending Corp., 2.700%, 1/15/2027
8,611
5,000
OneMain Finance Corp., 3.500%, 1/15/2027
4,281
10,000
OneMain Finance Corp., 5.375%, 11/15/2029
8,375
10,000
OneMain Finance Corp., 7.125%, 3/15/2026
9,794
140,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 2.875%, 10/15/2026(a)
123,297
75,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 3.625%, 3/01/2029(a)
62,005
Principal
Amount
Description
Value (†)
Finance Companies — continued
$160,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 3.875%, 3/01/2031(a)
$127,579
60,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 4.000%, 10/15/2033(a)
45,311
 
1,445,364
Financial Other — 0.6%
30,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
4.375%, 2/01/2029
23,990
120,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
5.250%, 5/15/2027
105,477
 
129,467
Food & Beverage — 1.5%
30,000
Central American Bottling Corp./CBC Bottling Holdco
SL/Beliv Holdco SL, 5.250%, 4/27/2029(a)
27,075
20,000
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc., 3.000%, 2/02/2029
16,784
10,000
Pilgrim's Pride Corp., 3.500%, 3/01/2032
7,733
10,000
Pilgrim's Pride Corp., 4.250%, 4/15/2031
8,342
50,000
Pilgrim's Pride Corp., 5.875%, 9/30/2027(a)
50,727
60,000
Post Holdings, Inc., 4.625%, 4/15/2030(a)
51,377
190,000
Smithfield Foods, Inc., 3.000%, 10/15/2030(a)
145,238
 
307,276
Gaming — 1.1%
20,000
GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032
15,522
75,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
73,718
5,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
4,900
10,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
9,884
85,000
VICI Properties LP/VICI Note Co., Inc.,
3.875%, 2/15/2029(a)
73,450
20,000
VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026(a)
18,635
5,000
VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026(a)
4,697
5,000
VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025(a)
4,828
10,000
VICI Properties LP/VICI Note Co., Inc.,
5.625%, 5/01/2024(a)
9,937
 
215,571
Health Insurance — 0.7%
90,000
Centene Corp., 2.500%, 3/01/2031
69,140
35,000
Centene Corp., 2.625%, 8/01/2031
26,807
20,000
Centene Corp., 3.000%, 10/15/2030
16,132
5,000
Centene Corp., 3.375%, 2/15/2030
4,170
5,000
Centene Corp., 4.625%, 12/15/2029
4,503
5,000
Molina Healthcare, Inc., 3.875%, 11/15/2030(a)
4,138
25,000
Molina Healthcare, Inc., 3.875%, 5/15/2032(a)
20,050
 
144,940
Healthcare — 1.6%
20,000
Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(a)
20,059
75,000
Cigna Group, 4.375%, 10/15/2028
70,966
10,000
CVS Health Corp., 5.250%, 1/30/2031
9,608
83,188
CVS Pass-Through Trust, Series 2014,
4.163%, 8/11/2036(a)
71,148
See accompanying notes to financial statements.
| 50

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Credit Income Fund (continued)
Principal
Amount
Description
Value (†)
Healthcare — continued
$5,000
Encompass Health Corp., 4.750%, 2/01/2030
$4,424
165,000
HCA, Inc., 4.125%, 6/15/2029
149,371
 
325,576
Home Construction — 0.5%
75,000
MDC Holdings, Inc., 3.966%, 8/06/2061
41,280
60,000
PulteGroup, Inc., 6.000%, 2/15/2035
57,697
 
98,977
Independent Energy — 3.6%
150,000
Aker BP ASA, 4.000%, 1/15/2031(a)
128,854
147,000
Continental Resources, Inc., 2.875%, 4/01/2032(a)
110,081
113,000
Continental Resources, Inc., 5.750%, 1/15/2031(a)
106,158
20,000
Diamondback Energy, Inc., 3.125%, 3/24/2031
16,660
25,000
Energian Israel Finance Ltd., 5.375%, 3/30/2028(a)
22,421
40,000
Energian Israel Finance Ltd., 5.875%, 3/30/2031(a)
34,690
10,000
EQT Corp., 3.125%, 5/15/2026(a)
9,252
30,000
EQT Corp., 3.625%, 5/15/2031(a)
25,378
45,000
EQT Corp., 3.900%, 10/01/2027
41,624
10,000
EQT Corp., 5.000%, 1/15/2029
9,400
10,000
EQT Corp., 5.700%, 4/01/2028
9,801
60,000
EQT Corp., 7.000%, 2/01/2030
61,724
10,000
Matador Resources Co., 6.875%, 4/15/2028(a)
9,818
30,000
Occidental Petroleum Corp., 5.550%, 3/15/2026
29,605
5,000
Occidental Petroleum Corp., 8.875%, 7/15/2030
5,622
45,000
Ovintiv, Inc., 5.375%, 1/01/2026
44,368
50,000
Ovintiv, Inc., 6.500%, 8/15/2034
49,244
5,000
Southwestern Energy Co., 4.750%, 2/01/2032
4,291
 
718,991
Industrial Other — 0.3%
55,000
Jacobs Engineering Group, Inc., 6.350%, 8/18/2028
54,840
20,000
TopBuild Corp., 4.125%, 2/15/2032(a)
16,237
 
71,077
Leisure — 1.3%
40,000
Carnival Corp., 5.750%, 3/01/2027(a)
36,209
30,000
Carnival Corp., 6.000%, 5/01/2029(a)
25,590
10,000
Carnival Corp., 7.000%, 8/15/2029(a)
9,860
50,000
Carnival Corp., 9.875%, 8/01/2027(a)
52,196
30,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
27,697
25,000
NCL Corp. Ltd., 5.875%, 2/15/2027(a)
23,744
10,000
NCL Finance Ltd., 6.125%, 3/15/2028(a)
8,825
60,000
Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a)
55,020
35,000
VOC Escrow Ltd., 5.000%, 2/15/2028(a)
31,833
 
270,974
Life Insurance — 1.1%
50,000
Athene Global Funding, 1.608%, 6/29/2026(a)
43,686
55,000
Athene Global Funding, 1.716%, 1/07/2025(a)
51,629
95,000
Athene Global Funding, 2.550%, 11/19/2030(a)
72,854
30,000
Athene Holding Ltd., 3.500%, 1/15/2031
24,440
30,000
CNO Financial Group, Inc., 5.250%, 5/30/2029
28,285
 
220,894
Lodging — 1.5%
60,000
Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032(a)
48,372
40,000
Hilton Domestic Operating Co., Inc.,
4.000%, 5/01/2031(a)
33,572
10,000
Hilton Grand Vacations Borrower Escrow LLC/Hilton
Grand Vacations Borrower Escrow, Inc.,
4.875%, 7/01/2031(a)
8,152
Principal
Amount
Description
Value (†)
Lodging — continued
$25,000
Hilton Grand Vacations Borrower Escrow LLC/Hilton
Grand Vacations Borrower Escrow, Inc.,
5.000%, 6/01/2029(a)
$21,686
40,000
Marriott International, Inc., 5.550%, 10/15/2028
39,553
25,000
Marriott International, Inc., Series FF,
4.625%, 6/15/2030
23,029
20,000
Marriott International, Inc., Series HH,
2.850%, 4/15/2031
16,122
20,000
Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a)
16,758
45,000
Travel & Leisure Co., 4.500%, 12/01/2029(a)
37,744
70,000
Travel & Leisure Co., 4.625%, 3/01/2030(a)
58,906
 
303,894
Media Entertainment — 1.8%
85,000
iHeartCommunications, Inc., 4.750%, 1/15/2028(a)
64,981
90,000
iHeartCommunications, Inc., 5.250%, 8/15/2027(a)
71,326
135,000
Netflix, Inc., 4.875%, 6/15/2030(a)
127,806
5,000
Netflix, Inc., 5.375%, 11/15/2029(a)
4,879
5,000
Netflix, Inc., 5.875%, 11/15/2028
5,028
15,000
Netflix, Inc., 6.375%, 5/15/2029
15,488
15,000
Warnermedia Holdings, Inc., 4.054%, 3/15/2029
13,364
60,000
Warnermedia Holdings, Inc., 4.279%, 3/15/2032
50,929
 
353,801
Metals & Mining — 3.7%
200,000
Anglo American Capital PLC, 4.500%, 3/15/2028(a)
188,465
50,000
ArcelorMittal SA, 6.800%, 11/29/2032
49,657
20,000
ArcelorMittal SA, 7.000%, 10/15/2039
20,035
25,000
ATI, Inc., 5.875%, 12/01/2027
23,688
200,000
First Quantum Minerals Ltd., 6.875%, 10/15/2027(a)
191,875
45,000
FMG Resources August 2006 Pty. Ltd.,
4.375%, 4/01/2031(a)
37,026
10,000
Freeport-McMoRan, Inc., 4.250%, 3/01/2030
8,836
10,000
Freeport-McMoRan, Inc., 4.625%, 8/01/2030
9,010
15,000
Glencore Funding LLC, 2.500%, 9/01/2030(a)
11,861
135,000
Glencore Funding LLC, 3.875%, 10/27/2027(a)
124,906
45,000
Glencore Funding LLC, 5.700%, 5/08/2033(a)
42,670
35,000
Novelis Corp., 4.750%, 1/30/2030(a)
30,291
10,000
Volcan Cia Minera SAA, 4.375%, 2/11/2026(a)
5,708
 
744,028
Midstream — 3.1%
15,000
Cheniere Energy Partners LP, 3.250%, 1/31/2032
11,922
75,000
Cheniere Energy Partners LP, 4.000%, 3/01/2031
64,120
5,000
Cheniere Energy Partners LP, 4.500%, 10/01/2029
4,527
25,000
Cheniere Energy Partners LP, 5.950%, 6/30/2033(a)
24,112
55,000
DCP Midstream Operating LP, 3.250%, 2/15/2032
44,375
10,000
DCP Midstream Operating LP, 5.125%, 5/15/2029
9,527
65,000
Enbridge, Inc., 5.700%, 3/08/2033
62,270
55,000
Energy Transfer LP, 4.000%, 10/01/2027
51,070
35,000
Energy Transfer LP, 5.750%, 2/15/2033
33,644
5,000
EnLink Midstream LLC, 6.500%, 9/01/2030(a)
4,851
30,000
EnLink Midstream Partners LP, 5.450%, 6/01/2047
23,440
35,000
EQM Midstream Partners LP, Series 10Y,
5.500%, 7/15/2028
32,846
15,000
Hess Midstream Operations LP, 4.250%, 2/15/2030(a)
12,649
15,000
Hess Midstream Operations LP, 5.625%, 2/15/2026(a)
14,494
80,000
NGPL PipeCo LLC, 4.875%, 8/15/2027(a)
75,518
15,000
Plains All American Pipeline LP/PAA Finance Corp.,
3.800%, 9/15/2030
12,884
5,000
Plains All American Pipeline LP/PAA Finance Corp.,
4.300%, 1/31/2043
3,553
25,000
Targa Resources Corp., 6.125%, 3/15/2033
24,508
See accompanying notes to financial statements.
51 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Credit Income Fund (continued)
Principal
Amount
Description
Value (†)
Midstream — continued
$15,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 4.000%, 1/15/2032
$12,595
5,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 4.875%, 2/01/2031
4,478
45,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
34,939
20,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(a)
16,412
10,000
Western Midstream Operating LP, 4.050%, 2/01/2030
8,741
10,000
Western Midstream Operating LP, 5.250%, 2/01/2050
7,790
20,000
Western Midstream Operating LP, 5.300%, 3/01/2048
15,611
5,000
Western Midstream Operating LP, 5.450%, 4/01/2044
4,031
5,000
Western Midstream Operating LP, 6.150%, 4/01/2033
4,822
 
619,729
Natural Gas — 0.0%
10,000
Southern Co. Gas Capital Corp., 5.750%, 9/15/2033
9,803
Office REITs — 0.0%
10,000
Corporate Office Properties LP, 2.750%, 4/15/2031
7,505
Other REITs — 0.1%
15,000
EPR Properties, 3.600%, 11/15/2031
11,119
Paper — 0.2%
45,000
Suzano Austria GmbH, 3.750%, 1/15/2031
36,989
Pharmaceuticals — 1.7%
85,000
Bausch Health Cos., Inc., 4.875%, 6/01/2028(a)
48,338
25,000
Bausch Health Cos., Inc., 5.000%, 1/30/2028(a)
10,180
50,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
44,339
85,000
Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026
75,758
250,000
Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046
156,492
 
335,107
Property & Casualty Insurance — 1.3%
175,000
Fidelity National Financial, Inc., 2.450%, 3/15/2031
134,934
40,000
HUB International Ltd., 7.250%, 6/15/2030(a)
39,927
65,000
SiriusPoint Ltd., 4.600%, 11/01/2026(a)
56,123
55,000
Stewart Information Services Corp.,
3.600%, 11/15/2031
40,417
 
271,401
Restaurants — 0.8%
125,000
1011778 BC ULC/New Red Finance, Inc.,
4.375%, 1/15/2028(a)
112,669
45,000
Yum! Brands, Inc., 4.625%, 1/31/2032
39,034
 
151,703
Retail REITs — 0.8%
115,000
Brixmor Operating Partnership LP, 4.050%, 7/01/2030
100,396
75,000
SITE Centers Corp., 3.625%, 2/01/2025
71,396
 
171,792
Retailers — 0.3%
65,000
Lithia Motors, Inc., 3.875%, 6/01/2029(a)
54,750
10,000
Tapestry, Inc., 3.050%, 3/15/2032
7,326
 
62,076
Technology — 7.9%
15,000
Broadcom, Inc., 2.450%, 2/15/2031(a)
11,724
15,000
Broadcom, Inc., 2.600%, 2/15/2033(a)
11,185
20,000
Broadcom, Inc., 3.137%, 11/15/2035(a)
14,582
30,000
Broadcom, Inc., 3.419%, 4/15/2033(a)
23,996
Principal
Amount
Description
Value (†)
Technology — continued
$25,000
Broadcom, Inc., 3.469%, 4/15/2034(a)
$19,635
30,000
Broadcom, Inc., 4.150%, 11/15/2030
26,572
15,000
Broadcom, Inc., 4.150%, 4/15/2032(a)
13,017
55,000
Broadcom, Inc., 4.300%, 11/15/2032
47,984
10,000
CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026
9,019
10,000
CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029
8,527
35,000
CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028
30,197
110,000
CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031
90,600
20,000
CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028
18,230
10,000
CommScope Technologies LLC, 5.000%, 3/15/2027(a)
5,675
105,000
CommScope, Inc., 4.750%, 9/01/2029(a)
77,232
65,000
Entegris Escrow Corp., 4.750%, 4/15/2029(a)
58,436
5,000
Everi Holdings, Inc., 5.000%, 7/15/2029(a)
4,303
85,000
Fiserv, Inc., 5.625%, 8/21/2033
82,360
35,000
Flex Ltd., 6.000%, 1/15/2028
34,822
5,000
Gartner, Inc., 3.625%, 6/15/2029(a)
4,277
25,000
Global Payments, Inc., 2.900%, 5/15/2030
20,496
25,000
Global Payments, Inc., 2.900%, 11/15/2031
19,612
15,000
Global Payments, Inc., 5.300%, 8/15/2029
14,305
30,000
Global Payments, Inc., 5.400%, 8/15/2032
28,121
60,000
Iron Mountain, Inc., 5.250%, 7/15/2030(a)
52,419
35,000
Jabil, Inc., 1.700%, 4/15/2026
31,441
15,000
Leidos, Inc., 2.300%, 2/15/2031
11,535
45,000
Leidos, Inc., 5.750%, 3/15/2033
43,126
30,000
Marvell Technology, Inc., 2.450%, 4/15/2028
25,914
25,000
Marvell Technology, Inc., 2.950%, 4/15/2031
20,226
265,000
Micron Technology, Inc., 4.663%, 2/15/2030
241,157
65,000
Micron Technology, Inc., 5.875%, 9/15/2033
61,910
25,000
MSCI, Inc., 3.250%, 8/15/2033(a)
19,241
15,000
Open Text Corp., 6.900%, 12/01/2027(a)
15,034
60,000
Oracle Corp., 3.950%, 3/25/2051
41,133
30,000
Oracle Corp., 6.150%, 11/09/2029
30,455
55,000
S&P Global, Inc., 4.250%, 5/01/2029
51,921
20,000
S&P Global, Inc., 5.250%, 9/15/2033(a)
19,495
60,000
TD SYNNEX Corp., 1.750%, 8/09/2026
52,726
50,000
Trimble, Inc., 6.100%, 3/15/2033
48,986
35,000
Verisk Analytics, Inc., 4.125%, 3/15/2029
32,580
20,000
Verisk Analytics, Inc., 5.750%, 4/01/2033
19,888
50,000
VMware, Inc., 2.200%, 8/15/2031
37,732
30,000
Western Digital Corp., 2.850%, 2/01/2029
24,085
30,000
Western Digital Corp., 4.750%, 2/15/2026
28,585
 
1,584,496
Transportation Services — 0.5%
45,000
ERAC USA Finance LLC, 4.900%, 5/01/2033(a)
42,370
60,000
Rand Parent LLC, 8.500%, 2/15/2030(a)
55,491
 
97,861
Treasuries — 7.1%
135,000
U.S. Treasury Bonds, 1.125%, 8/15/2040
76,739
255,000
U.S. Treasury Bonds, 1.875%, 2/15/2051
142,919
155,000
U.S. Treasury Bonds, 2.250%, 2/15/2052
95,119
415,000
U.S. Treasury Bonds, 3.250%, 5/15/2042
330,703
785,000
U.S. Treasury Notes, 4.625%, 6/30/2025
778,285
 
1,423,765
Wireless — 3.3%
40,000
American Tower Corp., 5.500%, 3/15/2028
39,243
60,000
American Tower Corp., 5.900%, 11/15/2033
58,579
20,000
Crown Castle, Inc., 5.100%, 5/01/2033
18,491
70,000
SBA Communications Corp., 3.125%, 2/01/2029
58,385
55,000
Sprint Capital Corp., 8.750%, 3/15/2032
63,627
130,000
T-Mobile USA, Inc., 3.375%, 4/15/2029
114,340
See accompanying notes to financial statements.
| 52

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Credit Income Fund (continued)
Principal
Amount
Description
Value (†)
Wireless — continued
$65,000
T-Mobile USA, Inc., 3.500%, 4/15/2031
$54,962
265,000
T-Mobile USA, Inc., 3.875%, 4/15/2030
234,782
25,000
T-Mobile USA, Inc., 5.750%, 1/15/2034
24,388
 
666,797
Total Non-Convertible Bonds
(Identified Cost $19,511,827)
16,780,687
Convertible Bonds — 5.3%
Airlines — 0.4%
10,000
JetBlue Airways Corp., 0.500%, 4/01/2026
7,731
85,000
Southwest Airlines Co., 1.250%, 5/01/2025
84,362
 
92,093
Cable Satellite — 1.2%
350,000
DISH Network Corp., 3.375%, 8/15/2026
210,350
45,000
DISH Network Corp., Zero Coupon,
0.000%–29.314%, 12/15/2025(c)
30,316
 
240,666
Consumer Cyclical Services — 0.3%
65,000
Uber Technologies, Inc., Zero Coupon,
0.000%–5.152%, 12/15/2025(c)
60,698
Consumer Products — 0.1%
20,000
Beauty Health Co., 1.250%, 10/01/2026(a)
15,550
Electric — 0.2%
55,000
PPL Capital Funding, Inc., 2.875%, 3/15/2028(a)
50,050
Gaming — 0.1%
10,000
Penn Entertainment, Inc., 2.750%, 5/15/2026
12,137
Healthcare — 0.8%
50,000
Envista Holdings Corp., 1.750%, 8/15/2028(a)
46,050
140,000
Teladoc Health, Inc., 1.250%, 6/01/2027
111,566
 
157,616
Independent Energy — 0.1%
20,000
Northern Oil & Gas, Inc., 3.625%, 4/15/2029(a)
24,706
Leisure — 0.2%
40,000
NCL Corp. Ltd., 1.125%, 2/15/2027
33,177
Media Entertainment — 0.2%
25,000
Snap, Inc., Zero Coupon, 6.709%–6.954%, 5/01/2027(c)
18,525
25,000
Spotify USA, Inc., Zero Coupon,
5.189%–5.777%, 3/15/2026(c)
21,263
 
39,788
Pharmaceuticals — 1.2%
195,000
BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027
193,167
15,000
Guardant Health, Inc., Zero Coupon,
0.000%, 11/15/2027(d)
10,312
40,000
Livongo Health, Inc., 0.875%, 6/01/2025
36,532
 
240,011
Retailers — 0.0%
5,000
Etsy, Inc., 0.250%, 6/15/2028
3,778
Technology — 0.5%
60,000
Splunk, Inc., 1.125%, 6/15/2027
56,610
40,000
Unity Software, Inc., Zero Coupon,
7.084%–8.213%, 11/15/2026(c)
31,660
Principal
Amount
Description
Value (†)
Technology — continued
$5,000
Wolfspeed, Inc., 0.250%, 2/15/2028
$3,370
15,000
Wolfspeed, Inc., 1.875%, 12/01/2029(a)
9,757
 
101,397
Total Convertible Bonds
(Identified Cost $1,352,444)
1,071,667
Total Bonds and Notes
(Identified Cost $20,864,271)
17,852,354
Collateralized Loan Obligations — 3.6%
250,000
AIMCO CLO 14 Ltd., Series 2021-14A, Class D, 3 mo.
USD SOFR + 3.162%, 8.488%, 4/20/2034(a)(e)
240,186
250,000
Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3 mo.
USD SOFR + 3.162%, 8.470%, 7/15/2030(a)(e)
241,618
250,000
Recette CLO Ltd., Series 2015-1A, Class DRR, 3 mo.
USD SOFR + 3.512%, 8.838%, 4/20/2034(a)(e)
237,088
Total Collateralized Loan Obligations
(Identified Cost $750,000)
718,892
 
Shares
 
 
Preferred Stocks — 0.9%
Convertible Preferred Stocks — 0.9%
Banking — 0.8%
76
Bank of America Corp., Series L, 7.250%
84,528
71
Wells Fargo & Co., Series L, Class A, 7.500%
79,165
 
163,693
Technology — 0.1%
638
Clarivate PLC, Series A, 5.250%
18,649
Total Convertible Preferred Stocks
(Identified Cost $245,301)
182,342
Total Preferred Stocks
(Identified Cost $245,301)
182,342
 
Principal
Amount
 
 
Short-Term Investments — 5.8%
$226,141
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 9/29/2023 at 2.500% to be
repurchased at $226,188 on 10/02/2023  collateralized
by $259,100 U.S. Treasury Note, 0.750% due 8/31/2026
valued at $230,713 including accrued interest
(Note 2 of Notes to Financial Statements)
226,141
325,000
U.S. Treasury Bills, 5.115%, 12/14/2023(f)
321,507
100,000
U.S. Treasury Bills, 5.201%, 10/24/2023(f)(g)
99,678
325,000
U.S. Treasury Bills, 5.231%, 12/28/2023(f)(h)
320,822
210,000
U.S. Treasury Bills, 5.258%, 1/04/2024(f)
207,091
Total Short-Term Investments
(Identified Cost $1,175,322)
1,175,239
Total Investments — 98.9%
(Identified Cost $23,034,894)
19,928,827
Other assets less liabilities — 1.1%
217,729
Net Assets — 100.0%
$20,146,556
 
(†)
See Note 2 of Notes to Financial Statements.
 
See accompanying notes to financial statements.
53 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Credit Income Fund (continued)
(a)
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, 2023, the value of
Rule 144A holdings amounted to $7,510,399 or 37.3% of net assets.
(b)
Perpetual bond with no specified maturity date.
(c)
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.
(d)
Interest rate represents annualized yield at time of purchase; not a
coupon rate.
(e)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(f)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
(g)
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.
(h)
Security (or a portion thereof) has been pledged as collateral for
open derivative contracts.
 
MTN
Medium Term Note
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
5
$550,924
$540,313
$(10,611
)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
12
2,438,612
2,432,531
(6,081
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
13
1,381,543
1,369,672
(11,871
)
CBOT U.S. Long Bond Futures
12/19/2023
29
3,479,980
3,299,656
(180,324
)
Total
$(208,887
)
At September 30, 2023, open short futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
5
$629,545
$593,438
$36,107
Ultra 10 Year U.S. Treasury Notes Futures
12/19/2023
13
1,489,578
1,450,312
39,266
Total
$75,373
Industry Summary at September 30, 2023 
Banking
14.2
%
Technology
8.5
Finance Companies
7.2
Treasuries
7.1
Cable Satellite
6.6
Metals & Mining
3.7
Independent Energy
3.7
Wireless
3.3
Midstream
3.1
Consumer Cyclical Services
2.9
Pharmaceuticals
2.9
Healthcare
2.4
Media Entertainment
2.0
Other Investments, less than 2% each
21.9
Collateralized Loan Obligations
3.6
Short-Term Investments
5.8
Total Investments
98.9
Other assets less liabilities (including futures contracts)
1.1
Net Assets
100.0
%
See accompanying notes to financial statements.
| 54

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund
 
Shares
Description
Value (†)
Common Stocks — 67.4% of Net Assets
France — 2.9%
69,259
LVMH Moet Hennessy Louis Vuitton SE
$52,278,801
240,467
Vinci SA
26,603,110
 
78,881,911
Japan — 1.7%
1,804,561
Nomura Research Institute Ltd.
46,903,634
Netherlands — 2.5%
112,949
ASML Holding NV
66,498,724
Sweden — 2.4%
4,791,849
Atlas Copco AB, Class A
64,357,728
Taiwan — 1.6%
2,670,000
Taiwan Semiconductor Manufacturing Co.
Ltd.
43,537,642
United Kingdom — 1.6%
882,292
Halma PLC
20,787,435
210,147
London Stock Exchange Group PLC
21,062,158
 
41,849,593
United States — 54.7%
232,454
Accenture PLC, Class A
71,388,948
76,707
Adobe, Inc.(a)
39,112,899
512,877
Airbnb, Inc., Class A(a)
70,371,853
675,169
Alphabet, Inc., Class A(a)
88,352,615
687,467
Amazon.com, Inc.(a)
87,390,805
69,934
BlackRock, Inc.
45,211,632
99,596
Costco Wholesale Corp.
56,267,756
211,968
Cummins, Inc.
48,426,209
239,200
Danaher Corp.
59,345,520
196,810
Diamondback Energy, Inc.
30,481,933
101,913
Goldman Sachs Group, Inc.
32,975,989
197,159
Home Depot, Inc.
59,573,563
227,810
IQVIA Holdings, Inc.(a)
44,821,618
305,368
JPMorgan Chase & Co.
44,284,467
201,645
Linde PLC
75,082,516
196,612
Mastercard, Inc., Class A
77,840,657
35,968
Mettler-Toledo International, Inc.(a)
39,855,062
427,035
NIKE, Inc., Class B
40,833,087
110,914
NVIDIA Corp.
48,246,481
37,295
O'Reilly Automotive, Inc.(a)
33,895,934
112,313
Parker-Hannifin Corp.
43,748,160
117,835
Roper Technologies, Inc.
57,065,134
212,756
S&P Global, Inc.
77,743,170
259,441
Salesforce, Inc.(a)
52,609,446
82,720
Schneider Electric SE
13,631,600
171,488
Texas Instruments, Inc.
27,268,307
82,108
Trane Technologies PLC
16,660,534
142,579
UnitedHealth Group, Inc.
71,886,906
611,233
Zions Bancorp NA
21,325,919
 
1,475,698,720
Total Common Stocks
(Identified Cost $1,599,072,185)
1,817,727,952
 
Principal
Amount (‡)
 
 
Bonds and Notes — 30.7%
Non-Convertible Bonds — 28.3%
Australia — 1.3%
$2,990,000
AngloGold Ashanti Holdings PLC,
3.375%, 11/01/2028
2,514,722
Principal
Amount (‡)
Description
Value (†)
Australia — continued
10,700,000
Australia Government Bonds, Series 164,
0.500%, 9/21/2026, (AUD)
6,195,584
670,000
GAIF Bond Issuer Pty. Ltd.,
3.400%, 9/30/2026(b)
618,507
12,105,000
Glencore Funding LLC, 6.500%, 10/06/2033(b)
12,083,642
5,000,000
Macquarie Group Ltd., (fixed rate to
1/14/2032, variable rate thereafter),
2.871%, 1/14/2033(b)
3,778,989
4,000,000
Macquarie Group Ltd., (fixed rate to
9/23/2026, variable rate thereafter),
1.629%, 9/23/2027(b)
3,494,391
11,610,000
New South Wales Treasury Corp.,
2.000%, 3/08/2033, (AUD)
5,772,881
95,000
Sydney Airport Finance Co. Pty. Ltd.,
3.375%, 4/30/2025(b)
91,179
 
34,549,895
Belgium — 0.1%
2,745,000
Anheuser-Busch InBev SA, EMTN,
2.000%, 1/23/2035, (EUR)
2,353,715
Brazil — 0.8%
1,035,000
Braskem Netherlands Finance BV,
4.500%, 1/10/2028
915,438
1,785,000
Braskem Netherlands Finance BV,
4.500%, 1/31/2030
1,454,825
2,685,000
Brazil Government International Bonds,
4.500%, 5/30/2029
2,503,619
53,329
(c)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2031, (BRL)
9,855,868
650,000
Centrais Eletricas Brasileiras SA,
4.625%, 2/04/2030(b)
562,381
835,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(b)
828,283
575,000
Raizen Fuels Finance SA,
5.300%, 1/20/2027(b)
557,682
2,515,000
Suzano Austria GmbH, 2.500%, 9/15/2028
2,089,665
550,000
Suzano Austria GmbH, 3.750%, 1/15/2031
452,087
1,185,000
Suzano Austria GmbH, Series DM3N,
3.125%, 1/15/2032
910,088
 
20,129,936
Canada — 1.2%
1,235,000
1011778 BC ULC/New Red Finance, Inc.,
4.000%, 10/15/2030(b)
1,026,252
327,912
Air Canada Pass-Through Trust,
Series 2015-2, Class A, 4.125%, 6/15/2029(b)
292,898
665,880
Air Canada Pass-Through Trust,
Series 2017-1, Class AA, 3.300%, 7/15/2031(b)
579,149
505,000
Antares Holdings LP, 3.750%, 7/15/2027(b)
435,058
1,210,000
Antares Holdings LP, 3.950%, 7/15/2026(b)
1,088,915
305,000
Antares Holdings LP, 7.950%, 8/11/2028(b)
303,192
2,835,000
Bell Telephone Co. of Canada or Bell Canada,
MTN, 3.600%, 9/29/2027, (CAD)
1,935,251
1,735,000
Brookfield Finance I U.K. PLC/Brookfield
Finance, Inc., 2.340%, 1/30/2032
1,302,273
1,015,000
Brookfield Finance, Inc., 3.900%, 1/25/2028
934,869
2,715,000
Brookfield Renewable Partners ULC, MTN,
4.250%, 1/15/2029, (CAD)
1,863,930
800,000
CPPIB Capital, Inc., 0.375%, 6/20/2024,
(EUR)(b)
824,410
4,695,000
Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030,
(CAD)
3,010,815
See accompanying notes to financial statements.
55 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Canada — continued
4,770,000
Enbridge, Inc., MTN, 2.990%, 10/03/2029,
(CAD)
3,025,864
2,965,000
Federation des Caisses Desjardins du
Quebec, (fixed rate to 5/26/2025, variable rate
thereafter), 2.856%, 5/26/2030, (CAD)
2,065,185
143,485
Institutional Mortgage Securities Canada,
Inc., Series 2014-5A, Class A2,
2.616%, 7/12/2047, (CAD)(b)
104,660
4,670,000
Ontario Power Generation, Inc., MTN,
2.977%, 9/13/2029, (CAD)
3,038,655
705,000
Open Text Corp., 6.900%, 12/01/2027(b)
706,605
2,350,000
Province of Quebec, 4.500%, 9/08/2033
2,254,797
2,960,000
Rogers Communications, Inc.,
3.300%, 12/10/2029, (CAD)
1,881,303
1,675,000
Toronto-Dominion Bank, MTN,
1.150%, 6/12/2025
1,550,676
2,735,000
Toronto-Dominion Bank, Series FXD,
1.950%, 1/12/2027
2,436,046
1,580,000
Videotron Ltd., 5.125%, 4/15/2027(b)
1,495,075
 
32,155,878
Chile — 0.6%
575,000
Antofagasta PLC, 2.375%, 10/14/2030
447,111
975,000
Antofagasta PLC, 5.625%, 5/13/2032
928,970
2,525,000
Banco Santander Chile, 3.177%, 10/26/2031(b)
2,098,477
950,000
Celulosa Arauco y Constitucion SA,
4.500%, 8/01/2024
930,193
1,005,000
Chile Government International Bonds,
2.550%, 1/27/2032
811,520
2,580,000
Colbun SA, 3.150%, 3/06/2030
2,155,147
1,960,000
Corp. Nacional del Cobre de Chile,
3.000%, 9/30/2029(b)
1,660,562
595,000
Empresa Nacional de Telecomunicaciones
SA, 3.050%, 9/14/2032(b)
453,688
1,980,000
Empresa Nacional del Petroleo,
3.450%, 9/16/2031(b)
1,583,862
525,000
Enel Chile SA, 4.875%, 6/12/2028
499,371
2,690,000
Engie Energia Chile SA, 3.400%, 1/28/2030
2,237,375
1,120,000
Transelec SA, 4.250%, 1/14/2025(b)
1,087,266
 
14,893,542
China — 0.0%
625,000
Tencent Holdings Ltd., 2.880%, 4/22/2031(b)
506,360
Colombia — 0.5%
1,395,000
Colombia Government International Bonds,
3.125%, 4/15/2031
1,030,704
575,000
Colombia Government International Bonds,
3.875%, 4/25/2027
522,900
1,280,000
Colombia Government International Bonds,
7.500%, 2/02/2034
1,208,602
7,073,300,000
Colombia TES, Series B, 6.250%, 11/26/2025,
(COP)
1,595,929
29,559,900,000
Colombia TES, Series B, 7.500%, 8/26/2026,
(COP)
6,663,830
2,536,000
Ecopetrol SA, 5.875%, 5/28/2045
1,671,122
1,300,000
Empresas Publicas de Medellin ESP,
4.250%, 7/18/2029(b)
1,043,166
 
13,736,253
Czechia — 0.1%
1,525,000
CEZ AS, EMTN, 0.875%, 12/02/2026, (EUR)
1,436,355
1,120,000
CEZ AS, EMTN, 3.000%, 6/05/2028, (EUR)
1,109,781
 
2,546,136
Principal
Amount (‡)
Description
Value (†)
Denmark — 0.1%
2,055,000
Orsted AS, EMTN, 2.125%, 5/17/2027, (GBP)
2,232,389
Dominican Republic — 0.2%
2,160,000
Dominican Republic International Bonds,
4.500%, 1/30/2030(b)
1,827,779
1,155,000
Dominican Republic International Bonds,
4.875%, 9/23/2032(b)
936,803
590,000
Dominican Republic International Bonds,
5.950%, 1/25/2027(b)
572,099
995,000
Dominican Republic International Bonds,
6.000%, 7/19/2028(b)
945,439
425,000
Dominican Republic International Bonds,
8.625%, 4/20/2027(b)
437,243
 
4,719,363
Eurozone — 0.1%
4,275,000
Ecuador Government International Bonds,
6.000%, 7/31/2030
2,172,304
France — 0.2%
205,000
BNP Paribas SA, 4.375%, 5/12/2026(b)
196,225
890,000
BNP Paribas SA, (fixed rate to 6/09/2025,
variable rate thereafter), 2.219%, 6/09/2026(b)
830,559
1,410,000
Electricite de France SA, 4.875%, 9/21/2038(b)
1,146,248
1,400,000
Engie SA, 1.250%, 10/24/2041, (EUR)
861,723
1,015,000
Societe Generale SA, 4.750%, 11/24/2025(b)
970,851
 
4,005,606
Germany — 0.3%
1,635,000
Deutsche Bank AG, (fixed rate to 1/07/2027,
variable rate thereafter), 2.552%, 1/07/2028
1,426,798
870,000
Deutsche Bank AG, (fixed rate to 10/07/2031,
variable rate thereafter), 3.742%, 1/07/2033
624,307
2,255,000
Deutsche Bank AG, (fixed rate to 10/14/2030,
variable rate thereafter), 3.729%, 1/14/2032
1,678,608
3,220,000
Fraport AG Frankfurt Airport Services
Worldwide, 1.875%, 3/31/2028, (EUR)
3,052,745
1,450,000
Siemens Financieringsmaatschappij NV,
2.350%, 10/15/2026(b)
1,329,476
250,000
ZF North America Capital, Inc.,
6.875%, 4/14/2028(b)
244,762
265,000
ZF North America Capital, Inc.,
7.125%, 4/14/2030(b)
259,859
 
8,616,555
Guatemala — 0.0%
1,050,000
CT Trust, 5.125%, 2/03/2032(b)
825,027
India — 0.4%
2,940,000
Bharti Airtel Ltd., 3.250%, 6/03/2031
2,423,677
2,790,000
Export-Import Bank of India,
2.250%, 1/13/2031(b)
2,164,201
1,250,000
Power Finance Corp. Ltd.,
3.950%, 4/23/2030(b)
1,082,263
2,400,000
Shriram Finance Ltd., 4.150%, 7/18/2025(b)
2,265,243
2,420,000
Shriram Finance Ltd., 4.400%, 3/13/2024
2,384,910
 
10,320,294
Indonesia — 0.2%
50,092,000,000
Indonesia Treasury Bonds, Series FR75,
7.500%, 5/15/2038, (IDR)
3,395,884
43,840,000,000
Indonesia Treasury Bonds, Series FR82,
7.000%, 9/15/2030, (IDR)
2,868,847
 
6,264,731
See accompanying notes to financial statements.
| 56

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Ireland — 0.3%
$3,245,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.300%, 1/30/2032
$2,579,489
1,250,000
Bank of Ireland Group PLC,
4.500%, 11/25/2023(b)
1,245,325
3,710,000
Ireland Government Bonds, Zero Coupon,
0.029%, 10/18/2031, (EUR)(d)
3,042,434
 
6,867,248
Israel — 1.1%
2,750,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
2,438,623
4,570,000
Teva Pharmaceutical Finance Netherlands III
BV, 3.150%, 10/01/2026
4,073,106
17,791,000
Teva Pharmaceutical Finance Netherlands III
BV, 4.100%, 10/01/2046
11,136,554
2,700,000
Teva Pharmaceutical Finance Netherlands III
BV, 4.750%, 5/09/2027
2,477,339
510,000
Teva Pharmaceutical Finance Netherlands III
BV, 5.125%, 5/09/2029
461,040
4,415,000
Teva Pharmaceutical Finance Netherlands III
BV, 7.875%, 9/15/2029
4,472,677
3,170,000
Teva Pharmaceutical Finance Netherlands III
BV, 8.125%, 9/15/2031
3,279,530
 
28,338,869
Italy — 0.6%
200,000
Intesa Sanpaolo SpA, 5.710%, 1/15/2026(b)
190,960
485,000
Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b)
455,769
575,000
Intesa Sanpaolo SpA, EMTN,
0.625%, 2/24/2026, (EUR)
553,954
3,305,000
Italy Buoni Poliennali Del Tesoro, Series 10Y,
2.000%, 2/01/2028, (EUR)
3,211,362
6,965,000
Italy Buoni Poliennali Del Tesoro, Series 11Y,
1.350%, 4/01/2030, (EUR)
6,132,263
2,370,000
Italy Buoni Poliennali Del Tesoro, Series 7Y,
2.500%, 11/15/2025, (EUR)
2,435,634
830,000
UniCredit SpA, (fixed rate to 4/02/2029,
variable rate thereafter), 7.296%, 4/02/2034(b)
781,886
1,460,000
UniCredit SpA, (fixed rate to 6/19/2027,
variable rate thereafter), 5.861%, 6/19/2032(b)
1,328,819
200,000
UniCredit SpA, (fixed rate to 6/30/2030,
variable rate thereafter), 5.459%, 6/30/2035(b)
167,661
 
15,258,308
Japan — 0.8%
1,047,100,600
(e)
Japan Government CPI-Linked Bonds,
Series 23, 0.100%, 3/10/2028, (JPY)
7,391,105
693,300,000
Japan Government Ten Year Bonds,
Series 371, 0.400%, 6/20/2033, (JPY)
4,484,738
2,375,000
Mitsubishi UFJ Financial Group, Inc., (fixed
rate to 1/19/2027, variable rate thereafter),
2.341%, 1/19/2028
2,112,709
2,020,000
Mizuho Financial Group, Inc.,
2.564%, 9/13/2031
1,528,784
2,000,000
Nomura Holdings, Inc., 1.851%, 7/16/2025
1,850,385
2,385,000
Nomura Holdings, Inc., 2.710%, 1/22/2029
1,994,893
1,200,000
Sumitomo Mitsui Financial Group, Inc.,
5.766%, 1/13/2033
1,172,778
1,780,000
Toyota Motor Corp., 5.123%, 7/13/2033
1,736,606
 
22,271,998
Korea — 0.8%
1,060,000
Kia Corp., 2.750%, 2/14/2027(b)
960,742
Principal
Amount (‡)
Description
Value (†)
Korea — continued
$1,515,000
Korea East-West Power Co. Ltd.,
1.750%, 5/06/2025(b)
$1,421,221
2,400,000
Korea National Oil Corp., 2.125%, 4/18/2027(b)
2,138,417
4,500,000,000
Korea Treasury Bonds, Series 2312,
0.875%, 12/10/2023, (KRW)
3,321,459
4,500,000,000
Korea Treasury Bonds, Series 2509,
1.125%, 9/10/2025, (KRW)
3,166,252
13,130,550,000
Korea Treasury Bonds, Series 3012,
1.500%, 12/10/2030, (KRW)
8,221,601
770,000
Shinhan Bank Co. Ltd., 3.875%, 3/24/2026(b)
726,219
2,765,000
SK Hynix, Inc., 2.375%, 1/19/2031(b)
2,076,534
200,000
SK Hynix, Inc., 6.375%, 1/17/2028(b)
199,650
140,000
SK Telecom Co. Ltd., 6.625%, 7/20/2027(b)
144,972
 
22,377,067
Luxembourg — 0.1%
920,000
ArcelorMittal SA, 6.750%, 3/01/2041
876,826
1,905,000
Blackstone Property Partners Europe
Holdings Sarl, EMTN, 1.625%, 4/20/2030,
(EUR)
1,491,960
280,000
Logicor Financing Sarl, EMTN,
0.875%, 1/14/2031, (EUR)
202,549
1,490,000
Logicor Financing Sarl, EMTN,
1.625%, 1/17/2030, (EUR)
1,188,163
100,000
Logicor Financing Sarl, EMTN,
2.000%, 1/17/2034, (EUR)
70,109
 
3,829,607
Mexico — 1.7%
620,000
Alfa SAB de CV, 6.875%, 3/25/2044
560,158
770,000
America Movil SAB de CV, 2.125%, 3/10/2028,
(EUR)
753,230
860,000
America Movil SAB de CV, 2.875%, 5/07/2030
719,939
730,000
Banco Santander Mexico SA Institucion de
Banca Multiple Grupo Financiero Santand,
5.375%, 4/17/2025(b)
717,484
1,950,000
Cemex SAB de CV, 3.875%, 7/11/2031(b)
1,633,350
855,000
Cemex SAB de CV, 5.450%, 11/19/2029
809,954
810,000
Cemex SAB de CV, (fixed rate to 6/08/2026,
variable rate thereafter), 5.125%(b)(f)
758,316
1,775,000
Coca-Cola Femsa SAB de CV,
2.750%, 1/22/2030
1,508,697
10,000,000
Grupo Televisa SAB, EMTN,
7.250%, 5/14/2043, (MXN)
350,687
1,515,000
Kimberly-Clark de Mexico SAB de CV,
2.431%, 7/01/2031
1,235,699
840,000
Kimberly-Clark de Mexico SAB de CV,
2.431%, 7/01/2031(b)
685,140
1,707,184
(g)
Mexico Bonos, Series M, 5.750%, 3/05/2026,
(MXN)
8,782,826
724,558
(g)
Mexico Bonos, Series M 20,
7.500%, 6/03/2027, (MXN)
3,794,601
1,294,043
(g)
Mexico Bonos, Series M 20,
8.500%, 5/31/2029, (MXN)
6,973,093
637,836
(g)
Mexico Bonos, Series M 30,
8.500%, 11/18/2038, (MXN)
3,224,663
2,665,000
Mexico Government International Bonds,
3.250%, 4/16/2030
2,267,006
1,880,000
Mexico Government International Bonds,
3.500%, 2/12/2034
1,469,985
196,000
Mexico Government International Bonds,
4.000%, 3/15/2115, (EUR)
139,978
See accompanying notes to financial statements.
57 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Mexico — continued
$810,000
Mexico Government International Bonds,
4.875%, 5/19/2033
$725,808
350,000
Mexico Government International Bonds,
6.338%, 5/04/2053
318,523
1,850,000
Orbia Advance Corp. SAB de CV,
1.875%, 5/11/2026(b)
1,651,402
1,240,000
Orbia Advance Corp. SAB de CV,
4.000%, 10/04/2027
1,139,114
3,505,000
Petroleos Mexicanos, 5.950%, 1/28/2031
2,508,704
100,000
Sigma Alimentos SA de CV, 2.625%, 2/07/2024,
(EUR)(b)
104,928
835,000
Sigma Alimentos SA de CV, 4.125%, 5/02/2026
793,067
2,090,000
Sigma Finance Netherlands BV,
4.875%, 3/27/2028
1,983,687
1,010,000
Unifin Financiera SAB de CV,
7.250%, 9/27/2023(h)
12,120
2,195,000
Unifin Financiera SAB de CV,
9.875%, 1/28/2029(h)
43,351
 
45,665,510
Netherlands — 0.1%
870,000
Cooperatieve Rabobank UA,
4.375%, 8/04/2025
839,167
1,725,000
ING Groep NV, (fixed rate to 7/01/2025,
variable rate thereafter), 1.400%, 7/01/2026(b)
1,585,564
 
2,424,731
New Zealand — 0.5%
5,000,000
Fonterra Co.-operative Group Ltd., MTN,
5.500%, 2/26/2024, (AUD)
3,223,601
3,575,000
New Zealand Government Bonds, Series 429,
3.000%, 4/20/2029, (NZD)
1,910,603
10,700,000
New Zealand Government Bonds, Series 524,
0.500%, 5/15/2024, (NZD)
6,209,880
6,310,000
New Zealand Government Bonds, Series 531,
1.500%, 5/15/2031, (NZD)
2,890,203
 
14,234,287
Norway — 0.7%
3,660,000
DNB Bank ASA, (fixed rate to 5/25/2026,
variable rate thereafter), 1.535%, 5/25/2027(b)
3,231,368
2,790,000
Equinor ASA, 3.625%, 4/06/2040
2,153,110
16,500,000
Norway Government Bonds, Series 478,
1.500%, 2/19/2026, (NOK)
1,450,727
41,750,000
Norway Government Bonds, Series 479,
1.750%, 2/17/2027, (NOK)
3,611,569
36,610,000
Norway Government Bonds, Series 480,
2.000%, 4/26/2028, (NOK)
3,128,998
46,500,000
Norway Government Bonds, Series 482,
1.375%, 8/19/2030, (NOK)
3,666,391
455,000
Var Energi ASA, 8.000%, 11/15/2032(b)
477,432
 
17,719,595
Paraguay — 0.1%
1,420,000
Paraguay Government International Bonds,
4.950%, 4/28/2031(b)
1,312,213
615,000
Paraguay Government International Bonds,
5.000%, 4/15/2026(b)
599,133
 
1,911,346
Principal
Amount (‡)
Description
Value (†)
Peru — 0.1%
$3,220,000
Corp. Financiera de Desarrollo SA,
2.400%, 9/28/2027(b)
$2,767,815
1,050,000
Transportadora de Gas del Peru SA,
4.250%, 4/30/2028(b)
992,004
 
3,759,819
Poland — 0.3%
26,400,000
Republic of Poland Government Bonds,
Series 1030, 1.250%, 10/25/2030, (PLN)
4,559,897
12,970,000
Republic of Poland Government Bonds,
Series 725, 3.250%, 7/25/2025, (PLN)
2,881,697
 
7,441,594
Portugal — 0.1%
3,590,000
EDP Finance BV, 1.710%, 1/24/2028(b)
3,035,812
Qatar — 0.1%
1,770,000
Ooredoo International Finance Ltd.,
2.625%, 4/08/2031(b)
1,473,260
1,600,000
QatarEnergy, 2.250%, 7/12/2031(b)
1,281,043
 
2,754,303
Romania — 0.0%
1,100,000
Romania Government International Bonds,
2.000%, 4/14/2033, (EUR)(b)
798,487
Singapore — 0.3%
10,055,000
Singapore Government Bonds,
2.125%, 6/01/2026, (SGD)
7,074,252
South Africa — 0.6%
1,400,000
Anglo American Capital PLC,
2.625%, 9/10/2030(b)
1,118,375
1,400,000
Anglo American Capital PLC,
5.625%, 4/01/2030(b)
1,352,085
1,420,000
MTN Mauritius Investments Ltd.,
4.755%, 11/11/2024
1,380,950
930,000
MTN Mauritius Investments Ltd.,
4.755%, 11/11/2024(b)
904,425
116,835,000
Republic of South Africa Government Bonds,
Series 2035, 8.875%, 2/28/2035, (ZAR)
4,862,533
39,185,000
Republic of South Africa Government Bonds,
Series R213, 7.000%, 2/28/2031, (ZAR)
1,623,796
7,585,000
Republic of South Africa Government
International Bonds, 5.750%, 9/30/2049
5,006,479
 
16,248,643
Spain — 0.3%
2,000,000
Banco Santander SA, (fixed rate to 9/14/2026,
variable rate thereafter), 1.722%, 9/14/2027
1,748,806
1,000,000
CaixaBank SA, EMTN, (fixed rate to
11/23/2027, variable rate thereafter),
6.250%, 2/23/2033, (EUR)
1,059,147
3,700,000
Cellnex Telecom SA, EMTN,
1.750%, 10/23/2030, (EUR)
3,173,390
700,000
Naturgy Finance BV, EMTN,
1.500%, 1/29/2028, (EUR)
670,505
2,525,000
Spain Government Bonds, 1.950%, 7/30/2030,
(EUR)
2,403,829
 
9,055,677
See accompanying notes to financial statements.
| 58

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
Supranationals — 0.3%
10,030,000
International Bank for Reconstruction &
Development, 1.200%, 7/22/2026, (CAD)
6,679,282
16,750,000
Nordic Investment Bank, EMTN,
1.500%, 3/13/2025, (NOK)
1,495,442
 
8,174,724
Sweden — 0.3%
1,900,000
Heimstaden Bostad Treasury BV, EMTN,
1.375%, 7/24/2028, (EUR)
1,461,609
1,200,000
Swedbank AB, 6.136%, 9/12/2026(b)
1,195,102
29,665,000
Sweden Government Bonds, Series 1057,
1.500%, 11/13/2023, (SEK)
2,708,135
2,560,000
Sweden Government Bonds, Series 1058,
2.500%, 5/12/2025, (SEK)
230,613
38,000,000
Sweden Government Bonds, Series 1062,
0.125%, 5/12/2031, (SEK)
2,814,321
 
8,409,780
Switzerland — 0.3%
930,000
Credit Suisse AG, 2.950%, 4/09/2025
883,681
1,375,000
Novartis Capital Corp., 2.000%, 2/14/2027
1,243,333
325,000
UBS Group AG, (fixed rate to 11/15/2032,
variable rate thereafter),
9.016%, 11/15/2033(b)
375,315
2,185,000
UBS Group AG, (fixed rate to 5/14/2031,
variable rate thereafter), 3.091%, 5/14/2032(b)
1,725,821
2,290,000
UBS Group AG, (fixed rate to 6/05/2025,
variable rate thereafter), 2.193%, 6/05/2026(b)
2,129,836
250,000
UBS Group AG, (fixed rate to 7/15/2025,
variable rate thereafter), 6.373%, 7/15/2026(b)
249,058
750,000
UBS Group AG, (fixed rate to 8/12/2032,
variable rate thereafter), 6.537%, 8/12/2033(b)
742,950
340,000
Willow No. 2 Ireland PLC for Zurich
Insurance Co. Ltd., EMTN, (fixed rate to
10/01/2025, variable rate thereafter),
4.250%, 10/01/2045
313,337
 
7,663,331
Taiwan — 0.1%
1,925,000
TSMC Arizona Corp., 2.500%, 10/25/2031
1,550,148
Tanzania — 0.0%
985,000
HTA Group Ltd., 7.000%, 12/18/2025(b)
946,940
Turkey — 0.3%
1,010,000
Aydem Yenilenebilir Enerji AS,
7.750%, 2/02/2027(b)
889,558
1,120,000
TC Ziraat Bankasi AS, 5.375%, 3/02/2026(b)
1,037,886
1,685,000
Turk Telekomunikasyon AS, 6.875%, 2/28/2025
1,640,664
1,415,000
Turkcell Iletisim Hizmetleri AS,
5.800%, 4/11/2028
1,298,783
3,480,000
Turkey Government International Bonds,
5.250%, 3/13/2030
2,891,428
680,000
Turkey Government International Bonds,
7.625%, 4/26/2029
651,508
 
8,409,827
Turkmenistan — 0.0%
415,000
Trinidad Generation UnLtd,
5.250%, 11/04/2027(b)
397,629
United Arab Emirates — 0.0%
1,295,000
Abu Dhabi Government International Bonds,
3.125%, 4/16/2030(b)
1,160,613
Principal
Amount (‡)
Description
Value (†)
United Kingdom — 0.4%
$200,000
Ashtead Capital, Inc., 5.500%, 8/11/2032(b)
$184,790
1,350,000
CK Hutchison International 19 Ltd.,
3.625%, 4/11/2029(b)
1,220,363
1,420,000
Diageo Capital PLC, 2.125%, 4/29/2032
1,097,529
1,395,000
Nationwide Building Society, (fixed rate to
7/18/2029, variable rate thereafter),
3.960%, 7/18/2030(b)
1,227,354
1,190,000
NatWest Markets PLC, 0.800%, 8/12/2024(b)
1,137,531
235,000
Network Rail Infrastructure Finance PLC,
Series 6, EMTN, 4.750%, 1/22/2024, (GBP)
285,900
955,000
Santander U.K. Group Holdings PLC, (fixed
rate to 1/11/2027, variable rate thereafter),
2.469%, 1/11/2028
831,143
1,455,000
Standard Chartered PLC, (fixed rate to
11/18/2030, variable rate thereafter),
3.265%, 2/18/2036(b)
1,104,682
2,200,000
Standard Chartered PLC, (fixed rate to
3/30/2025, variable rate thereafter),
3.971%, 3/30/2026(b)
2,117,811
250,000
Standard Chartered PLC, EMTN,
3.125%, 11/19/2024, (EUR)
260,068
2,065,000
U.K. Gilts, 3.250%, 1/31/2033, (GBP)
2,296,728
 
11,763,899
United States — 11.8%
165,000
AES Corp., 3.950%, 7/15/2030(b)
142,217
315,000
Aircastle Ltd., Series A, (fixed rate to
6/15/2026, variable rate thereafter),
5.250%(b)(f)
247,700
1,915,000
Albemarle Corp., 5.050%, 6/01/2032
1,737,337
1,145,000
Ally Financial, Inc., Series B, (fixed rate to
5/15/2026, variable rate thereafter), 4.700%(f)
785,745
1,285,000
Ally Financial, Inc., Series C, (fixed rate to
5/15/2028, variable rate thereafter), 4.700%(f)
804,662
1,155,609
American Airlines Pass-Through Trust,
Series 2016-1, Class B, 5.250%, 7/15/2025
1,144,157
899,309
American Airlines Pass-Through Trust,
Series 2016-3, Class B, 3.750%, 4/15/2027
840,233
235,875
American Airlines Pass-Through Trust,
Series 2017-1, Class B, 4.950%, 8/15/2026
228,521
311,515
American Airlines Pass-Through Trust,
Series 2017-2, Class B, 3.700%, 4/15/2027
295,810
3,975,000
Apple, Inc., Series MPLE, 2.513%, 8/19/2024,
(CAD)
2,855,649
260,000
Aptiv PLC, 1.600%, 9/15/2028, (EUR)
242,396
2,330,000
Ares Capital Corp., 3.200%, 11/15/2031
1,782,787
425,000
Ashland, Inc., 3.375%, 9/01/2031(b)
330,495
910,000
Bank of America Corp., (fixed rate to
9/21/2031, variable rate thereafter),
2.482%, 9/21/2036
662,187
2,865,000
Bank of America Corp., Series MPLE, (fixed
rate to 9/15/2026, variable rate thereafter),
1.978%, 9/15/2027, (CAD)
1,881,545
665,000
Barings BDC, Inc., 3.300%, 11/23/2026
583,462
9,560,000
Bausch Health Cos., Inc.,
4.875%, 6/01/2028(b)
5,436,640
1,735,000
Bausch Health Cos., Inc.,
5.000%, 1/30/2028(b)
706,509
930,000
Beazer Homes USA, Inc., 7.250%, 10/15/2029
872,639
500,000
Block, Inc., 3.500%, 6/01/2031
392,781
4,840,000
Blue Owl Capital Corp., 4.250%, 1/15/2026
4,527,999
See accompanying notes to financial statements.
59 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
United States — continued
$1,550,000
Blue Owl Technology Finance Corp.,
2.500%, 1/15/2027
$1,301,349
2,585,000
Blue Owl Technology Finance Corp.,
4.750%, 12/15/2025(b)
2,391,020
875,000
BPR Trust, Series 2021-NRD, Class F, 1 mo.
USD SOFR + 6.870%, 12.203%, 12/15/2038(b)(i)
783,975
3,120,000
Broadcom, Inc., 2.450%, 2/15/2031(b)
2,438,608
2,845,000
Broadcom, Inc., 2.600%, 2/15/2033(b)
2,121,471
690,000
Broadcom, Inc., 3.187%, 11/15/2036(b)
495,412
5,095,000
Broadcom, Inc., 3.419%, 4/15/2033(b)
4,075,269
4,670,000
Broadcom, Inc., 3.469%, 4/15/2034(b)
3,667,870
2,485,000
Broadcom, Inc., 4.150%, 4/15/2032(b)
2,156,518
695,000
Carnival Corp., 5.750%, 3/01/2027(b)
629,131
150,000
Carnival Corp., 7.000%, 8/15/2029(b)
147,904
10,570,000
CCO Holdings LLC/CCO Holdings Capital
Corp., 4.250%, 2/01/2031(b)
8,416,997
6,265,000
CCO Holdings LLC/CCO Holdings Capital
Corp., 4.250%, 1/15/2034(b)
4,612,782
1,575,000
CCO Holdings LLC/CCO Holdings Capital
Corp., 4.750%, 2/01/2032(b)
1,260,000
370,000
Celanese U.S. Holdings LLC,
6.330%, 7/15/2029
362,678
270,000
Celanese U.S. Holdings LLC,
6.379%, 7/15/2032
260,151
195,000
Celanese U.S. Holdings LLC,
6.700%, 11/15/2033
189,816
2,510,000
Centene Corp., 2.500%, 3/01/2031
1,928,229
1,480,000
Centene Corp., 3.000%, 10/15/2030
1,193,783
165,000
Charles River Laboratories International, Inc.,
3.750%, 3/15/2029(b)
141,483
175,000
Charles River Laboratories International, Inc.,
4.000%, 3/15/2031(b)
148,094
1,075,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 3.950%, 6/30/2062
609,788
895,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 4.400%, 4/01/2033
761,232
4,945,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 4.400%, 12/01/2061
3,046,604
3,790,000
CommScope Technologies LLC,
5.000%, 3/15/2027(b)
2,151,016
8,375,000
CommScope, Inc., 4.750%, 9/01/2029(b)
6,160,185
2,663,000
Continental Resources, Inc.,
2.875%, 4/01/2032(b)
1,994,185
4,662,000
Continental Resources, Inc.,
5.750%, 1/15/2031(b)
4,379,741
13,550,000
CSC Holdings LLC, 3.375%, 2/15/2031(b)
9,233,477
2,400,000
CSC Holdings LLC, 4.125%, 12/01/2030(b)
1,698,514
2,395,000
CSC Holdings LLC, 4.500%, 11/15/2031(b)
1,695,131
20,310,000
CSC Holdings LLC, 4.625%, 12/01/2030(b)
10,797,876
1,850,000
CSC Holdings LLC, 5.000%, 11/15/2031(b)
991,556
595,000
CSC Holdings LLC, 5.375%, 2/01/2028(b)
484,396
495,000
CSC Holdings LLC, 5.750%, 1/15/2030(b)
277,346
1,115,000
CSC Holdings LLC, 6.500%, 2/01/2029(b)
923,706
940,000
DH Europe Finance II Sarl, 0.750%, 9/18/2031,
(EUR)
776,885
50,000
Dillard's, Inc., 7.000%, 12/01/2028
49,462
8,000
Dillard's, Inc., 7.750%, 7/15/2026
8,075
355,000
Directv Financing LLC/Directv Financing
Co-Obligor, Inc., 5.875%, 8/15/2027(b)
313,884
Principal
Amount (‡)
Description
Value (†)
United States — continued
$3,550,000
DISH DBS Corp., 5.125%, 6/01/2029
$1,968,049
4,115,000
DISH DBS Corp., 5.250%, 12/01/2026(b)
3,497,136
795,000
DISH DBS Corp., 5.750%, 12/01/2028(b)
611,156
1,960,000
DISH DBS Corp., 7.750%, 7/01/2026
1,470,000
80,000
EnLink Midstream LLC, 6.500%, 9/01/2030(b)
77,614
575,000
EnLink Midstream Partners LP,
5.450%, 6/01/2047
449,264
280,000
EPR Properties, 3.600%, 11/15/2031
207,555
1,555,000
EQT Corp., 3.625%, 5/15/2031(b)
1,315,437
805,000
EQT Corp., 5.000%, 1/15/2029
756,708
115,000
Everi Holdings, Inc., 5.000%, 7/15/2029(b)
98,979
2,570,000
Expedia Group, Inc., 2.950%, 3/15/2031
2,070,507
2,710,000
Freeport-McMoRan, Inc., 4.375%, 8/01/2028
2,484,300
4,795,000
Freeport-McMoRan, Inc., 5.400%, 11/14/2034
4,388,570
2,100,000
General Motors Co., 5.200%, 4/01/2045
1,632,784
405,000
General Motors Co., 6.250%, 10/02/2043
362,856
570,000
General Motors Financial Co., Inc.,
3.100%, 1/12/2032
440,999
760,000
General Motors Financial Co., Inc.,
6.400%, 1/09/2033
742,220
460,000
GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032
357,001
105,000
Goodyear Tire & Rubber Co.,
7.000%, 3/15/2028
103,620
1,400,000
GTCR W-2 Merger Sub LLC,
7.500%, 1/15/2031(b)
1,401,960
960,000
Hess Midstream Operations LP,
4.250%, 2/15/2030(b)
809,509
475,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc., 4.875%, 7/01/2031(b)
387,230
470,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations
Borrower Escrow, Inc., 5.000%, 6/01/2029(b)
407,700
1,395,000
Hyundai Capital America,
6.375%, 4/08/2030(b)
1,393,493
7,770,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.375%, 2/01/2029
6,213,353
195,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.750%, 9/15/2024
187,818
3,555,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 5.250%, 5/15/2027
3,124,774
390,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 6.375%, 12/15/2025
370,994
1,210,000
iHeartCommunications, Inc.,
4.750%, 1/15/2028(b)
925,017
2,730,000
iHeartCommunications, Inc.,
5.250%, 8/15/2027(b)
2,163,571
1,310,000
Iron Mountain, Inc., 4.875%, 9/15/2029(b)
1,148,142
795,000
JBS USA LUX SA/JBS USA Food Co./JBS
USA Finance, Inc., 3.750%, 12/01/2031
636,827
730,000
JELD-WEN, Inc., 4.875%, 12/15/2027(b)
644,137
1,135,000
John Deere Capital Corp., MTN,
0.450%, 6/07/2024
1,097,437
1,400,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(b)
1,376,074
525,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(b)
514,500
210,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(b)
207,554
1,140,000
Lithia Motors, Inc., 3.875%, 6/01/2029(b)
960,233
See accompanying notes to financial statements.
| 60

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
United States — continued
$995,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(b)
$833,710
155,000
Matador Resources Co., 6.875%, 4/15/2028(b)
152,186
615,000
Medtronic Global Holdings SCA,
1.125%, 3/07/2027, (EUR)
591,820
6,240,000
Micron Technology, Inc., 5.875%, 2/09/2033
5,960,835
798,750
Mileage Plus Holdings LLC/Mileage Plus
Intellectual Property Assets Ltd.,
6.500%, 6/20/2027(b)
791,403
435,000
Molina Healthcare, Inc., 3.875%, 5/15/2032(b)
348,864
345,000
MSCI, Inc., 3.250%, 8/15/2033(b)
265,529
520,000
Nationstar Mortgage Holdings, Inc.,
5.125%, 12/15/2030(b)
422,202
1,095,000
Nationstar Mortgage Holdings, Inc.,
5.500%, 8/15/2028(b)
965,862
4,600,000
NCL Corp. Ltd., 5.875%, 3/15/2026(b)
4,246,918
615,000
NCL Corp. Ltd., 5.875%, 2/15/2027(b)
584,109
1,960,000
NCL Finance Ltd., 6.125%, 3/15/2028(b)
1,729,700
2,020,000
Netflix, Inc., 4.875%, 6/15/2030(b)
1,912,350
20,000
NGPL PipeCo LLC, 7.768%, 12/15/2037(b)
20,571
30,000
Occidental Petroleum Corp.,
6.125%, 1/01/2031
29,569
2,355,000
Occidental Petroleum Corp.,
6.625%, 9/01/2030
2,386,204
795,000
Occidental Petroleum Corp.,
7.875%, 9/15/2031
860,270
1,845,000
Occidental Petroleum Corp.,
8.875%, 7/15/2030
2,074,352
70,000
OneMain Finance Corp., 3.500%, 1/15/2027
59,937
80,000
OneMain Finance Corp., 4.000%, 9/15/2030
60,028
170,000
OneMain Finance Corp., 5.375%, 11/15/2029
142,375
860,000
OneMain Finance Corp., 6.875%, 3/15/2025
853,183
1,705,000
OneMain Finance Corp., 7.125%, 3/15/2026
1,669,845
130,000
OneMain Finance Corp., 8.250%, 10/01/2023
130,000
400,000
Ovintiv, Inc., 6.250%, 7/15/2033
386,766
1,000,000
Ovintiv, Inc., 6.500%, 8/15/2034
984,870
45,000
Ovintiv, Inc., 6.500%, 2/01/2038
42,977
230,000
Ovintiv, Inc., 6.625%, 8/15/2037
220,649
30,000
Ovintiv, Inc., 7.200%, 11/01/2031
30,881
115,000
Ovintiv, Inc., 7.375%, 11/01/2031
120,499
130,000
Ovintiv, Inc., 8.125%, 9/15/2030
141,293
1,265,000
Pilgrim's Pride Corp., 3.500%, 3/01/2032
978,227
315,000
Pilgrim's Pride Corp., 4.250%, 4/15/2031
262,775
745,000
Post Holdings, Inc., 4.500%, 9/15/2031(b)
620,059
2,165,000
Prologis Euro Finance LLC, 0.250%, 9/10/2027,
(EUR)
1,970,668
1,450,000
Prologis Euro Finance LLC, 1.875%, 1/05/2029,
(EUR)
1,336,704
365,000
Prologis LP, 2.250%, 6/30/2029, (GBP)
368,298
1,385,000
Rand Parent LLC, 8.500%, 2/15/2030(b)
1,280,917
430,000
Realty Income Corp., 5.125%, 7/06/2034, (EUR)
450,480
1,100,000
Realty Income Corp., EMTN,
1.625%, 12/15/2030, (GBP)
1,000,744
7,695,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 2.875%, 10/15/2026(b)
6,776,910
6,794,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.625%, 3/01/2029
5,616,840
2,540,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.625%, 3/01/2029(b)
2,099,908
7,011,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(b)
5,590,361
Principal
Amount (‡)
Description
Value (†)
United States — continued
$4,510,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(b)
$3,405,875
2,945,000
Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026(b)
2,700,245
3,280,000
Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028(b)
3,007,733
1,425,000
SBA Communications Corp.,
3.125%, 2/01/2029
1,188,553
435,000
Sensata Technologies BV,
4.000%, 4/15/2029(b)
374,578
140,000
Silgan Holdings, Inc., 3.250%, 3/15/2025,
(EUR)
143,939
315,000
Southwestern Energy Co., 4.750%, 2/01/2032
270,361
765,000
Synchrony Bank, 5.625%, 8/23/2027
710,463
255,000
Tapestry, Inc., 3.050%, 3/15/2032
186,806
515,000
Targa Resources Corp., 6.125%, 3/15/2033
504,855
165,000
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.,
4.875%, 2/01/2031
147,782
245,000
Thermo Fisher Scientific Finance I BV,
2.000%, 10/18/2051, (EUR)
152,635
100,000
Thermo Fisher Scientific, Inc., EMTN,
1.500%, 10/01/2039, (EUR)
70,212
90,000
Time Warner Cable LLC, 4.500%, 9/15/2042
62,354
85,000
Time Warner Cable LLC, 5.500%, 9/01/2041
66,490
2,805,000
T-Mobile USA, Inc., 3.875%, 4/15/2030
2,485,148
400,000
TopBuild Corp., 4.125%, 2/15/2032(b)
324,739
405,000
TransDigm, Inc., 6.750%, 8/15/2028(b)
398,718
4,075,000
Travel & Leisure Co., 4.500%, 12/01/2029(b)
3,417,906
530,000
Travel & Leisure Co., 4.625%, 3/01/2030(b)
446,006
240,000
TriNet Group, Inc., 3.500%, 3/01/2029(b)
202,124
216,156
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A, 4.625%, 12/03/2026
208,026
12,440,000
U.S. Treasury Bonds, 2.250%, 2/15/2052
7,634,078
5,210,000
U.S. Treasury Bonds, 3.625%, 5/15/2053
4,313,717
4,980,000
U.S. Treasury Bonds, 4.125%, 8/15/2053
4,520,906
4,992,091
U.S. Treasury Inflation-Indexed Notes,
1.375%, 7/15/2033(j)
4,615,442
2,910,000
U.S. Treasury Notes, 0.875%, 1/31/2024
2,866,691
17,750,000
U.S. Treasury Notes, 2.250%, 3/31/2024(k)
17,471,963
4,915,000
U.S. Treasury Notes, 3.375%, 5/15/2033
4,457,291
2,370,000
U.S. Treasury Notes, 3.750%, 6/30/2030
2,249,463
13,115,000
Uber Technologies, Inc., 4.500%, 8/15/2029(b)
11,722,931
8,655,000
Uber Technologies, Inc., 6.250%, 1/15/2028(b)
8,463,422
1,555,000
Uber Technologies, Inc., 7.500%, 9/15/2027(b)
1,567,913
140,000
Uber Technologies, Inc.,
8.000%, 11/01/2026(b)
141,646
1,720,740
United Airlines Pass-Through Trust,
Series 20-1, Class A, 5.875%, 4/15/2029
1,704,496
269,757
United Airlines Pass-Through Trust,
Series 2016-2, Class B, 3.650%, 4/07/2027
253,315
895,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(b)
694,900
390,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(b)
320,042
3,095,000
Verizon Communications, Inc., Series MPLE,
2.500%, 5/16/2030, (CAD)
1,870,193
895,000
VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026(b)
833,917
1,185,000
VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026(b)
1,113,254
See accompanying notes to financial statements.
61 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
Principal
Amount (‡)
Description
Value (†)
United States — continued
$640,000
VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025(b)
$618,042
1,945,000
VMware, Inc., 2.200%, 8/15/2031
1,467,758
1,270,000
Warnermedia Holdings, Inc.,
4.279%, 3/15/2032
1,077,999
130,000
Western Digital Corp., 2.850%, 2/01/2029
104,369
90,000
Western Digital Corp., 3.100%, 2/01/2032
66,277
360,000
Western Midstream Operating LP,
4.050%, 2/01/2030
314,673
475,000
Western Midstream Operating LP,
5.250%, 2/01/2050
370,041
470,000
Western Midstream Operating LP,
5.300%, 3/01/2048
366,855
150,000
Western Midstream Operating LP,
5.450%, 4/01/2044
120,916
115,000
Western Midstream Operating LP,
5.500%, 8/15/2048
91,439
1,250,000
Yum! Brands, Inc., 4.625%, 1/31/2032
1,084,279
 
318,928,572
Uruguay — 0.1%
1,415,000
Uruguay Government International Bonds,
4.375%, 1/23/2031
1,352,704
86,955,000
Uruguay Government International Bonds,
8.250%, 5/21/2031, (UYU)
2,110,566
 
3,463,270
Total Non-Convertible Bonds
(Identified Cost $887,962,221)
761,963,870
Convertible Bonds — 2.4%
United States — 2.4%
12,590,000
BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
12,471,654
23,580,000
DISH Network Corp., 3.375%, 8/15/2026
14,171,580
6,285,000
DISH Network Corp., Zero Coupon,
0.000%-9.514%, 12/15/2025(l)
4,234,142
70,000
Etsy, Inc., 0.125%, 9/01/2027
56,000
405,000
Etsy, Inc., 0.250%, 6/15/2028
305,978
185,000
JetBlue Airways Corp., 0.500%, 4/01/2026
143,024
4,390,000
Livongo Health, Inc., 0.875%, 6/01/2025
4,009,387
1,615,000
NCL Corp. Ltd., 1.125%, 2/15/2027
1,339,513
345,000
Northern Oil & Gas, Inc., 3.625%, 4/15/2029(b)
426,175
230,000
Penn Entertainment, Inc., 2.750%, 5/15/2026
279,151
565,000
Snap, Inc., Zero Coupon,
6.697%-7.641%, 5/01/2027(l)
418,665
7,550,000
Southwest Airlines Co., 1.250%, 5/01/2025
7,493,375
1,025,000
Splunk, Inc., 1.125%, 6/15/2027
967,087
655,000
Spotify USA, Inc., Zero Coupon,
5.189%-5.873%, 3/15/2026(l)
557,077
14,290,000
Teladoc Health, Inc., 1.250%, 6/01/2027
11,387,701
6,678,000
Uber Technologies, Inc., Zero Coupon,
0.000%-5.582%, 12/15/2025(l)
6,235,983
410,000
Unity Software, Inc., Zero Coupon,
7.197%-7.334%, 11/15/2026(l)
324,515
120,000
Zillow Group, Inc., 1.375%, 9/01/2026
142,980
Total Convertible Bonds
(Identified Cost $83,506,676)
64,963,987
Principal
Amount (‡)
Description
Value (†)
Municipals — 0.0%
United States — 0.0%
$120,000
Tobacco Settlement Financing Corp.,
Series A-1, 6.706%-, 6/01/2046
(Identified cost $119,990)
$99,311
Total Bonds and Notes
(Identified Cost $971,588,887)
827,027,168
Senior Loans — 0.2%
Canada — 0.0%
585,000
1011778 BC Unlimited Liability Co., 2023 Term
Loan B5, 1 mo. USD SOFR + 2.250%,
7.566%, 9/23/2030(m)
582,443
United States — 0.2%
1,833,249
Carnival Corp., 2021 Incremental Term Loan
B, 1 mo. USD SOFR + 3.250%,
8.681%, 10/18/2028(i)(n)
1,821,792
245,900
Carnival Corp., 2021 Incremental Term Loan
B, 10/18/2028(o)
244,363
80,649
Carnival Corp., 2023 Term Loan B,
8/08/2027(o)
80,347
1,531,720
Carnival Corp., 2023 Term Loan B, 1 mo. USD
SOFR + 3.000%, 8.327%, 8/08/2027(i)(n)
1,525,977
341,000
GTCR W Merger Sub LLC, USD Term Loan B,
9/20/2030(o)
340,751
270,000
HUB International Ltd., 2023 Term Loan B,
3 mo. USD SOFR + 4.250%,
9.584%, 6/20/2030(i)(n)
270,451
1,081,191
Star Parent, Inc., 2023 Term Loan B,
9/19/2030(o)
1,055,815
486,325
Uber Technologies, Inc., 2023 Term Loan B,
3 mo. USD SOFR + 2.750%,
8.159%, 3/03/2030(i)(m)
485,882
 
5,825,378
Total Senior Loans
(Identified Cost $6,402,711)
6,407,821
 
Shares
 
 
Preferred Stocks — 0.1%
United States — 0.1%
24,376
El Paso Energy Capital Trust I,
4.750%, 3/31/2028
(Identified Cost $1,125,845)
1,106,914
See accompanying notes to financial statements.
| 62

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
 
Principal
Amount (‡)
Description
Value (†)
Short-Term Investments — 1.7%
$42,210,104
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated
9/29/2023 at 2.500% to be repurchased at
$42,218,898 on 10/02/2023  collateralized by
$48,351,700 U.S. Treasury Note, 0.750% due
8/31/2026 valued at $43,054,350 including
accrued interest (Note 2 of Notes to
Financial Statements)
$42,210,104
4,150,000
U.S. Treasury Bills, 5.170%, 12/21/2023(p)
4,100,998
Total Short-Term Investments
(Identified Cost $46,311,829)
46,311,102
Total Investments — 100.1%
(Identified Cost $2,624,501,457)
2,698,580,957
Other assets less liabilities — (0.1)%
(2,268,373
)
Net Assets — 100.0%
$2,696,312,584
 
(†)
See Note 2 of Notes to Financial Statements.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise
noted.
(a)
Non-income producing security.
(b)
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, 2023, the value of Rule 144A holdings
amounted to $277,712,051 or 10.3% of net assets.
(c)
Amount shown represents units. One unit represents a
principal amount of 1,000.
(d)
Interest rate represents annualized yield at time of purchase;
not a coupon rate.
(e)
Amount shown represents principal amount including
inflation adjustments.
(f)
Perpetual bond with no specified maturity date.
(g)
Amount shown represents units. One unit represents a
principal amount of 100.
(h)
The issuer is in default with respect to interest and/or
principal payments. Income is not being accrued.
(i)
Variable rate security. Rate as of September 30, 2023 is
disclosed.
(j)
Treasury Inflation Protected Security (TIPS).
(k)
Security (or a portion thereof) has been pledged as collateral
for open derivative contracts.
(l)
Interest rate represents annualized yield at time of purchase;
not a coupon rate. The Fund’s investment in this security is
comprised of various lots with differing annualized yields.
(m)
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 0.00%, to which the spread
is added.
(n)
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 0.75%, to which the spread
is added.
(o)
Position is unsettled. Contract rate was not determined at
September 30, 2023 and does not take effect until settlement
date. Maturity date is not finalized until settlement date.
(p)
Interest rate represents discount rate at time of purchase;
not a coupon rate.
 
CPI
Consumer Price Index
EMTN
Euro Medium Term Note
MTN
Medium Term Note
SOFR
Secured Overnight Financing Rate
 
AUD
Australian Dollar
BRL
Brazilian Real
CAD
Canadian Dollar
COP
Colombian Peso
EUR
Euro
GBP
British Pound
IDR
Indonesian Rupiah
JPY
Japanese Yen
KRW
South Korean Won
MXN
Mexican Peso
NOK
Norwegian Krone
NZD
New Zealand Dollar
PLN
Polish Zloty
SEK
Swedish Krona
SGD
Singapore Dollar
UYU
Uruguayan Peso
ZAR
South African Rand
At September 30, 2023, 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.
12/20/2023
GBP
B
11,193,000
$13,892,304
$13,664,006
$(228,298
)
Bank of America N.A.
12/20/2023
JPY
B
7,022,630,000
48,478,403
47,599,308
(879,095
)
Bank of America N.A.
12/20/2023
KRW
S
19,047,379,000
14,400,377
14,179,287
221,090
Bank of America N.A.
12/20/2023
MXN
S
256,059,000
14,738,243
14,501,569
236,674
HSBC Bank USA N.A.
12/20/2023
AUD
S
13,800,000
8,913,420
8,896,554
16,866
HSBC Bank USA N.A.
12/20/2023
CAD
S
26,705,000
19,729,542
19,685,632
43,910
Morgan Stanley Capital Services LLC
12/20/2023
EUR
B
82,154,000
88,347,426
87,175,763
(1,171,663
)
Morgan Stanley Capital Services LLC
12/20/2023
NZD
S
6,003,000
3,559,329
3,598,019
(38,690
)
UBS AG
12/20/2023
COP
S
30,469,789,000
7,547,632
7,323,995
223,637
UBS AG
12/20/2023
IDR
S
100,000,000,000
6,488,269
6,469,225
19,044
Total
 
 
 
$(1,556,525
)
See accompanying notes to financial statements.
63 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Global Allocation Fund (continued)
At September 30, 2023, the Fund had the following open forward cross currency contracts: 
Counterparty
Settlement
Date
Deliver/Units
of Currency
Receive/Units
of Currency
Notional
Value
Unrealized
Appreciaation
(Depreciation)
Morgan Stanley Capital Services LLC
12/20/2023
NOK
30,959,000
EUR
2,705,675
$2,871,063
$(29,492
)
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
74
$8,153,670
$7,996,625
$(157,045
)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
125
25,403,641
25,338,867
(64,774
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
541
57,501,770
56,999,422
(502,348
)
CBOT U.S. Long Bond Futures
12/19/2023
798
95,771,849
90,797,438
(4,974,411
)
Total
$(5,698,578
)
At September 30, 2023, open short futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
189
$23,812,972
$22,431,938
$1,381,034
Ultra 10 Year U.S. Treasury Notes Futures
12/19/2023
387
44,388,677
43,174,687
1,213,990
Total
$2,595,024
Industry Summary at September 30, 2023 
Treasuries
7.8
%
Semiconductors & Semiconductor Equipment
6.9
Capital Markets
6.6
Machinery
5.8
Software
5.5
Life Sciences Tools & Services
5.4
IT Services
4.3
Specialty Retail
3.5
Textiles, Apparel & Luxury Goods
3.4
Interactive Media & Services
3.3
Chemicals
3.3
Broadline Retail
3.2
Financial Services
2.9
Cable Satellite
2.8
Health Care Providers & Services
2.7
Hotels, Restaurants & Leisure
2.6
Banks
2.4
Banking
2.2
Consumer Staples Distribution & Retail
2.1
Pharmaceuticals
2.1
Other Investments, less than 2% each
19.6
Short-Term Investments
1.7
Total Investments
100.1
Other assets less liabilities (including forward foreign
currency and futures contracts)
(0.1
)
Net Assets
100.0
%
Currency Exposure Summary at September 30, 2023 
United States Dollar
78.6
%
Euro
7.3
Swedish Krona
2.6
Japanese Yen
2.2
Other, less than 2% each
9.4
Total Investments
100.1
Other assets less liabilities (including forward foreign
currency and futures contracts)
(0.1
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 64

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Growth Fund
 
Shares
Description
Value (†)
Common Stocks — 98.1% of Net Assets
Aerospace & Defense — 4.7%
2,675,683
Boeing Co.(a)
$512,874,917
Air Freight & Logistics — 1.6%
1,560,439
Expeditors International of Washington, Inc.
178,873,123
Automobiles — 5.9%
2,557,210
Tesla, Inc.(a)
639,865,086
Beverages — 3.2%
6,505,040
Monster Beverage Corp.(a)
344,441,868
Biotechnology — 5.0%
307,870
Regeneron Pharmaceuticals, Inc.(a)
253,364,695
827,806
Vertex Pharmaceuticals, Inc.(a)
287,861,259
 
541,225,954
Broadline Retail — 6.2%
1,292,540
Alibaba Group Holding Ltd., ADR(a)
112,114,919
4,408,381
Amazon.com, Inc.(a)
560,393,393
 
672,508,312
Capital Markets — 3.0%
411,155
FactSet Research Systems, Inc.
179,781,636
2,351,323
SEI Investments Co.
141,620,184
 
321,401,820
Entertainment — 6.7%
1,108,106
Netflix, Inc.(a)
418,420,825
3,731,093
Walt Disney Co.(a)
302,405,088
 
720,825,913
Financial Services — 7.3%
1,983,727
Block, Inc.(a)
87,799,757
1,799,067
PayPal Holdings, Inc.(a)
105,173,457
2,581,311
Visa, Inc., Class A
593,727,343
 
786,700,557
Health Care Equipment & Supplies — 1.3%
476,399
Intuitive Surgical, Inc.(a)
139,246,664
Hotels, Restaurants & Leisure — 3.8%
2,202,677
Starbucks Corp.
201,038,330
1,288,244
Yum China Holdings, Inc.
71,780,956
1,079,908
Yum! Brands, Inc.
134,923,705
 
407,742,991
Interactive Media & Services — 14.3%
3,698,473
Alphabet, Inc., Class A(a)
483,982,177
1,698,862
Alphabet, Inc., Class C(a)
223,994,955
2,801,003
Meta Platforms, Inc., Class A(a)
840,889,110
 
1,548,866,242
IT Services — 1.7%
3,289,235
Shopify, Inc., Class A(a)
179,493,554
Life Sciences Tools & Services — 2.6%
1,028,425
Illumina, Inc.(a)
141,182,184
271,444
Thermo Fisher Scientific, Inc.
137,396,810
 
278,578,994
Machinery — 0.7%
196,176
Deere & Co.
74,032,899
Pharmaceuticals — 4.6%
1,560,708
Novartis AG, ADR
158,973,717
2,345,881
Novo Nordisk AS, ADR
213,334,418
3,549,955
Roche Holding AG, ADR
120,449,973
 
492,758,108
Shares
Description
Value (†)
Semiconductors & Semiconductor Equipment — 8.9%
1,832,261
NVIDIA Corp.
$797,015,213
1,510,554
QUALCOMM, Inc.
167,762,127
 
964,777,340
Software — 16.6%
1,573,664
Autodesk, Inc.(a)
325,606,818
1,676,248
Microsoft Corp.
529,275,306
4,732,164
Oracle Corp.
501,230,811
1,579,946
Salesforce, Inc.(a)
320,381,450
548,318
Workday, Inc., Class A(a)
117,806,122
 
1,794,300,507
Total Common Stocks
(Identified Cost $6,102,374,554)
10,598,514,849
 
Principal
Amount
 
 
Short-Term Investments — 1.9%
$198,748,203
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 9/29/2023
at 2.500% to be repurchased at $198,789,609
on 10/02/2023  collateralized by $204,263,500
U.S. Treasury Note, 4.375% due 8/15/2026
valued at $202,723,198 including accrued
interest (Note 2 of Notes to Financial
Statements)
(Identified Cost $198,748,203)
198,748,203
Total Investments — 100.0%
(Identified Cost $6,301,122,757)
10,797,263,052
Other assets less liabilities — 0.0%
2,877,124
Net Assets — 100.0%
$10,800,140,176
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
Non-income producing security.
 
ADR
An American Depositary Receipt is a certificate issued by a
custodian bank representing the right to receive securities of the
foreign issuer described. The values of ADRs may be significantly
influenced by trading on exchanges not located in the
United States.
See accompanying notes to financial statements.
65 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Growth Fund (continued)
Industry Summary at September 30, 2023 
Software
16.6
%
Interactive Media & Services
14.3
Semiconductors & Semiconductor Equipment
8.9
Financial Services
7.3
Entertainment
6.7
Broadline Retail
6.2
Automobiles
5.9
Biotechnology
5.0
Aerospace & Defense
4.7
Pharmaceuticals
4.6
Hotels, Restaurants & Leisure
3.8
Beverages
3.2
Capital Markets
3.0
Life Sciences Tools & Services
2.6
Other Investments, less than 2% each
5.3
Short-Term Investments
1.9
Total Investments
100.0
Other assets less liabilities
0.0
*
Net Assets
100.0
%
 
*
Less than 0.1%
See accompanying notes to financial statements.
| 66

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 97.7% of Net Assets
ABS Car Loan — 8.7%
$255,000
Ally Auto Receivables Trust, Series 2022-3,
Class A3, 5.070%, 4/15/2027
$252,606
35,924
American Credit Acceptance Receivables Trust,
Series 2020-4, Class C, 1.310%, 12/14/2026(a)
35,691
37,683
American Credit Acceptance Receivables Trust,
Series 2022-1, Class B, 1.680%, 9/14/2026(a)
37,574
80,000
American Credit Acceptance Receivables Trust,
Series 2022-4, Class C, 7.860%, 2/15/2029(a)
80,599
420,000
American Credit Acceptance Receivables Trust,
Series 2023-3, Class C, 6.440%, 10/12/2029(a)
418,913
39,380
AmeriCredit Automobile Receivables Trust,
Series 2020-2, Class B, 0.970%, 2/18/2026
39,253
215,000
AmeriCredit Automobile Receivables Trust,
Series 2021-2, Class B, 0.690%, 1/19/2027
204,451
520,000
AmeriCredit Automobile Receivables Trust,
Series 2021-3, Class C, 1.410%, 8/18/2027
471,349
335,000
AmeriCredit Automobile Receivables Trust,
Series 2022-2, Class A3, 4.380%, 4/18/2028
329,069
870,000
AmeriCredit Automobile Receivables Trust,
Series 2023-1, Class B, 5.570%, 3/20/2028
859,482
140,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2019-2A, Class A, 3.350%, 9/22/2025(a)
136,901
255,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-2A, Class A, 5.200%, 10/20/2027(a)
248,656
1,210,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-3A, Class A, 5.440%, 2/22/2028(a)
1,188,031
170,000
Carmax Auto Owner Trust, Series 2023-3, Class A3,
5.280%, 5/15/2028
168,844
21,347
CarMax Auto Owner Trust, Series 2020-3, Class A3,
0.620%, 3/17/2025
21,280
1,055,000
CarMax Auto Owner Trust, Series 2023-2, Class A3,
5.050%, 1/18/2028
1,043,198
55,918
CarNow Auto Receivables Trust, Series 2023-1A,
Class A, 6.620%, 12/16/2024(a)
55,914
113,947
Carvana Auto Receivables Trust, Series 2021-N4,
Class C, 1.720%, 9/11/2028
107,830
431,064
Carvana Auto Receivables Trust, Series 2021-P4,
Class A3, 1.310%, 1/11/2027
413,367
725,393
Carvana Auto Receivables Trust, Series 2023-N1,
Class A, 6.360%, 4/12/2027(a)
724,829
675,000
Carvana Auto Receivables Trust, Series 2023-P1,
Class A3, 5.980%, 12/10/2027(a)
671,151
480,000
Carvana Auto Receivables Trust, Series 2023-P4,
Class A3, 6.160%, 10/10/2028(a)
479,956
176,017
Credit Acceptance Auto Loan Trust,
Series 2021-3A, Class A, 1.000%, 5/15/2030(a)
172,127
845,000
Credit Acceptance Auto Loan Trust,
Series 2022-3A, Class A, 6.570%, 10/15/2032(a)
846,233
710,000
Credit Acceptance Auto Loan Trust,
Series 2023-1A, Class A, 6.480%, 3/15/2033(a)
709,903
465,000
Credit Acceptance Auto Loan Trust,
Series 2023-2A, Class B, 6.610%, 7/15/2033(a)
459,442
130,000
Credit Acceptance Auto Loan Trust,
Series 2023-3A, Class C, 7.620%, 12/15/2033(a)
129,820
191,979
Drive Auto Receivables Trust, Series 2021-3,
Class B, 1.110%, 5/15/2026
190,790
68,902
DT Auto Owner Trust, Series 2020-2A, Class C,
3.280%, 3/16/2026(a)
68,614
16,587
DT Auto Owner Trust, Series 2021-2A, Class B,
0.810%, 1/15/2027(a)
16,550
Principal
Amount
Description
Value (†)
ABS Car Loan — continued
$410,000
DT Auto Owner Trust, Series 2021-4A, Class C,
1.500%, 9/15/2027(a)
$388,515
630,000
DT Auto Owner Trust, Series 2022-3A, Class B,
6.740%, 7/17/2028(a)
632,849
345,000
DT Auto Owner Trust, Series 2023-2A, Class B,
5.410%, 2/15/2029(a)
339,918
219,142
Exeter Automobile Receivables Trust,
Series 2021-4A, Class B, 1.050%, 5/15/2026
217,751
680,000
Exeter Automobile Receivables Trust,
Series 2022-5A, Class B, 5.970%, 3/15/2027
677,047
360,000
Exeter Automobile Receivables Trust,
Series 2023-1A, Class B, 5.720%, 4/15/2027
357,464
380,000
Exeter Automobile Receivables Trust,
Series 2023-2A, Class B, 5.610%, 9/15/2027
375,906
130,000
Exeter Automobile Receivables Trust,
Series 2023-3A, Class B, 6.110%, 9/15/2027
129,079
290,000
Flagship Credit Auto Trust, Series 2021-2, Class B,
0.930%, 6/15/2027(a)
283,366
490,000
Flagship Credit Auto Trust, Series 2022-4, Class A3,
6.320%, 6/15/2027(a)
492,379
430,000
Flagship Credit Auto Trust, Series 2023-1, Class A3,
5.010%, 8/16/2027(a)
423,791
450,000
Flagship Credit Auto Trust, Series 2023-2, Class C,
5.810%, 5/15/2029(a)
440,778
595,000
Ford Credit Auto Owner Trust, Series 2018-1,
Class A, 3.190%, 7/15/2031(a)
574,146
570,000
Ford Credit Auto Owner Trust, Series 2021-1,
Class A, 1.370%, 10/17/2033(a)
511,399
1,035,000
Ford Credit Auto Owner Trust, Series 2023-2,
Class A, 5.280%, 2/15/2036(a)
1,016,508
355,000
Ford Credit Floorplan Master Owner Trust A,
Series 2023-1, Class A1, 4.920%, 5/15/2028(a)
348,122
410,000
Foursight Capital Automobile Receivables Trust,
Series 2022-1, Class A3, 1.830%, 12/15/2026(a)
400,038
340,000
Foursight Capital Automobile Receivables Trust,
Series 2022-2, Class A3, 4.590%, 6/15/2027(a)
335,943
380,000
GECU Auto Receivables Trust, Series 2023-1A,
Class A3, 5.630%, 8/15/2028(a)
378,274
57,926
GLS Auto Receivables Issuer Trust, Series 2020-4A,
Class C, 1.140%, 11/17/2025(a)
57,498
955,511
GLS Auto Receivables Issuer Trust, Series 2021-4A,
Class B, 1.530%, 4/15/2026(a)
941,574
280,000
GM Financial Automobile Leasing Trust,
Series 2023-2, Class A3, 5.050%, 7/20/2026
276,778
77
GM Financial Consumer Automobile Receivables
Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024
77
265,000
Harley-Davidson Motorcycle Trust, Series 2023-B,
Class A3, 5.690%, 8/15/2028
265,345
215,000
Harley-Davidson Motorcycle Trust, Series 2023-B,
Class A4, 5.780%, 4/15/2031
214,329
715,000
Hertz Vehicle Financing III LLC, Series 2023-3A,
Class A, 5.940%, 2/25/2028(a)
714,337
370,000
Hyundai Auto Lease Securitization Trust,
Series 2023-B, Class A3, 5.150%, 6/15/2026(a)
366,414
4,109
Hyundai Auto Receivables Trust, Series 2020-A,
Class A3, 1.410%, 11/15/2024
4,101
14,765
Mercedes-Benz Auto Receivables Trust,
Series 2020-1, Class A3, 0.550%, 2/18/2025
14,702
250,000
Navistar Financial Dealer Note Master Owner Trust
II, Series 2023-1, Class A, 6.180%, 8/25/2028(a)
249,254
80,374
Prestige Auto Receivables Trust, Series 2020-1A,
Class C, 1.310%, 11/16/2026(a)
80,128
See accompanying notes to financial statements.
67 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
ABS Car Loan — continued
$430,000
Prestige Auto Receivables Trust, Series 2021-1A,
Class C, 1.530%, 2/15/2028(a)
$409,502
340,000
Prestige Auto Receivables Trust, Series 2023-1A,
Class C, 5.650%, 2/15/2028(a)
332,486
48,087
Santander Consumer Auto Receivables Trust,
Series 2020-AA, Class C, 3.710%, 2/17/2026(a)
47,985
835,000
Santander Drive Auto Receivables Trust,
Series 2022-3, Class B, 4.130%, 8/16/2027
815,373
560,000
Santander Drive Auto Receivables Trust,
Series 2022-4, Class B, 4.420%, 11/15/2027
547,269
285,000
Santander Drive Auto Receivables Trust,
Series 2022-5, Class B, 4.430%, 3/15/2027
279,491
115,000
Santander Drive Auto Receivables Trust,
Series 2023-1, Class C, 5.090%, 5/15/2030
112,240
290,000
Santander Drive Auto Receivables Trust,
Series 2023-2, Class A3, 5.210%, 7/15/2027
286,973
170,000
Santander Drive Auto Receivables Trust,
Series 2023-3, Class C, 5.770%, 11/15/2030
168,688
540,000
Santander Drive Auto Receivables Trust,
Series 2023-4, Class B, 5.770%, 12/15/2028
541,122
420,000
SFS Auto Receivables Securitization Trust,
Series 2023-1A, Class A3, 5.470%, 10/20/2028(a)
414,951
440,000
Toyota Auto Loan Extended Note Trust,
Series 2020-1A, Class A, 1.350%, 5/25/2033(a)
408,262
370,000
Toyota Auto Receivables Owner Trust,
Series 2023-C, Class A3, 5.160%, 4/17/2028
366,718
320,000
United Auto Credit Securitization Trust,
Series 2022-2, Class C, 5.810%, 5/10/2027(a)
317,399
138,743
Westlake Automobile Receivables Trust,
Series 2021-2A, Class B, 0.620%, 7/15/2026(a)
137,819
1,050,000
Westlake Automobile Receivables Trust,
Series 2021-3A, Class C, 1.580%, 1/15/2027(a)
1,003,576
170,000
Westlake Automobile Receivables Trust,
Series 2023-1A, Class C, 5.740%, 8/15/2028(a)
168,006
695,000
Westlake Automobile Receivables Trust,
Series 2023-3A, Class C, 6.020%, 9/15/2028(a)
692,421
73,124
World Omni Auto Receivables Trust, Series 2020-B,
Class A3, 0.630%, 5/15/2025
72,574
380,000
World Omni Automobile Lease Securitization Trust,
Series 2023-A, Class A3, 5.070%, 9/15/2026
375,931
360,000
World Omni Select Auto Trust, Series 2021-A,
Class B, 0.850%, 8/16/2027
338,504
 
29,927,523
ABS Credit Card — 0.3%
960,000
Mercury Financial Credit Card Master Trust,
Series 2022-1A, Class A, 2.500%, 9/21/2026(a)
918,263
230,000
Mission Lane Credit Card Master Trust,
Series 2023-A, Class A, 7.230%, 7/17/2028(a)
228,203
 
1,146,466
ABS Home Equity — 0.0%
1,536
Countrywide Asset-Backed Certificates,
Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)
1,511
ABS Other — 2.0%
125,000
Affirm Asset Securitization Trust, Series 2022-A,
Class A, 4.300%, 5/17/2027(a)
122,263
105,000
Affirm Asset Securitization Trust, Series 2023-A,
Class A, 6.610%, 1/18/2028(a)
104,320
320,000
Affirm Asset Securitization Trust, Series 2023-B,
Class A, 6.820%, 9/15/2028(a)
319,585
288,772
Aqua Finance Trust, Series 2021-A, Class A,
1.540%, 7/17/2046(a)
253,796
Principal
Amount
Description
Value (†)
ABS Other — continued
$76,963
BHG Securitization Trust, Series 2022-C, Class A,
5.320%, 10/17/2035(a)
$76,431
53,440
Chesapeake Funding II LLC, Series 2020-1A,
Class A1, 0.870%, 8/15/2032(a)
52,840
402,294
Chesapeake Funding II LLC, Series 2023-1A,
Class A1, 5.650%, 5/15/2035(a)
399,578
19,074
CNH Equipment Trust, Series 2020-A, Class A3,
1.160%, 6/16/2025
18,961
500,000
Daimler Trucks Retail Trust, Series 2023-1,
Class A4, 5.930%, 12/16/2030
499,529
645,000
DLLMT LLC, Series 2023-1A, Class A3,
5.340%, 3/22/2027(a)
634,865
203,387
Donlen Fleet Lease Funding 2 LLC, Series 2021-2,
Class A2, 0.560%, 12/11/2034(a)
199,103
156,490
Enterprise Fleet Financing LLC, Series 2022-3,
Class A2, 4.380%, 7/20/2029(a)
153,200
440,000
Enterprise Fleet Financing LLC, Series 2023-2,
Class A2, 5.560%, 4/22/2030(a)
436,616
630,000
Frontier Issuer LLC, Series 2023-1, Class A2,
6.600%, 8/20/2053(a)
601,971
84,271
Hilton Grand Vacations Trust, Series 2022-2A,
Class C, 5.570%, 1/25/2037(a)
80,826
455,000
M&T Equipment Notes, Series 2023-1A, Class A3,
5.740%, 7/15/2030(a)
451,708
62,642
Marlette Funding Trust, Series 2022-3A, Class A,
5.180%, 11/15/2032(a)
62,392
51,522
MVW LLC, Series 2020-1A, Class A,
1.740%, 10/20/2037(a)
47,428
1,135,000
OneMain Financial Issuance Trust, Series 2022-S1,
Class A, 4.130%, 5/14/2035(a)
1,089,021
370,000
SCF Equipment Leasing LLC, Series 2022-1A,
Class A3, 2.920%, 7/20/2029(a)
356,680
62,652
Sierra Timeshare Receivables Funding LLC,
Series 2020-2A, Class A, 1.330%, 7/20/2037(a)
58,633
785,000
Wheels Fleet Lease Funding 1 LLC, Series 2023-1A,
Class A, 5.800%, 4/18/2038(a)
778,934
 
6,798,680
ABS Student Loan — 0.1%
89,224
Massachusetts Educational Financing Authority,
Series 2018-A, Class A, 3.850%, 5/25/2033
81,894
49,543
Navient Private Education Refi Loan Trust,
Series 2020-GA, Class A, 1.170%, 9/16/2069(a)
43,637
60,719
Navient Private Education Refi Loan Trust,
Series 2020-HA, Class A, 1.310%, 1/15/2069(a)
54,961
 
180,492
ABS Whole Business — 0.1%
508,250
Planet Fitness Master Issuer LLC, Series 2018-1A,
Class A2II, 4.666%, 9/05/2048(a)
487,166
Agency Commercial Mortgage-Backed Securities — 0.5%
701,647
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series K042,
Class A2, 2.670%, 12/25/2024
678,049
990,464
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KJ26,
Class A2, 2.606%, 7/25/2027
928,254
 
1,606,303
Apartment REITs — 0.1%
225,000
Invitation Homes Operating Partnership LP,
2.000%, 8/15/2031
166,509
See accompanying notes to financial statements.
| 68

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
Automotive — 3.3%
$515,000
American Honda Finance Corp., GMTN,
5.125%, 7/07/2028
$506,955
930,000
BMW U.S. Capital LLC, 5.150%, 8/11/2033(a)
885,228
735,000
Daimler Truck Finance North America LLC,
5.200%, 1/17/2025(a)
728,193
340,000
Daimler Truck Finance North America LLC,
5.400%, 9/20/2028(a)
333,679
665,000
Denso Corp., 1.239%, 9/16/2026(a)
581,696
875,000
General Motors Financial Co., Inc.,
6.050%, 10/10/2025
871,127
180,000
Harley-Davidson Financial Services, Inc.,
3.350%, 6/08/2025(a)
170,826
995,000
Harley-Davidson Financial Services, Inc.,
6.500%, 3/10/2028(a)
983,646
645,000
Hyundai Capital America, 2.100%, 9/15/2028(a)
535,172
410,000
Hyundai Capital America, 5.700%, 6/26/2030(a)
394,422
255,000
Hyundai Capital America, 5.950%, 9/21/2026(a)
254,276
240,000
Kia Corp., 1.000%, 4/16/2024(a)
233,652
495,000
LKQ Corp., 5.750%, 6/15/2028(a)
483,573
340,000
Mercedes-Benz Finance North America LLC,
4.800%, 3/30/2028(a)
329,370
515,000
Mercedes-Benz Finance North America LLC,
5.100%, 8/03/2028(a)
504,345
315,000
Nissan Motor Acceptance Co. LLC,
7.050%, 9/15/2028(a)
314,946
590,000
PACCAR Financial Corp., MTN, 4.950%, 8/10/2028
583,273
685,000
Toyota Motor Credit Corp., 4.550%, 5/17/2030
649,194
370,000
Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026
366,359
980,000
Toyota Motor Credit Corp., MTN, 5.250%, 9/11/2028
974,470
275,000
Volkswagen Group of America Finance LLC,
3.350%, 5/13/2025(a)
263,530
290,000
Volkswagen Group of America Finance LLC,
4.250%, 11/13/2023(a)
289,391
 
11,237,323
Banking — 15.1%
800,000
ABN AMRO Bank NV, (fixed rate to 9/18/2026,
variable rate thereafter), 6.339%, 9/18/2027(a)
797,994
200,000
AIB Group PLC, (fixed rate to 9/13/2028, variable
rate thereafter), 6.608%, 9/13/2029(a)
199,168
700,000
AIB Group PLC, (fixed rate to 10/14/2025, variable
rate thereafter), 7.583%, 10/14/2026(a)
712,826
735,000
Ally Financial, Inc., 7.100%, 11/15/2027
734,907
585,000
American Express Co., (fixed rate to 5/01/2033,
variable rate thereafter), 5.043%, 5/01/2034
539,341
1,065,000
American Express Co., (fixed rate to 7/27/2028,
variable rate thereafter), 5.282%, 7/27/2029
1,038,303
1,030,000
ANZ New Zealand International Ltd.,
5.355%, 8/14/2028(a)
1,011,205
565,000
ASB Bank Ltd., (fixed rate to 6/17/2027, variable
rate thereafter), 5.284%, 6/17/2032(a)
539,411
840,000
Bank of America Corp., MTN, (fixed rate to
4/02/2025, variable rate thereafter),
3.384%, 4/02/2026
803,960
265,000
Bank of America Corp., (fixed rate to 4/25/2033,
variable rate thereafter), 5.288%, 4/25/2034
246,585
1,155,000
Bank of America NA, 5.526%, 8/18/2026
1,149,395
395,000
Bank of Ireland Group PLC, 4.500%, 11/25/2023(a)
393,523
315,000
Bank of Ireland Group PLC, (fixed rate to 9/16/2025,
variable rate thereafter), 6.253%, 9/16/2026(a)
313,026
30,000
Bank of Montreal, 5.300%, 6/05/2026
29,596
1,710,000
Bank of Montreal, 5.717%, 9/25/2028
1,691,830
Principal
Amount
Description
Value (†)
Banking — continued
$570,000
Bank of New York Mellon Corp., (fixed rate to
4/26/2026, variable rate thereafter),
4.947%, 4/26/2027
$556,369
635,000
Bank of New Zealand, 2.000%, 2/21/2025(a)
601,591
250,000
Bank of New Zealand, 2.285%, 1/27/2027(a)
224,337
340,000
Banque Federative du Credit Mutuel SA,
5.790%, 7/13/2028(a)
337,394
570,000
BNP Paribas SA, (fixed rate to 6/12/2028, variable
rate thereafter), 5.335%, 6/12/2029(a)
553,504
475,000
CaixaBank SA, (fixed rate to 9/13/2033, variable
rate thereafter), 6.840%, 9/13/2034(a)
465,775
595,000
Canadian Imperial Bank of Commerce,
5.001%, 4/28/2028
571,241
1,205,000
Canadian Imperial Bank of Commerce,
6.092%, 10/03/2033
1,197,003
705,000
Capital One Financial Corp., (fixed rate to
12/06/2023, variable rate thereafter),
1.343%, 12/06/2024
696,485
770,000
Capital One Financial Corp., (fixed rate to 6/08/2028,
variable rate thereafter), 6.312%, 6/08/2029
752,519
1,725,000
Citibank NA, 5.803%, 9/29/2028
1,725,246
510,000
Citigroup, Inc., (fixed rate to 4/08/2025, variable rate
thereafter), 3.106%, 4/08/2026
486,700
490,000
Citigroup, Inc., (fixed rate to 5/25/2033, variable rate
thereafter), 6.174%, 5/25/2034
468,255
705,000
Citizens Financial Group, Inc., (fixed rate to
5/21/2032, variable rate thereafter),
5.641%, 5/21/2037
590,505
435,000
Cooperatieve Rabobank UA, (fixed rate to
2/28/2028, variable rate thereafter),
5.564%, 2/28/2029(a)
423,967
920,000
Credit Agricole SA, (fixed rate to 10/03/2028,
variable rate thereafter), 6.316%, 10/03/2029(a)
920,106
335,000
Credit Suisse AG, 5.000%, 7/09/2027
321,793
800,000
Danske Bank AS, (fixed rate to 9/10/2024, variable
rate thereafter), 0.976%, 9/10/2025(a)
758,293
855,000
Danske Bank AS, (fixed rate to 9/22/2025, variable
rate thereafter), 6.259%, 9/22/2026(a)
854,690
330,000
Deutsche Bank AG, (fixed rate to 11/10/2032,
variable rate thereafter), 7.079%, 2/10/2034
298,235
480,000
Deutsche Bank AG, (fixed rate to 7/13/2026,
variable rate thereafter), 7.146%, 7/13/2027
483,249
590,000
DNB Bank ASA, (fixed rate to 9/16/2025, variable
rate thereafter), 1.127%, 9/16/2026(a)
532,359
720,000
Federation des Caisses Desjardins du Quebec,
5.700%, 3/14/2028(a)
709,697
460,000
Fifth Third Bancorp, (fixed rate to 7/27/2028,
variable rate thereafter), 6.339%, 7/27/2029
454,418
1,650,000
Goldman Sachs Group, Inc., (fixed rate to 8/10/2025,
variable rate thereafter), 5.798%, 8/10/2026
1,637,383
1,525,000
HSBC Holdings PLC, (fixed rate to 8/14/2026,
variable rate thereafter), 5.887%, 8/14/2027
1,506,396
520,000
HSBC USA, Inc., 3.750%, 5/24/2024
511,405
525,000
HSBC USA, Inc., 5.625%, 3/17/2025
521,892
585,000
Huntington Bancshares, Inc., (fixed rate to
8/21/2028, variable rate thereafter),
6.208%, 8/21/2029
572,277
290,000
Huntington National Bank, 5.650%, 1/10/2030
273,278
200,000
ING Groep NV, (fixed rate to 9/11/2033, variable rate
thereafter), 6.114%, 9/11/2034
194,222
495,000
Intesa Sanpaolo SpA, 7.000%, 11/21/2025(a)
500,386
See accompanying notes to financial statements.
69 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
Banking — continued
$550,000
JPMorgan Chase & Co., (fixed rate to 6/01/2028,
variable rate thereafter), 2.069%, 6/01/2029
$463,434
820,000
JPMorgan Chase & Co., (fixed rate to 6/01/2033,
variable rate thereafter), 5.350%, 6/01/2034
777,587
735,000
JPMorgan Chase & Co., (fixed rate to 12/15/2024,
variable rate thereafter), 5.546%, 12/15/2025
729,875
435,000
KeyBank NA, 5.850%, 11/15/2027
413,686
790,000
Lloyds Banking Group PLC, (fixed rate to 8/07/2026,
variable rate thereafter), 5.985%, 8/07/2027
782,886
270,000
Macquarie Group Ltd., (fixed rate to 6/15/2033,
variable rate thereafter), 5.887%, 6/15/2034(a)
254,111
1,110,000
Morgan Stanley, (fixed rate to 7/20/2028, variable
rate thereafter), 5.449%, 7/20/2029
1,081,660
925,000
National Australia Bank Ltd., 4.900%, 6/13/2028
898,494
1,130,000
National Bank of Canada, (fixed rate to 6/09/2024,
variable rate thereafter), 3.750%, 6/09/2025
1,108,564
1,215,000
NatWest Markets PLC, 1.600%, 9/29/2026(a)
1,067,891
390,000
Nordea Bank Abp, 1.500%, 9/30/2026(a)
342,500
210,000
Northern Trust Corp., (fixed rate to 5/08/2027,
variable rate thereafter), 3.375%, 5/08/2032
185,277
1,100,000
PNC Financial Services Group, Inc., (fixed rate to
6/12/2028, variable rate thereafter),
5.582%, 6/12/2029
1,067,125
710,000
Royal Bank of Canada, GMTN, 5.200%, 8/01/2028
691,050
510,000
Santander Holdings USA, Inc., (fixed rate to
6/12/2028, variable rate thereafter),
6.565%, 6/12/2029
497,499
1,280,000
State Street Corp., 5.272%, 8/03/2026
1,267,975
675,000
Sumitomo Mitsui Financial Group, Inc.,
5.800%, 7/13/2028
670,312
200,000
Sumitomo Mitsui Trust Bank Ltd.,
2.550%, 3/10/2025(a)
190,625
830,000
Svenska Handelsbanken AB, 5.500%, 6/15/2028(a)
805,922
360,000
Swedbank AB, 5.472%, 6/15/2026(a)
355,121
850,000
Swedbank AB, 6.136%, 9/12/2026(a)
846,530
560,000
Synchrony Bank, 5.400%, 8/22/2025
538,709
285,000
Synchrony Financial, 4.875%, 6/13/2025
273,261
575,000
Toronto-Dominion Bank, MTN, 5.523%, 7/17/2028
567,547
630,000
Truist Financial Corp., MTN, (fixed rate to 1/26/2033,
variable rate thereafter), 5.122%, 1/26/2034
563,187
1,385,000
UBS AG, 5.650%, 9/11/2028
1,361,936
840,000
UBS Group AG, (fixed rate to 9/22/2033, variable
rate thereafter), 6.301%, 9/22/2034(a)
820,393
585,000
UniCredit SpA, (fixed rate to 9/22/2025, variable rate
thereafter), 2.569%, 9/22/2026(a)
535,906
695,000
Wells Fargo & Co., MTN, (fixed rate to 4/25/2025,
variable rate thereafter), 3.908%, 4/25/2026
669,669
1,365,000
Wells Fargo & Co., MTN, (fixed rate to 7/25/2028,
variable rate thereafter), 5.574%, 7/25/2029
1,331,683
 
52,062,455
Brokerage — 0.3%
340,000
Ameriprise Financial, Inc., 5.150%, 5/15/2033
321,146
355,000
Blue Owl Finance LLC, 4.375%, 2/15/2032(a)
283,962
530,000
Jefferies Financial Group, Inc., 5.875%, 7/21/2028
518,676
 
1,123,784
Building Materials — 0.1%
220,000
Ferguson Finance PLC, 4.650%, 4/20/2032(a)
197,547
215,000
Mohawk Industries, Inc., 5.850%, 9/18/2028
213,413
 
410,960
Principal
Amount
Description
Value (†)
Chemicals — 0.5%
$240,000
Cabot Corp., 4.000%, 7/01/2029
$217,280
300,000
Celanese U.S. Holdings LLC, 6.700%, 11/15/2033
292,024
535,000
EIDP, Inc., 4.500%, 5/15/2026
521,103
845,000
FMC Corp., 5.650%, 5/18/2033
764,328
 
1,794,735
Collateralized Mortgage Obligations — 0.6%
88,994
Government National Mortgage Association,
Series 2014-H14, Class FA, 1 mo. USD SOFR +
0.614%, 5.718%, 7/20/2064(c)
88,469
79,219
Government National Mortgage Association,
Series 2014-H15, Class FA, 1 mo. USD SOFR +
0.614%, 5.932%, 7/20/2064(c)
78,724
187
Government National Mortgage Association,
Series 2015-H09, Class HA, 1.750%, 3/20/2065(d)
166
137,631
Government National Mortgage Association,
Series 2015-H10, Class JA, 2.250%, 4/20/2065
132,526
266,418
Government National Mortgage Association,
Series 2016-H06, Class FC, 1 mo. USD SOFR +
1.034%, 4.853%, 2/20/2066(c)
264,797
761,831
Government National Mortgage Association,
Series 2018-H17, Class JA, 3.750%, 9/20/2068(b)
712,961
160,297
Government National Mortgage Association,
Series 2019-H01, Class FL, 1 mo. USD SOFR +
0.564%, 5.882%, 12/20/2068(c)
159,766
324,553
Government National Mortgage Association,
Series 2019-H01, Class FT, 1 mo. USD SOFR +
0.514%, 5.832%, 10/20/2068(c)
323,398
471,902
Government National Mortgage Association,
Series 2019-H10, Class FM, 1 mo. USD SOFR +
0.514%, 5.832%, 5/20/2069(c)
466,647
 
2,227,454
Construction Machinery — 0.9%
410,000
Caterpillar Financial Services Corp., DMTN,
4.350%, 5/15/2026
400,802
1,150,000
Caterpillar Financial Services Corp.,
5.150%, 8/11/2025
1,143,841
1,075,000
CNH Industrial Capital LLC, 5.500%, 1/12/2029
1,056,393
520,000
John Deere Capital Corp., MTN, 4.950%, 7/14/2028
512,818
 
3,113,854
Consumer Cyclical Services — 0.0%
165,000
Expedia Group, Inc., 6.250%, 5/01/2025(a)
165,272
Consumer Products — 0.4%
25,000
Brunswick Corp., 4.400%, 9/15/2032
20,339
1,190,000
Unilever Capital Corp., 5.000%, 12/08/2033
1,152,409
135,000
Whirlpool Corp., 5.500%, 3/01/2033
129,364
 
1,302,112
Electric — 2.4%
435,000
AES Corp., 3.300%, 7/15/2025(a)
412,022
910,000
American Electric Power Co., Inc.,
5.699%, 8/15/2025
905,336
120,000
Consolidated Edison Co. of New York, Inc.,
Series B, 2.900%, 12/01/2026
109,065
745,000
DTE Energy Co., 4.220%, 11/01/2024
731,109
1,110,000
Edison International, 4.700%, 8/15/2025
1,080,142
605,000
Entergy Corp., 0.900%, 9/15/2025
549,296
280,000
Interstate Power & Light Co., 5.700%, 10/15/2033
275,365
665,000
National Rural Utilities Cooperative Finance Corp.,
MTN, 5.050%, 9/15/2028
653,293
See accompanying notes to financial statements.
| 70

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
Electric — continued
$141,000
National Rural Utilities Cooperative Finance Corp.,
(fixed rate to 5/01/2023, variable rate thereafter),
8.541%, 4/30/2043(c)
$138,533
675,000
NextEra Energy Capital Holdings, Inc.,
5.749%, 9/01/2025
673,105
380,000
NextEra Energy Capital Holdings, Inc.,
6.051%, 3/01/2025
380,575
380,000
Southern California Edison Co., 5.650%, 10/01/2028
379,320
730,000
Vistra Operations Co. LLC, 5.125%, 5/13/2025(a)
711,714
830,000
WEC Energy Group, Inc., 4.750%, 1/09/2026
813,057
540,000
Xcel Energy, Inc., 5.450%, 8/15/2033
515,337
 
8,327,269
Finance Companies — 2.5%
510,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.150%, 2/15/2024
504,181
360,000
Air Lease Corp., 1.875%, 8/15/2026
319,842
555,000
Aircastle Ltd., 2.850%, 1/26/2028(a)
470,908
285,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
279,493
500,000
Ares Capital Corp., 2.875%, 6/15/2028
418,196
50,000
Ares Capital Corp., 4.250%, 3/01/2025
48,085
225,000
Aviation Capital Group LLC, 4.375%, 1/30/2024(a)
223,024
545,000
Bain Capital Specialty Finance, Inc.,
2.550%, 10/13/2026
470,006
200,000
Barings BDC, Inc., 3.300%, 11/23/2026
175,477
795,000
Blackstone Private Credit Fund, 2.625%, 12/15/2026
684,291
490,000
Blackstone Secured Lending Fund,
2.850%, 9/30/2028
401,022
260,000
Blue Owl Capital Corp., 3.750%, 7/22/2025
243,603
90,000
Blue Owl Capital Corp., 4.250%, 1/15/2026
84,198
140,000
Blue Owl Credit Income Corp., 7.750%, 9/16/2027
138,874
690,000
Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a)
683,962
890,000
Blue Owl Technology Finance Corp.,
4.750%, 12/15/2025(a)
823,214
435,000
FS KKR Capital Corp., 3.125%, 10/12/2028
353,977
660,000
Golub Capital BDC, Inc., 2.500%, 8/24/2026
578,427
505,000
Hercules Capital, Inc., 3.375%, 1/20/2027
441,545
465,000
Main Street Capital Corp., 3.000%, 7/14/2026
410,872
340,000
Morgan Stanley Direct Lending Fund,
4.500%, 2/11/2027
315,839
160,000
Sixth Street Specialty Lending, Inc.,
6.950%, 8/14/2028
158,249
520,000
USAA Capital Corp., 3.375%, 5/01/2025(a)
501,075
 
8,728,360
Financial Other — 0.2%
470,000
LeasePlan Corp. NV, 2.875%, 10/24/2024(a)
452,152
185,000
ORIX Corp., 3.250%, 12/04/2024
178,734
 
630,886
Food & Beverage — 0.9%
280,000
Cargill, Inc., 4.500%, 6/24/2026(a)
273,840
1,135,000
Conagra Brands, Inc., 5.300%, 10/01/2026
1,123,473
875,000
JBS USA LUX SA/JBS USA Food Co./JBS
Luxembourg Sarl, 6.750%, 3/15/2034(a)
851,366
915,000
Pernod Ricard International Finance LLC,
1.250%, 4/01/2028(a)
765,644
 
3,014,323
Government Owned - No Guarantee — 0.3%
800,000
Antares Holdings LP, 3.750%, 7/15/2027(a)
689,201
350,000
BOC Aviation USA Corp., 1.625%, 4/29/2024(a)
341,056
 
1,030,257
Principal
Amount
Description
Value (†)
Health Care REITs — 0.2%
$350,000
Healthpeak OP LLC, 5.250%, 12/15/2032
$325,524
235,000
Omega Healthcare Investors, Inc.,
4.500%, 1/15/2025
228,383
 
553,907
Healthcare — 0.6%
755,000
GE HealthCare Technologies, Inc.,
5.550%, 11/15/2024
751,215
320,000
IQVIA, Inc., 5.700%, 5/15/2028(a)
310,893
855,000
Thermo Fisher Scientific, Inc., 4.977%, 8/10/2030
832,213
 
1,894,321
Hybrid ARMs — 0.0%
13,912
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.225%, 5.216%, 1/01/2035(c)
14,100
28,615
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.500%, 5.280%, 5/01/2036(c)
29,080
 
43,180
Independent Energy — 0.2%
405,000
ConocoPhillips Co., 5.050%, 9/15/2033
387,712
460,000
Pioneer Natural Resources Co., 5.100%, 3/29/2026
454,087
 
841,799
Life Insurance — 5.2%
400,000
Allianz SE, (fixed rate to 3/06/2033, variable rate
thereafter), 6.350%, 9/06/2053(a)
386,167
330,000
Athene Global Funding, 2.500%, 3/24/2028(a)
279,737
410,000
Brighthouse Financial Global Funding,
1.200%, 12/15/2023(a)
406,016
780,000
Brighthouse Financial Global Funding,
1.750%, 1/13/2025(a)
735,563
835,000
CNO Global Funding, 2.650%, 1/06/2029(a)
697,132
530,000
Corebridge Financial, Inc., 6.050%, 9/15/2033(a)
514,763
205,000
Corebridge Global Funding, 0.900%, 9/22/2025(a)
185,757
670,000
Corebridge Global Funding, 5.750%, 7/02/2026(a)
661,910
870,000
Equitable Financial Life Global Funding,
5.500%, 12/02/2025(a)
857,221
155,000
F&G Annuities & Life, Inc., 7.400%, 1/13/2028
154,623
1,170,000
F&G Global Funding, 5.150%, 7/07/2025(a)
1,135,710
330,000
Five Corners Funding Trust III, 5.791%, 2/15/2033(a)
323,754
230,000
GA Global Funding Trust, 1.250%, 12/08/2023(a)
227,729
995,000
GA Global Funding Trust, 2.250%, 1/06/2027(a)
871,886
665,000
Great-West Lifeco U.S. Finance 2020 LP,
0.904%, 8/12/2025(a)
601,710
1,370,000
Guardian Life Global Funding, 1.100%, 6/23/2025(a)
1,258,027
705,000
Jackson National Life Global Funding,
1.750%, 1/12/2025(a)
661,943
155,000
Jackson National Life Global Funding,
3.875%, 6/11/2025(a)
147,581
230,000
Lincoln National Corp., 3.400%, 3/01/2032
180,787
860,000
MassMutual Global Funding II, 5.050%, 6/14/2028(a)
838,199
520,000
MetLife, Inc., 5.375%, 7/15/2033
499,886
530,000
Metropolitan Life Global Funding I,
0.950%, 7/02/2025(a)
486,826
695,000
New York Life Global Funding, 4.700%, 4/02/2026(a)
680,800
845,000
New York Life Global Funding, 5.450%, 9/18/2026(a)
842,833
840,000
Northwestern Mutual Global Funding,
4.900%, 6/12/2028(a)
815,598
440,000
Protective Life Global Funding, 1.646%, 1/13/2025(a)
416,423
765,000
Protective Life Global Funding, 4.714%, 7/06/2027(a)
735,747
655,000
Reliance Standard Life Global Funding II,
2.750%, 5/07/2025(a)
615,838
See accompanying notes to financial statements.
71 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
Life Insurance — continued
$415,000
Reliance Standard Life Global Funding II,
5.243%, 2/02/2026(a)
$403,177
570,000
RGA Global Funding, 2.700%, 1/18/2029(a)
483,301
755,000
Security Benefit Global Funding,
1.250%, 5/17/2024(a)
728,640
 
17,835,284
Lodging — 0.4%
400,000
Hyatt Hotels Corp., 5.750%, 1/30/2027
397,435
720,000
Marriott International, Inc., 5.550%, 10/15/2028
711,945
350,000
Marriott International, Inc., Series Z,
4.150%, 12/01/2023
348,891
 
1,458,271
Media Entertainment — 0.4%
550,000
Prosus NV, 4.193%, 1/19/2032(a)
438,581
815,000
Take-Two Interactive Software, Inc.,
4.950%, 3/28/2028
787,666
 
1,226,247
Metals & Mining — 0.7%
1,045,000
BHP Billiton Finance USA Ltd., 4.875%, 2/27/2026
1,030,428
1,160,000
Glencore Funding LLC, 6.375%, 10/06/2030(a)
1,156,877
290,000
Northern Star Resources Ltd., 6.125%, 4/11/2033(a)
270,769
 
2,458,074
Midstream — 0.4%
460,000
Enbridge, Inc., 5.700%, 3/08/2033
440,680
435,000
ONEOK, Inc., 5.550%, 11/01/2026
432,164
600,000
Williams Cos., Inc., 5.400%, 3/02/2026
595,343
 
1,468,187
Mortgage Related — 0.5%
522
Federal Home Loan Mortgage Corp.,
3.000%, 10/01/2026
506
7
Federal Home Loan Mortgage Corp.,
6.500%, 1/01/2024
7
8
Federal Home Loan Mortgage Corp.,
8.000%, 7/01/2025
8
9,998
Government National Mortgage Association,
3.890%, with various maturities in 2062(b)(e)
9,443
13,654
Government National Mortgage Association,
4.015%, 4/20/2063(b)
13,091
14,703
Government National Mortgage Association,
4.157%, 6/20/2066(b)
13,960
45,663
Government National Mortgage Association,
4.256%, 11/20/2066(b)
44,110
41,612
Government National Mortgage Association,
4.389%, 9/20/2066(b)
40,063
51,726
Government National Mortgage Association,
4.410%, 10/20/2066(b)
49,814
124,969
Government National Mortgage Association,
4.426%, 10/20/2066(b)
120,786
51,252
Government National Mortgage Association,
4.453%, 11/20/2066(b)
49,329
2,349
Government National Mortgage Association,
4.466%, 11/20/2064(b)
2,294
37,323
Government National Mortgage Association,
4.471%, 8/20/2066(b)
36,156
117,180
Government National Mortgage Association,
4.496%, 9/20/2066(b)
113,787
248,187
Government National Mortgage Association,
4.585%, 7/20/2067(b)
239,300
Principal
Amount
Description
Value (†)
Mortgage Related — continued
$52,705
Government National Mortgage Association,
4.586%, 10/20/2066(b)
$51,273
616,969
Government National Mortgage Association,
4.639%, 4/20/2067(b)
597,628
418,822
Government National Mortgage Association,
4.670%, 1/20/2067(b)
407,647
61,299
Government National Mortgage Association,
4.700%, with various maturities from 2061 to
2064(b)(e)
60,656
4
Government National Mortgage Association,
6.500%, 12/15/2023
4
 
1,849,862
Natural Gas — 0.1%
155,000
Sempra, 5.400%, 8/01/2026
153,356
365,000
Southern Co. Gas Capital Corp., 5.750%, 9/15/2033
357,819
 
511,175
Non-Agency Commercial Mortgage-Backed Securities — 5.4%
230,000
BANK, Series 2019-BN24, Class A3,
2.960%, 11/15/2062
194,373
270,000
BANK, Series 2020-BN25, Class A5,
2.649%, 1/15/2063
222,192
870,000
BANK, Series 2021-BN37, Class A5,
2.618%, 11/15/2064(b)
682,732
635,000
BANK, Series 2023-5YR3, Class A3,
6.724%, 9/15/2056(b)
650,333
660,000
BBCMS Mortgage Trust, Series 2020-BID, Class A,
1 mo. USD SOFR + 2.254%, 7.588%, 10/15/2037(a)(c)
628,460
865,000
BBCMS Mortgage Trust, Series 2021-C12, Class A5,
2.689%, 11/15/2054
685,878
300,000
BBCMS Mortgage Trust, Series 2023-C20, Class A5,
5.576%, 7/15/2056
292,901
178,976
BB-UBS Trust, Series 2012-TFT, Class A,
2.892%, 6/05/2030(a)
157,184
285,000
Benchmark Mortgage Trust, Series 2020-B16,
Class A5, 2.732%, 2/15/2053
234,913
755,000
Benchmark Mortgage Trust, Series 2021-B31,
Class A5, 2.669%, 12/15/2054
595,631
520,000
Benchmark Mortgage Trust, Series 2023-V2,
Class A3, 5.812%, 5/15/2055(b)
512,792
520,000
BPR Trust, Series 2021-NRD, Class A, 1 mo. USD
SOFR + 1.525%, 6.858%, 12/15/2038(a)(c)
490,547
360,000
BPR Trust, Series 2022-OANA, Class A, 1 mo. USD
SOFR + 1.898%, 7.230%, 4/15/2037(a)(c)
353,497
491,600
CFCRE Commercial Mortgage Trust,
Series 2016-C3, Class A3, 3.865%, 1/10/2048
464,356
361,996
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class A4, 3.283%, 5/10/2058
336,929
992,138
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4, 3.314%, 4/10/2049
923,109
540,000
Citigroup Commercial Mortgage Trust,
Series 2019-C7, Class A4, 3.102%, 12/15/2072
456,975
439,483
Commercial Mortgage Pass-Through Certificates,
Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a)
362,749
7,382
Commercial Mortgage Pass-Through Certificates,
Series 2014-CR16, Class ASB, 3.653%, 4/10/2047
7,357
280,000
Commercial Mortgage Pass-Through Certificates,
Series 2014-UBS3, Class A4, 3.819%, 6/10/2047
274,552
280,000
Commercial Mortgage Pass-Through Certificates,
Series 2015-DC1, Class A5, 3.350%, 2/10/2048
267,880
520,299
Commercial Mortgage Pass-Through Certificates,
Series 2016-DC2, Class A5, 3.765%, 2/10/2049
491,359
See accompanying notes to financial statements.
| 72

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$795,000
Credit Suisse Mortgage Trust, Series 2014-USA,
Class A2, 3.953%, 9/15/2037(a)
$678,394
33,828
CSAIL Commercial Mortgage Trust, Series 2015-C4,
Class ASB, 3.617%, 11/15/2048
32,838
470,000
CSAIL Commercial Mortgage Trust,
Series 2019-C18, Class A4, 2.968%, 12/15/2052
394,741
335,000
DC Commercial Mortgage Trust, Series 2023-DC,
Class A, 6.314%, 9/12/2040(a)
333,945
365,000
GS Mortgage Securities Corp. II, Series 2023- SHIP,
Class A, 4.466%, 9/10/2038(a)(b)
347,597
605,000
GS Mortgage Securities Corp. Trust,
Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a)
443,021
440,000
GS Mortgage Securities Corportation Trust,
Series 2013-PEMB, Class A, 3.668%, 3/05/2033(a)(b)
378,670
330,000
GS Mortgage Securities Trust, Series 2014-GC18,
Class A4, 4.074%, 1/10/2047
327,927
245,000
GS Mortgage Securities Trust, Series 2020-GC45,
Class A5, 2.911%, 2/13/2053
204,868
180,000
Hudsons Bay Simon JV Trust, Series 2015-HB10,
Class A10, 4.155%, 8/05/2034(a)
153,593
355,000
Hudsons Bay Simon JV Trust, Series 2015-HB7,
Class A7, 3.914%, 8/05/2034(a)
301,750
7,852
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class ASB, 3.584%, 4/15/2047
7,808
575,000
JPMCC Commercial Mortgage Securities Trust,
Series 2019-COR5, Class A4, 3.386%, 6/13/2052
501,315
776,274
Med Trust, Series 2021-MDLN, Class A, 1 mo. USD
SOFR + 1.064%, 6.397%, 11/15/2038(a)(c)
756,792
129,604
Morgan Stanley Bank of America Merrill Lynch
Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048
122,968
550,000
Morgan Stanley Capital I Trust, Series 2020-L4,
Class A3, 2.698%, 2/15/2053
448,360
845,000
New Economy Assets Phase 1 Sponsor LLC,
Series 2021-1, Class A1, 1.910%, 10/20/2061(a)
728,641
465,000
SCOTT Trust, Series 2023-SFS, Class A,
5.910%, 3/15/2040(a)
450,931
980,000
SPGN Mortgage Trust, Series 2022-TFLM, Class A,
1 mo. USD SOFR + 1.550%, 6.882%, 2/15/2039(a)(c)
933,909
201,109
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class A4, 3.426%, 3/15/2059
188,018
490,000
Wells Fargo Commercial Mortgage Trust,
Series 2020-C58, Class A4, 2.092%, 7/15/2053
379,747
825,000
Wells Fargo Commercial Mortgage Trust,
Series 2022-C62, Class A4, 4.000%, 4/15/2055(b)
714,622
325,000
WFRBS Commercial Mortgage Trust,
Series 2014-C19, Class A5, 4.101%, 3/15/2047
321,744
20,909
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class ASB, 3.638%, 5/15/2047
20,762
 
18,459,660
Office REITs — 0.1%
485,000
Hudson Pacific Properties LP, 5.950%, 2/15/2028
404,893
Other REITs — 0.1%
410,000
Prologis LP, 5.125%, 1/15/2034
387,190
Packaging — 0.1%
335,000
Amcor Flexibles North America, Inc.,
4.000%, 5/17/2025
323,990
Principal
Amount
Description
Value (†)
Property & Casualty Insurance — 0.1%
$255,000
Assured Guaranty U.S. Holdings, Inc.,
6.125%, 9/15/2028
$255,004
240,000
Trustage Financial Group, Inc., 4.625%, 4/15/2032(a)
198,053
 
453,057
Railroads — 0.5%
645,000
CSX Corp., 5.200%, 11/15/2033
623,820
1,095,000
Norfolk Southern Corp., 5.050%, 8/01/2030
1,055,034
215,000
Union Pacific Corp., 3.646%, 2/15/2024
213,198
 
1,892,052
Refining — 0.2%
540,000
Phillips 66 Co., 4.950%, 12/01/2027
529,184
Retailers — 1.0%
345,000
AutoNation, Inc., 3.500%, 11/15/2024
333,193
290,000
AutoNation, Inc., 4.500%, 10/01/2025
280,013
910,000
AutoZone, Inc., 5.050%, 7/15/2026
896,723
825,000
Dollar General Corp., 5.450%, 7/05/2033
761,934
1,245,000
Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023
1,236,980
 
3,508,843
Sovereigns — 0.2%
630,000
Panama Government International Bonds,
6.875%, 1/31/2036
630,129
Technology — 2.3%
270,000
Avnet, Inc., 5.500%, 6/01/2032
248,361
485,000
Avnet, Inc., 6.250%, 3/15/2028
483,626
440,000
Broadcom, Inc., 4.000%, 4/15/2029(a)
397,052
870,000
CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028
750,610
660,000
Equifax, Inc., 5.100%, 6/01/2028
637,760
605,000
Fiserv, Inc., 5.625%, 8/21/2033
586,211
355,000
Flex Ltd., 6.000%, 1/15/2028
353,192
525,000
Global Payments, Inc., 1.500%, 11/15/2024
498,683
665,000
Hewlett Packard Enterprise Co., 5.250%, 7/01/2028
649,203
1,045,000
Intel Corp., 5.200%, 2/10/2033
1,011,808
1,180,000
Intuit, Inc., 5.200%, 9/15/2033
1,149,032
285,000
Microchip Technology, Inc., 0.972%, 2/15/2024
279,758
695,000
Micron Technology, Inc., 6.750%, 11/01/2029
706,151
200,000
Qorvo, Inc., 1.750%, 12/15/2024(a)
187,914
155,000
S&P Global, Inc., 5.250%, 9/15/2033(a)
151,083
 
8,090,444
Tobacco — 0.8%
585,000
Altria Group, Inc., 2.450%, 2/04/2032
441,311
710,000
BAT Capital Corp., 6.343%, 8/02/2030
699,332
400,000
Philip Morris International, Inc., 5.125%, 2/15/2030
383,617
1,190,000
Philip Morris International, Inc., 5.500%, 9/07/2030
1,157,142
 
2,681,402
Transportation Services — 0.5%
450,000
Element Fleet Management Corp.,
3.850%, 6/15/2025(a)
428,742
390,000
Element Fleet Management Corp.,
6.271%, 6/26/2026(a)
388,668
175,000
Penske Truck Leasing Co. LP/PTL Finance Corp.,
4.000%, 7/15/2025(a)
168,082
240,000
Penske Truck Leasing Co. LP/PTL Finance Corp.,
5.550%, 5/01/2028(a)
232,476
435,000
Penske Truck Leasing Co. LP/PTL Finance Corp.,
6.050%, 8/01/2028(a)
429,543
 
1,647,511
Treasuries — 37.9%
3,635,000
U.S. Treasury Notes, 2.750%, 7/31/2027
3,386,088
See accompanying notes to financial statements.
73 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal
Amount
Description
Value (†)
Treasuries — continued
$9,900,000
U.S. Treasury Notes, 3.250%, 6/30/2027
$9,406,160
30,555,000
U.S. Treasury Notes, 3.500%, 4/30/2028
29,122,734
11,235,000
U.S. Treasury Notes, 3.625%, 3/31/2028
10,770,679
13,355,000
U.S. Treasury Notes, 3.625%, 5/31/2028
12,799,933
8,810,000
U.S. Treasury Notes, 3.875%, 4/30/2025
8,630,703
17,710,000
U.S. Treasury Notes, 3.875%, 11/30/2027
17,167,631
8,895,000
U.S. Treasury Notes, 3.875%, 12/31/2027
8,620,853
3,080,000
U.S. Treasury Notes, 3.875%, 8/15/2033
2,910,119
805,000
U.S. Treasury Notes, 4.000%, 2/29/2028
784,183
13,855,000
U.S. Treasury Notes, 4.125%, 7/31/2028
13,556,252
3,290,000
U.S. Treasury Notes, 4.625%, 6/30/2025
3,261,855
10,305,000
U.S. Treasury Notes, 4.750%, 7/31/2025
10,236,568
 
130,653,758
Wireless — 0.2%
810,000
American Tower Corp., 5.250%, 7/15/2028
782,171
Wirelines — 0.3%
565,000
AT&T, Inc., 5.400%, 2/15/2034
528,783
495,000
Bell Telephone Co. of Canada or Bell Canada,
5.100%, 5/11/2033
462,732
 
991,515
Total Bonds and Notes
(Identified Cost $351,538,288)
337,059,800
Short-Term Investments — 2.4%
8,427,014
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 9/29/2023 at
2.500% to be repurchased at $8,428,769
on 10/02/2023  collateralized by $9,653,200
U.S. Treasury Note, 0.750% due 8/31/2026 valued at
$8,595,608 including accrued interest (Note 2 of
Notes to Financial Statements)
(Identified Cost $8,427,014)
8,427,014
Total Investments — 100.1%
(Identified Cost $359,965,302)
345,486,814
Other assets less liabilities — (0.1)%
(372,002
)
Net Assets — 100.0%
$345,114,812
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
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, 2023, the value
of Rule 144A holdings amounted to $88,139,011 or 25.5% of net
assets.
(b)
Variable rate security. The interest rate adjusts periodically based
on; (i) changes in current interest rates and/or prepayments on
underlying pools of assets, if applicable, (ii) reference to a base
lending rate plus or minus a margin, and/or (iii) reference to a base
lending rate adjusted by a multiplier and/or subject to certain
floors or caps. Rate as of September 30, 2023 is disclosed.
(c)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(d)
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements.
(e)
The Fund’s investment in mortgage related securities of
Government 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.
 
ABS
Asset-Backed Securities
ARMs
Adjustable Rate Mortgages
CMT
Constant Maturity Treasury
GMTN
Global Medium Term Note
MTN
Medium Term Note
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
At September 30, 2023, open long futures contracts were as follows: 
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
71
$7,547,469
$7,480,516
$(66,953
)
Ultra 10-Year U.S. Treasury Notes Futures
12/19/2023
126
14,485,507
14,056,875
(428,632
)
Total
$(495,585
)
See accompanying notes to financial statements.
| 74

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Intermediate Duration Bond Fund (continued)
Industry Summary at September 30, 2023 
Treasuries
37.9
%
Banking
15.1
ABS Car Loan
8.7
Non-Agency Commercial Mortgage-Backed Securities
5.4
Life Insurance
5.2
Automotive
3.3
Finance Companies
2.5
Electric
2.4
Technology
2.3
ABS Other
2.0
Other Investments, less than 2% each
12.9
Short-Term Investments
2.4
Total Investments
100.1
Other assets less liabilities (including futures contracts)
(0.1
)
Net Assets
100.0
%
See accompanying notes to financial statements.
75 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 95.5% of Net Assets
ABS Car Loan — 2.1%
$3,220,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2022-1A, Class A, 3.830%, 8/21/2028(a)
$2,965,446
1,823,209
Carvana Auto Receivables Trust, Series 2021-N2,
Class A2, 0.970%, 3/10/2028
1,714,905
560,049
Credit Acceptance Auto Loan Trust,
Series 2020-3A, Class A, 1.240%, 10/15/2029(a)
559,036
2,735,000
Exeter Automobile Receivables Trust,
Series 2022-5A, Class A3, 5.430%, 4/15/2026
2,730,852
267
GM Financial Consumer Automobile Receivables
Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024
267
655,000
GM Financial Revolving Receivables Trust,
Series 2021-1, Class A, 1.170%, 6/12/2034(a)
575,666
1,555,000
Hertz Vehicle Financing III LLC, Series 2023-3A,
Class A, 5.940%, 2/25/2028(a)
1,553,559
14,139
Hyundai Auto Receivables Trust, Series 2020-A,
Class A3, 1.410%, 11/15/2024
14,112
85,738
Nissan Auto Receivables Owner Trust,
Series 2020-A, Class A3, 1.380%, 12/16/2024
85,512
620,000
PenFed Auto Receivables Owner Trust,
Series 2022-A, Class A4, 4.180%, 12/15/2028(a)
601,476
765,000
Toyota Auto Loan Extended Note Trust,
Series 2020-1A, Class A, 1.350%, 5/25/2033(a)
709,818
4,365,000
Toyota Auto Loan Extended Note Trust,
Series 2022-1A, Class A, 3.820%, 4/25/2035(a)
4,105,827
 
15,616,476
ABS Other — 0.3%
183,555
Chesapeake Funding II LLC, Series 2020-1A,
Class A1, 0.870%, 8/15/2032(a)
181,496
32,808
CNH Equipment Trust, Series 2020-A, Class A3,
1.160%, 6/16/2025
32,613
575,624
Donlen Fleet Lease Funding 2 LLC, Series 2021-2,
Class A2, 0.560%, 12/11/2034(a)
563,500
586,836
Enterprise Fleet Financing LLC, Series 2022-3,
Class A2, 4.380%, 7/20/2029(a)
574,499
292,941
MVW LLC, Series 2020-1A, Class A,
1.740%, 10/20/2037(a)
269,663
433,071
Sierra Timeshare Receivables Funding LLC,
Series 2020-2A, Class A, 1.330%, 7/20/2037(a)
405,284
576,947
Welk Resorts LLC, Series 2019-AA, Class A,
2.800%, 6/15/2038(a)
549,162
 
2,576,217
ABS Student Loan — 0.9%
1,406,485
Navient Private Education Refi Loan Trust,
Series 2019-FA, Class A2, 2.600%, 8/15/2068(a)
1,292,163
438,712
Navient Private Education Refi Loan Trust,
Series 2020-DA, Class A, 1.690%, 5/15/2069(a)
395,140
1,484,053
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A, 1.060%, 10/15/2069(a)
1,261,802
3,481,318
Navient Private Education Refi Loan Trust,
Series 2021-EA, Class A, 0.970%, 12/16/2069(a)
2,906,695
776,268
SMB Private Education Loan Trust, Series 2021-D,
Class A1A, 1.340%, 3/17/2053(a)
681,005
 
6,536,805
Agency Commercial Mortgage-Backed Securities — 27.6%
7,344,343
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series K038,
Class A2, 3.389%, 3/25/2024
7,270,336
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed Securities — continued
$2,580,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series K064,
Class A2, 3.224%, 3/25/2027
$2,420,182
19,074,155
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series K139,
Class A1, 2.209%, 10/25/2031
16,491,963
11,380,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series K747,
Class A2, 2.050%, 11/25/2028(b)
9,811,597
7,929,868
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KC06,
Class A2, 2.541%, 8/25/2026
7,345,532
2,129,552
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates,
Series K-F100, Class AS, 30 day USD SOFR Average
+ 0.180%, 5.491%, 1/25/2028(c)
2,092,708
5,564,048
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates,
Series K-F121, Class AS, 30 day USD SOFR Average
+ 0.180%, 5.491%, 8/25/2028(c)
5,453,040
12,662,262
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates,
Series KF123, Class AS, 30 day USD SOFR Average
+ 0.200%, 5.511%, 9/25/2028(c)
12,498,134
1,245,348
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF53,
Class A, 30 day USD SOFR Average + 0.504%,
5.816%, 10/25/2025(c)
1,238,669
5,160,767
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF72,
Class A, 30 day USD SOFR Average + 0.614%,
5.926%, 10/25/2026(c)
5,137,464
1,894,454
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF74,
Class AS, 1 mo. USD SOFR Historical Calendar Day
Compounded + 0.530%, 5.842%, 1/25/2027(c)
1,887,852
5,244,774
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF77,
Class AL, 30 day USD SOFR Average + 0.814%,
6.126%, 2/25/2027(c)
5,247,625
6,898,222
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF77,
Class AS, 30 day USD SOFR Average + 0.900%,
6.211%, 2/25/2027(c)
6,960,748
17,566,566
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF78,
Class AL, 30 day USD SOFR Average + 0.914%,
6.226%, 3/25/2030(c)
17,515,852
17,566,566
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF78,
Class AS, 30 day USD SOFR Average + 1.000%,
6.311%, 3/25/2030(c)
17,796,145
3,132,630
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF79,
Class AL, 30 day USD SOFR Average + 0.584%,
5.896%, 5/25/2030(c)
3,114,991
2,890,666
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF79,
Class AS, 30 day USD SOFR Average + 0.580%,
5.891%, 5/25/2030(c)
2,870,110
See accompanying notes to financial statements.
| 76

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed Securities — continued
$3,997,045
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF80,
Class AL, 30 day USD SOFR Average + 0.554%,
5.866%, 6/25/2030(c)
$3,959,017
2,245,786
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF80,
Class AS, 30 day USD SOFR Average + 0.510%,
5.821%, 6/25/2030(c)
2,231,130
835,665
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF81,
Class AL, 30 day USD SOFR Average + 0.474%,
5.786%, 6/25/2027(c)
835,777
626,749
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF81,
Class AS, 30 day USD SOFR Average + 0.400%,
5.711%, 6/25/2027(c)
623,694
588,161
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF84,
Class AL, 30 day USD SOFR Average + 0.414%,
5.726%, 7/25/2030(c)
580,560
494,802
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF84,
Class AS, 30 day USD SOFR Average + 0.320%,
5.631%, 7/25/2030(c)
485,844
161,572
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF85,
Class AL, 30 day USD SOFR Average + 0.414%,
5.726%, 8/25/2030(c)
159,066
430,714
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF85,
Class AS, 30 day USD SOFR Average + 0.330%,
5.641%, 8/25/2030(c)
423,943
530,390
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF86,
Class AL, 30 day USD SOFR Average + 0.404%,
5.716%, 8/25/2027(c)
527,818
473,623
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF86,
Class AS, 30 day USD SOFR Average + 0.320%,
5.631%, 8/25/2027(c)
469,210
440,611
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF93,
Class AL, 30 day USD SOFR Average + 0.394%,
5.706%, 10/25/2027(c)
436,891
529,019
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF93,
Class AS, 30 day USD SOFR Average + 0.310%,
5.621%, 10/25/2027(c)
523,704
2,965,584
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF97,
Class AS, 30 day USD SOFR Average + 0.250%,
5.561%, 12/25/2030(c)
2,908,733
6,775,952
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KJ20,
Class A2, 3.799%, 12/25/2025
6,565,039
8,246,363
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KJ21,
Class A2, 3.700%, 9/25/2026
7,919,863
6,507,557
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KJ26,
Class A2, 2.606%, 7/25/2027
6,098,828
Principal
Amount
Description
Value (†)
Agency Commercial Mortgage-Backed Securities — continued
$7,165,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KJ37,
Class A2, 2.333%, 11/25/2030
$6,090,107
16,300,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KJ42,
Class A2, 4.118%, 11/25/2032
15,170,133
8,515,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KS12,
Class A, 30 day USD SOFR Average + 0.764%,
6.076%, 8/25/2029(c)
8,491,760
2,855,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KS14,
Class AL, 30 day USD SOFR Average + 0.454%,
5.766%, 4/25/2030(c)
2,829,750
3,140,000
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KS14,
Class AS, 30 day USD SOFR Average + 0.370%,
5.681%, 4/25/2030(c)
3,107,294
733,071
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series Q008,
Class A, 30 day USD SOFR Average + 0.504%,
5.816%, 10/25/2045(c)
727,691
171,970
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series Q015,
Class A, 30 day USD SOFR Average + 0.200%,
5.513%, 8/25/2024(c)
171,939
3,913,379
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series Q016,
Class APT1, 1.242%, 5/25/2051(b)
3,538,105
5,200,000
Federal National Mortgage Association,
3.580%, 1/01/2026
4,995,379
1,548,312
Federal National Mortgage Association,
Series 2014-M2, Class A2, 3.513%, 12/25/2023(b)
1,538,643
704,347
Federal National Mortgage Association,
Series 2020-M5, Class FA, 30 day USD SOFR
Average + 0.574%, 5.886%, 1/25/2027(c)
699,890
71,539
Government National Mortgage Association,
Series 2003-72, Class Z, 5.412%, 11/16/2045(b)
68,923
 
207,331,679
Collateralized Mortgage Obligations — 10.7%
41,471
Federal Home Loan Mortgage Corp., Series 2131,
Class ZB, REMIC, 6.000%, 3/15/2029(d)
39,494
366,831
Federal Home Loan Mortgage Corp., Series 2978,
Class JG, REMIC, 5.500%, 5/15/2035(d)
359,951
562,166
Federal Home Loan Mortgage Corp., Series 3036,
Class NE, REMIC, 5.000%, 9/15/2035(d)
544,341
191,934
Federal Home Loan Mortgage Corp., Series 3412,
Class AY, REMIC, 5.500%, 2/15/2038(d)
185,250
538,958
Federal Home Loan Mortgage Corp., Series 3561,
Class W, IO, REMIC, 2.600%, 6/15/2048(b)(e)
477,709
427,263
Federal Home Loan Mortgage Corp., Series 3620,
Class AT, REMIC, 3.841%, 12/15/2036(b)(e)
416,806
98,978
Federal Home Loan Mortgage Corp., Series 4212,
Class FW, REMIC, 0.000%, 6/15/2043(b)(d)
76,990
4,683
Federal Home Loan Mortgage Corp. Structured
Pass-Through Certificates, Series T-60, Class 2A1,
3.926%, 3/25/2044(b)(d)
3,832
236,227
Federal Home Loan Mortgage Corp. Structured
Pass-Through Certificates, Series T-62, Class 1A1,
1 yr. MTA + 1.200%, 5.826%, 10/25/2044(c)(d)
210,673
See accompanying notes to financial statements.
77 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$971
Federal National Mortgage Association,
Series 1994-42, Class FD, REMIC, 10 yr. CMT -
0.500%, 3.770%, 4/25/2024(c)(d)
$938
5,332
Federal National Mortgage Association,
Series 2002-W10, Class A7, REMIC,
4.419%, 8/25/2042(b)(d)
4,768
516,409
Federal National Mortgage Association,
Series 2003-48, Class GH, REMIC,
5.500%, 6/25/2033(d)
505,620
7,304
Federal National Mortgage Association,
Series 2005-100, Class BQ, REMIC,
5.500%, 11/25/2025(d)
7,038
280,108
Federal National Mortgage Association,
Series 2007-73, Class A1, REMIC, 30 day USD SOFR
Average + 0.174%, 5.462%, 7/25/2037(c)(d)
268,649
504,381
Federal National Mortgage Association,
Series 2008-86, Class LA, REMIC,
3.492%, 8/25/2038(b)
471,484
1,028,893
Federal National Mortgage Association,
Series 2012-56, Class FK, REMIC, 30 day USD SOFR
Average + 0.564%, 5.879%, 6/25/2042(c)(d)
985,271
1,135,114
Federal National Mortgage Association,
Series 2012-58, Class KF, REMIC, 30 day USD SOFR
Average + 0.664%, 5.979%, 6/25/2042(c)
1,105,439
2,803,362
Federal National Mortgage Association,
Series 2012-83, Class LF, REMIC, 30 day USD SOFR
Average + 0.624%, 5.939%, 8/25/2042(c)
2,717,810
1,840,298
Federal National Mortgage Association,
Series 2013-67, Class NF, REMIC, 30 day USD SOFR
Average + 1.114%, 5.000%, 7/25/2043(c)
1,698,682
3,033,940
Federal National Mortgage Association,
Series 2015-4, Class BF, REMIC, 30 day USD SOFR
Average + 0.514%, 5.829%, 2/25/2045(c)
2,922,357
4,303,171
Federal National Mortgage Association,
Series 2020-35, Class FA, REMIC, 30 day USD SOFR
Average + 0.614%, 5.242%, 6/25/2050(c)
4,173,913
868,891
Government National Mortgage Association,
Series 2005-18, Class F, 1 mo. USD SOFR + 0.314%,
5.639%, 2/20/2035(c)(d)
850,170
662,199
Government National Mortgage Association,
Series 2007-59, Class FM, 1 mo. USD SOFR +
0.634%, 5.959%, 10/20/2037(c)(d)
652,937
139,718
Government National Mortgage Association,
Series 2009-H01, Class FA, 1 mo. USD SOFR +
1.264%, 6.589%, 11/20/2059(c)(d)
138,320
460,805
Government National Mortgage Association,
Series 2010-H20, Class AF, 1 mo. USD SOFR +
0.444%, 5.762%, 10/20/2060(c)
457,792
359,901
Government National Mortgage Association,
Series 2010-H24, Class FA, 1 mo. USD SOFR +
0.464%, 5.782%, 10/20/2060(c)
357,567
266,084
Government National Mortgage Association,
Series 2010-H27, Class FA, 1 mo. USD SOFR +
0.494%, 5.812%, 12/20/2060(c)
264,435
15,253
Government National Mortgage Association,
Series 2011-H08, Class FA, 1 mo. USD SOFR +
0.714%, 6.032%, 2/20/2061(c)
15,205
28,393
Government National Mortgage Association,
Series 2011-H23, Class HA, 3.000%, 12/20/2061(d)
25,593
3
Government National Mortgage Association,
Series 2012-124, Class HT, 0.000%, 7/20/2032(b)(d)
3
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$1,901,230
Government National Mortgage Association,
Series 2012-18, Class FM, 1 mo. USD SOFR +
0.364%, 5.689%, 9/20/2038(c)
$1,886,399
87
Government National Mortgage Association,
Series 2012-H15, Class FA, 1 mo. USD SOFR +
0.564%, 5.500%, 5/20/2062(c)(d)
83
202,879
Government National Mortgage Association,
Series 2012-H18, Class NA, 1 mo. USD SOFR +
0.634%, 5.952%, 8/20/2062(c)
201,858
9,608
Government National Mortgage Association,
Series 2012-H29, Class HF, 1 mo. USD SOFR +
0.614%, 4.785%, 10/20/2062(c)(d)
8,796
11,552
Government National Mortgage Association,
Series 2013-H02, Class GF, 1 mo. USD SOFR +
0.614%, 5.001%, 12/20/2062(c)(d)
10,810
425,190
Government National Mortgage Association,
Series 2013-H08, Class FA, 1 mo. USD SOFR +
0.464%, 5.782%, 3/20/2063(c)(d)
417,568
703,755
Government National Mortgage Association,
Series 2013-H10, Class FA, 1 mo. USD SOFR +
0.514%, 5.832%, 3/20/2063(c)
699,800
91,624
Government National Mortgage Association,
Series 2013-H14, Class FG, 1 mo. USD SOFR +
0.584%, 5.902%, 5/20/2063(c)(d)
90,216
2,679,077
Government National Mortgage Association,
Series 2014-H14, Class FA, 1 mo. USD SOFR +
0.614%, 5.718%, 7/20/2064(c)
2,663,274
2,354,238
Government National Mortgage Association,
Series 2014-H15, Class FA, 1 mo. USD SOFR +
0.614%, 5.932%, 7/20/2064(c)
2,339,515
1,464,254
Government National Mortgage Association,
Series 2015-H04, Class FL, 1 mo. USD SOFR +
0.584%, 5.688%, 2/20/2065(c)
1,455,532
3,576
Government National Mortgage Association,
Series 2015-H05, Class FA, 1 mo. USD SOFR +
0.414%, 4.741%, 4/20/2061(c)(d)
3,461
5,008
Government National Mortgage Association,
Series 2015-H09, Class HA, 1.750%, 3/20/2065(d)
4,441
211,471
Government National Mortgage Association,
Series 2015-H10, Class FC, 1 mo. USD SOFR +
0.594%, 5.698%, 4/20/2065(c)
210,215
2,326,135
Government National Mortgage Association,
Series 2015-H10, Class JA, 2.250%, 4/20/2065
2,239,863
2,026
Government National Mortgage Association,
Series 2015-H11, Class FA, 1 mo. USD SOFR +
0.364%, 4.774%, 4/20/2065(c)(d)
1,871
1,372,623
Government National Mortgage Association,
Series 2015-H12, Class FL, 1 mo. USD SOFR +
0.344%, 5.662%, 5/20/2065(c)
1,362,747
27,410
Government National Mortgage Association,
Series 2015-H19, Class FH, 1 mo. USD SOFR +
0.414%, 4.497%, 7/20/2065(c)(d)
25,379
1,883
Government National Mortgage Association,
Series 2015-H29, Class FA, 1 mo. USD SOFR +
0.814%, 4.629%, 10/20/2065(c)(d)
1,806
2,536
Government National Mortgage Association,
Series 2015-H30, Class FA, 1 mo. USD SOFR +
0.794%, 4.810%, 8/20/2061(c)(d)
2,410
2,918,843
Government National Mortgage Association,
Series 2016-H06, Class FC, 1 mo. USD SOFR +
1.034%, 4.853%, 2/20/2066(c)
2,901,088
See accompanying notes to financial statements.
| 78

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount
Description
Value (†)
Collateralized Mortgage Obligations — continued
$734,906
Government National Mortgage Association,
Series 2016-H20, Class FB, 1 mo. USD SOFR +
0.664%, 5.982%, 9/20/2066(c)
$731,245
1,987,499
Government National Mortgage Association,
Series 2017-H05, Class FC, 1 mo. USD SOFR +
0.864%, 5.144%, 2/20/2067(c)
1,970,336
2,815
Government National Mortgage Association,
Series 2018-H02, Class FJ, 1 mo. USD SOFR +
0.314%, 4.408%, 10/20/2064(c)(d)
2,722
4,168,134
Government National Mortgage Association,
Series 2018-H11, Class FJ, 1 yr. USD SOFR +
0.795%, 5.027%, 6/20/2068(c)
4,106,393
72,245
Government National Mortgage Association,
Series 2018-H14, Class FG, 1 mo. USD SOFR +
0.464%, 5.782%, 9/20/2068(c)
71,659
6,376,477
Government National Mortgage Association,
Series 2018-H16, Class FA, 1 mo. USD SOFR +
0.534%, 5.385%, 9/20/2068(c)
6,245,759
5,844,827
Government National Mortgage Association,
Series 2019-H04, Class NA, 3.500%, 9/20/2068
5,399,991
874,091
Government National Mortgage Association,
Series 2019-H13, Class FT, 1 yr. CMT + 0.450%,
5.830%, 8/20/2069(c)
873,044
1,604,648
Government National Mortgage Association,
Series 2020-30, Class F, 1 mo. USD SOFR + 0.514%,
5.844%, 4/20/2048(c)
1,530,502
3,100,351
Government National Mortgage Association,
Series 2020-53, Class NF, 1 mo. USD SOFR +
0.564%, 5.894%, 5/20/2046(c)
2,897,585
1,732,342
Government National Mortgage Association,
Series 2020-H01, Class FT, 1 yr. CMT + 0.500%,
5.880%, 1/20/2070(c)
1,724,926
3,329,697
Government National Mortgage Association,
Series 2020-H02, Class FG, 1 mo. USD SOFR +
0.714%, 5.414%, 1/20/2070(c)
3,306,845
3,804,113
Government National Mortgage Association,
Series 2020-H04, Class FP, 1 mo. USD SOFR +
0.614%, 5.294%, 6/20/2069(c)
3,772,249
6,304,563
Government National Mortgage Association,
Series 2020-H07, Class FL, 1 mo. USD SOFR +
0.764%, 6.082%, 4/20/2070(c)
6,287,269
4,558,783
Government National Mortgage Association,
Series 2020-H10, Class FD, 1 mo. USD SOFR +
0.514%, 5.832%, 5/20/2070(c)
4,541,957
 
79,928,651
Hybrid ARMs — 2.2%
130,771
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.732%, 4.126%, 4/01/2037(c)
129,249
39,328
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.742%, 4.229%, 12/01/2037(c)
38,773
410,082
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.286%, 4.430%, 2/01/2036(c)
407,918
142,470
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.903%, 4.453%, 4/01/2037(c)
140,083
71,809
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.250%, 4.498%, 2/01/2035(c)
72,505
253,796
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.245%, 4.538%, 3/01/2036(c)
256,256
671,140
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.267%, 4.587%, 2/01/2036(c)
674,128
Principal
Amount
Description
Value (†)
Hybrid ARMs — continued
$73,835
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.204%, 4.593%, 9/01/2038(c)
$72,474
211,636
Federal Home Loan Mortgage Corp., 6 mo. RFUCC
Treasury + 1.770%, 4.643%, 6/01/2037(c)
205,848
1,062,927
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.840%, 4.825%, 1/01/2046(c)
1,063,509
58,168
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.678%, 4.875%, 3/01/2038(c)
56,628
193,747
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.165%, 4.993%, 4/01/2036(c)
190,619
67,702
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.770%, 5.021%, 11/01/2038(c)
66,227
1,068,997
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.249%, 5.155%, 3/01/2037(c)
1,081,795
602,777
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.897%, 5.275%, 9/01/2041(c)
589,423
137,200
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.935%, 5.297%, 12/01/2034(c)
135,180
413,826
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.765%, 5.746%, 9/01/2035(c)
412,029
75,033
Federal Home Loan Mortgage Corp., 1 yr. RFUCC
Treasury + 1.703%, 5.771%, 11/01/2038(c)
74,042
250,505
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.248%, 5.900%, 9/01/2038(c)
254,480
188,789
Federal Home Loan Mortgage Corp., 1 yr. CMT +
2.220%, 6.142%, 7/01/2033(c)
186,039
714,231
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.800%, 4.050%, 10/01/2041(c)
721,779
110,273
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.800%, 4.050%, 12/01/2041(c)
108,487
34,920
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.729%, 4.074%, 1/01/2037(c)
34,477
171,443
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.734%, 4.188%, 2/01/2037(c)
169,055
93,837
Federal National Mortgage Association, 1 yr. CMT
+ 2.185%, 4.310%, 12/01/2034(c)
92,250
285,343
Federal National Mortgage Association, 1 yr. CMT
+ 2.185%, 4.310%, 1/01/2036(c)
283,465
28,549
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.565%, 4.315%, 4/01/2037(c)
28,075
128,526
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.667%, 4.392%, 10/01/2033(c)
127,330
458,999
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.820%, 4.445%, 2/01/2047(c)
454,058
80,193
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.729%, 4.476%, 11/01/2035(c)
81,436
429,266
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.804%, 4.520%, 3/01/2037(c)
423,854
88,084
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.800%, 4.544%, 3/01/2034(c)
88,891
131,018
Federal National Mortgage Association, 1 yr. CMT
+ 2.486%, 4.611%, 5/01/2035(c)
131,643
378,511
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.559%, 4.685%, 7/01/2035(c)
378,119
698,857
Federal National Mortgage Association, 1 yr. CMT
+ 2.228%, 4.701%, 4/01/2034(c)
703,255
114,798
Federal National Mortgage Association, 1 yr. CMT
+ 2.147%, 4.721%, 9/01/2034(c)
115,563
82,419
Federal National Mortgage Association, 1 yr. CMT
+ 2.196%, 4.740%, 4/01/2034(c)
80,411
555,028
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.550%, 4.824%, 4/01/2037(c)
559,724
See accompanying notes to financial statements.
79 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount
Description
Value (†)
Hybrid ARMs — continued
$214,059
Federal National Mortgage Association, 1 yr. CMT
+ 2.131%, 4.843%, 6/01/2036(c)
$211,367
113,785
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.680%, 5.014%, 11/01/2036(c)
113,316
455,097
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.706%, 5.045%, 9/01/2037(c)
462,496
246,355
Federal National Mortgage Association, 6 mo.
RFUCC Treasury + 2.065%, 5.056%, 7/01/2037(c)
248,143
85,672
Federal National Mortgage Association, 1 yr. CMT
+ 2.287%, 5.148%, 10/01/2033(c)
84,570
43,201
Federal National Mortgage Association, 1 yr. CMT
+ 2.211%, 5.211%, 4/01/2033(c)
42,758
929,532
Federal National Mortgage Association, 1 yr. CMT
+ 2.214%, 5.262%, 10/01/2034(c)
941,840
18,151
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.806%, 5.275%, 7/01/2041(c)
17,730
736,298
Federal National Mortgage Association, 1 yr. CMT
+ 2.170%, 5.343%, 12/01/2040(c)
745,544
98,757
Federal National Mortgage Association, 1 yr. CMT
+ 2.500%, 5.477%, 8/01/2036(c)
101,136
769,126
Federal National Mortgage Association, 1 yr. CMT
+ 2.185%, 5.687%, 11/01/2033(c)
782,324
373,729
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.564%, 5.742%, 9/01/2037(c)
369,470
67,759
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.515%, 5.765%, 8/01/2035(c)
66,263
209,487
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.639%, 5.889%, 8/01/2038(c)
206,417
144,610
Federal National Mortgage Association, 1 yr. CMT
+ 2.287%, 5.924%, 6/01/2033(c)
143,349
214,832
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.681%, 5.931%, 7/01/2038(c)
211,785
49,659
Federal National Mortgage Association, 1 yr. CMT
+ 2.145%, 5.934%, 9/01/2036(c)
49,253
88,650
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.713%, 5.963%, 8/01/2034(c)
86,558
275,786
Federal National Mortgage Association, 1 yr. CMT
+ 2.270%, 6.020%, 6/01/2037(c)
277,399
58,555
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 2.473%, 6.223%, 6/01/2035(c)
57,454
127,686
Federal National Mortgage Association, 1 yr. CMT
+ 2.223%, 6.223%, 8/01/2035(c)
125,970
49,545
Federal National Mortgage Association, 1 yr. CMT
+ 2.440%, 6.266%, 8/01/2033(c)
49,134
209,195
Federal National Mortgage Association, 6 mo.
RFUCC Treasury + 1.546%, 6.747%, 7/01/2035(c)
211,681
19,712
Federal National Mortgage Association, 6 mo.
RFUCC Treasury + 1.460%, 7.161%, 2/01/2037(c)
19,985
 
16,315,019
Mortgage Related — 1.1%
10,667
Federal Home Loan Mortgage Corp.,
3.000%, 10/01/2026
10,324
100,630
Federal Home Loan Mortgage Corp., 4.000%, with
various maturities from 2024 to 2042(f)
92,822
22,680
Federal Home Loan Mortgage Corp., 4.500%, with
various maturities from 2025 to 2034(f)
21,592
12
Federal Home Loan Mortgage Corp.,
5.500%, 10/01/2023
12
101,491
Federal Home Loan Mortgage Corp.,
6.500%, 12/01/2034
103,369
Principal
Amount
Description
Value (†)
Mortgage Related — continued
$21
Federal Home Loan Mortgage Corp.,
7.500%, 6/01/2026
$21
75,790
Federal National Mortgage Association,
3.000%, 3/01/2042
64,792
502,646
Federal National Mortgage Association, 5.000%,
with various maturities from 2037 to 2038(f)
492,510
142,047
Federal National Mortgage Association, 5.500%,
with various maturities from 2024 to 2033(f)
138,756
125,525
Federal National Mortgage Association, 6.500%,
with various maturities from 2032 to 2037(f)
126,807
24,279
Federal National Mortgage Association, 7.500%,
with various maturities from 2030 to 2032(f)
24,389
105,215
Government National Mortgage Association,
4.140%, with various maturities from 2061 to
2063(b)(f)
100,604
13,673
Government National Mortgage Association,
4.390%, 12/20/2062(b)
13,263
1,843,077
Government National Mortgage Association,
4.439%, 10/20/2065(b)
1,792,183
97,839
Government National Mortgage Association,
4.547%, 1/20/2064(b)
96,668
742,388
Government National Mortgage Association,
4.576%, 2/20/2066(b)
726,995
1,876
Government National Mortgage Association,
4.619%, 8/20/2062(b)
1,814
52,491
Government National Mortgage Association,
4.630%, with various maturities from 2062 to
2063(b)(f)
51,646
6,476
Government National Mortgage Association,
4.642%, 2/20/2062(b)
6,085
576,003
Government National Mortgage Association,
4.663%, 11/20/2063(b)
570,620
9,518
Government National Mortgage Association,
4.677%, 8/20/2061(b)
9,295
343,961
Government National Mortgage Association,
4.700%, with various maturities from 2061 to
2064(b)(f)
337,509
1,874
Government National Mortgage Association,
4.889%, 4/20/2061(b)
1,826
4,453
Government National Mortgage Association,
6.000%, 12/15/2031
4,517
19,436
Government National Mortgage Association,
6.500%, 5/15/2031
19,612
948,489
Government National Mortgage Association, 1 mo.
RFUCC Treasury + 1.758%, 6.875%, 2/20/2061(c)
956,869
17,280
Government National Mortgage Association,
7.000%, 10/15/2028
17,268
667,971
Government National Mortgage Association, 1 mo.
RFUCC Treasury + 1.890%, 7.038%, 2/20/2063(c)
677,574
526,740
Government National Mortgage Association, 1 mo.
RFUCC Treasury + 2.170%, 7.318%, 3/20/2063(c)
535,519
500,930
Government National Mortgage Association, 1 mo.
RFUCC Treasury + 2.186%, 7.335%, 5/20/2065(c)
508,011
502,488
Government National Mortgage Association, 1 mo.
RFUCC Treasury + 2.229%, 7.378%, 6/20/2065(c)
513,516
289,109
Government National Mortgage Association, 1 mo.
RFUCC Treasury + 2.329%, 7.477%, 2/20/2063(c)
294,516
 
8,311,304
Non-Agency Commercial Mortgage-Backed Securities — 3.6%
1,595,000
BANK, Series 2020-BN25, Class A5,
2.649%, 1/15/2063
1,312,578
See accompanying notes to financial statements.
| 80

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$3,895,000
BBCMS Mortgage Trust, Series 2020-BID, Class A,
1 mo. USD SOFR + 2.254%, 7.588%, 10/15/2037(a)(c)
$3,708,867
1,825,000
BPR Trust, Series 2021-NRD, Class A, 1 mo. USD
SOFR + 1.525%, 6.858%, 12/15/2038(a)(c)
1,721,630
4,650,000
BPR Trust, Series 2022-SSP, Class A, 1 mo. USD
SOFR + 3.000%, 8.332%, 5/15/2039(a)(c)
4,638,382
1,745,000
CFCRE Commercial Mortgage Trust,
Series 2016-C7, Class A3, 3.839%, 12/10/2054
1,636,261
1,076,116
Commercial Mortgage Pass-Through Certificates,
Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a)
888,226
1,488,000
Commercial Mortgage Pass-Through Certificates,
Series 2014-UBS2, Class A5, 3.961%, 3/10/2047
1,476,706
1,927,127
Commercial Mortgage Pass-Through Certificates,
Series 2016-DC2, Class ASB, 3.550%, 2/10/2049
1,875,772
2,570,000
DROP Mortgage Trust, Series 2021-FILE, Class A,
1 mo. USD SOFR + 1.264%, 6.597%, 10/15/2043(a)(c)
2,395,700
2,600,000
Hudsons Bay Simon JV Trust, Series 2015-HB7,
Class A7, 3.914%, 8/05/2034(a)
2,210,000
3,295,000
SPGN Mortgage Trust, Series 2022-TFLM, Class A,
1 mo. USD SOFR + 1.550%, 6.882%, 2/15/2039(a)(c)
3,140,032
2,995,449
Starwood Retail Property Trust, Series 2014-STAR,
Class A, PRIME + 0.000%, 8.500%, 11/15/2027(a)(c)
2,141,746
 
27,145,900
Treasuries — 47.0%
4,010,000
U.S. Treasury Notes, 0.375%, 9/30/2027
3,384,847
3,620,000
U.S. Treasury Notes, 2.750%, 4/30/2027
3,385,124
71,120,000
U.S. Treasury Notes, 2.750%, 2/15/2028
65,774,888
4,460,000
U.S. Treasury Notes, 3.875%, 3/31/2025
4,371,323
6,715,000
U.S. Treasury Notes, 3.875%, 4/30/2025
6,578,339
26,990,000
U.S. Treasury Notes, 3.875%, 11/30/2027
26,163,431
10,465,000
U.S. Treasury Notes, 3.875%, 12/31/2027
10,142,465
12,315,000
U.S. Treasury Notes, 4.000%, 2/29/2028
11,996,542
42,930,000
U.S. Treasury Notes, 4.000%, 6/30/2028
41,784,641
5,270,000
U.S. Treasury Notes, 4.125%, 10/31/2027
5,157,807
7,645,000
U.S. Treasury Notes, 4.125%, 7/31/2028
7,480,155
28,125,000
U.S. Treasury Notes, 4.250%, 5/31/2025
27,707,520
13,620,000
U.S. Treasury Notes, 4.375%, 8/31/2028
13,484,864
30,065,000
U.S. Treasury Notes, 4.625%, 6/30/2025
29,807,803
20,570,000
U.S. Treasury Notes, 4.625%, 3/15/2026
20,426,974
4,285,000
U.S. Treasury Notes, 4.625%, 9/30/2028
4,287,678
18,775,000
U.S. Treasury Notes, 4.750%, 7/31/2025
18,650,322
3,710,000
U.S. Treasury Notes, 5.000%, 8/31/2025
3,702,464
48,100,000
U.S. Treasury Notes, 5.000%, 9/30/2025
48,054,906
 
352,342,093
Total Bonds and Notes
(Identified Cost $744,443,600)
716,104,144
Short-Term Investments — 13.9%
16,180,699
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 9/29/2023 at
2.500% to be repurchased at $16,184,070
on 10/02/2023  collateralized by $18,183,500
U.S. Treasury Note, 1.375% due 8/31/2026 valued at
$16,504,399 including accrued interest (Note 2 of
Notes to Financial Statements)
16,180,699
19,850,000
Federal Home Loan Bank Discount Notes,
5.220%, 10/02/2023(g)
19,850,000
Principal
Amount
Description
Value (†)
$20,125,000
Federal Home Loan Bank Discount Notes,
5.250%, 10/11/2023(g)
$20,098,571
48,130,000
Federal National Mortgage Association Discount
Notes, 5.225%, 10/02/2023(g)
48,130,000
Total Short-Term Investments
(Identified Cost $104,249,423)
104,259,270
Total Investments — 109.4%
(Identified Cost $848,693,023)
820,363,414
Other assets less liabilities — (9.4)%
(70,610,040
)
Net Assets — 100.0%
$749,753,374
 
(†)
See Note 2 of Notes to Financial Statements.
 
(a)
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, 2023, the value
of Rule 144A holdings amounted to $40,995,820 or 5.5% of net
assets.
(b)
Variable rate security. The interest rate adjusts periodically based
on; (i) changes in current interest rates and/or prepayments on
underlying pools of assets, if applicable, (ii) reference to a base
lending rate plus or minus a margin, and/or (iii) reference to a base
lending rate adjusted by a multiplier and/or subject to certain
floors or caps. Rate as of September 30, 2023 is disclosed.
(c)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(d)
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements.
(e)
Interest only security. Security represents right to receive monthly
interest payments on an underlying pool of mortgages. Principal
shown is the outstanding par amount of the pool held as of the end
of the period.
(f)
The Fund’s investment in mortgage related securities of Federal
Home Loan Mortgage Corporation, Federal National Mortgage
Association and Government 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.
(g)
Interest rate represents discount rate at time of purchase; not a
coupon rate.
 
ABS
Asset-Backed Securities
ARMs
Adjustable Rate Mortgages
CMT
Constant Maturity Treasury
MTA
Monthly Treasury Average Interest
REMIC
Real Estate Mortgage Investment Conduit
SOFR
Secured Overnight Financing Rate
See accompanying notes to financial statements.
81 |

Portfolio of Investments – as of September 30, 2023
Loomis Sayles Limited Term Government and Agency Fund (continued)
Industry Summary at September 30, 2023 
Treasuries
47.0
%
Agency Commercial Mortgage-Backed Securities
27.6
Collateralized Mortgage Obligations
10.7
Non-Agency Commercial Mortgage-Backed Securities
3.6
Hybrid ARMs
2.2
ABS Car Loan
2.1
Other Investments, less than 2% each
2.3
Short-Term Investments
13.9
Total Investments
109.4
Other assets less liabilities
(9.4
)
Net Assets
100.0
%
See accompanying notes to financial statements.
| 82

Statements of Assets and Liabilities
September 30, 2023
 
 
Core Plus Bond
Fund
Credit Income
Fund
Global
Allocation
Fund
ASSETS
Investments at cost
$7,787,658,751
$23,034,894
$2,624,501,457
Net unrealized appreciation (depreciation)
(829,580,447
)
(3,106,067
)
74,079,500
Investments at value
6,958,078,304
19,928,827
2,698,580,957
Cash
255,588
—
—
Due from brokers (Note 2)
3,371,000
—
1,685,158
Foreign currency at value (identified cost $145, $0 and $4,750,191, respectively)
141
—
4,622,763
Receivable for Fund shares sold
14,488,147
—
1,314,294
Receivable from investment adviser (Note 6)
—
8,531
—
Receivable for securities sold
277,789,766
146,383
16,103,999
Receivable for when-issued/delayed delivery securities sold (Note 2)
375,426,793
—
—
Collateral received for open forward foreign currency contracts (Notes 2 and 4)
—
—
320,000
Dividends and interest receivable
58,146,144
229,307
10,188,657
Unrealized appreciation on forward foreign currency contracts (Note 2)
—
—
761,221
Tax reclaims receivable
—
—
346,361
Receivable for variation margin on futures contracts (Note 2)
2,269,678
7,516
175,107
Prepaid expenses (Note 8)
2,076
147
1,007
TOTAL ASSETS
7,689,827,637
20,320,711
2,734,099,524
LIABILITIES
Payable for securities purchased
441,705,849
88,049
28,459,332
Payable for when-issued/delayed delivery securities purchased (Note 2)
513,413,328
—
—
Payable for Fund shares redeemed
18,324,968
—
3,392,111
Unrealized depreciation on forward foreign currency contracts (Note 2)
—
—
2,347,238
Foreign taxes payable (Note 2)
—
—
63,761
Due to brokers (Note 2)
—
—
320,000
Management fees payable (Note 6)
1,783,288
—
1,699,033
Deferred Trustees’ fees (Note 6)
937,833
9,445
425,050
Administrative fees payable (Note 6)
261,070
784
105,709
Payable to distributor (Note 6d)
56,297
—
45,934
Audit and tax services fees payable
59,010
68,341
61,026
Other accounts payable and accrued expenses
276,840
7,536
867,746
TOTAL LIABILITIES
976,818,483
174,155
37,786,940
NET ASSETS
$6,713,009,154
$20,146,556
$2,696,312,584
NET ASSETS CONSIST OF:
Paid-in capital
$8,164,337,609
$24,572,928
$2,546,286,496
Accumulated earnings (loss)
(1,451,328,455
)
(4,426,372
)
150,026,088
NET ASSETS
$6,713,009,154
$20,146,556
$2,696,312,584
See accompanying notes to financial statements.
83 |

Statements of Assets and Liabilities (continued)
September 30, 2023
 
Core Plus Bond
Fund
Credit Income
Fund
Global
Allocation
Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets
$376,624,257
$196,569
$474,968,049
Shares of beneficial interest
34,462,001
23,990
22,141,164
Net asset value and redemption price per share
$10.93
$8.19
$21.45
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)
$11.42
$8.55
$22.76
Class C shares:  (redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge) (Note 1)
Net assets
$30,401,904
$889
$256,486,857
Shares of beneficial interest
2,778,971
109
12,456,681
Net asset value and offering price per share
$10.94
$8.18
*
$20.59
Class N shares:
Net assets
$2,015,456,654
$19,929,934
$266,297,696
Shares of beneficial interest
182,599,764
2,434,178
12,228,843
Net asset value, offering and redemption price per share
$11.04
$8.19
$21.78
Class Y shares:
Net assets
$4,290,526,339
$19,164
$1,698,559,982
Shares of beneficial interest
388,974,499
2,342
78,093,675
Net asset value, offering and redemption price per share
$11.03
$8.18
$21.75
 
*
Net asset value calculations have been determined utilizing fractional share and penny amounts.
See accompanying notes to financial statements.
| 84

Statements of Assets and Liabilities (continued)
September 30, 2023
 
 
Growth
Fund
Intermediate
Duration Bond
Fund
Limited Term
Government
and Agency
Fund
ASSETS
Investments at cost
$6,301,122,757
$359,965,302
$848,693,023
Net unrealized appreciation (depreciation)
4,496,140,295
(14,478,488
)
(28,329,609
)
Investments at value
10,797,263,052
345,486,814
820,363,414
Cash
—
—
109
Due from brokers (Note 2)
—
590,000
—
Receivable for Fund shares sold
27,990,314
159,241
2,581,321
Receivable for securities sold
13,260,781
1,752,233
20,166,920
Dividends and interest receivable
379,293
3,163,573
3,481,173
Tax reclaims receivable
7,696,480
132
—
Receivable for variation margin on futures contracts (Note 2)
—
40,647
—
Prepaid expenses (Note 8)
3,139
231
355
TOTAL ASSETS
10,846,593,059
351,192,871
846,593,292
LIABILITIES
Payable for securities purchased
30,806,207
5,632,077
94,308,773
Payable for Fund shares redeemed
9,075,927
127,657
1,181,239
Distributions payable
—
—
561,385
Management fees payable (Note 6)
4,615,169
61,489
157,398
Deferred Trustees’ fees (Note 6)
917,972
163,663
458,214
Administrative fees payable (Note 6)
427,511
13,082
28,559
Payable to distributor (Note 6d)
73,702
6,597
11,829
Audit and tax services fees payable
42,542
57,481
62,068
Other accounts payable and accrued expenses
493,853
16,013
70,453
TOTAL LIABILITIES
46,452,883
6,078,059
96,839,918
NET ASSETS
$10,800,140,176
$345,114,812
$749,753,374
NET ASSETS CONSIST OF:
Paid-in capital
$5,718,046,544
$391,986,139
$845,478,071
Accumulated earnings (loss)
5,082,093,632
(46,871,327
)
(95,724,697
)
NET ASSETS
$10,800,140,176
$345,114,812
$749,753,374
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets
$798,842,616
$7,149,797
$209,032,043
Shares of beneficial interest
40,798,640
780,313
19,778,822
Net asset value and redemption price per share
$19.58
$9.16
$10.57
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)
$20.77
$9.57
$10.81
Class C shares:  (redemption price per share is equal to net asset value less any applicable contingent
deferred sales charge) (Note 1)
Net assets
$78,115,741
$698,321
$8,509,724
Shares of beneficial interest
4,706,942
75,970
807,230
Net asset value and offering price per share
$16.60
$9.19
$10.54
Class N shares:
Net assets
$718,310,999
$55,983,141
$45,715,983
Shares of beneficial interest
33,169,745
6,114,971
4,313,137
Net asset value, offering and redemption price per share
$21.66
$9.16
$10.60
Class Y shares:
Net assets
$9,204,870,820
$281,283,553
$486,495,624
Shares of beneficial interest
425,928,476
30,714,023
45,887,141
Net asset value, offering and redemption price per share
$21.61
$9.16
$10.60
See accompanying notes to financial statements.
85 |

Statements of Operations
For the Year Ended September 30, 2023
 
 
Core Plus Bond
Fund
Credit Income
Fund
Global
Allocation
Fund
INVESTMENT INCOME
Interest
$261,489,744
$902,978
$40,961,159
Dividends
—
14,437
24,418,897
Less net foreign taxes withheld
—
—
(1,204,270
)
 
261,489,744
917,415
64,175,786
Expenses
Management fees (Note 6)
20,719,842
88,151
21,232,335
Service and distribution fees (Note 6)
1,407,950
639
4,120,941
Administrative fees (Note 6)
2,965,046
9,729
1,322,590
Trustees' fees and expenses (Note 6)
376,005
17,340
176,511
Transfer agent fees and expenses (Notes 6 and 7)
4,628,336
4,373
2,388,014
Audit and tax services fees
58,913
68,351
61,923
Custodian fees and expenses
190,061
7,911
176,550
Legal fees
255,949
893
115,434
Registration fees
238,321
75,485
109,306
Shareholder reporting expenses
271,650
4,859
152,153
Miscellaneous expenses
231,680
42,683
144,320
Total expenses
31,343,753
320,414
30,000,077
Less waiver and/or expense reimbursement (Note 6)
(456,348
)
(210,497
)
—
Net expenses
30,887,405
109,917
30,000,077
Net investment income
230,602,339
807,498
34,175,709
Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward
foreign currency contracts and Foreign currency transactions
Net realized gain (loss) on:
Investments
(201,801,145
)
(625,995
)
118,010,239
Futures contracts
(58,324,300
)
(357,294
)
(9,602,991
)
Forward foreign currency contracts (Note 2e)
—
—
(5,164,099
)
Foreign currency transactions (Note 2d)
127,585
—
85,914
Net change in unrealized appreciation (depreciation) on:
Investments
81,002,401
998,295
368,454,167
Futures contracts
(10,538,977
)
(111,864
)
(870,412
)
Forward foreign currency contracts (Note 2e)
—
—
1,802,223
Foreign currency translations (Note 2d)
5,306
—
138,620
Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward foreign currency
contracts and Foreign currency transactions
(189,529,130
)
(96,858
)
472,853,661
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$41,073,209
$710,640
$507,029,370
See accompanying notes to financial statements.
| 86

Statements of Operations (continued)
For the Year Ended September 30, 2023
 
 
Growth
Fund
Intermediate
Duration Bond
Fund
Limited Term
Government
and Agency
Fund
INVESTMENT INCOME
Interest
$2,848,235
$12,097,468
$26,770,004
Dividends
49,657,679
—
—
Less net foreign taxes withheld
(2,510,550
)
—
—
 
49,995,364
12,097,468
26,770,004
Expenses
Management fees (Note 6)
50,343,793
782,053
2,268,277
Service and distribution fees (Note 6)
2,475,159
42,934
655,605
Administrative fees (Note 6)
4,665,811
144,972
331,097
Trustees' fees and expenses (Note 6)
523,560
45,612
93,715
Transfer agent fees and expenses (Notes 6 and 7)
9,008,908
222,394
685,057
Audit and tax services fees
46,292
57,510
62,081
Custodian fees and expenses
455,176
25,427
36,353
Legal fees
396,504
12,870
29,772
Registration fees
475,850
60,321
112,392
Shareholder reporting expenses
565,988
21,365
52,146
Miscellaneous expenses
403,162
51,336
57,649
Total expenses
69,360,203
1,466,794
4,384,144
Less waiver and/or expense reimbursement (Note 6)
—
(184,858
)
(533,000
)
Net expenses
69,360,203
1,281,936
3,851,144
Net investment income (loss)
(19,364,839
)
10,815,532
22,918,860
Net realized and unrealized gain (loss) on Investments, Futures contracts and foreign
currency transactions
Net realized gain (loss) on:
Investments
623,787,240
(9,533,725
)
(11,880,518
)
Futures contracts
—
(2,159,161
)
—
Net change in unrealized appreciation (depreciation) on:
Investments
2,716,486,374
7,773,041
7,382,057
Futures contracts
—
776,181
—
Foreign currency translations (Note 2d)
137,400
—
—
Net realized and unrealized gain (loss) on Investments, Futures contracts and foreign currency
transactions
3,340,411,014
(3,143,664
)
(4,498,461
)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$3,321,046,175
$7,671,868
$18,420,399
See accompanying notes to financial statements.
87 |

Statements of Changes in Net Assets
 
 
Core Plus Bond Fund
Credit Income Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment income
$230,602,339
$174,385,553
$807,498
$631,633
Net realized gain (loss) on investments, futures contracts, swap agreements
and foreign currency transactions
(259,997,860
)
(277,234,957
)
(983,289
)
266,764
Net change in unrealized appreciation (depreciation) on investments,
futures contracts and foreign currency translations
70,468,730
(1,058,570,772
)
886,431
(4,721,802
)
Net increase (decrease) in net assets resulting from operations
41,073,209
(1,161,420,176
)
710,640
(3,823,405
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A
(14,223,494
)
(16,005,020
)
(11,032
)
(3,571
)
Class C
(1,000,231
)
(1,420,755
)
(34
)
(25
)
Class N
(75,521,129
)
(68,723,627
)
(1,004,585
)
(818,127
)
Class Y
(146,856,134
)
(135,179,006
)
(1,127
)
(1,898
)
Total distributions
(237,600,988
)
(221,328,408
)
(1,016,778
)
(823,621
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES
TRANSACTIONS (Note 11)
998,143,455
(1,555,408,285
)
1,293
142,887
Net increase (decrease) in net assets
801,615,676
(2,938,156,869
)
(304,845
)
(4,504,139
)
NET ASSETS
Beginning of the year
5,911,393,478
8,849,550,347
20,451,401
24,955,540
End of the year
$6,713,009,154
$5,911,393,478
$20,146,556
$20,451,401
See accompanying notes to financial statements.
| 88

Statements of Changes in Net Assets (continued)
 
 
Global Allocation Fund
Growth Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment income (loss)
$34,175,709
$26,885,363
$(19,364,839
)
$(10,830,629
)
Net realized gain on investments, futures contracts, swap agreements,
forward foreign currency contracts and foreign currency transactions
103,329,063
205,757,956
623,787,240
1,235,669,337
Net change in unrealized appreciation (depreciation) on investments,
futures contracts, forward foreign currency contracts and foreign
currency translations
369,524,598
(1,371,139,443
)
2,716,623,774
(4,804,984,300
)
Net increase (decrease) in net assets resulting from operations
507,029,370
(1,138,496,124
)
3,321,046,175
(3,580,145,592
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A
(46,037,953
)
(54,983,218
)
(87,496,281
)
(87,877,160
)
Class C
(28,653,920
)
(37,592,938
)
(11,157,335
)
(6,955,691
)
Class N
(23,349,603
)
(26,402,455
)
(94,252,383
)
(39,935,698
)
Class Y
(167,186,118
)
(248,208,914
)
(1,021,376,434
)
(530,904,861
)
Total distributions
(265,227,594
)
(367,187,525
)
(1,214,282,433
)
(665,673,410
)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS
(Note 11)
(506,795,479
)
(410,454,398
)
(794,319,290
)
(35,119,431
)
Net increase (decrease) in net assets
(264,993,703
)
(1,916,138,047
)
1,312,444,452
(4,280,938,433
)
NET ASSETS
Beginning of the year
2,961,306,287
4,877,444,334
9,487,695,724
13,768,634,157
End of the year
$2,696,312,584
$2,961,306,287
$10,800,140,176
$9,487,695,724
See accompanying notes to financial statements.
89 |

Statements of Changes in Net Assets (continued)
 
 
Intermediate Duration Bond
Fund
Limited Term Government and
Agency Fund
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Year Ended
September 30, 2023
Year Ended
September 30, 2022
FROM OPERATIONS:
Net investment income
$10,815,532
$5,926,872
$22,918,860
$7,352,923
Net realized loss on investments and futures contracts
(11,692,886
)
(19,695,363
)
(11,880,518
)
(21,343,422
)
Net change in unrealized appreciation (depreciation) on investments and
futures contracts
8,549,222
(24,895,828
)
7,382,057
(38,167,377
)
Net increase (decrease) in net assets resulting from operations
7,671,868
(38,664,319
)
18,420,399
(52,157,876
)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A
(458,681
)
(418,231
)
(7,482,280
)
(2,294,331
)
Class C
(16,463
)
(3,268
)
(275,385
)
(45,623
)
Class N
(924,081
)
(457,509
)
(1,508,048
)
(191,170
)
Class Y
(9,622,358
)
(6,995,943
)
(15,806,812
)
(6,809,271
)
Total distributions
(11,021,583
)
(7,874,951
)
(25,072,525
)
(9,340,395
)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES
TRANSACTIONS (Note 11)
55,500,864
(42,173,549
)
(15,089,643
)
(200,047,990
)
Net increase (decrease) in net assets
52,151,149
(88,712,819
)
(21,741,769
)
(261,546,261
)
NET ASSETS
Beginning of the year
292,963,663
381,676,482
771,495,143
1,033,041,404
End of the year
$345,114,812
$292,963,663
$749,753,374
$771,495,143
See accompanying notes to financial statements.
| 90

Financial Highlights
For a share outstanding throughout each period.
 
 
Core Plus Bond Fund—Class A
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$11.20
$13.59
$14.08
$13.25
$12.53
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.38
0.26
0.21
0.26
0.34
Net realized and unrealized gain (loss)
(0.25
)
(2.30
)
(0.13
)
0.86
0.70
Total from Investment Operations
0.13
(2.04
)
0.08
1.12
1.04
LESS DISTRIBUTIONS FROM:
Net investment income
(0.40
)
(0.32
)
(0.29
)
(0.29
)
(0.32
)
Net realized capital gains
—
(0.03
)
(0.28
)
—
—
Total Distributions
(0.40
)
(0.35
)
(0.57
)
(0.29
)
(0.32
)
Net asset value, end of the period
$10.93
$11.20
$13.59
$14.08
$13.25
Total return(b)
1.04
%(c)
(15.24
)%(c)
0.53
%
8.60
%
8.39
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$376,624
$428,825
$747,497
$617,609
$558,291
Net expenses
0.74
%(d)
0.73
%(d)(e)
0.71
%
0.72
%(f)
0.73
%
Gross expenses
0.75
%
0.74
%
0.71
%
0.72
%
0.73
%
Net investment income
3.33
%
2.08
%
1.51
%
1.88
%
2.63
%
Portfolio turnover rate
168
%
280
%
266
%
359
%(g)
297
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
A sales charge for Class A shares is not reflected in total return calculations.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(e)
Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%.
(f)
Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%.
(g)
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.
See accompanying notes to financial statements.
91 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Core Plus Bond Fund—Class C
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$11.21
$13.60
$14.09
$13.25
$12.53
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.30
0.17
0.10
0.15
0.24
Net realized and unrealized gain (loss)
(0.26
)
(2.30
)
(0.13
)
0.88
0.70
Total from Investment Operations
0.04
(2.13
)
(0.03
)
1.03
0.94
LESS DISTRIBUTIONS FROM:
Net investment income
(0.31
)
(0.23
)
(0.18
)
(0.19
)
(0.22
)
Net realized capital gains
—
(0.03
)
(0.28
)
—
—
Total Distributions
(0.31
)
(0.26
)
(0.46
)
(0.19
)
(0.22
)
Net asset value, end of the period
$10.94
$11.21
$13.60
$14.09
$13.25
Total return(b)
0.26
%(c)
(15.88
)%(c)
(0.24
)%
7.83
%
7.57
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$30,402
$48,679
$95,755
$132,590
$160,201
Net expenses
1.49
%(d)
1.48
%(d)(e)
1.46
%
1.47
%(f)
1.48
%
Gross expenses
1.50
%
1.49
%
1.46
%
1.47
%
1.48
%
Net investment income
2.57
%
1.33
%
0.75
%
1.13
%
1.88
%
Portfolio turnover rate
168
%
280
%
266
%
359
%(g)
297
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(e)
Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%.
(f)
Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%.
(g)
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.
See accompanying notes to financial statements.
| 92

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Core Plus Bond Fund—Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$11.31
$13.72
$14.21
$13.37
$12.63
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.43
0.31
0.26
0.30
0.38
Net realized and unrealized gain (loss)
(0.26
)
(2.32
)
(0.14
)
0.88
0.72
Total from Investment Operations
0.17
(2.01
)
0.12
1.18
1.10
LESS DISTRIBUTIONS FROM:
Net investment income
(0.44
)
(0.37
)
(0.33
)
(0.34
)
(0.36
)
Net realized capital gains
—
(0.03
)
(0.28
)
—
—
Total Distributions
(0.44
)
(0.40
)
(0.61
)
(0.34
)
(0.36
)
Net asset value, end of the period
$11.04
$11.31
$13.72
$14.21
$13.37
Total return
1.37
%
(14.94
)%
0.86
%
8.95
%
8.85
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$2,015,457
$1,890,793
$2,563,736
$2,682,487
$2,610,699
Net expenses
0.40
%
0.38
%(b)
0.38
%
0.38
%(c)
0.39
%
Gross expenses
0.40
%
0.38
%
0.38
%
0.38
%
0.39
%
Net investment income
3.69
%
2.47
%
1.84
%
2.21
%
2.96
%
Portfolio turnover rate
168
%
280
%
266
%
359
%(d)
297
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%.
(c)
Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%.
(d)
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.
See accompanying notes to financial statements.
93 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Core Plus Bond Fund—Class Y
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$11.30
$13.71
$14.20
$13.36
$12.63
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.42
0.30
0.24
0.29
0.37
Net realized and unrealized gain (loss)
(0.26
)
(2.32
)
(0.13
)
0.88
0.71
Total from Investment Operations
0.16
(2.02
)
0.11
1.17
1.08
LESS DISTRIBUTIONS FROM:
Net investment income
(0.43
)
(0.36
)
(0.32
)
(0.33
)
(0.35
)
Net realized capital gains
—
(0.03
)
(0.28
)
—
—
Total Distributions
(0.43
)
(0.39
)
(0.60
)
(0.33
)
(0.35
)
Net asset value, end of the period
$11.03
$11.30
$13.71
$14.20
$13.36
Total return
1.28
%(b)
(15.03
)%(b)
0.78
%
8.87
%
8.67
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$4,290,526
$3,543,096
$5,442,563
$5,846,057
$4,163,785
Net expenses
0.49
%(c)
0.48
%(c)(d)
0.46
%
0.47
%(e)
0.48
%
Gross expenses
0.50
%
0.49
%
0.46
%
0.47
%
0.48
%
Net investment income
3.60
%
2.35
%
1.76
%
2.11
%
2.87
%
Portfolio turnover rate
168
%
280
%
266
%
359
%(f)
297
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(d)
Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%.
(e)
Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%.
(f)
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.
See accompanying notes to financial statements.
| 94

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Credit Income Fund—Class A
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Period Ended
September 30,
2020*
Net asset value, beginning of the period
$8.31
$10.21
$9.97
$10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
0.31
0.23
0.21
(0.00
)(b)
Net realized and unrealized gain (loss)
(0.05
)
(1.82
)
0.31
(0.03
)
Total from Investment Operations
0.26
(1.59
)
0.52
(0.03
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.33
)
(0.27
)
(0.28
)
—
Net realized capital gains
(0.05
)
(0.04
)
(0.00
)(b)
—
Total Distributions
(0.38
)
(0.31
)
(0.28
)
—
Net asset value, end of the period
$8.19
$8.31
$10.21
$9.97
Total return(c)(d)
3.13
%
(15.88
)%
5.24
%
(0.30
)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$197
$175
$91
$1
Net expenses(f)
0.82
%
0.82
%
0.82
%
0.82
%(g)
Gross expenses
2.95
%
3.37
%
4.79
%
125.79
%(g)
Net investment income (loss)
3.61
%
2.54
%
2.07
%
(0.82
)%(g)
Portfolio turnover rate
27
%
21
%
55
%
0
%
 
*
From commencement of operations on September 29, 2020 through September 30, 2020.
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
A sales charge for Class A shares is not reflected in total return calculations.
(d)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e)
Periods less than one year are not annualized.
(f)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(g)
Computed on an annualized basis for periods less than one year.
See accompanying notes to financial statements.
95 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Credit Income Fund—Class C
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Period Ended
September 30,
2020*
Net asset value, beginning of the period
$8.30
$10.20
$9.97
$10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
0.24
0.16
0.13
(0.00
)(b)
Net realized and unrealized gain (loss)
(0.04
)
(1.82
)
0.30
(0.03
)
Total from Investment Operations
0.20
(1.66
)
0.43
(0.03
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.27
)
(0.20
)
(0.20
)
—
Net realized capital gains
(0.05
)
(0.04
)
(0.00
)(b)
—
Total Distributions
(0.32
)
(0.24
)
(0.20
)
—
Net asset value, end of the period
$8.18
$8.30
$10.20
$9.97
Total return(c)(d)
2.37
%
(16.53
)%
4.34
%
(0.30
)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$1
$1
$1
$1
Net expenses(f)
1.57
%
1.57
%
1.57
%
1.57
%(g)
Gross expenses
3.66
%
4.18
%
5.60
%
126.54
%(g)
Net investment income (loss)
2.79
%
1.67
%
1.29
%
(1.57
)%(g)
Portfolio turnover rate
27
%
21
%
55
%
0
%
 
*
From commencement of operations on September 29, 2020 through September 30, 2020.
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e)
Periods less than one year are not annualized.
(f)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(g)
Computed on an annualized basis for periods less than one year.
See accompanying notes to financial statements.
| 96

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Credit Income Fund—Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Period Ended
September 30,
2020*
Net asset value, beginning of the period
$8.31
$10.21
$9.97
$10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.33
0.26
0.24
0.00
(b)
Net realized and unrealized gain (loss)
(0.04
)
(1.82
)
0.31
(0.03
)
Total from Investment Operations
0.29
(1.56
)
0.55
(0.03
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.36
)
(0.30
)
(0.31
)
—
Net realized capital gains
(0.05
)
(0.04
)
(0.00
)(b)
—
Total Distributions
(0.41
)
(0.34
)
(0.31
)
—
Net asset value, end of the period
$8.19
$8.31
$10.21
$9.97
Total return(c)
3.45
%
(15.63
)%
5.54
%
(0.30
)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$19,930
$20,229
$24,842
$24,915
Net expenses(e)
0.52
%
0.52
%
0.52
%
0.52
%(f)
Gross expenses
1.51
%
1.30
%
1.16
%
27.91
%(f)
Net investment income
3.85
%
2.75
%
2.38
%
0.55
%(f)
Portfolio turnover rate
27
%
21
%
55
%
0
%
 
*
From commencement of operations on September 29, 2020 through September 30, 2020.
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
Periods less than one year are not annualized.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(f)
Computed on an annualized basis for periods less than one year.
See accompanying notes to financial statements.
97 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Credit Income Fund—Class Y
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Period Ended
September 30,
2020*
Net asset value, beginning of the period
$8.31
$10.20
$9.97
$10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
0.32
0.25
0.24
(0.00
)(b)
Net realized and unrealized gain (loss)
(0.04
)
(1.81
)
0.29
(0.03
)
Total from Investment Operations
0.28
(1.56
)
0.53
(0.03
)
LESS DISTRIBUTIONS FROM:
Net investment income
(0.36
)
(0.29
)
(0.30
)
—
Net realized capital gains
(0.05
)
(0.04
)
(0.00
)(b)
—
Total Distributions
(0.41
)
(0.33
)
(0.30
)
—
Net asset value, end of the period
$8.18
$8.31
$10.20
$9.97
Total return(c)
3.27
%
(15.59
)%
5.38
%
(0.30
)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$19
$46
$22
$1
Net expenses(e)
0.57
%
0.57
%
0.57
%
0.57
%(f)
Gross expenses
2.70
%
3.12
%
4.54
%
125.54
%(f)
Net investment income (loss)
3.72
%
2.70
%
2.33
%
(0.57
)%(f)
Portfolio turnover rate
27
%
21
%
55
%
0
%
 
*
From commencement of operations on September 29, 2020 through September 30, 2020.
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
Periods less than one year are not annualized.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(f)
Computed on an annualized basis for periods less than one year.
See accompanying notes to financial statements.
| 98

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Global Allocation Fund—Class A
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$19.94
$28.86
$26.23
$23.76
$23.10
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.23
0.13
0.06
0.10
0.19
Net realized and unrealized gain (loss)
3.31
(6.89
)
4.18
3.05
1.38
Total from Investment Operations
3.54
(6.76
)
4.24
3.15
1.57
LESS DISTRIBUTIONS FROM:
Net investment income
—
—
(0.13
)
(0.12
)
(0.16
)
Net realized capital gains
(2.03
)
(2.16
)
(1.48
)
(0.56
)
(0.75
)
Total Distributions
(2.03
)
(2.16
)
(1.61
)
(0.68
)
(0.91
)
Net asset value, end of the period
$21.45
$19.94
$28.86
$26.23
$23.76
Total return(b)
18.67
%
(25.59
)%
16.73
%
13.41
%
7.66
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$474,968
$482,031
$737,469
$632,479
$453,009
Net expenses
1.17
%
1.14
%
1.13
%
1.15
%
1.16
%
Gross expenses
1.17
%
1.14
%
1.13
%
1.15
%
1.16
%
Net investment income
1.09
%
0.52
%
0.23
%
0.42
%
0.83
%
Portfolio turnover rate
19
%
35
%
45
%
37
%
27
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
A sales charge for Class A shares is not reflected in total return calculations.
See accompanying notes to financial statements.
99 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Global Allocation Fund—Class C
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$19.34
$28.26
$25.78
$23.43
$22.78
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
0.07
(0.06
)
(0.14
)
(0.08
)
0.02
Net realized and unrealized gain (loss)
3.21
(6.70
)
4.10
2.99
1.38
Total from Investment Operations
3.28
(6.76
)
3.96
2.91
1.40
LESS DISTRIBUTIONS FROM:
Net investment income
—
—
—
—
(0.00
)(b)
Net realized capital gains
(2.03
)
(2.16
)
(1.48
)
(0.56
)
(0.75
)
Total Distributions
(2.03
)
(2.16
)
(1.48
)
(0.56
)
(0.75
)
Net asset value, end of the period
$20.59
$19.34
$28.26
$25.78
$23.43
Total return(c)
17.84
%
(26.16
)%
15.85
%
12.55
%
6.85
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$256,487
$302,501
$503,073
$483,814
$480,479
Net expenses
1.92
%
1.89
%
1.88
%
1.90
%
1.91
%
Gross expenses
1.92
%
1.89
%
1.88
%
1.90
%
1.91
%
Net investment income (loss)
0.33
%
(0.23
)%
(0.52
)%
(0.33
)%
0.08
%
Portfolio turnover rate
19
%
35
%
45
%
37
%
27
%
 
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
See accompanying notes to financial statements.
| 100

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Global Allocation Fund—Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$20.14
$29.09
$26.42
$23.92
$23.25
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.31
0.22
0.15
0.18
0.27
Net realized and unrealized gain (loss)
3.36
(6.96
)
4.21
3.07
1.38
Total from Investment Operations
3.67
(6.74
)
4.36
3.25
1.65
LESS DISTRIBUTIONS FROM:
Net investment income
—
(0.05
)
(0.21
)
(0.19
)
(0.23
)
Net realized capital gains
(2.03
)
(2.16
)
(1.48
)
(0.56
)
(0.75
)
Total Distributions
(2.03
)
(2.21
)
(1.69
)
(0.75
)
(0.98
)
Net asset value, end of the period
$21.78
$20.14
$29.09
$26.42
$23.92
Total return
19.16
%
(25.36
)%
17.10
%
13.78
%
8.04
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$266,298
$243,862
$350,222
$264,338
$202,692
Net expenses
0.82
%
0.81
%
0.81
%
0.82
%
0.82
%
Gross expenses
0.82
%
0.81
%
0.81
%
0.82
%
0.82
%
Net investment income
1.43
%
0.87
%
0.55
%
0.76
%
1.20
%
Portfolio turnover rate
19
%
35
%
45
%
37
%
27
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
See accompanying notes to financial statements.
101 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Global Allocation Fund—Class Y
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$20.14
$29.09
$26.42
$23.92
$23.25
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.29
0.20
0.13
0.16
0.24
Net realized and unrealized gain (loss)
3.35
(6.96
)
4.21
3.07
1.40
Total from Investment Operations
3.64
(6.76
)
4.34
3.23
1.64
LESS DISTRIBUTIONS FROM:
Net investment income
—
(0.03
)
(0.19
)
(0.17
)
(0.22
)
Net realized capital gains
(2.03
)
(2.16
)
(1.48
)
(0.56
)
(0.75
)
Total Distributions
(2.03
)
(2.19
)
(1.67
)
(0.73
)
(0.97
)
Net asset value, end of the period
$21.75
$20.14
$29.09
$26.42
$23.92
Total return
19.00
%
(25.41
)%
17.02
%
13.70
%
7.95
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$1,698,560
$1,932,913
$3,286,680
$2,660,927
$1,938,124
Net expenses
0.92
%
0.89
%
0.88
%
0.90
%
0.91
%
Gross expenses
0.92
%
0.89
%
0.88
%
0.90
%
0.91
%
Net investment income
1.33
%
0.77
%
0.48
%
0.67
%
1.08
%
Portfolio turnover rate
19
%
35
%
45
%
37
%
27
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
See accompanying notes to financial statements.
| 102

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Growth Fund—Class A
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$16.45
$23.85
$20.72
$16.02
$16.05
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
(0.08
)
(0.06
)
(0.05
)
0.01
0.05
Net realized and unrealized gain (loss)
5.89
(6.10
)
4.17
5.14
0.71
Total from Investment Operations
5.81
(6.16
)
4.12
5.15
0.76
LESS DISTRIBUTIONS FROM:
Net investment income
—
—
—
(0.05
)
(0.05
)
Net realized capital gains
(2.68
)
(1.24
)
(0.99
)
(0.40
)
(0.74
)
Total Distributions
(2.68
)
(1.24
)
(0.99
)
(0.45
)
(0.79
)
Net asset value, end of the period
$19.58
$16.45
$23.85
$20.72
$16.02
Total return(b)
40.67
%
(27.48
)%
20.43
%
32.80
%
5.81
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$798,843
$1,164,116
$1,740,523
$1,477,915
$1,250,030
Net expenses
0.92
%
0.90
%
0.89
%
0.90
%
0.91
%
Gross expenses
0.92
%
0.90
%
0.89
%
0.90
%
0.91
%
Net investment income (loss)
(0.43
)%
(0.30
)%
(0.22
)%
0.04
%
0.35
%
Portfolio turnover rate
13
%
20
%
9
%
19
%
7
%
 
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
A sales charge for Class A shares is not reflected in total return calculations.
See accompanying notes to financial statements.
103 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Growth Fund—Class C
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$14.42
$21.21
$18.66
$14.53
$14.68
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)
(0.18
)
(0.20
)
(0.20
)
(0.11
)
(0.06
)
Net realized and unrealized gain (loss)
5.04
(5.35
)
3.74
4.64
0.65
Total from Investment Operations
4.86
(5.55
)
3.54
4.53
0.59
LESS DISTRIBUTIONS FROM:
Net realized capital gains
(2.68
)
(1.24
)
(0.99
)
(0.40
)
(0.74
)
Net asset value, end of the period
$16.60
$14.42
$21.21
$18.66
$14.53
Total return(b)
39.68
%
(28.05
)%
19.55
%
31.76
%
5.05
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$78,116
$65,977
$127,003
$128,764
$120,493
Net expenses
1.67
%
1.65
%
1.63
%
1.65
%
1.66
%
Gross expenses
1.67
%
1.65
%
1.63
%
1.65
%
1.66
%
Net investment loss
(1.18
)%
(1.05
)%
(0.97
)%
(0.71
)%
(0.39
)%
Portfolio turnover rate
13
%
20
%
9
%
19
%
7
%
 
(a)
Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)
A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
See accompanying notes to financial statements.
| 104

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Growth Fund—Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$17.87
$25.73
$22.26
$17.17
$17.15
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
(0.02
)
0.01
0.02
0.07
0.11
Net realized and unrealized gain (loss)
6.49
(6.63
)
4.49
5.53
0.76
Total from Investment Operations
6.47
(6.62
)
4.51
5.60
0.87
LESS DISTRIBUTIONS FROM:
Net investment income
—
—
(0.05
)
(0.11
)
(0.11
)
Net realized capital gains
(2.68
)
(1.24
)
(0.99
)
(0.40
)
(0.74
)
Total Distributions
(2.68
)
(1.24
)
(1.04
)
(0.51
)
(0.85
)
Net asset value, end of the period
$21.66
$17.87
$25.73
$22.26
$17.17
Total return
41.19
%
(27.25
)%
20.80
%
33.26
%
6.14
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$718,311
$663,001
$806,186
$579,571
$442,787
Net expenses
0.58
%
0.57
%
0.56
%
0.57
%
0.56
%
Gross expenses
0.58
%
0.57
%
0.56
%
0.57
%
0.56
%
Net investment income (loss)
(0.08
)%
0.04
%
0.09
%
0.38
%
0.69
%
Portfolio turnover rate
13
%
20
%
9
%
19
%
7
%
 
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
See accompanying notes to financial statements.
105 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Growth Fund—Class Y
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$17.86
$25.73
$22.26
$17.17
$17.14
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
(0.03
)
(0.01
)
0.01
0.05
0.10
Net realized and unrealized gain (loss)
6.46
(6.62
)
4.48
5.53
0.77
Total from Investment Operations
6.43
(6.63
)
4.49
5.58
0.87
LESS DISTRIBUTIONS FROM:
Net investment income
—
—
(0.03
)
(0.09
)
(0.10
)
Net realized capital gains
(2.68
)
(1.24
)
(0.99
)
(0.40
)
(0.74
)
Total Distributions
(2.68
)
(1.24
)
(1.02
)
(0.49
)
(0.84
)
Net asset value, end of the period
$21.61
$17.86
$25.73
$22.26
$17.17
Total return
40.97
%
(27.29
)%
20.72
%
33.15
%
6.09
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$9,204,871
$7,594,603
$11,094,922
$9,313,775
$7,017,707
Net expenses
0.67
%
0.65
%
0.64
%
0.65
%
0.66
%
Gross expenses
0.67
%
0.65
%
0.64
%
0.65
%
0.66
%
Net investment income (loss)
(0.17
)%
(0.05
)%
0.02
%
0.27
%
0.60
%
Portfolio turnover rate
13
%
20
%
9
%
19
%
7
%
 
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
See accompanying notes to financial statements.
| 106

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Intermediate Duration Bond Fund—Class A
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$9.23
$10.58
$10.99
$10.51
$9.97
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.29
0.15
0.11
0.19
0.25
Net realized and unrealized gain (loss)
(0.06
)
(1.30
)
(0.11
)
0.54
0.55
Total from Investment Operations
0.23
(1.15
)
(0.00
)(b)
0.73
0.80
LESS DISTRIBUTIONS FROM:
Net investment income
(0.30
)
(0.15
)
(0.12
)
(0.20
)
(0.26
)
Net realized capital gains
—
(0.05
)
(0.29
)
(0.05
)
—
Total Distributions
(0.30
)
(0.20
)
(0.41
)
(0.25
)
(0.26
)
Net asset value, end of the period
$9.16
$9.23
$10.58
$10.99
$10.51
Total return(c)(d)
2.53
%
(10.98
)%
(0.06
)%
7.06
%
8.11
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$7,150
$18,077
$20,942
$19,962
$21,415
Net expenses(e)
0.65
%
0.65
%
0.65
%
0.65
%
0.65
%
Gross expenses
0.71
%
0.68
%
0.70
%
0.72
%
0.72
%
Net investment income
3.12
%
1.49
%
1.03
%
1.78
%
2.42
%
Portfolio turnover rate
138
%
144
%
100
%
123
%
135
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
A sales charge for Class A shares is not reflected in total return calculations.
(d)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
See accompanying notes to financial statements.
107 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Intermediate Duration Bond Fund—Class C
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$9.27
$10.62
$11.02
$10.54
$10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.24
0.06
0.03
0.11
0.17
Net realized and unrealized gain (loss)
(0.08
)
(1.29
)
(0.11
)
0.54
0.55
Total from Investment Operations
0.16
(1.23
)
(0.08
)
0.65
0.72
LESS DISTRIBUTIONS FROM:
Net investment income
(0.24
)
(0.07
)
(0.03
)
(0.12
)
(0.18
)
Net realized capital gains
—
(0.05
)
(0.29
)
(0.05
)
—
Total Distributions
(0.24
)
(0.12
)
(0.32
)
(0.17
)
(0.18
)
Net asset value, end of the period
$9.19
$9.27
$10.62
$11.02
$10.54
Total return(b)(c)
1.69
%
(11.65
)%
(0.76
)%
6.27
%
7.28
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$698
$174
$315
$668
$467
Net expenses(d)
1.40
%
1.40
%
1.40
%
1.40
%
1.40
%
Gross expenses
1.46
%
1.43
%
1.45
%
1.46
%
1.48
%
Net investment income
2.53
%
0.60
%
0.30
%
1.00
%
1.64
%
Portfolio turnover rate
138
%
144
%
100
%
123
%
135
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
See accompanying notes to financial statements.
| 108

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Intermediate Duration Bond Fund—Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Period Ended
September 30,
2019*
Net asset value, beginning of the period
$9.22
$10.57
$10.98
$10.50
$10.07
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.33
0.18
0.14
0.22
0.17
Net realized and unrealized gain (loss)
(0.06
)
(1.30
)
(0.11
)
0.54
0.45
Total from Investment Operations
0.27
(1.12
)
0.03
0.76
0.62
LESS DISTRIBUTIONS FROM:
Net investment income
(0.33
)
(0.18
)
(0.15
)
(0.23
)
(0.19
)
Net realized capital gains
—
(0.05
)
(0.29
)
(0.05
)
—
Total Distributions
(0.33
)
(0.23
)
(0.44
)
(0.28
)
(0.19
)
Net asset value, end of the period
$9.16
$9.22
$10.57
$10.98
$10.50
Total return(b)
2.97
%
(10.73
)%
0.25
%
7.39
%
6.19
%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$55,983
$19,294
$20,094
$3,307
$3,546
Net expenses(d)
0.35
%
0.35
%
0.35
%
0.35
%
0.35
%(e)
Gross expenses
0.39
%
0.37
%
0.38
%
0.43
%
0.42
%(e)
Net investment income
3.60
%
1.80
%
1.32
%
2.09
%
2.54
%(e)
Portfolio turnover rate
138
%
144
%
100
%
123
%
135
%(f)
 
*
From commencement of Class operations on February 1, 2019 through September 30, 2019.
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
Periods less than one year are not annualized.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(e)
Computed on an annualized basis for periods less than one year.
(f)
Represents the Fund’s portfolio turnover rate for year ended September 30, 2019.
See accompanying notes to financial statements.
109 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Intermediate Duration Bond Fund—Class Y
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$9.23
$10.58
$10.99
$10.51
$9.97
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.32
0.17
0.14
0.21
0.27
Net realized and unrealized gain (loss)
(0.06
)
(1.29
)
(0.11
)
0.54
0.55
Total from Investment Operations
0.26
(1.12
)
0.03
0.75
0.82
LESS DISTRIBUTIONS FROM:
Net investment income
(0.33
)
(0.18
)
(0.15
)
(0.22
)
(0.28
)
Net realized capital gains
—
(0.05
)
(0.29
)
(0.05
)
—
Total Distributions
(0.33
)
(0.23
)
(0.44
)
(0.27
)
(0.28
)
Net asset value, end of the period
$9.16
$9.23
$10.58
$10.99
$10.51
Total return(b)
2.81
%
(10.76
)%
0.20
%
7.33
%
8.38
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$281,284
$255,418
$340,326
$293,577
$215,752
Net expenses(c)
0.40
%
0.40
%
0.40
%
0.40
%
0.40
%
Gross expenses
0.46
%
0.44
%
0.45
%
0.47
%
0.48
%
Net investment income
3.47
%
1.70
%
1.28
%
2.01
%
2.67
%
Portfolio turnover rate
138
%
144
%
100
%
123
%
135
%
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
See accompanying notes to financial statements.
| 110

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Limited Term Government and Agency Fund—Class A
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$10.65
$11.40
$11.54
$11.34
$11.09
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.32
0.07
0.04
0.11
0.15
Net realized and unrealized gain (loss)
(0.04
)
(0.72
)
(0.11
)
0.25
0.34
Total from Investment Operations
0.28
(0.65
)
(0.07
)
0.36
0.49
LESS DISTRIBUTIONS FROM:
Net investment income
(0.36
)
(0.10
)
(0.07
)
(0.16
)
(0.24
)
Net asset value, end of the period
$10.57
$10.65
$11.40
$11.54
$11.34
Total return(b)
2.64
%(c)
(5.75
)%(c)
(0.58
)%(c)
3.19
%
4.42
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$209,032
$246,532
$287,244
$296,217
$308,186
Net expenses
0.69
%(d)(e)
0.69
%(d)(f)
0.73
%(d)(f) (g)
0.78
%(h)
0.80
%
Gross expenses
0.77
%(e)
0.72
%(f)
0.73
%(f)
0.78
%
0.80
%
Net investment income
3.04
%
0.65
%
0.36
%
0.93
%
1.31
%
Portfolio turnover rate
267
%
203
%
247
%
319
%(i)
527
%(i)
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
A sales charge for Class A shares is not reflected in total return calculations.
(c)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(e)
Includes refund of prior year service fee of 0.01%. See Note 6b of Notes to Financial Statements.
(f)
Includes refund of prior year service fee of 0.01%.
(g)
Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.
(h)
Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%.
(i)
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.
See accompanying notes to financial statements.
111 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Limited Term Government and Agency Fund—Class C
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$10.62
$11.38
$11.54
$11.35
$11.10
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)
0.24
(0.02
)
(0.05
)
0.02
0.06
Net realized and unrealized gain (loss)
(0.04
)
(0.71
)
(0.11
)
0.24
0.34
Total from Investment Operations
0.20
(0.73
)
(0.16
)
0.26
0.40
LESS DISTRIBUTIONS FROM:
Net investment income
(0.28
)
(0.03
)
(0.00
)(b)
(0.07
)
(0.15
)
Net asset value, end of the period
$10.54
$10.62
$11.38
$11.54
$11.35
Total return(c)
1.86
%(d)
(6.43
)%(d)
(1.35
)%(d)
2.34
%
3.64
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$8,510
$14,145
$24,922
$19,628
$22,142
Net expenses
1.45
%(e)
1.45
%(e)
1.48
%(e)(f)
1.53
%(g)
1.55
%
Gross expenses
1.53
%
1.48
%
1.49
%
1.53
%
1.55
%
Net investment income (loss)
2.24
%
(0.16
)%
(0.40
)%
0.18
%
0.57
%
Portfolio turnover rate
267
%
203
%
247
%
319
%(h)
527
%(h)
 
(a)
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)
Amount rounds to less than $0.01 per share.
(c)
A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(f)
Effective July 1, 2021, the expense limit decreased from 1.50% to 1.45%.
(g)
Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%.
(h)
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.
See accompanying notes to financial statements.
| 112

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Limited Term Government and Agency Fund—Class N
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$10.68
$11.43
$11.57
$11.37
$11.12
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.37
0.11
0.08
0.14
0.19
Net realized and unrealized gain (loss)
(0.06
)
(0.73
)
(0.11
)
0.26
0.33
Total from Investment Operations
0.31
(0.62
)
(0.03
)
0.40
0.52
LESS DISTRIBUTIONS FROM:
Net investment income
(0.39
)
(0.13
)
(0.11
)
(0.20
)
(0.27
)
Net asset value, end of the period
$10.60
$10.68
$11.43
$11.57
$11.37
Total return(b)
2.94
%
(5.45
)%
(0.25
)%
3.53
%
4.77
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$45,716
$19,656
$12,972
$11,035
$5,272
Net expenses(c)
0.40
%
0.39
%
0.40
%(d)
0.45
%(e)
0.46
%
Gross expenses
0.43
%
0.40
%
0.41
%
0.46
%
0.48
%
Net investment income
3.44
%
1.03
%
0.68
%
1.20
%
1.65
%
Portfolio turnover rate
267
%
203
%
247
%
319
%(f)
527
%(f)
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(d)
Effective July 1, 2021, the expense limit decreased from 0.45% to 0.40%
(e)
Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%.
(f)
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.
See accompanying notes to financial statements.
113 |

Financial Highlights (continued)
For a share outstanding throughout each period.
 
 
Limited Term Government and Agency Fund—Class Y
 
Year Ended
September 30,
2023
Year Ended
September 30,
2022
Year Ended
September 30,
2021
Year Ended
September 30,
2020
Year Ended
September 30,
2019
Net asset value, beginning of the period
$10.69
$11.43
$11.57
$11.38
$11.13
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)
0.35
0.10
0.07
0.13
0.17
Net realized and unrealized gain (loss)
(0.05
)
(0.72
)
(0.11
)
0.25
0.34
Total from Investment Operations
0.30
(0.62
)
(0.04
)
0.38
0.51
LESS DISTRIBUTIONS FROM:
Net investment income
(0.39
)
(0.12
)
(0.10
)
(0.19
)
(0.26
)
Net asset value, end of the period
$10.60
$10.69
$11.43
$11.57
$11.38
Total return
2.79
%(b)
(5.42
)%(b)
(0.33
)%(b)
3.35
%
4.67
%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000's)
$486,496
$491,162
$707,904
$691,616
$457,248
Net expenses
0.45
%(c)
0.45
%(c)
0.48
%(c)(d)
0.53
%(e)
0.55
%
Gross expenses
0.53
%
0.48
%
0.49
%
0.53
%
0.55
%
Net investment income
3.30
%
0.87
%
0.61
%
1.11
%
1.55
%
Portfolio turnover rate
267
%
203
%
247
%
319
%(f)
527
%(f)
 
(a)
Per share net investment income has been calculated using the average shares outstanding during the period.
(b)
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
(d)
Effective July 1, 2021, the expense limit decreased from 0.50% to 0.45%.
(e)
Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%.
(f)
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.
See accompanying notes to financial statements.
| 114

Notes to Financial Statements
September 30, 2023
1.Organization.  Natixis Funds Trust I, Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
Loomis Sayles Core Plus Bond Fund ("Core Plus Bond Fund")
Loomis Sayles Funds I:
Loomis Sayles Intermediate Duration Bond Fund (“Intermediate Duration Bond Fund”)
Loomis Sayles Funds II:
Loomis Sayles Credit Income Fund (“Credit Income Fund”)
Loomis Sayles Global Allocation Fund (“Global Allocation Fund”)
Loomis Sayles Growth Fund (“Growth Fund”)
Loomis Sayles Limited Term Government and Agency Fund (“Limited Term Government and Agency Fund”)
Each Fund is a diversified investment company.
Each Fund, except Growth Fund, offers Class A, Class C, Class N and Class Y shares. Growth Fund was closed to new investors effective April 28, 2017. Growth Fund offers Class A, Class C, Class N, and Class Y shares to defined contribution and defined benefit plans, clients of registered investment advisers and registered representatives trading through intermediary programs/platforms on which the Fund is already available and existing shareholders.
Effective April 25, 2023, Growth Fund began accepting orders for the purchase of shares from new investors.
Class A shares are sold with a maximum front-end sales charge of 4.25% for Core Plus Bond Fund, Credit Income Fund and Intermediate Duration Bond Fund, 5.75% for Global Allocation Fund and Growth Fund, and 2.25% for Limited Term Government and Agency Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds' prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II ("Natixis ETF Trusts"). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2.Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds' financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds' financial statements.
a. Valuation. Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
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Notes to Financial Statements (continued)
September 30, 2023
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value (“NAV”) per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Short sales of debt investments are fair valued based on an evaluated ask price furnished to the Funds by an independent pricing service. Senior loans and collateralized loan obligations (“CLOs”) are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Short Sales. A short sale is a transaction in which a Fund sells a security it does not own, usually in anticipation of a decline in the fair market value of the security. When closing out a short position, a Fund will have to purchase the security it originally sold short. The value of short sales is reflected as a liability in the Statements of Assets and Liabilities and is marked-to-market daily. A Fund will realize a profit from closing out a short position if the price of the security sold short has declined since the short position was opened; a Fund will realize a loss from closing out a short position if the value of the shorted security has risen since the short position was opened. Because there is no upper limit on the price to which a security can rise, short selling exposes a Fund to potentially unlimited losses. The Funds intend to cover their short sale transactions by segregating or earmarking liquid assets, such that the segregated/earmarked amount, equals the current market value of the securities underlying the short sale.
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Notes to Financial Statements (continued)
September 30, 2023
d. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
e. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
f. Futures Contracts. A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
g. Swap Agreements. A Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period.
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Notes to Financial Statements (continued)
September 30, 2023
The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statement of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statement of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
h. When-Issued and Delayed Delivery Transactions. A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is "to be announced" 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
i. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually.
| 118

Notes to Financial Statements (continued)
September 30, 2023
Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets
and Liabilities and are recorded as a realized gain when received.
Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries ("EU reclaims") and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as a reduction of foreign taxes withheld in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service ("IRS"), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.
j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, net operating losses, premium amortization, capital gains taxes, convertible bond adjustments, defaulted and/or non-income producing securities, return of capital distributions received, redemptions in-kind, trust preferred securities and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, forward foreign currency contract mark-to-market, wash sales, premium amortization, futures contract mark-to-market, convertible bond adjustments, defaulted and/or non-income producing securities, dividends payable, return of capital distributions received, trust preferred securities and paydown gains and losses. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are considered to be distributed from ordinary income for tax purposes.
119 |

Notes to Financial Statements (continued)
September 30, 2023
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2023 and 2022 was as follows: 
 
2023 Distributions
2022 Distributions
Fund
Ordinary
Income
Long-Term
Capital
Gains
Total
Ordinary
Income
Long-Term
Capital
Gains
Total
Core Plus Bond Fund
$237,600,988
$—
$237,600,988
$203,923,706
$17,404,702
$221,328,408
Credit Income Fund
978,537
38,241
1,016,778
778,535
45,086
823,621
Global Allocation Fund
—
265,227,594
265,227,594
17,835,692
349,351,833
367,187,525
Growth Fund
1,801,992
1,212,480,441
1,214,282,433
38,655,122
627,018,288
665,673,410
Intermediate Duration Bond Fund
11,021,583
—
11,021,583
6,692,992
1,181,959
7,874,951
Limited Term Government and Agency
Fund
25,072,525
—
25,072,525
9,340,395
—
9,340,395
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:   
 
Core Plus Bond
Fund
Credit Income
Fund
Global
Allocation
Fund
Growth
Fund
Undistributed ordinary income
$7,202,880
$14,688
$—
$—
Undistributed long-term capital gains
—
—
97,933,959
693,384,213
Total undistributed earnings
7,202,880
14,688
97,933,959
693,384,213
Capital loss carryforward:
Short-term:
No expiration date
(263,274,882
)
(20,684
)
—
—
Long-term:
No expiration date
(335,593,277
)
(70,466
)
—
—
Total capital loss carryforward
(598,868,159
)
(91,150
)
—
—
Late-year ordinary and post-October
 capital loss deferrals*
—
(1,025,802
)
(2,253,183
)
(15,598,809
)
Unrealized appreciation (depreciation)
(858,725,184
)
(3,314,663
)
54,804,640
4,405,226,200
Total accumulated earnings (losses)
$(1,450,390,463
)
$(4,416,927
)
$150,485,416
$5,083,011,604
 
*
Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt
instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Credit Income
Fund is deferring capital losses, Global Allocation Fund is deferring currency losses and Growth Fund is deferring net operating losses.
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Notes to Financial Statements (continued)
September 30, 2023
 
 
Intermediate
Duration Bond
Fund
Limited Term
Government
and Agency
Fund
Undistributed ordinary income
$122,127
$754,515
Capital loss carryforward:
Short-term:
No expiration date
(19,689,910
)
(10,097,977
)
Long-term:
No expiration date
(12,535,488
)
(56,235,014
)
Total capital loss carryforward
(32,225,398
)
(66,332,991
)
Unrealized depreciation
(14,604,393
)
(29,126,622
)
Total accumulated losses
$(46,707,664
)
$(94,705,098
)
As of September 30, 2023, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows: 
 
Core Plus Bond
Fund
Credit Income
Fund
Global
Allocation
Fund
Growth
Fund
Intermediate
Duration Bond
Fund
Limited Term
Government
and Agency
Fund
Federal tax cost
$7,816,736,683
$23,243,490
$2,643,753,710
$6,391,855,959
$360,091,207
$849,490,036
Gross tax appreciation
$9,909,927
$47,024
$231,527,573
$4,915,574,428
$49,271
$632,109
Gross tax depreciation
(868,568,306
)
(3,361,687
)
(176,457,646
)
(510,167,335
)
(14,653,664
)
(29,758,731
)
Net tax appreciation
(depreciation)
$(858,658,379
)
$(3,314,663
)
$55,069,927
$4,405,407,093
$(14,604,393
)
$(29,126,622
)
The difference between these amounts and those reported in the components of distributable earnings, if any, is primarily attributable to capital gains taxes and foreign exchange gains or losses.
k. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
l. Collateralized Loan Obligations. A Fund may invest in CLOs. A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
m. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the
121 |

Notes to Financial Statements (continued)
September 30, 2023
value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
n. Due to/from Brokers. Transactions and positions in certain futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/ dealers. The due from brokers balance in the Statements of Assets and Liabilities for Credit Income Fund represents cash pledged as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash pledged as collateral for forward foreign currency contracts and as initial margin for futures contracts and closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Intermediate Duration Bond Fund represents cash pledged as initial margin for futures contracts. The due to brokers balance in the Statements of Assets and Liabilities for Core Plus Bond Fund represents cash received as collateral for delayed delivery securities. The due to brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash received as collateral for forward foreign currency contracts. In certain circumstances a Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.
o. Indemnifications.  Under the Trusts' organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
p. New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”) in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which was expected to occur no later than June 30, 2023. In January 2021, FASB issued Accounting Standard Update 2021-01 (“ASU 2021-01”), which is an update of ASU 2020-04. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation than LIBOR. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. In December 2022, FASB issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. As of June 30, 2023, LIBOR had ceased to be published on a representative basis, and will be replaced by an alternative reference rate at the next reset date subsequent to June 30, 2023 for all investments for which LIBOR is the current reference rate. Management has elected to apply the optional expedients when appropriate and account for such modifications by prospectively adjusting the effective interest rate. There is no material impact to the Funds' financial statements.
3.Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
| 122

Notes to Financial Statements (continued)
September 30, 2023
The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds' investments as of September 30, 2023, at value: 
Core Plus Bond Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations
$—
$38,612,433
$96,178
$38,708,611
All Other Non-Convertible Bonds(a)
—
6,119,597,065
—
6,119,597,065
Total Non-Convertible Bonds
—
6,158,209,498
96,178
6,158,305,676
Municipals(a)
—
7,354,441
—
7,354,441
Total Bonds and Notes
—
6,165,563,939
96,178
6,165,660,117
Collateralized Loan Obligations
—
204,715,556
—
204,715,556
Short-Term Investments
—
587,702,631
—
587,702,631
Total Investments
$—
$6,957,982,126
$96,178
$6,958,078,304
 
Core Plus Bond Fund
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(25,102,218
)
$—
$—
$(25,102,218
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
123 |

Notes to Financial Statements (continued)
September 30, 2023
 
Credit Income Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes(a)
$—
$17,852,354
$—
$17,852,354
Collateralized Loan Obligations
—
718,892
—
718,892
Preferred Stocks(a)
182,342
—
—
182,342
Short-Term Investments
—
1,175,239
—
1,175,239
Total Investments
182,342
19,746,485
—
19,928,827
Futures Contracts (unrealized appreciation)
75,373
—
—
75,373
Total
$257,715
$19,746,485
$—
$20,004,200
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(208,887
)
$—
$—
$(208,887
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Global Allocation Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Common Stocks
France
$—
$78,881,911
$—
$78,881,911
Japan
—
46,903,634
—
46,903,634
Netherlands
—
66,498,724
—
66,498,724
Sweden
—
64,357,728
—
64,357,728
Taiwan
—
43,537,642
—
43,537,642
United Kingdom
—
41,849,593
—
41,849,593
United States
1,462,067,120
13,631,600
—
1,475,698,720
Total Common Stocks
1,462,067,120
355,660,832
—
1,817,727,952
Bonds and Notes(a)
—
827,027,168
—
827,027,168
Senior Loans(a)
—
6,407,821
—
6,407,821
Preferred Stocks(a)
1,106,914
—
—
1,106,914
Short-Term Investments
—
46,311,102
—
46,311,102
Total Investments
1,463,174,034
1,235,406,923
—
2,698,580,957
Forward Foreign Currency Contracts (unrealized appreciation)
—
761,221
—
761,221
Futures Contracts (unrealized appreciation)
2,595,024
—
—
2,595,024
Total
$1,465,769,058
$1,236,168,144
$—
$2,701,937,202
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Forward Foreign Currency Contracts (unrealized depreciation)
$—
$(2,347,238
)
$—
$(2,347,238
)
Futures Contracts (unrealized depreciation)
(5,698,578
)
—
—
(5,698,578
)
Total
$(5,698,578
)
$(2,347,238
)
$—
$(8,045,816
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
| 124

Notes to Financial Statements (continued)
September 30, 2023
 
Growth Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Common Stocks(a)
$10,598,514,849
$—
$—
$10,598,514,849
Short-Term Investments
—
198,748,203
—
198,748,203
Total Investments
$10,598,514,849
$198,748,203
$—
$10,797,263,052
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Intermediate Duration Bond Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Collateralized Mortgage Obligations
$—
$2,227,288
$166
$2,227,454
All Other Bonds and Notes(a)
—
334,832,346
—
334,832,346
Total Bonds and Notes
—
337,059,634
166
337,059,800
Short-Term Investments
—
8,427,014
—
8,427,014
Total Investments
$—
$345,486,648
$166
$345,486,814
 
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(495,585
)
$—
$—
$(495,585
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
 
Limited Term Government and Agency Fund
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Collateralized Mortgage Obligations
$—
$74,499,250
$5,429,401
$79,928,651
All Other Bonds and Notes(a)
—
636,175,493
—
636,175,493
Total Bonds and Notes
—
710,674,743
5,429,401
716,104,144
Short-Term Investments
—
104,259,270
—
104,259,270
Total Investments
$—
$814,934,013
$5,429,401
$820,363,414
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
125 |

Notes to Financial Statements (continued)
September 30, 2023
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2022 and/or September 30, 2023: 
Core Plus Bond Fund
Asset Valuation Inputs
Investments in
Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Non-Convertible
Bonds
Collateralized
Mortgage
Obligations
$122,859
$—
$89
$(709
)
$2,396
$(28,457
)
$—
$—
$96,178
$(2,430
)
 
Intermediate Duration Bond Fund
Asset Valuation Inputs
Investments in
Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Collateralized
Mortgage
Obligations
$201
$—
$—
$2
$—
$(37
)
$—
$—
$166
$(2
)
 
Limited Term Government and Agency Fund
Asset Valuation Inputs
Investments in
Securities
Balance as of
September 30,
2022
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Collateralized
Mortgage
Obligations
$3,867,800
$—
$(37,910
)
$(102,861
)
$3,799
$(1,636,657
)
$3,335,230
$—
$5,429,401
$(153,030
)
Debt securities valued at $3,335,230 were transferred from Level 2 to Level 3 during the period ended September 30, 2023. At September 30, 2022, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At September 30, 2023, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.
| 126

Notes to Financial Statements (continued)
September 30, 2023
4.Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund used during the period include forward foreign currency contracts and futures contracts.
The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended September 30, 2023, Global Allocation Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts to gain investment exposure. During the year ended September 30, 2023, Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund each used futures contracts to manage duration.
The following is a summary of derivative instruments for Core Plus Bond Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Liabilities
Unrealized
depreciation
on futures
contracts1
Exchange-traded liability derivatives
Interest rate contracts
$(25,102,218
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
Transactions in derivative instruments for Core Plus Bond Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Futures
contracts
Interest rate contracts
$(58,324,300
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Futures
contracts
Interest rate contracts
$(10,538,977
)
The following is a summary of derivative instruments for Credit Income Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Assets
Unrealized
appreciation
on futures
contracts1
Exchange-traded asset derivatives
Interest rate contracts
$75,373
127 |

Notes to Financial Statements (continued)
September 30, 2023
 
Liabilities
Unrealized
depreciation
on futures
contracts1
Exchange-traded liability derivatives
Interest rate contracts
$(208,887
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
Transactions in derivative instruments for Credit Income Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Futures
contracts
Interest rate contracts
$(357,294
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Futures
contracts
Interest rate contracts
$(111,864
)
The following is a summary of derivative instruments for Global Allocation Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Assets
Unrealized
appreciation
on forward
foreign
currency
contracts
Unrealized
appreciation
on futures
contracts1
Total
Over-the-counter asset derivatives
Foreign exchange contracts
$761,221
$—
$761,221
Exchange-traded asset derivatives
Interest rate contracts
—
2,595,024
2,595,024
Total asset derivatives
$761,221
$2,595,024
$3,356,245
 
Liabilities
Unrealized
depreciation
on forward
foreign
currency
contracts
Unrealized
depreciation
on futures
contracts1
Total
Over-the-counter liability derivatives
Foreign exchange contracts
$(2,347,238
)
$—
$(2,347,238
)
Exchange-traded liability derivatives
Interest rate contracts
—
(5,698,578
)
(5,698,578
)
Total liability derivatives
$(2,347,238
)
$(5,698,578
)
$(8,045,816
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
| 128

Notes to Financial Statements (continued)
September 30, 2023
Transactions in derivative instruments for Global Allocation Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Forward
foreign
currency
contracts
Futures
contracts
Interest rate contracts
$—
$(9,602,991
)
Foreign exchange contracts
(5,164,099
)
—
Total
$(5,164,099
)
$(9,602,991
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Forward
foreign
currency
contracts
Futures
contracts
Interest rate contracts
$—
$(870,412
)
Foreign exchange contracts
1,802,223
—
Total
$1,802,223
$(870,412
)
The following is a summary of derivative instruments for Intermediate Duration Bond Fund as of September 30, 2023, as reflected within the Statements of Assets and Liabilities: 
Liabilities
Unrealized
depreciation
on futures
contracts1
Exchange-traded liability derivatives
Interest rate contracts
$(495,585
)
 
1
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
Transactions in derivative instruments for Intermediate Duration Bond Fund during the year ended September 30, 2023, as reflected within the Statements of Operations were as follows: 
Net Realized Gain (Loss) on:
Futures
contracts
Interest rate contracts
$(2,159,161
)
 
Net Change in Unrealized
Appreciation (Depreciation) on:
Futures
contracts
Interest rate contracts
$776,181
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2023: 
Core Plus Bond Fund
Futures
Average Notional Amount Outstanding
16.73
%
Highest Notional Amount Outstanding
19.91
%
Lowest Notional Amount Outstanding
10.48
%
Notional Amount Outstanding as of September 30, 2023
19.91
%
129 |

Notes to Financial Statements (continued)
September 30, 2023
 
Credit Income Fund
Futures
Average Notional Amount Outstanding
26.55
%
Highest Notional Amount Outstanding
48.08
%
Lowest Notional Amount Outstanding
6.19
%
Notional Amount Outstanding as of September 30, 2023
48.08
%
 
Global Allocation Fund
Forwards
Futures
Average Notional Amount Outstanding
9.27
%
3.91
%
Highest Notional Amount Outstanding
11.24
%
9.15
%
Lowest Notional Amount Outstanding
8.49
%
1.12
%
Notional Amount Outstanding as of September 30, 2023
8.49
%
9.15
%
 
Intermediate Duration Bond Fund
Futures
Average Notional Amount Outstanding
11.25
%
Highest Notional Amount Outstanding
14.41
%
Lowest Notional Amount Outstanding
6.24
%
Notional Amount Outstanding as of September 30, 2023
6.24
%
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forwards and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds' ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.
As of September 30, 2023, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows: 
Global Allocation Fund
Counterparty
Gross Amounts of
Assets
Offset
Amount
Net Asset
Balance
Collateral
(Received)/
Pledged
Net
Amount
Bank of America N.A.
$457,764
$(457,764
)
$—
$—
$—
HSBC Bank USA N.A.
60,776
—
60,776
—
60,776
UBS AG
242,681
—
242,681
(242,681
)
—
 
$761,221
$(457,764
)
$303,457
$(242,681
)
$60,776
 
 
Counterparty
Gross Amounts of
Liabilities
Offset
Amount
Net Liability
Balance
Collateral
(Received)/
Pledged
Net
Amount
Bank of America N.A.
$(1,107,393
)
$457,764
$(649,629
)
$330,000
$(319,629
)
Morgan Stanley Capital Services LLC
(1,239,845
)
—
(1,239,845
)
1,239,845
—
 
$(2,347,238
)
$457,764
$(1,889,474
)
$1,569,845
$(319,629
)
The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The
| 130

Notes to Financial Statements (continued)
September 30, 2023
ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank and Trust Company (“State Street Bank”).
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.
5.Purchases and Sales of Securities. For the year ended September 30, 2023, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows: 
 
U.S. Government/
Agency Securities
Other Securities
Fund
Purchases
Sales
Purchases
Sales
Core Plus Bond Fund
$10,284,781,812
$9,070,388,670
$725,556,672
$1,057,753,295
Credit Income Fund
1,017,928
3,435,513
4,256,560
3,302,163
Global Allocation Fund
42,848,052
79,001,064
476,360,183
1,204,420,255
Growth Fund
—
—
1,276,700,934
3,426,339,474
Intermediate Duration Bond Fund
167,447,071
99,547,610
308,445,215
324,145,732
Limited Term Government and
Agency Fund
1,814,831,909
1,816,891,501
4,283,021
18,967,495
6.Management Fees and Other Transactions with Affiliates. 
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets: 
 
Percentage of Average Daily Net Assets
Fund
First
$100 million
Next
$400 million
Next
$500 million
Next
$1 billion
Next
$2 billion
Over
$4 billion
Core Plus Bond Fund
0.2000
%
0.1875
%
0.1875
%
0.1875
%
0.1500
%
0.1500
%
Credit Income Fund
0.4200
%
0.4200
%
0.4200
%
0.4200
%
0.4200
%
0.4200
%
Global Allocation Fund
0.7500
%
0.7500
%
0.7500
%
0.7500
%
0.7300
%
0.7000
%
Growth Fund
0.5000
%
0.5000
%
0.5000
%
0.5000
%
0.5000
%
0.5000
%
Intermediate Duration Bond Fund
0.2500
%
0.2500
%
0.2500
%
0.2500
%
0.2500
%
0.2500
%
Limited Term Government and Agency Fund
0.3250
%
0.3250
%
0.3000
%
0.2500
%
0.2500
%
0.2500
%
131 |

Notes to Financial Statements (continued)
September 30, 2023
Natixis Advisors, LLC ("Natixis Advisors") serves as the advisory administrator to Core Plus Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. Under the terms of the advisory administration agreement, the Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets: 
 
Percentage of Average Daily Net Assets
Fund
First
$100 million
Next
$1.9 billion
Over
$2 billion
Core Plus Bond Fund
0.2000
%
0.1875
%
0.1500
%
Management and advisory administration fees are presented in the Statements of Operations as management fees.
Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds' operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2024, except for Global Allocation Fund and Growth Fund which is in effect until January 31, 2025, may be terminated before then only with the consent of the Funds' Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended September 30, 2023 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows: 
 
Expense Limit as a Percentage of
Average Daily Net Assets
Fund
Class A
Class C
Class N
Class Y
Core Plus Bond Fund
0.74
%
1.49
%
0.44
%
0.49
%
Credit Income Fund
0.82
%
1.57
%
0.52
%
0.57
%
Global Allocation Fund
1.20
%
1.95
%
0.90
%
0.95
%
Growth Fund
1.00
%
1.75
%
0.70
%
0.75
%
Intermediate Duration Bond Fund
0.65
%
1.40
%
0.35
%
0.40
%
Limited Term Government and Agency
Fund
0.70
%
1.45
%
0.40
%
0.45
%
Prior to July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreement for Global Allocation Fund and Growth Fund were as follows: 
 
Expense Limit as a Percentage of
Average Daily Net Assets
Fund
Class A
Class C
Class N
Class Y
Global Allocation Fund
1.25
%
2.00
%
0.95
%
1.00
%
Growth Fund
1.25
%
2.00
%
0.95
%
1.00
%
Loomis Sayles and Natixis Advisors have agreed to equally bear the waivers and/or expense reimbursements for Core Plus Bond Fund.
Loomis Sayles (and Natixis Advisors for Core Plus Bond Fund) shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class' expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class' current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
| 132

Notes to Financial Statements (continued)
September 30, 2023
For the year ended September 30, 2023, the management fees and waivers of management fees for each Fund were as follows: 
 
Gross
Management
Fees
Contractual
Waivers of
Management
Fees1
Net
Management
Fees
Percentage of
Average
Daily Net Assets
Fund
Gross
Net
Core Plus Bond Fund
$10,359,921
$—
$10,359,921
0.16
%
0.16
%
Credit Income Fund
88,151
88,151
—
0.42
%
—
%
Global Allocation Fund
21,232,335
—
21,232,335
0.74
%
0.74
%
Growth Fund
50,343,793
—
50,343,793
0.50
%
0.50
%
Intermediate Duration Bond Fund
782,053
183,745
598,308
0.25
%
0.19
%
Limited Term Government and Agency Fund
2,268,277
531,412
1,736,865
0.32
%
0.24
%
 
1
Waiver/expense reimbursements are subject to possible recovery until September 30, 2024.
For the year ended September 30, 2023, class-specific expenses have been reimbursed as follows: 
 
Reimbursement
 
Class A
Class C
Class N
Class Y
Total
Core Plus Bond Fund
$42,682
$3,993
$—
$409,673
$456,348
In addition, Loomis Sayles reimbursed non-class specific expenses of Credit Income Fund in the amount of $121,283. Expense reimbursements are subject to possible recovery until September 30, 2024.
For the year ended September 30, 2023, the advisory administration fees for Core Plus Bond Fund were $10,359,921 (effective rate of 0.16% of average daily net assets).
No expenses were recovered for any of the Funds during the year ended September 30, 2023 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to the Fund’s Class A shares (the “Class A Plan”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plan”).
Under the Class A Plan, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plan, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plan, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the year ended September 30, 2023, the service and distribution fees for the Fund were as follows: 
 
Service Fees
 
Distribution Fees
Fund
Class A
Class C
 
Class C
Core Plus Bond Fund
$1,029,454
$94,624
$283,872
Credit Income Fund
630
2
7
Global Allocation Fund
1,235,685
721,314
2,163,942
Growth Fund
1,777,495
174,416
523,248
Intermediate Duration Bond Fund
36,874
1,515
4,545
Limited Term Government and Agency Fund
547,175
27,108
81,322
133 |

Notes to Financial Statements (continued)
September 30, 2023
For the year ended September 30, 2023, Natixis Distribution refunded Limited Term Government and Agency Fund $12,768 of prior year Class A service fees paid to Natixis Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by these amounts.
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended September 30, 2023, the administrative fees for each Fund were as follows: 
Fund
Administrative
Fees
Core Plus Bond Fund
$2,965,046
Credit Income Fund
9,729
Global Allocation Fund
1,322,590
Growth Fund
4,665,811
Intermediate Duration Bond Fund
144,972
Limited Term Government and Agency Fund
331,097
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended September 30, 2023, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows: 
Fund
Sub-Transfer
Agent Fees
Core Plus Bond Fund
$4,356,906
Credit Income Fund
110
Global Allocation Fund
2,306,633
Growth Fund
7,923,001
Intermediate Duration Bond Fund
214,198
Limited Term Government and Agency Fund
410,733
As of September 30, 2023, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor): 
Fund
Reimbursements
of Sub-Transfer
Agent Fees
Core Plus Bond Fund
$56,297
Global Allocation Fund
45,934
Growth Fund
73,702
Intermediate Duration Bond Fund
6,597
Limited Term Government and Agency Fund
11,829
| 134

Notes to Financial Statements (continued)
September 30, 2023
e. Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended September 30, 2023 were as follows: 
Fund
Commissions
Core Plus Bond Fund
$8,413
Global Allocation Fund
25,694
Growth Fund
76,830
Limited Term Government and Agency Fund
43,786
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
135 |

Notes to Financial Statements (continued)
September 30, 2023
g. Affiliated Ownership. As of September 30, 2023, the percentage of each Fund’s net assets owned by affiliates is as follows: 
 
Percentage of
Net Assets
Core Plus Bond Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
0.17
%
Credit Income Fund
Natixis and Affiliates
99.00
%
Loomis Sayles Employees
0.05
%
 
99.05
%
Global Allocation Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
0.75
%
Growth Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
0.81
%
Loomis Sayles Funded Pension Plan and Trust
0.14
%
 
0.95
%
Intermediate Duration Bond Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
0.84
%
Limited Term Government and Agency Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan
0.24
%
Loomis Sayles Distribution and Trust
0.62
%
Natixis Sustainable Future 2015 Fund
0.09
%
Natixis Sustainable Future 2020 Fund
0.06
%
Natixis Sustainable Future 2025 Fund
0.10
%
Natixis Sustainable Future 2030 Fund
0.13
%
Natixis Sustainable Future 2035 Fund
0.11
%
Natixis Sustainable Future 2040 Fund
0.07
%
Natixis Sustainable Future 2045 Fund
0.04
%
 
1.46
%
Investment activities of affiliated shareholders could have material impacts on the Funds.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Credit Income Fund, Intermediate Duration Bond Fund and Limited Term Government and Agency Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2024 and is not subject to recovery under the expense limitation agreement described above.
For the year ended September 30, 2023, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows: 
 
Reimbursement of
Transfer Agency
Expenses
Fund
Class N
Credit Income Fund
$1,063
Intermediate Duration Bond Fund
1,113
Limited Term Government and Agency Fund
1,588
i. Payment by Affiliates. For the year ended September 30, 2023, Loomis Sayles reimbursed Core Plus Bond Fund $127,673 in connection with a trading error and overdraft.
| 136

Notes to Financial Statements (continued)
September 30, 2023
7.Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the year ended September 30, 2023 the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable): 
 
Transfer Agent Fees and Expenses
Fund
Class A
Class C
Class N
Class Y
Core Plus Bond Fund
$431,826
$39,761
$11,858
$4,144,891
Credit Income Fund
3,008
11
1,063
291
Global Allocation Fund
455,023
266,198
3,824
1,662,969
Growth Fund
683,495
67,388
4,734
8,253,291
Intermediate Duration Bond Fund
11,241
467
1,113
209,573
Limited Term Government and Agency Fund
226,978
10,966
1,588
445,525
8.Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the year ended September 30, 2023, Growth Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $39,590,909 at a weighted average interest rate of 5.39%. Interest expense incurred on the line of credit was $65,187.
For the year ended September 30, 2023, Limited Term Government and Agency Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $5,000,000 at a weighted average interest rate of 5.43%. Interest expense incurred on the line of credit was $754.
9.Risk. Global Allocation Fund's investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund's investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
Core Plus Bond Fund and Limited Term Government and Agency Fund's investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security's value.
Geopolitical events (such as trading halts, sanctions or wars) could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These, and other related events, could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to issuers in the country or countries involved.
137 |

Notes to Financial Statements (continued)
September 30, 2023
10.Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows: 
Fund
Number of 5%
Account Holders
Percentage
of Ownership
Core Plus Bond Fund
1
5.39
%
Growth Fund
1
12.73
%
Intermediate Duration Bond Fund
5
68.79
%
Limited Term Government and Agency Fund
1
7.03
%
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
11.Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows: 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Core Plus Bond Fund
Shares
Amount
Shares
Amount
Class A
Issued from the sale of shares
11,357,305
$130,223,433
10,474,485
$132,986,632
Issued in connection with the reinvestment of distributions
869,581
9,938,436
938,411
11,828,548
Redeemed
(16,060,576
)
(184,384,945
)
(28,114,978
)
(356,886,979
)
Net change
(3,833,690
)
$(44,223,076
)
(16,702,082
)
$(212,071,799
)
Class C
Issued from the sale of shares
357,507
$4,114,433
423,129
$5,278,465
Issued in connection with the reinvestment of distributions
76,079
870,566
100,207
1,261,196
Redeemed
(1,998,166
)
(22,822,620
)
(3,221,131
)
(40,470,551
)
Net change
(1,564,580
)
$(17,837,621
)
(2,697,795
)
$(33,930,890
)
Class N
Issued from the sale of shares
66,972,306
$777,684,789
38,179,814
$490,210,689
Issued in connection with the reinvestment of distributions
6,158,589
71,024,752
5,162,553
65,205,642
Redeemed
(57,778,078
)
(669,470,666
)
(62,977,876
)
(811,978,447
)
Net change
15,352,817
$179,238,875
(19,635,509
)
$(256,562,116
)
Class Y
Issued from the sale of shares
175,407,125
$2,034,481,891
102,729,590
$1,306,190,967
Issued in connection with the reinvestment of distributions
10,358,184
119,421,605
8,612,778
108,982,625
Redeemed
(110,384,583
)
(1,272,938,219
)
(194,725,398
)
(2,468,017,072
)
Net change
75,380,726
$880,965,277
(83,383,030
)
$(1,052,843,480
)
Increase (decrease) from capital share transactions
85,335,273
$998,143,455
(122,418,416
)
$(1,555,408,285
)
| 138

Notes to Financial Statements (continued)
September 30, 2023
11.Capital Shares (continued).
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Credit Income Fund
Shares
Amount
Shares
Amount
Class A
Issued from the sale of shares
13,459
$116,360
11,798
$103,473
Issued in connection with the reinvestment of distributions
1,299
11,032
389
3,571
Redeemed
(11,853
)
(98,382
)
—
—
Net change
2,905
$29,010
12,187
$107,044
Class C
Issued in connection with the reinvestment of distributions
4
$34
3
$25
Net change
4
$34
3
$25
Class Y
Issued from the sale of shares
300
$2,480
5,804
$57,920
Issued in connection with the reinvestment of distributions
133
1,127
202
1,898
Redeemed
(3,680
)
(31,358
)
(2,572
)
(24,000
)
Net change
(3,247
)
$(27,751
)
3,434
$35,818
Increase (decrease) from capital share transactions
(338
)
$1,293
15,624
$142,887
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Global Allocation Fund
Shares
Amount
Shares
Amount
Class A
Issued from the sale of shares
3,389,851
$71,361,898
4,486,306
$116,023,013
Issued in connection with the reinvestment of distributions
1,584,011
31,205,007
1,295,399
36,335,959
Redeemed
(7,011,580
)
(149,010,976
)
(7,156,453
)
(177,508,478
)
Net change
(2,037,718
)
$(46,444,071
)
(1,374,748
)
$(25,149,506
)
Class C
Issued from the sale of shares
777,798
$15,680,854
1,599,502
$41,324,930
Issued in connection with the reinvestment of distributions
1,249,698
23,769,266
1,119,198
30,632,442
Redeemed
(5,208,741
)
(106,549,675
)
(4,879,499
)
(116,412,070
)
Net change
(3,181,245
)
$(67,099,555
)
(2,160,799
)
$(44,454,698
)
Class N
Issued from the sale of shares
1,581,514
$33,910,780
1,767,033
$46,769,376
Issued in connection with the reinvestment of distributions
960,857
19,169,099
769,270
21,747,266
Redeemed
(2,419,236
)
(52,220,251
)
(2,468,746
)
(61,003,997
)
Net change
123,135
$859,628
67,557
$7,512,645
Class Y
Issued from the sale of shares
11,651,567
$249,069,549
17,815,028
$464,667,649
Issued in connection with the reinvestment of distributions
6,812,550
135,842,251
7,072,360
200,006,364
Redeemed
(36,342,744
)
(779,023,281
)
(41,896,295
)
(1,013,036,852
)
Net change
(17,878,627
)
$(394,111,481
)
(17,008,907
)
$(348,362,839
)
Decrease from capital share transactions
(22,974,455
)
$(506,795,479
)
(20,476,897
)
$(410,454,398
)
139 |

Notes to Financial Statements (continued)
September 30, 2023
11.Capital Shares (continued).
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Growth Fund
Shares
Amount
Shares
Amount
Class A
Issued from the sale of shares
25,307,103
$429,030,222
39,717,368
$783,108,012
Issued in connection with the reinvestment of distributions
3,080,126
45,431,858
2,690,613
64,816,875
Redeemed
(58,359,545
)
(987,390,432
)
(44,619,514
)
(895,385,409
)
Net change
(29,972,316
)
$(512,928,352
)
(2,211,533
)
$(47,460,522
)
Class C
Issued from the sale of shares
1,427,876
$22,531,190
482,265
$9,254,099
Issued in connection with the reinvestment of distributions
596,956
7,503,741
212,100
4,507,128
Redeemed
(1,891,889
)
(28,339,214
)
(2,108,692
)
(39,692,654
)
Net change
132,943
$1,695,717
(1,414,327
)
$(25,931,427
)
Class N
Issued from the sale of shares
9,723,730
$196,959,490
16,076,988
$384,004,405
Issued in connection with the reinvestment of distributions
3,273,160
53,254,325
974,540
25,445,235
Redeemed
(16,922,957
)
(345,813,738
)
(11,291,066
)
(249,812,188
)
Net change
(3,926,067
)
$(95,599,923
)
5,760,462
$159,637,452
Class Y
Issued from the sale of shares
145,614,231
$2,904,813,412
106,157,081
$2,382,270,036
Issued in connection with the reinvestment of distributions
50,233,839
816,299,889
15,751,106
411,103,854
Redeemed
(185,161,203
)
(3,717,011,614
)
(127,856,705
)
(2,914,738,824
)
Redeemed in-kind (Note 12)
(10,072,998
)
(191,588,419
)
—
—
Net change
613,869
$(187,486,732
)
(5,948,518
)
$(121,364,934
)
Decrease from capital share transactions
(33,151,571
)
$(794,319,290
)
(3,813,916
)
$(35,119,431
)
| 140

Notes to Financial Statements (continued)
September 30, 2023
11.Capital Shares (continued).
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Intermediate Duration Bond Fund
Shares
Amount
Shares
Amount
Class A
Issued from the sale of shares
162,767
$1,527,536
620,754
$6,337,904
Issued in connection with the reinvestment of distributions
42,793
399,890
38,180
379,158
Redeemed
(1,383,949
)
(12,973,971
)
(679,509
)
(6,739,182
)
Net change
(1,178,389
)
$(11,046,545
)
(20,575
)
$(22,120
)
Class C
Issued from the sale of shares
86,200
$813,282
25,419
$268,078
Issued in connection with the reinvestment of distributions
1,755
16,435
318
3,209
Redeemed
(30,766
)
(292,234
)
(36,638
)
(374,076
)
Net change
57,189
$537,483
(10,901
)
$(102,789
)
Class N
Issued from the sale of shares
4,504,771
$41,858,306
223,571
$2,186,390
Issued in connection with the reinvestment of distributions
99,571
924,081
46,222
457,509
Redeemed
(581,767
)
(5,430,564
)
(78,242
)
(767,571
)
Net change
4,022,575
$37,351,823
191,551
$1,876,328
Class Y
Issued from the sale of shares
10,622,669
$99,573,320
10,432,771
$104,382,931
Issued in connection with the reinvestment of distributions
1,030,869
9,604,346
701,722
6,984,487
Redeemed
(8,626,109
)
(80,519,563
)
(15,625,439
)
(155,292,386
)
Net change
3,027,429
$28,658,103
(4,490,946
)
$(43,924,968
)
Increase (decrease) from capital share transactions
5,928,804
$55,500,864
(4,330,871
)
$(42,173,549
)
141 |

Notes to Financial Statements (continued)
September 30, 2023
11.Capital Shares (continued).
 
 
 
Year Ended
September 30, 2023
Year Ended
September 30, 2022
Limited Term Government and Agency Fund
Shares
Amount
Shares
Amount
Class A
Issued from the sale of shares
2,652,652
$28,284,400
3,443,653
$38,051,151
Issued in connection with the reinvestment of distributions
607,403
6,478,043
180,701
1,981,779
Redeemed
(6,626,486
)
(70,703,766
)
(5,686,327
)
(62,870,713
)
Net change
(3,366,431
)
$(35,941,323
)
(2,061,973
)
$(22,837,783
)
Class C
Issued from the sale of shares
216,846
$2,300,977
355,616
$3,946,921
Issued in connection with the reinvestment of distributions
22,066
234,758
3,777
41,142
Redeemed
(762,968
)
(8,118,114
)
(1,217,350
)
(13,438,953
)
Net change
(524,056
)
$(5,582,379
)
(857,957
)
$(9,450,890
)
Class N
Issued from the sale of shares
3,011,128
$32,301,122
1,015,581
$11,197,256
Issued in connection with the reinvestment of distributions
140,941
1,507,954
17,409
191,162
Redeemed
(679,452
)
(7,286,871
)
(327,674
)
(3,626,861
)
Net change
2,472,617
$26,522,205
705,316
$7,761,557
Class Y
Issued from the sale of shares
27,925,195
$299,329,524
29,040,597
$322,624,285
Issued in connection with the reinvestment of distributions
1,144,373
12,243,193
473,606
5,223,069
Redeemed
(29,148,521
)
(311,660,863
)
(45,475,068
)
(503,368,228
)
Net change
(78,953
)
$(88,146
)
(15,960,865
)
$(175,520,874
)
Decrease from capital share transactions
(1,496,823
)
$(15,089,643
)
(18,175,479
)
$(200,047,990
)
12.Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Growth Fund realized a gain of $14,126,530 on redemptions-in-kind during the year ended September 30, 2023. This amount is included in realized gain (loss) on the Statements of Operations.
13.Subsequent Event. On September 14, 2023, the Board of Trustees approved a plan to liquidate Credit Income Fund. Liquidation took place on November 6, 2023.
| 142

Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis Funds Trust I, Loomis Sayles Funds I and Loomis Sayles Funds II and Shareholders of Loomis Sayles Core Plus Bond Fund, Loomis Sayles Intermediate Duration Bond Fund, Loomis Sayles Credit Income Fund, Loomis Sayles Global Allocation Fund, Loomis Sayles Growth Fund and Loomis Sayles Limited Term Government and Agency Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Core Plus Bond Fund (one of the funds constituting Natixis Funds Trust I), Loomis Sayles Intermediate Duration Bond Fund (one of the funds constituting Loomis Sayles Funds I), and Loomis Sayles Credit Income Fund, Loomis Sayles Global Allocation Fund, Loomis Sayles Growth Fund and Loomis Sayles Limited Term Government and Agency Fund (four of the funds constituting Loomis Sayles Funds II) (hereafter collectively referred to as the “Funds”) as of September 30, 2023, the related statements of operations for the year ended September 30, 2023, the statements of changes in net assets for each of the two years in the period ended September 30, 2023, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2023 and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023 by correspondence with the custodian, transfer agent, agency banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
November 21, 2023
We have served as the auditor of one or more investment companies in the Natixis Investment Company Complex since at least 1995. We have not determined the specific year we began serving as auditor.
143 |

2023 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2023, a percentage of dividends distributed by the
Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows: 
Fund
Qualifying
Percentage
Credit Income Fund
1.66
%
Growth Fund
100.00
%
Qualified Dividend Income. For the fiscal year ended September 30, 2023, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2023, complete information will be reported in conjunction with Form 1099-DIV.
Fund
Credit Income Fund
Growth Fund
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2023, unless subsequently determined to be different. 
Fund
Amount
Credit Income Fund
$38,241
Global Allocation Fund
265,227,594
Growth Fund
1,212,480,441
| 144

Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I, Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts"). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds' Statements of Additional Information include additional information about the Trustees of the Trusts and are available by calling Natixis Funds/Loomis Sayles Funds at 800-225-5478/800-633-3330. 
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees
 
 
 
 
Edmond J. English
(1953)
Trustee since 2013
Contract Review
Committee Member
and Governance
Committee Member
Executive Chairman of
Bob’s Discount
Furniture (retail)
52
Director, Burlington
Stores, Inc. (retail);
Director, Rue Gilt
Groupe, Inc.
(e-commerce retail)
Significant experience
on the Board and on the
boards of other business
organizations (including
retail companies and a
bank); executive
experience (including at
a retail company)
Richard A. Goglia
(1951)
Trustee since 2015
Audit Committee
Member and
Governance
Committee Member
Retired
52
Formerly, Director of
Triumph Group
(aerospace industry)
Significant experience
on the Board and
executive experience
(including his role as
Vice President and
treasurer of a defense
company and experience
at a financial services
company)
Martin T.  Meehan
(1956)
Trustee since 2012
Chairperson of the
Governance Committee
and Contract Review
Committee Member
President, University of
Massachusetts
52
None
Significant experience
on the Board and on the
boards of other business
organizations;
experience as President
of the University of
Massachusetts;
government experience
(including as a member
of the U.S. House of
Representatives);
academic experience
Maureen B. Mitchell
(1951)
Trustee since 2017
Chairperson of the
Contract Review
Committee
Retired
52
Director, Sterling
Bancorp (bank)
Significant experience
on the Board; financial
services industry and
executive experience
(including role as
President of global sales
and marketing at a
financial services
company)
145 |

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees − continued
James P. Palermo
(1955)
Trustee since 2016
Audit Committee
Member
and Governance
Committee Member
Founding Partner,
Breton Capital
Management, LLC
(private equity); Partner,
STEP Partners, LLC
(private equity)
52
Director, FutureFuel.io
(chemicals and biofuels)
Significant experience
on the Board; financial
services industry and
executive experience
(including roles as Chief
Executive Officer of
client management and
asset servicing for a
banking and financial
services company)
Erik R. Sirri
(1958)
Chairperson of the
Board of Trustees since
January 2021
Trustee since 2009
Ex Officio Member of
the Audit Committee,
Contract Review
Committee and
Governance
Committee
Professor of Finance at
Babson College
52
None
Significant experience
on the Board; experience
as Director of the
Division of Trading and
Markets at the
Securities and Exchange
Commission; academic
experience; training as
an economist
Peter J. Smail
(1952)
Trustee since 2009
Contract Review
Committee Member
Retired
52
None
Significant experience
on the Board; mutual
fund industry and
executive experience
(including roles as
President and Chief
Executive Officer for an
investment adviser)
| 146

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Independent Trustees − continued
Kirk A. Sykes
(1958)
Trustee since 2019
Audit Committee
Member and
Governance
Committee Member
Managing Director of
Accordia Partners, LLC
(real estate
development); President
of Primary Corporation
(real estate
development);
Managing Principal of
Merrick Capital
Partners (infrastructure
finance)
52
Advisor/Risk
Management
Committee, Eastern
Bank (bank); Director,
Apartment Investment
and Management
Company (real estate
investment trust);
formerly, Director, Ares
Commercial Real Estate
Corporation (real estate
investment trust)
Experience on the Board
and significant
experience on the boards
of other business
organizations (including
real estate companies
and banks)
Cynthia L. Walker
(1956)
Trustee since 2005
Chairperson of the
Audit Committee
Retired; formerly,
Deputy Dean for
Finance and
Administration, Yale
University School of
Medicine
52
None
Significant experience
on the Board; executive
experience in a variety of
academic organizations
(including roles as dean
for finance and
administration)
Interested Trustees
 
 
 
 
Kevin P. Charleston3
(1965)
One Financial Center
Boston, MA 02111
Trustee since 2015
President and Chief
Executive Officer of
Loomis Sayles Funds I
since 2015
President, Chief
Executive Officer and
Chairman of the Board
of Directors, Loomis,
Sayles & Company, L.P.
52
None
Significant experience
on the Board;
continuing service as
President, Chief
Executive Officer and
Chairman of the Board
of Directors of Loomis,
Sayles & Company, L.P.
147 |

Trustee and Officer Information
Name and Year of Birth
Position(s) Held with
the Trusts, Length
of Time Served and
Term of Office1
Principal
Occupation(s)
During Past 5 Years
Number of Portfolios
in Fund Complex
Overseen2and Other
Directorships Held
During Past 5 Years
Experience,
Qualifications,
Attributes, Skills for
Board Membership
Interested Trustees − continued
David L. Giunta4
(1965)
Trustee since 2011
President and Chief
Executive Officer of
Natixis Funds Trust I;
President of
Loomis Sayles Funds
II and Executive Vice
President of Loomis
Sayles Funds I since
2008; Chief Executive
Officer of Loomis
Sayles Funds II since
2015
President and Chief
Executive Officer,
Natixis Advisors, LLC
and Natixis
Distribution, LLC
52
None
Significant experience
on the Board; experience
as President and Chief
Executive Officer of
Natixis Advisors, LLC
and Natixis
Distribution, LLC
 
1
Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is
appointed for a three-year term.
2
The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV,
Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”).
3
Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts:  President, Chief
Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.
4
Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts:  President and Chief
Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.
| 148

Trustee and Officer Information
 
Name and Year of Birth
Position(s) Held
with the Trusts
Term of Office1
and Length
of Time Served
Principal Occupation(s)
During Past 5 Years2
Officers of the Trusts
 
 
 
Matthew J. Block
(1981)
Treasurer, Principal
Financial and
Accounting Officer
Since 2022
Senior Vice President, Natixis
Advisors, LLC and Natixis
Distribution, LLC; formerly,
Vice President, Natixis
Advisors, LLC and Natixis
Distribution, LLC; Assistant
Treasurer of the Fund
Complex; Managing Director,
State Street Bank and Trust
Company
Susan McWhan Tobin
(1963)
Secretary and Chief
Legal Officer
Since 2022
Executive Vice President,
General Counsel and
Secretary, Natixis
Advisors, LLC and Natixis
Distribution, LLC; formerly,
Executive Vice President and
Chief Compliance Officer of
Natixis Investment Managers
(March 2019 – May 2022)
and Senior Vice President and
Head of Compliance, U.S. for
Natixis Investment Managers
(July 2011 – March 2019)
Natalie R. Wagner
(1979)
Chief Compliance
Officer, Assistant
Secretary and
Anti-Money
Laundering Officer
Since 2021
Senior Vice President, Natixis
Advisors, LLC and Natixis
Distribution, LLC; formerly,
Vice President, Head of
Corporate Compliance,
Global Atlantic Financial
Group
 
1
Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or
until he or she sooner dies, retires, is removed or becomes disqualified.
2
Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis
Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such
entity.
149 |

This Page Intentionally Left Blank

Contact us by mail:
If you wish to communicate with the funds’ Board of Trustees, you may do so by writing to:
Secretary of the Funds
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
The correspondence must (a) be signed by the shareholder; (b) include the shareholder’s name and address; and (c) identify the fund(s), account number, share class, and number of shares held in that fund, as of a recent date.
Or by e-mail:
secretaryofthefunds@natixis.com (Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.)
Please note:  Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, Social Security number, PIN, or any other non-public personal information in an e-mail communication because this information may be viewed by others.
 

Exp. 11/30/24
6031448.1.1
LSIF58A-0923

(b) Not Applicable.

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Mr. Richard A. Goglia, Mr. James P. Palermo, Mr. Kirk A. Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.

 

     Audit fees      Audit-related fees1      Tax fees2      All other fees  
     10/1/21-
9/30/22		      10/1/22-
9/30/23		      10/1/21-
9/30/22		      10/1/22-
9/30/23		      10/1/21-
9/30/22		      10/1/22-
9/30/23		      10/1/21-
9/30/22		      10/1/22-
9/30/23		  

Loomis Sayles Funds I – Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles High Income Opportunities Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund, Loomis Sayles Intermediate Duration Bond Fund, Loomis Sayles Securitized Asset Fund and Loomis Sayles Small Cap Value Fund

    $ 363,921      $ 374,838      $ 823      $ 848      $ 69,189      $ 76,266      $ —        $ —    

 

  1.

Audit-related fees consist of:

2022 & 2023 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

 

  2.

Tax fees consist of:

2022 & 2023 – review of Registrant’s tax returns.

2023 – review of Registrant’s tax accounting policies related to resecuritization transactions.

Aggregate fees billed to the Registrant for non-audit services during 2022 and 2023 were $70,012 and $77,114, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

 

     Audit-related fees      Tax fees      All other fees  
     10/1/21-
9/30/22		      10/1/22-
9/30/23		      10/1/21-
9/30/22		      10/1/22-
9/30/23		      10/1/21-
9/30/22		      10/1/22-
9/30/23		  

Control Affiliates

    $ —        $ —        $ —        $ —        $ 50,000      $ —    

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

 

     Aggregate Non-Audit Fees  
     10/1/21-9/30/22      10/1/22-9/30/23  

Control Affiliates

    $ 50,000      $ —    

None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed. If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an Independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

(a)   (1)    Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)   (2)    Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(b)      Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Loomis Sayles Funds I
By:  

/s/ Kevin Charleston

Name:   Kevin Charleston
Title:   President and Chief Executive Officer
Date:   November 21, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Kevin Charleston

Name:   Kevin Charleston
Title:   President and Chief Executive Officer
Date:   November 21, 2023
By:  

/s/ Matthew Block

Name:   Matthew Block
Title:   Treasurer and Principal Financial and Accounting Officer
Date:   November 21, 2023
 EX-99.CODE ETH 2 d593309dex99codeeth.htm EX-99.CODE ETH EX-99.CODE ETH

Exhibit (a) (1)

NATIXIS FUNDS TRUST I

NATIXIS FUNDS TRUST II

NATIXIS FUNDS TRUST IV

LOOMIS SAYLES FUNDS I

LOOMIS SAYLES FUNDS II

GATEWAY TRUST

NATIXIS ETF TRUST

NATIXIS ETF TRUST II

CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS

 

I.

Covered Persons/Purpose of the Code

This Code of Ethics (this “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the registered investment companies (each a “Fund” and, collectively, the “Funds”) listed on Exhibit A and applies to each Fund’s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the “Covered Persons,” all covered persons are set forth in Exhibit B) for the purpose of promoting:

 

  •  

Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

 

  •  

Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (the “SEC”) and in other public communications made by the registrant

 

  •  

Compliance with applicable governmental laws, rules and regulations;

 

  •  

The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code of violations of the Code; and

 

  •  

Accountability for adherence to the Code.

Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest.

II.

Covered Persons Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Person’s private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Person’s, or a member of the Covered Person’s family or household, receives improper personal benefits as a result of the Covered Person’s position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Persons and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (including the regulations thereunder, the “1940 Act”) and the Investment Advisers Act of 1940 (including the regulations thereunder, the “Investment Advisers Act”). For example, Covered Persons may not engage in certain transactions with the Fund because of their status as “affiliated persons” of the Fund. The Funds and their investment advisers; subadvisers; distributors and administrators (each a “Service Provider” and, collectively, the “Service Providers”) compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and their Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a Service Provider, or for each), be involved in establishing policies and implementing decisions that will have different effects on the Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of a Fund.

 

-2-

Each Covered Person must not:

 

  •  

use his/her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund whereby the Covered Person would benefit personally to the detriment of the Fund;

 

  •  

cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than the benefit the Fund; or

 

  •  

retaliate against any other Covered Person or any employee of the Funds or their Service Providers for reports of potential violations that are made in good faith.

There are some conflict of interest situations that should always be approved by the Chief Legal Officer (“CLO”) of the Fund (or, with respect to activities of the CLO if he/she is a Covered Person, by the President). These conflict of interest situations are listed below:

 

  •  

service on the board of directors or governing board of a publicly traded entity;

 

  •  

acceptance of any investment opportunity, gift, gratuity or other thing of more than nominal value from any person or entity that does business, or desires to do business, with the Fund. This restriction shall not apply to (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100 or (ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable;

 

  •  

any ownership interest in, or any consulting relationship with, any entities doing business with a Fund, other than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the outstanding securities of the relevant class; and

 

  •  

a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Person’s employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit (i) the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the particular class of security outstanding or (ii) the receipt by the Service Provider of research or other benefits in exchange for “soft dollars”.

 

-3-

III.

Disclosure and Compliance

 

  •  

Each Covered Person should familiarize himself with the disclosure requirements generally applicable to a Fund;

 

  •  

Each Covered Person should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to the Fund’s Board and auditors, and to governmental regulators and self-regulatory organizations;

 

  •  

Each Covered Person should, to the extent appropriate within his/her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

 

  •  

It is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

 

IV.

Reporting and Accountability

Each Covered Person must:

 

  •  

upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the Funds that he/she has received, read, and understands the Code;

 

  •  

annually thereafter affirm to the Funds that he/she has complied with the requirements of the Code; and

 

  •  

notify the CLO of the Funds promptly if he/she knows of any violation of this Code (with respect to violations by the CLO if he/she is a Covered Person, the Covered Person shall report to the President). Failure to do so is itself a violation of this Code.

The CLO of a Fund is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers other than those this Code states can be granted by the CLO, sought by the CLO or Covered Person will be considered by the relevant Fund’s Audit Committee (the “Committee”).

The Funds will follow these procedures in investigating and enforcing this Code:

 

  •  

the CLO will take all appropriate action to investigate any potential violations reported, which may include the use of internal or external counsel, accountants or other personnel;

 

-4-

  •  

if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take any further action;

 

  •  

any matter that the CLO believes is a violation will be reported to the Committee;

 

  •  

if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Person;

 

  •  

the Committee will be authorized to grant waivers, as it deems appropriate; and

 

  •  

any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

 

V.

Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds’ Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their Service Providers’ codes of ethics under Rule 17j-1 under the 1940 Act and the Service Providers’ more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.

 

VI.

Amendments

Any amendments to this Code with respect to a Fund, other than administrative amendments to Exhibits A and B, must be approved or ratified by a majority vote of the Fund’s Board, including a majority of independent trustees.

 

VII.

Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board.

 

-5-

VIII.

Internal Use

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.

 

-6-

Exhibit A

Registered Investment Companies

Natixis Funds Trust I

Natixis Funds Trust II

Natixis Funds Trust IV

Natixis ETF Trust

Natixis ETF Trust II

Loomis Sayles Funds I

Loomis Sayles Funds II

Gateway Trust

 

-7-

Exhibit B

Persons Covered by this Code of Ethics

 

Trust

   

Principal Executive Officer

   

Principal Financial Officer

   

Principal Accounting Officer

Natixis Funds Trust I    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Natixis Funds Trust II    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Natixis Funds Trust IV    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Natixis ETF Trust    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Natixis ETF Trust II    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Loomis Sayles Funds I    Kevin Charleston, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Loomis Sayles Funds II    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer
Gateway Trust    David L. Giunta, Trustee, President and Chief Executive Officer    Matthew Block, Treasurer    Matthew Block, Treasurer

 

-8-

EX-99.CERT 3 d593309dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(2)(1)

Loomis Sayles Funds I

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Kevin Charleston, certify that:

 

  1.

I have reviewed this report on Form N-CSR of Loomis Sayles Funds I;

 

  2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

  4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c.

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

  5.

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 21, 2023

 

/s/ Kevin Charleston

Kevin Charleston
President and Chief Executive Officer

Exhibit (a)(2)(2)

Loomis Sayles Funds I

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Matthew Block, certify that:

 

  1.

I have reviewed this report on Form N-CSR of Loomis Sayles Funds I;

 

  2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

  4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c.

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

  5.

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 21, 2023

 

/s/ Matthew Block

Matthew Block
Treasurer and Principal Financial and Accounting Officer

 

 EX-99.906CERT 4 d593309dex99906cert.htm SECTION 906 CERTIFICATION Section 906 Certification

Exhibit (b)

Loomis Sayles Funds I

Section 906 Certification

In connection with the report on Form N-CSR for the period ended September 30, 2023 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

By:    By:
President and Chief Executive Officer    Treasurer and Principal Financial and Accounting Officer

Loomis Sayles Funds I

   

Loomis Sayles Funds I

/s/ Kevin Charleston

   

/s/ Matthew Block

Kevin Charleston    Matthew Block
Date: November 21, 2023    Date: November 21, 2023

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Loomis Sayles Funds I, and will be retained by the Loomis Sayles Funds I and furnished to the Securities and Exchange Commission or its staff upon request.

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