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:811-04323
Natixis Funds Trust 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)
Russell L. Kane, Esq.
Natixis Distribution, L.P.
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617)449-2822
Date of fiscal year end: September 30
Date of reporting period: March 31, 2020
Item 1. Reports to Stockholders.
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:
Semiannual Report
March 31, 2020
Loomis Sayles Core Plus Bond Fund
Loomis Sayles Global Allocation Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 8 | |||
Financial Statements | 45 | |||
Notes to Financial Statements | 57 |
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.
LOOMIS SAYLES CORE PLUS BOND FUND
Managers | Symbols | |
Ian Anderson | Class A NEFRX | |
Peter W. Palfrey, CFA® | Class C NECRX | |
Richard G. Raczkowski | Class N NERNX | |
Barath Sankaran, CFA® | Class Y NERYX | |
Loomis, Sayles & Company, L.P. |
Investment Goal
The Fund seeks high total investment return through a combination of current income and capital appreciation.
1 |
Average Annual Total Returns — March 31, 20203
Life of | Expense Ratios4 | |||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Class N | Gross | Net | ||||||||||||||||||||||
Class Y (Inception 12/30/94) |
| |||||||||||||||||||||||||||
NAV | 1.86 | % | 6.93 | % | 3.45 | % | 5.05 | % | — | 0.48 | % | 0.48 | % | |||||||||||||||
Class A (Inception 11/7/73) | ||||||||||||||||||||||||||||
NAV | 1.75 | 6.64 | 3.19 | 4.78 | — | 0.73 | 0.73 | |||||||||||||||||||||
With 4.25% Maximum Sales Charge | -2.59 | 2.09 | 2.29 | 4.32 | — | |||||||||||||||||||||||
Class C (Inception 12/30/94) |
| |||||||||||||||||||||||||||
NAV | 1.44 | 5.92 | 2.43 | 4.00 | — | 1.48 | 1.48 | |||||||||||||||||||||
With CDSC1 | 0.44 | 4.92 | 2.43 | 4.00 | — | |||||||||||||||||||||||
Class N (Inception 2/1/13) | ||||||||||||||||||||||||||||
NAV | 1.91 | 7.02 | 3.55 | — | 3.42 | 0.39 | 0.39 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index2 | 3.33 | 8.93 | 3.36 | 3.88 | 3.20 |
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 for other share classes will be greater or less than shown based on differences 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 | Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | The Bloomberg Barclays U.S. Aggregate Bond Index is 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 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
| 2
LOOMIS SAYLES GLOBAL ALLOCATION FUND
Managers | Symbols | |
Daniel J. Fuss, CFA®, CIC | Class A LGMAX | |
Eileen N. Riley, CFA® | Class C LGMCX | |
David W. Rolley, CFA® | Class N LGMNX | |
Lee M. Rosenbaum | Class Y LSWWX | |
Loomis, Sayles & Company, L.P. |
Investment Goal
The Fund seeks high total investment return through a combination of capital appreciation and current income.
3 |
Average Annual Total Returns — March 31, 20204
Life of | Expense Ratios5 | |||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Class N | Gross | Net | ||||||||||||||||||||||
Class Y (Inception 5/1/96) |
| |||||||||||||||||||||||||||
NAV | -8.98 | % | -3.15 | % | 5.22 | % | 7.99 | % | — | 0.91 | % | 0.91 | % | |||||||||||||||
Class A (Inception 2/1/06) | ||||||||||||||||||||||||||||
NAV | -9.11 | -3.38 | 4.95 | 7.71 | — | 1.16 | 1.16 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | -14.34 | -8.92 | 3.72 | 7.08 | — | |||||||||||||||||||||||
Class C (Inception 2/1/06) |
| |||||||||||||||||||||||||||
NAV | -9.45 | -4.09 | 4.17 | 6.91 | — | 1.91 | 1.91 | |||||||||||||||||||||
With CDSC1 | -10.34 | -5.03 | 4.17 | 6.91 | — | |||||||||||||||||||||||
Class N (Inception 2/1/17) | ||||||||||||||||||||||||||||
NAV | -8.96 | -3.04 | — | — | 6.50 | 0.82 | 0.82 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
MSCI All Country World Index (Net)2 | -14.33 | -11.26 | 2.85 | 5.88 | 2.67 | |||||||||||||||||||||||
Blended Index3 | -8.52 | -4.94 | 2.99 | 4.72 | 3.33 |
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 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 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | The 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 | The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Bond Index. The Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific 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 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
5 | 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 1/31/21. 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. |
| 4
ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities the most recent 12-month period ended June 30 is available from the Fund’s website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
5 |
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 Fund’s prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table 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 October 1, 2019 through March 31, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table of each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of the fund 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 CORE PLUS BOND FUND | BEGINNING ACCOUNT VALUE 10/1/2019 | ENDING ACCOUNT VALUE 3/31/2020 | EXPENSES PAID DURING PERIOD* 10/1/2019 – 3/31/2020 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,017.50 | $3.63 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.40 | $3.64 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,014.40 | $7.40 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.65 | $7.41 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,019.10 | $1.92 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.10 | $1.92 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,018.60 | $2.37 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.65 | $2.38 |
* | Expenses are equal to the Fund’s annualized expense ratio: 0.72%, 1.47%, 0.38% and 0.47% 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 366 (to reflect the half-year period). |
| 6
LOOMIS SAYLES GLOBAL ALLOCATION FUND | BEGINNING ACCOUNT VALUE 10/1/2019 | ENDING ACCOUNT VALUE 3/31/2020 | EXPENSES PAID DURING PERIOD* 10/1/2019 – 3/31/2020 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $908.90 | $5.49 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.25 | $5.81 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $905.50 | $9.05 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.50 | $9.57 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $910.40 | $3.92 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.90 | $4.14 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $910.20 | $4.30 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.50 | $4.55 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.15%, 1.90%, 0.82% and 0.90% 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 366 (to reflect the half-year period). |
7 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes — 93.5% of Net Assets | ||||||||
Non-Convertible Bonds — 93.3% | ||||||||
ABS Car Loan — 0.9% | ||||||||
$ | 88,518 | AmeriCredit Automobile Receivables Trust, Series2015-4, Class C, 2.880%, 7/08/2021 | $ | 88,491 | ||||
1,333,333 | Avis Budget Rental Car Funding AESOP LLC, Series2015-1A, Class A, 2.500%, 7/20/2021, 144A | 1,330,943 | ||||||
11,955,000 | Avis Budget Rental Car Funding AESOP LLC, Series2016-1A, Class A, 2.990%, 6/20/2022, 144A | 11,675,759 | ||||||
15,005,000 | Avis Budget Rental Car Funding AESOP LLC, Series2016-2A, Class A, 2.720%, 11/20/2022, 144A | 14,703,473 | ||||||
10,350,000 | Avis Budget Rental Car Funding AESOP LLC, Series2017-1A, Class A, 3.070%, 9/20/2023, 144A | 9,718,391 | ||||||
4,985,000 | Avis Budget Rental Car Funding AESOP LLC, Series2019-1A, Class A, 3.450%, 3/20/2023, 144A | 4,905,706 | ||||||
11,130,000 | CarMax Auto Owner Trust, Series2019-4, Class A2A, 2.010%, 3/15/2023 | 11,118,601 | ||||||
7,435,000 | Credit Acceptance Auto Loan Trust, Series2017-3A, Class B, 3.210%, 8/17/2026, 144A | 7,387,058 | ||||||
2,089,178 | Santander Drive Auto Receivables Trust, Series2018-2, Class B, 3.030%, 9/15/2022 | 2,089,800 | ||||||
4,140,000 | Santander Drive Auto Receivables Trust, Series2018-2, Class C, 3.350%, 7/17/2023 | 4,120,746 | ||||||
2,475,000 | Santander Drive Auto Receivables Trust, Series2019-3, Class A3, 2.160%, 11/15/2022 | 2,442,893 | ||||||
|
| |||||||
69,581,861 | ||||||||
|
| |||||||
ABS Credit Card — 0.1% | ||||||||
11,115,000 | World Financial Network Credit Card Master Trust, Series2016-A, Class A, 2.030%, 4/15/2025 | 11,061,612 | ||||||
|
| |||||||
ABS Home Equity — 1.6% | ||||||||
2,059,268 | Bayview Koitere Fund Trust, Series 2017-SPL3, Class A, 4.000%, 11/28/2053, 144A(a) | 2,055,608 | ||||||
2,682,119 | Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A | 2,716,284 | ||||||
1,513,848 | Bayview Opportunity Master Fund IVa Trust, Series2017-RT1, Class A1, 3.000%, 3/28/2057, 144A(a) | 1,489,467 | ||||||
8,129,856 | Bayview Opportunity Master Fund IVa Trust, Series2017-RT5, Class A, 3.500%, 5/28/2069, 144A(a) | 8,172,129 | ||||||
4,515,209 | Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A, 4.000%, 10/28/2064, 144A(a) | 4,511,409 | ||||||
1,857,802 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A, 4.000%, 6/28/2054, 144A(a) | 1,832,205 | ||||||
777,942 | Colony American Finance Ltd., Series2015-1, Class A, 2.896%, 10/15/2047, 144A | 776,317 | ||||||
5,844,469 | Corevest American Finance Trust, Series2019-3, Class A, 2.705%, 10/15/2052, 144A | 5,545,390 | ||||||
33,170 | Countrywide Asset-Backed Certificates, Series2004-S1, Class A3, 5.115%, 2/25/2035(a)(b)(c) | 32,730 |
See accompanying notes to financial statements.
| 8
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 24,888,198 | Invitation Homes Trust, Series 2018-SFR2, Class A, 1-month LIBOR + 0.900%, 1.605%, 6/17/2037, 144A(d) | $ | 22,933,845 | ||||
7,872,000 | Lanark Master Issuer PLC, Series2019-1A, Class 1A1, 3-month LIBOR + 0.770%, 2.453%, 12/22/2069, 144A(d) | 7,815,951 | ||||||
2,026,772 | Mill City Mortgage Loan Trust, Series2016-1, Class A1, 2.500%, 4/25/2057, 144A(a) | 2,009,654 | ||||||
6,952,265 | Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a) | 6,987,130 | ||||||
2,095,943 | Sequoia Mortgage Trust, Series2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a) | 2,117,096 | ||||||
1,972,871 | Sequoia Mortgage Trust, Series2017-CH2, Class A10, 4.000%, 12/25/2047, 144A(a) | 1,971,009 | ||||||
4,655,483 | Sequoia Mortgage Trust, Series2018-CH1, Class A1, 4.000%, 2/25/2048, 144A(a) | 4,637,785 | ||||||
9,738,102 | Sequoia Mortgage Trust, Series2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a) | 9,767,831 | ||||||
1,454,000 | Towd Point Mortgage Trust, Series2015-1, Class A5, 3.913%, 10/25/2053, 144A(a) | 1,346,731 | ||||||
4,905,986 | Towd Point Mortgage Trust, Series2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(a) | 4,883,781 | ||||||
5,018,000 | Towd Point Mortgage Trust, Series2015-4, Class M2, 3.750%, 4/25/2055, 144A(a) | 4,721,442 | ||||||
4,991,315 | Towd Point Mortgage Trust, Series2016-2, Class A1A, 2.750%, 8/25/2055, 144A(a) | 4,923,889 | ||||||
6,017,000 | Towd Point Mortgage Trust, Series2016-2, Class M2, 3.000%, 8/25/2055, 144A(a) | 5,437,117 | ||||||
11,691,145 | Towd Point Mortgage Trust, Series2018-3, Class A1, 3.750%, 5/25/2058, 144A(a) | 11,679,464 | ||||||
|
| |||||||
118,364,264 | ||||||||
|
| |||||||
ABS Other — 0.1% | ||||||||
149,770 | OneMain Financial Issuance Trust, Series2016-1A, Class A, 3.660%, 2/20/2029, 144A | 149,266 | ||||||
4,043,200 | TAL Advantage V LLC, Series2014-3A, Class A, 3.270%, 11/21/2039, 144A | 3,818,751 | ||||||
|
| |||||||
3,968,017 | ||||||||
|
| |||||||
ABS Student Loan — 0.1% | ||||||||
4,455,000 | SoFi Professional Loan Program Trust, Series2020-A, Class A2FX, 2.540%, 5/15/2046, 144A | 4,305,508 | ||||||
|
| |||||||
ABS Whole Business — 0.4% | ||||||||
19,051,275 | Coinstar Funding LLC, Series2017-1A, Class A2, 5.216%, 4/25/2047, 144A | 17,944,045 | ||||||
14,262,800 | Planet Fitness Master Issuer LLC, Series2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | 13,441,691 | ||||||
|
| |||||||
31,385,736 | ||||||||
|
|
See accompanying notes to financial statements.
9 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Aerospace & Defense — 0.6% | ||||||||
$ | 921,000 | Bombardier, Inc., 5.750%, 3/15/2022, 144A | $ | 697,658 | ||||
14,932,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 13,177,490 | ||||||
1,910,000 | General Dynamics Corp., 4.250%, 4/01/2050 | 2,405,056 | ||||||
4,935,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A | 5,115,201 | ||||||
28,015,000 | Textron, Inc., 3.000%, 6/01/2030 | 26,188,490 | ||||||
|
| |||||||
47,583,895 | ||||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities — 2.7% | ||||||||
15,165,000 | Federal National Mortgage Association, Series2015-M15, Class A2, 2.923%, 10/25/2025(a) | 16,118,822 | ||||||
6,750,000 | Federal National Mortgage Association, Series2015-M17, Class A2, 2.931%, 11/25/2025(a) | 7,163,656 | ||||||
10,975,000 | Federal National Mortgage Association, Series2016-M4, Class A2, 2.576%, 3/25/2026 | 11,635,212 | ||||||
20,355,000 | Federal National Mortgage Association, Series2017-M14, Class A2, 2.876%, 11/25/2027(a) | 22,094,811 | ||||||
1,660,000 | Federal National Mortgage Association, Series2017-M15, Class A2, 2.959%, 9/25/2027(a) | 1,781,347 | ||||||
7,591,000 | Federal National Mortgage Association, Series2017-M3, Class A2, 2.483%, 12/25/2026(a) | 7,904,097 | ||||||
6,538,096 | Federal National Mortgage Association, Series2017-M7, Class A2, 2.961%, 2/25/2027(a) | 7,192,248 | ||||||
11,860,279 | Federal National Mortgage Association, Series2018-M1, Class A2, 2.985%, 12/25/2027(a) | 12,950,846 | ||||||
2,460,000 | Federal National Mortgage Association, Series2018-M10, Class A2, 3.384%, 7/25/2028(a) | 2,735,040 | ||||||
17,925,000 | Federal National Mortgage Association, Series2018-M7, Class A2, 3.052%, 3/25/2028(a) | 19,565,299 | ||||||
4,665,000 | Federal National Mortgage Association, Series2018-M8, Class A2, 3.325%, 6/25/2028(a) | 5,359,155 | ||||||
7,350,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A2, 3.002%, 1/25/2024 | 7,775,191 | ||||||
2,770,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class A2, 2.653%, 8/25/2026 | 2,970,905 | ||||||
6,195,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K061, Class A2, 3.347%, 11/25/2026(a) | 6,897,727 | ||||||
6,995,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K062, Class A2, 3.413%, 12/25/2026 | 7,827,935 | ||||||
5,105,490 | FHLMC Multifamily Structured Pass Through Certificates, Series K063, Class A2, 3.430%, 1/25/2027(a) | 5,717,658 | ||||||
915,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K069, Class A2, 3.187%, 9/25/2027(a) | 1,028,738 | ||||||
1,310,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K071, Class A2, 3.286%, 11/25/2027 | 1,484,671 | ||||||
8,045,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K072, Class A2, 3.444%, 12/25/2027 | 9,208,487 | ||||||
2,550,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K073, Class A2, 3.350%, 1/25/2028 | 2,901,853 |
See accompanying notes to financial statements.
| 10
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Agency Commercial Mortgage-Backed Securities — continued | ||||||||
$ | 10,465,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K084, Class A2, 3.780%, 10/25/2028(a) | $ | 12,277,566 | ||||
11,410,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K727, Class A2, 2.946%, 7/25/2024 | 12,058,056 | ||||||
2,151,433 | FNMA, 2.880%, 12/01/2027 | 2,367,848 | ||||||
6,485,000 | FNMA, 2.900%, 12/01/2027 | 7,146,871 | ||||||
5,035,000 | FNMA, 2.950%, 11/01/2027 | 5,563,883 | ||||||
1,816,621 | FNMA, 3.015%, 7/01/2028 | 2,018,204 | ||||||
|
| |||||||
201,746,126 | ||||||||
|
| |||||||
Airlines — 0.0% | ||||||||
2,217,826 | Continental Airlines Pass Through Certificates, Series2012-2, Class A, 4.000%, 4/29/2026 | 2,081,696 | ||||||
485,899 | Continental Airlines Pass Through Trust, Series2010-1, Class A, 4.750%, 7/12/2022 | 489,437 | ||||||
|
| |||||||
2,571,133 | ||||||||
|
| |||||||
Automotive — 2.2% | ||||||||
12,010,000 | Ford Motor Credit Co. LLC, 3.336%, 3/18/2021 | 11,527,198 | ||||||
27,688,000 | Ford Motor Credit Co. LLC, 5.750%, 2/01/2021 | 26,857,360 | ||||||
16,412,000 | Ford Motor Credit Co. LLC, 5.875%, 8/02/2021 | 16,083,760 | ||||||
18,701,000 | General Motors Co., 5.000%, 4/01/2035 | 14,035,104 | ||||||
8,335,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 | 7,204,989 | ||||||
12,215,000 | Hyundai Capital America, 2.650%, 2/10/2025, 144A | 11,427,987 | ||||||
22,752,000 | Hyundai Capital America, 3.000%, 10/30/2020, 144A | 22,743,537 | ||||||
8,790,000 | Hyundai Capital America, 3.000%, 2/10/2027, 144A | 8,147,637 | ||||||
16,010,000 | Lear Corp., 5.250%, 5/15/2049 | 13,896,048 | ||||||
10,350,000 | Toyota Motor Corp., 2.358%, 7/02/2024 | 10,345,993 | ||||||
12,805,000 | Toyota Motor Credit Corp., MTN, 3.375%, 4/01/2030 | 12,930,108 | ||||||
8,370,000 | Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A | 8,049,051 | ||||||
|
| |||||||
163,248,772 | ||||||||
|
| |||||||
Banking — 8.4% | ||||||||
21,085,000 | American Express Co., 2.500%, 7/30/2024 | 21,328,615 | ||||||
11,855,000 | Banco Santander Chile, 2.700%, 1/10/2025, 144A | 11,356,497 | ||||||
16,016,000 | Banco Santander Chile, 3.875%, 9/20/2022, 144A | 15,735,720 | ||||||
31,480,000 | Bangkok Bank PCL, 4.050%, 3/19/2024, 144A | 33,220,228 | ||||||
10,172,000 | Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter), 3.004%, 12/20/2023 | 10,377,436 | ||||||
45,265,000 | Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027 | 47,366,449 | ||||||
7,058,000 | Barclays PLC, 3.200%, 8/10/2021 | 6,985,725 | ||||||
31,390,000 | BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A | 31,006,026 | ||||||
14,545,000 | Capital One NA, 2.150%, 9/06/2022 | 14,154,334 | ||||||
7,000,000 | Citigroup, Inc., 4.000%, 8/05/2024 | 7,142,812 | ||||||
30,055,000 | Citigroup, Inc., 4.050%, 7/30/2022 | 30,506,855 | ||||||
6,165,000 | Credit Suisse AG, 2.100%, 11/12/2021 | 6,147,245 | ||||||
35,820,000 | DNB Bank ASA, 2.150%, 12/02/2022, 144A | 35,377,595 |
See accompanying notes to financial statements.
11 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Banking — continued | ||||||||
$ | 12,701,000 | Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023 | $ | 13,034,044 | ||||
13,448,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 17,801,985 | ||||||
2,605,000 | HSBC Holdings PLC, 4.950%, 3/31/2030(e)(f) | 2,844,656 | ||||||
19,915,000 | Huntington Bancshares, Inc., 2.625%, 8/06/2024 | 20,606,752 | ||||||
10,919,000 | JPMorgan Chase & Co., 3.200%, 1/25/2023 | 11,233,113 | ||||||
10,223,000 | JPMorgan Chase & Co., 4.350%, 8/15/2021 | 10,484,780 | ||||||
23,597,000 | JPMorgan Chase & Co., 4.500%, 1/24/2022 | 24,647,544 | ||||||
33,445,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 33,884,363 | ||||||
3,235,000 | Lloyds Banking Group PLC, 3.000%, 1/11/2022 | 3,206,607 | ||||||
3,955,000 | Lloyds Banking Group PLC, 3.100%, 7/06/2021 | 3,942,741 | ||||||
23,780,000 | Lloyds Banking Group PLC, 4.344%, 1/09/2048 | 23,811,755 | ||||||
3,381,000 | Morgan Stanley, GMTN, 3.700%, 10/23/2024 | 3,545,335 | ||||||
12,550,000 | Morgan Stanley, GMTN, 5.500%, 7/28/2021 | 13,030,615 | ||||||
21,770,000 | Morgan Stanley, Series F, 3.875%, 4/29/2024 | 22,871,149 | ||||||
16,700,000 | Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), 3.622%, 4/26/2023, 144A | 16,606,095 | ||||||
18,510,000 | PNC Bank NA, (fixed rate to 12/9/2021, variable rate thereafter), 2.028%, 12/09/2022 | 18,555,024 | ||||||
9,123,000 | Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A | 10,405,311 | ||||||
31,260,000 | Societe Generale S.A., 2.625%, 1/22/2025, 144A | 30,093,427 | ||||||
26,610,000 | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A | 25,211,801 | ||||||
18,300,000 | Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024 | 18,286,148 | ||||||
14,405,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 | 14,303,112 | ||||||
25,285,000 | Toronto-Dominion Bank (The), MTN, 2.650%, 6/12/2024 | 25,683,605 | ||||||
|
| |||||||
634,795,499 | ||||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
8,563,000 | Owens Corning, 4.200%, 12/01/2024 | 8,746,742 | ||||||
|
| |||||||
Cable Satellite — 0.5% | ||||||||
4,025,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A | 4,075,916 | ||||||
11,360,000 | Comcast Corp., 2.650%, 2/01/2030 | 11,687,006 | ||||||
6,060,000 | Comcast Corp., 3.750%, 4/01/2040 | 6,841,116 | ||||||
1,460,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 1,370,890 | ||||||
924,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 965,191 | ||||||
2,648,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 2,787,613 | ||||||
8,447,000 | Time Warner Cable LLC, 6.550%, 5/01/2037 | 9,476,285 | ||||||
2,013,000 | Time Warner Cable LLC, 6.750%, 6/15/2039 | 2,279,505 | ||||||
|
| |||||||
39,483,522 | ||||||||
|
| |||||||
Chemicals — 1.3% | ||||||||
26,749,000 | Braskem America Finance Co., 7.125%, 7/22/2041, 144A | �� | 23,605,992 | |||||
1,655,000 | Ecolab, Inc., 4.800%, 3/24/2030 | 1,859,039 | ||||||
3,680,000 | Koppers, Inc., 6.000%, 2/15/2025, 144A | 2,944,000 | ||||||
14,107,000 | Methanex Corp., 5.250%, 3/01/2022 | 12,940,428 | ||||||
17,715,000 | Methanex Corp., 5.250%, 12/15/2029 | 13,264,574 | ||||||
10,242,000 | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A | 9,025,763 |
See accompanying notes to financial statements.
| 12
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Chemicals — continued | ||||||||
$ | 11,165,000 | Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A | $ | 10,495,212 | ||||
4,402,000 | RPM International, Inc., 3.450%, 11/15/2022 | 4,427,553 | ||||||
13,475,000 | Sociedad Quimica y Minera de Chile S.A., Series2020-A, Class A1FX, 4.250%, 1/22/2050, 144A | 10,491,904 | ||||||
6,545,000 | Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A | 5,955,950 | ||||||
|
| |||||||
95,010,415 | ||||||||
|
| |||||||
Collateralized Mortgage Obligations — 0.9% | ||||||||
20,376,226 | Federal Home Loan Mortgage Corp., Series 277, Class 30, 3.000%, 9/15/2042 | 21,482,649 | ||||||
2,542,576 | Federal Home Loan Mortgage Corp., Series 353, Class 300, 3.000%, 12/15/2046 | 2,750,829 | ||||||
5,000,000 | Federal Home Loan Mortgage Corp., Series 3654, Class DC, 5.000%, 4/15/2030 | 5,836,805 | ||||||
484,381 | Government National Mortgage Association, Series2010-H20, Class AF, 1-month LIBOR + 0.330%, 1.992%, 10/20/2060(d) | 476,552 | ||||||
401,155 | Government National Mortgage Association, Series2010-H24, Class FA, 1-month LIBOR + 0.350%, 2.012%, 10/20/2060(d) | 394,427 | ||||||
311,647 | Government National Mortgage Association, Series2011-H06, Class FA, 1-month LIBOR + 0.450%, 2.112%, 2/20/2061(d) | 307,509 | ||||||
3,233,509 | Government National Mortgage Association, Series2012-H12, Class FA, 1-month LIBOR + 0.550%, 2.212%, 4/20/2062(d) | 3,205,907 | ||||||
419,470 | Government National Mortgage Association, Series2012-H18, Class NA, 1-month LIBOR + 0.520%, 2.182%, 8/20/2062(d) | 415,210 | ||||||
3,442,841 | Government National Mortgage Association, Series2012-H27, Class FA, 1-month LIBOR + 0.400%, 2.062%, 10/20/2062(d) | 3,396,369 | ||||||
669,828 | Government National Mortgage Association, Series2013-H01, Class FA, 1.650%, 1/20/2063(b)(c) | 665,434 | ||||||
937,242 | Government National Mortgage Association, Series2013-H03, Class HA, 1.750%, 12/20/2062(b)(c) | 927,656 | ||||||
1,485,679 | Government National Mortgage Association, Series2013-H04, Class BA, 1.650%, 2/20/2063 | 1,482,521 | ||||||
4,567,016 | Government National Mortgage Association, Series2013-H07, Class DA, 2.500%, 3/20/2063 | 4,568,139 | ||||||
8,557,086 | Government National Mortgage Association, Series2013-H10, Class PA, 2.500%, 4/20/2063 | 8,594,130 | ||||||
11,686,941 | Government National Mortgage Association, Series2015-H10, Class JA, 2.250%, 4/20/2065 | 11,883,119 | ||||||
5,682,265 | Government National Mortgage Association, Series2015-H13, Class FG, 1-month LIBOR + 0.400%, 2.062%, 4/20/2065(d) | 5,607,064 | ||||||
86,374 | Government National Mortgage Association, Series2015-H13, Class FL, 1-month LIBOR + 0.280%, 1.942%, 5/20/2063(b)(c)(d) | 85,329 | ||||||
|
| |||||||
72,079,649 | ||||||||
|
| |||||||
Construction Machinery — 0.4% | ||||||||
7,060,000 | Caterpillar Financial Services Corp., MTN, 2.150%, 11/08/2024 | 7,091,383 | ||||||
8,705,000 | CNH Industrial Capital LLC, 4.375%, 4/05/2022 | 8,553,097 | ||||||
5,950,000 | Deere & Co., 3.750%, 4/15/2050 | 6,792,128 | ||||||
4,790,000 | John Deere Capital Corp., MTN, 2.600%, 3/07/2024 | 4,818,390 | ||||||
|
| |||||||
27,254,998 | ||||||||
|
|
See accompanying notes to financial statements.
13 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Consumer Cyclical Services — 0.4% | ||||||||
$ | 18,585,000 | Amazon.com, Inc., 4.250%, 8/22/2057 | $ | 25,319,262 | ||||
5,080,000 | Mastercard, Inc., 3.850%, 3/26/2050 | 6,225,269 | ||||||
|
| |||||||
31,544,531 | ||||||||
|
| |||||||
Consumer Products — 0.3% | ||||||||
5,595,000 | Hasbro, Inc., 3.550%, 11/19/2026 | 5,337,522 | ||||||
1,040,000 | Hasbro, Inc., 3.900%, 11/19/2029 | 928,032 | ||||||
12,835,000 | Whirlpool Corp., 4.750%, 2/26/2029 | 13,236,736 | ||||||
3,495,000 | Whirlpool Corp., MTN, 4.850%, 6/15/2021 | 3,555,018 | ||||||
|
| |||||||
23,057,308 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.1% | ||||||||
1,158,000 | Crane Co., 6.550%, 11/15/2036 | 1,545,396 | ||||||
2,770,000 | General Electric Co., 5.300%, 2/11/2021 | 2,803,865 | ||||||
|
| |||||||
4,349,261 | ||||||||
|
| |||||||
Electric — 1.5% | ||||||||
160,000 | AES Corp. (The), 4.500%, 3/15/2023 | 156,800 | ||||||
3,580,000 | AES Corp. (The), 5.125%, 9/01/2027 | 3,588,878 | ||||||
2,875,000 | Berkshire Hathaway Energy Co., 4.250%, 10/15/2050, 144A | 3,255,757 | ||||||
26,274,435 | Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A | 23,778,363 | ||||||
9,275,000 | Dominion Energy, Inc., 3.375%, 4/01/2030 | 9,181,786 | ||||||
1,005,000 | Edison International, 4.950%, 4/15/2025 | 1,002,678 | ||||||
3,315,000 | Enel Americas S.A., 4.000%, 10/25/2026 | 3,097,072 | ||||||
3,364,000 | Enel Generacion Chile S.A., 4.250%, 4/15/2024 | 3,308,059 | ||||||
5,065,000 | Exelon Corp., 4.050%, 4/15/2030 | 5,115,651 | ||||||
1,575,000 | Exelon Corp., 4.700%, 4/15/2050 | 1,622,328 | ||||||
9,995,000 | Florida Power & Light Co., 3.150%, 10/01/2049 | 10,372,811 | ||||||
17,247,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043 | 17,173,183 | ||||||
3,170,000 | Ohio Power Co., Series P, 2.600%, 4/01/2030 | 3,078,638 | ||||||
5,930,000 | PPL Electric Utilities Corp., 3.000%, 10/01/2049 | 5,690,058 | ||||||
8,413,000 | Transelec S.A., 4.250%, 1/14/2025, 144A | 7,992,350 | ||||||
4,380,000 | Transelec S.A., 4.625%, 7/26/2023, 144A | 4,424,939 | ||||||
3,050,000 | Virginia Electric & Power Co., Class A, 2.875%, 7/15/2029 | 3,021,012 | ||||||
4,270,000 | Xcel Energy, Inc., 3.400%, 6/01/2030 | 4,324,645 | ||||||
|
| |||||||
110,185,008 | ||||||||
|
| |||||||
Finance Companies — 0.4% | ||||||||
1,534,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/23/2023 | 1,305,242 | ||||||
18,035,000 | Air Lease Corp., GMTN, 3.750%, 6/01/2026 | 15,562,081 | ||||||
3,910,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 3,599,352 | ||||||
7,580,000 | Navient Corp., 5.000%, 3/15/2027 | 6,516,526 | ||||||
950,000 | Navient Corp., 5.875%, 10/25/2024 | 874,000 | ||||||
1,125,000 | Navient Corp., 6.750%, 6/15/2026 | 1,035,000 | ||||||
2,977,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 2,753,725 | ||||||
|
| |||||||
31,645,926 | ||||||||
|
|
See accompanying notes to financial statements.
| 14
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Financial Other — 0.1% | ||||||||
$ | 6,315,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | $ | 5,833,481 | ||||
|
| |||||||
Food & Beverage — 1.8% | ||||||||
16,180,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046 | 17,622,671 | ||||||
12,310,000 | Archer-Daniels-Midland Co., 3.250%, 3/27/2030 | 13,062,501 | ||||||
7,380,000 | Bacardi Ltd., 5.150%, 5/15/2038, 144A | 7,705,886 | ||||||
16,885,000 | Bacardi Ltd., 5.300%, 5/15/2048, 144A | 18,318,996 | ||||||
7,755,000 | Coca-Cola Co. (The), 4.200%, 3/25/2050 | 10,127,772 | ||||||
25,656,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050 | 24,032,653 | ||||||
3,490,000 | Gruma SAB de CV, 4.875%, 12/01/2024, 144A | 3,433,322 | ||||||
11,845,000 | PepsiCo, Inc., 3.875%, 3/19/2060 | 14,905,779 | ||||||
17,140,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 16,411,550 | ||||||
7,340,000 | Sysco Corp., 6.600%, 4/01/2050 | 7,695,967 | ||||||
|
| |||||||
133,317,097 | ||||||||
|
| |||||||
Government Owned – No Guarantee — 2.6% | ||||||||
7,757,000 | CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A | 8,218,370 | ||||||
17,981,000 | Dolphin Energy Ltd. LLC, 5.500%, 12/15/2021, 144A | 17,860,707 | ||||||
11,005,000 | Mexico City Airport Trust, 5.500%, 7/31/2047, 144A | 8,967,864 | ||||||
18,213,000 | OCP S.A., 5.625%, 4/25/2024, 144A | 18,053,636 | ||||||
7,355,000 | Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A | 7,134,350 | ||||||
10,955,000 | Ooredoo International Finance Ltd., 3.875%, 1/31/2028, 144A | 11,111,087 | ||||||
11,250,000 | Saudi Arabian Oil Co., 4.375%, 4/16/2049, 144A | 11,163,302 | ||||||
18,945,000 | Syngenta Finance NV, 3.698%, 4/24/2020, 144A | 18,908,561 | ||||||
31,720,000 | Tennessee Valley Authority, 4.250%, 9/15/2065 | 45,618,373 | ||||||
9,045,000 | Tennessee Valley Authority, 4.625%, 9/15/2060 | 13,588,117 | ||||||
6,401,000 | Tennessee Valley Authority, 4.875%, 1/15/2048 | 10,119,381 | ||||||
10,957,000 | Tennessee Valley Authority, 5.250%, 9/15/2039 | 16,762,874 | ||||||
10,930,000 | Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A | 10,509,195 | ||||||
|
| |||||||
198,015,817 | ||||||||
|
| |||||||
Health Insurance — 0.1% | ||||||||
9,900,000 | Centene Corp., 3.375%, 2/15/2030, 144A | 9,207,000 | ||||||
|
| |||||||
Healthcare — 0.8% | ||||||||
7,470,000 | CVS Health Corp., 4.300%, 3/25/2028 | 7,990,237 | ||||||
18,025,000 | CVS Health Corp., 5.050%, 3/25/2048 | 20,594,067 | ||||||
18,740,000 | Partners Healthcare System, Inc., Series 2020, 3.342%, 7/01/2060 | 18,706,626 | ||||||
13,364,000 | Universal Health Services, Inc., 4.750%, 8/01/2022, 144A | 13,288,895 | ||||||
|
| |||||||
60,579,825 | ||||||||
|
| |||||||
Hybrid ARMs — 0.0% | ||||||||
31,225 | FNMA,6-month LIBOR + 1.544%, 3.419%, 2/01/2037(d) | 31,707 | ||||||
|
| |||||||
Independent Energy — 0.6% | ||||||||
2,940,000 | Aker BP ASA, 3.000%, 1/15/2025, 144A | 2,333,768 | ||||||
14,785,000 | Occidental Petroleum Corp., 2.600%, 8/13/2021 | 11,625,360 | ||||||
9,258,667 | Pan American Energy LLC, 7.875%, 5/07/2021, 144A | 8,112,999 | ||||||
10,701,000 | Range Resources Corp., 5.000%, 8/15/2022 | 8,022,540 | ||||||
12,316,000 | SM Energy Co., 6.125%, 11/15/2022 | 5,211,245 | ||||||
14,340,000 | WPX Energy, Inc., 4.500%, 1/15/2030 | 7,786,620 | ||||||
|
| |||||||
43,092,532 | ||||||||
|
|
See accompanying notes to financial statements.
15 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Industrial Other — 0.4% | ||||||||
$ | 11,005,000 | CK Hutchison International 16 Ltd., 2.750%, 10/03/2026, 144A | $ | 11,452,227 | ||||
4,020,000 | Georgetown University (The), Class A, 5.215%, 10/01/2118 | 6,077,476 | ||||||
3,750,000 | Georgetown University (The), Series B, 4.315%, 4/01/2049 | 4,039,575 | ||||||
5,920,000 | University of Pennsylvania, 3.610%, 2/15/2119 | 5,979,416 | ||||||
|
| |||||||
27,548,694 | ||||||||
|
| |||||||
Life Insurance — 0.2% | ||||||||
8,900,000 | Aflac, Inc., 3.600%, 4/01/2030 | 9,014,241 | ||||||
9,158,000 | Northwestern Mutual Life Insurance Co. (The), 3.625%, 9/30/2059, 144A | 8,033,492 | ||||||
|
| |||||||
17,047,733 | ||||||||
|
| |||||||
Media Entertainment — 0.8% | ||||||||
63,720,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 1,693,533 | ||||||
7,040,000 | Lamar Media Corp., 3.750%, 2/15/2028, 144A | 6,599,155 | ||||||
2,650,000 | Lamar Media Corp., 4.000%, 2/15/2030, 144A | 2,464,500 | ||||||
1,960,000 | Omnicom Group, Inc., 4.200%, 6/01/2030 | 2,018,882 | ||||||
11,540,000 | Prosus NV, 3.680%, 1/21/2030, 144A | 10,432,592 | ||||||
15,635,000 | Prosus NV, 4.850%, 7/06/2027, 144A | 14,948,780 | ||||||
14,725,000 | Walt Disney Co. (The), 4.625%, 3/23/2040 | 17,857,021 | ||||||
5,565,000 | Walt Disney Co. (The), 4.700%, 3/23/2050 | 7,272,104 | ||||||
|
| |||||||
63,286,567 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
8,150,000 | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A | 8,265,110 | ||||||
2,252,000 | Freeport-McMoRan, Inc., 3.550%, 3/01/2022 | 2,175,995 | ||||||
1,990,000 | Steel Dynamics, Inc., 3.450%, 4/15/2030 | 1,800,869 | ||||||
|
| |||||||
12,241,974 | ||||||||
|
| |||||||
Midstream — 1.0% | ||||||||
670,000 | Energy Transfer Operating LP, 5.150%, 2/01/2043 | 504,133 | ||||||
6,959,000 | Energy Transfer Operating LP, 5.950%, 10/01/2043 | 6,017,831 | ||||||
10,082,000 | Energy Transfer Operating LP, 6.500%, 2/01/2042 | 9,179,979 | ||||||
1,578,000 | Energy Transfer Operating LP, 6.625%, 10/15/2036 | 1,462,447 | ||||||
13,236,000 | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022 | 12,053,120 | ||||||
2,745,000 | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022 | 2,578,576 | ||||||
2,555,000 | Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024 | 2,562,805 | ||||||
12,388,000 | Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024 | 12,441,263 | ||||||
4,861,000 | Kinder Morgan, Inc., 5.000%, 2/15/2021, 144A | 4,834,879 | ||||||
17,979,000 | Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A | 18,834,685 | ||||||
2,080,000 | Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047 | 1,656,747 | ||||||
|
| |||||||
72,126,465 | ||||||||
|
| |||||||
Mortgage Related — 24.4% | ||||||||
28,968,288 | FHLMC, 4.500%, with various maturities in 2048 | 31,186,786 | ||||||
91,894,536 | FHLMC, 2.500%, with various maturities from 2049 to 2050(g) | 95,207,862 | ||||||
30,647,128 | FHLMC, 3.000%, with various maturities from 2042 to 2049(g) | 32,209,788 | ||||||
87,210,231 | FHLMC, 3.500%, with various maturities from 2043 to 2049(g) | 92,516,363 | ||||||
30,183,758 | FHLMC, 4.000%, with various maturities from 2044 to 2048(g) | 32,658,087 |
See accompanying notes to financial statements.
| 16
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Mortgage Related — continued | ||||||||
$ | 184,306,860 | FHLMC, 4.500%, with various maturities from 2041 to 2049(g) | $ | 198,589,242 | ||||
113,242,174 | FHLMC, 5.000%, with various maturities from 2048 to 2049(g) | 122,060,208 | ||||||
9,720 | FHLMC, 6.000%, 6/01/2035 | 11,196 | ||||||
127,310,966 | FNMA, 2.500%, with various maturities from 2045 to 2058(g) | 132,276,298 | ||||||
388,586,093 | FNMA, 3.000%, with various maturities from 2045 to 2049(g) | 407,644,954 | ||||||
288,447,092 | FNMA, 3.500%, with various maturities from 2043 to 2049(g) | 303,881,192 | ||||||
87,390,566 | FNMA, 4.000%, with various maturities from 2041 to 2048(g) | 94,400,309 | ||||||
126,926,168 | FNMA, 4.500%, with various maturities from 2043 to 2049(g) | 136,877,111 | ||||||
30,696,600 | FNMA, 5.000%, with various maturities from 2048 to 2049(g) | 33,104,628 | ||||||
141,958 | FNMA, 6.000%, with various maturities from 2034 to 2037(g) | 163,310 | ||||||
12,473 | FNMA, 6.500%, with various maturities from 2029 to 2031(g) | 14,160 | ||||||
39,033 | FNMA, 7.000%, with various maturities in 2030(g) | 44,168 | ||||||
19,527 | FNMA, 7.500%, with various maturities from 2024 to 2032(g) | 22,625 | ||||||
544,587 | GNMA,1-month LIBOR + 1.930%, 3.740%, 9/20/2063(d) | 562,725 | ||||||
103,454 | GNMA, 3.890%, 6/20/2062(a) | 103,547 | ||||||
34,445 | GNMA, 3.970%, 8/20/2062(a) | 34,513 | ||||||
48,413 | GNMA, 3.992%, 1/20/2063(a) | 48,666 | ||||||
10,890 | GNMA, 4.060%, 8/20/2061(a) | 11,228 | ||||||
96,749 | GNMA, 4.145%, 12/20/2062(a) | 97,201 | ||||||
62,215 | GNMA, 4.165%, 5/20/2063(a) | 62,591 | ||||||
62,180 | GNMA, 4.235%, 11/20/2062(a) | 62,465 | ||||||
86,446 | GNMA, 4.271%, 7/20/2063(a) | 87,536 | ||||||
128,046 | GNMA, 4.276%, 10/20/2062(a) | 127,995 | ||||||
44,848 | GNMA, 4.284%, 6/20/2062(a) | 45,260 | ||||||
1,187,512 | GNMA, 4.341%, 11/20/2062(a) | 1,190,266 | ||||||
164,933 | GNMA, 4.360%, 4/20/2062(a) | 170,006 | ||||||
308,004 | GNMA, 4.373%, 7/20/2063(a) | 310,028 | ||||||
10,053,062 | GNMA, 4.386%, 12/20/2066(a) | 10,825,055 | ||||||
132,087 | GNMA, 4.397%, 10/20/2062(a) | 132,486 | ||||||
5,434,936 | GNMA, 4.405%, 11/20/2066(a) | 5,804,784 | ||||||
2,899,501 | GNMA, 4.431%, 10/20/2066(a) | 3,113,784 | ||||||
3,991,020 | GNMA, 4.443%, 2/20/2066(a) | 4,265,867 | ||||||
24,161 | GNMA, 4.492%, 7/20/2062(a) | 24,495 | ||||||
4,680,039 | GNMA, 4.493%, 6/20/2066(a) | 5,024,475 | ||||||
2,022,684 | GNMA, 4.499%, 2/20/2066(a) | 2,171,403 | ||||||
263,398 | GNMA, 4.509%, 5/20/2063(a) | 264,822 | ||||||
3,073,425 | GNMA, 4.520%, 9/20/2066(a) | 3,309,627 | ||||||
3,528,672 | GNMA, 4.526%, 6/20/2066(a) | 3,776,914 | ||||||
4,827,360 | GNMA, 4.527%, 12/20/2064(a) | 5,088,376 | ||||||
3,939,854 | GNMA, 4.536%, 12/20/2063(a) | 4,143,485 | ||||||
3,456,858 | GNMA, 4.546%, 6/20/2066(a) | 3,723,258 | ||||||
4,741,514 | GNMA, 4.547%, 2/20/2065(a) | 4,979,438 | ||||||
2,530,263 | GNMA, 4.565%, 4/20/2066(a) | 2,709,577 | ||||||
10,720,860 | GNMA, 4.570%, 12/20/2066(a) | 11,617,744 | ||||||
6,427,292 | GNMA, 4.578%, 10/20/2064(a) | 6,748,037 | ||||||
3,644,507 | GNMA, 4.580%, 6/20/2064(a) | 3,841,386 | ||||||
6,588,166 | GNMA, 4.594%, 2/20/2065(a) | 6,957,245 | ||||||
2,371,834 | GNMA, 4.600%, 1/20/2065(a) | 2,496,125 |
See accompanying notes to financial statements.
17 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Mortgage Related — continued | ||||||||
$ | 6,972,718 | GNMA, 4.601%, 12/20/2064(a) | $ | 7,338,217 | ||||
4,348,606 | GNMA, 4.611%, 1/20/2065(a) | 4,646,053 | ||||||
22,500 | GNMA, 4.630%, 12/20/2061(a) | 22,471 | ||||||
778,851 | GNMA, 4.637%, 1/20/2064(a) | 813,666 | ||||||
7,427,713 | GNMA, 4.639%, with various maturities from 2065 to 2066(a)(g) | 7,926,872 | ||||||
187,867 | GNMA, 4.650%, 1/20/2061(a) | 189,195 | ||||||
3,126,784 | GNMA, 4.669%, 1/20/2064(a) | 3,251,435 | ||||||
4,860,376 | GNMA, 4.673%, 6/20/2064(a) | 5,125,415 | ||||||
2,848 | GNMA, 4.700%, with various maturities from 2061 to 2062(a)(g) | 2,859 | ||||||
3,805,612 | GNMA, 4.710%, 1/20/2064(a) | 4,006,157 | ||||||
2,328 | GNMA, 5.075%, 3/20/2062(a) | 2,344 | ||||||
221,326 | GNMA, 5.500%, 4/15/2038 | 251,504 | ||||||
41,972 | GNMA, 6.000%, with various maturities from 2029 to 2038(g) | 47,538 | ||||||
36,868 | GNMA, 6.500%, with various maturities from 2029 to 2032(g) | 40,939 | ||||||
54,493 | GNMA, 7.000%, with various maturities from 2025 to 2029(g) | 56,694 | ||||||
6,828 | GNMA, 7.500%, with various maturities from 2025 to 2030(g) | 7,579 | ||||||
252 | GNMA, 8.500%, 10/15/2022 | 253 | ||||||
|
| |||||||
1,840,529,888 | ||||||||
|
| |||||||
Natural Gas — 0.0% | ||||||||
3,185,000 | Boston Gas Co., 3.001%, 8/01/2029, 144A | 3,075,341 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 1.3% | ||||||||
14,975,000 | BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 | 15,629,629 | ||||||
7,240,000 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | 7,515,202 | ||||||
16,725,000 | Citigroup Commercial Mortgage Trust, Series2019-C7, Class A4, 3.102%, 12/15/2072 | 17,375,268 | ||||||
18,485,000 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052 | 18,543,231 | ||||||
1,025,000 | Commercial Mortgage Trust, Series2010-C1, Class D, 5.895%, 7/10/2046, 144A(a) | 1,006,102 | ||||||
3,052,113 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.689%, 11/10/2046, 144A(a) | 2,897,685 | ||||||
6,637,000 | GS Mortgage Securities Trust, Series2011-GC5, Class C, 5.389%, 8/10/2044, 144A(a) | 6,423,800 | ||||||
7,780,000 | GS Mortgage Securities Trust, Series 2020-GC45, Class AS, 2.911%, 2/13/2053 | 8,024,191 | ||||||
8,150,000 | UBS-Barclays Commercial Mortgage Trust, Series2013-C5, Class A4, 3.185%, 3/10/2046 | 8,269,251 | ||||||
9,412,653 | Wells Fargo Commercial Mortgage Trust, Series2010-C1, Class D, 5.569%, 11/15/2043, 144A(a) | 9,184,313 | ||||||
5,876,392 | WFRBS Commercial Mortgage Trust, Series2011-C4, Class D, 5.222%, 6/15/2044, 144A(a) | 5,587,546 | ||||||
|
| |||||||
100,456,218 | ||||||||
|
| |||||||
Oil Field Services — 0.5% | ||||||||
29,916,000 | Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A | 34,938,298 | ||||||
8,228,925 | Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A | 6,583,140 | ||||||
|
| |||||||
41,521,438 | ||||||||
|
|
See accompanying notes to financial statements.
| 18
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Paper — 0.2% | ||||||||
$ | 5,797,000 | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 | $ | 5,449,180 | ||||
10,350,000 | Klabin Austria GmbH, 7.000%, 4/03/2049, 144A | 9,470,250 | ||||||
1,989,000 | WestRock RKT LLC, 4.900%, 3/01/2022 | 2,025,863 | ||||||
|
| |||||||
16,945,293 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
8,135,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 7,701,405 | ||||||
8,175,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 7,729,953 | ||||||
6,293,000 | Biogen, Inc., 2.900%, 9/15/2020 | 6,311,235 | ||||||
8,950,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025, 144A | 8,860,500 | ||||||
|
| |||||||
30,603,093 | ||||||||
|
| |||||||
Property & Casualty Insurance — 0.2% | ||||||||
13,365,000 | Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A | 11,894,850 | ||||||
3,171,000 | Willis Towers Watson PLC, 5.750%, 3/15/2021 | 3,249,260 | ||||||
|
| |||||||
15,144,110 | ||||||||
|
| |||||||
Railroads — 0.1% | ||||||||
6,160,000 | Burlington Northern Santa Fe LLC, 3.550%, 2/15/2050 | 6,729,128 | ||||||
1,340,000 | CSX Corp., 3.800%, 4/15/2050 | 1,400,191 | ||||||
|
| |||||||
8,129,319 | ||||||||
|
| |||||||
Refining — 0.1% | ||||||||
8,665,000 | Ultrapar International S.A., 5.250%, 10/06/2026, 144A | 7,547,302 | ||||||
|
| |||||||
REITs – Diversified — 0.2% | ||||||||
19,465,000 | iStar, Inc., 4.250%, 8/01/2025 | 16,008,016 | ||||||
1,495,000 | iStar, Inc., 4.750%, 10/01/2024 | 1,255,800 | ||||||
|
| |||||||
17,263,816 | ||||||||
|
| |||||||
REITs – Office Property — 0.2% | ||||||||
11,225,000 | Alexandria Real Estate Equities, Inc., 4.900%, 12/15/2030 | 12,180,740 | ||||||
|
| |||||||
Restaurants — 0.1% | ||||||||
990,000 | McDonald’s Corp., MTN, 4.200%, 4/01/2050 | 1,107,359 | ||||||
8,110,000 | Starbucks Corp., 3.350%, 3/12/2050 | 7,643,811 | ||||||
|
| |||||||
8,751,170 | ||||||||
|
| |||||||
Retailers — 0.7% | ||||||||
27,630,000 | El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A | 23,520,314 | ||||||
2,435,000 | Home Depot, Inc. (The), 3.350%, 4/15/2050 | 2,544,095 | ||||||
2,350,000 | Lowe’s Cos., Inc., 5.125%, 4/15/2050 | 2,837,267 | ||||||
9,929,000 | SACI Falabella, 3.750%, 4/30/2023, 144A | 9,405,696 | ||||||
7,559,000 | SACI Falabella, 4.375%, 1/27/2025, 144A | 7,173,832 | ||||||
7,375,000 | Target Corp., 2.650%, 9/15/2030 | 7,592,879 | ||||||
|
| |||||||
53,074,083 | ||||||||
|
| |||||||
Sovereigns — 1.4% | ||||||||
8,015,000 | Indonesia Government International Bond, 3.700%, 1/08/2022, 144A | 8,075,994 | ||||||
32,145,000 | Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A | 32,061,102 | ||||||
21,335,000 | Panama Government International Bond, 4.500%, 4/01/2056 | 23,095,137 |
See accompanying notes to financial statements.
19 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Sovereigns — continued | ||||||||
$ | 20,805,000 | Republic of Argentina, 7.500%, 4/22/2026 | $ | 5,877,621 | ||||
19,040,000 | Republic of Argentina, 7.625%, 4/22/2046 | 4,950,590 | ||||||
11,125,000 | Republic of Oman, 3.875%, 3/08/2022, 144A | 9,697,106 | ||||||
8,440,000 | State of Israel, 2.750%, 7/03/2030 | 8,440,000 | ||||||
11,830,000 | State of Qatar, 3.875%, 4/23/2023, 144A | 12,157,691 | ||||||
|
| |||||||
104,355,241 | ||||||||
|
| |||||||
Technology — 2.0% | ||||||||
18,770,000 | Apple, Inc., 2.050%, 9/11/2026 | 19,242,660 | ||||||
18,765,000 | Apple, Inc., 2.200%, 9/11/2029 | 19,233,313 | ||||||
17,895,000 | Corning, Inc., 5.450%, 11/15/2079 | 18,366,821 | ||||||
3,000,000 | Equifax, Inc., 3.300%, 12/15/2022 | 3,046,572 | ||||||
5,101,000 | Equifax, Inc., 7.000%, 7/01/2037 | 5,850,936 | ||||||
10,427,000 | Hewlett Packard Enterprise Co., 3.600%, 10/15/2020 | 10,439,627 | ||||||
17,176,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 19,590,931 | ||||||
7,515,000 | Microchip Technologies, Inc., 4.333%, 6/01/2023 | 7,492,032 | ||||||
7,255,000 | Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A | 7,806,637 | ||||||
14,225,000 | Oracle Corp., 3.600%, 4/01/2040 | 14,226,374 | ||||||
15,300,000 | Oracle Corp., 3.600%, 4/01/2050 | 15,300,386 | ||||||
1,620,000 | Science Applications International Corp., 4.875%, 4/01/2028, 144A | 1,555,200 | ||||||
6,140,000 | Texas Instruments, Inc., 2.250%, 9/04/2029 | 6,133,865 | ||||||
|
| |||||||
148,285,354 | ||||||||
|
| |||||||
Tobacco — 0.6% | ||||||||
8,705,000 | Altria Group, Inc., 4.400%, 2/14/2026 | 9,160,542 | ||||||
37,450,000 | BAT Capital Corp., 2.789%, 9/06/2024 | 36,205,351 | ||||||
|
| |||||||
45,365,893 | ||||||||
|
| |||||||
Transportation Services — 0.1% | ||||||||
10,960,000 | Ryder System, Inc., MTN, 2.500%, 9/01/2024 | 10,432,994 | ||||||
|
| |||||||
Treasuries — 27.6% | ||||||||
11,604,000(††) | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN) | 46,220,338 | ||||||
6,796,400(††) | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) | 28,660,768 | ||||||
7,494,931(††) | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN) | 34,098,658 | ||||||
552,860,000 | Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU) | 9,837,954 | ||||||
294,989,000 | Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU) | 6,389,715 | ||||||
5,020,000 | U.S. Treasury Bond, 2.000%, 2/15/2050 | 5,815,552 | ||||||
19,720,000 | U.S. Treasury Bond, 2.250%, 8/15/2049 | 24,023,736 | ||||||
93,845,000 | U.S. Treasury Bond, 2.375%, 11/15/2049 | 116,917,673 | ||||||
34,105,000 | U.S. Treasury Bond, 3.375%, 11/15/2048 | 50,601,962 | ||||||
123,166,416 | U.S. Treasury Inflation Indexed Bond, 0.875%, 2/15/2047(h) | 146,622,537 | ||||||
49,400,668 | U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(h) | 60,036,057 | ||||||
81,091,706 | U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2049(h) | 100,747,590 | ||||||
61,989,411 | U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2024(h) | 62,121,615 | ||||||
64,666,334 | U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(h) | 65,246,915 | ||||||
67,056,041 | U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2024(h) | 68,149,986 | ||||||
11,885,000 | U.S. Treasury Note, 1.625%, 8/15/2029 | 12,899,403 | ||||||
107,785,000 | U.S. Treasury Note, 0.500%, 3/31/2025 | 108,446,025 | ||||||
87,220,000 | U.S. Treasury Note, 0.625%, 3/31/2027 | 87,622,030 |
See accompanying notes to financial statements.
| 20
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Treasuries — continued | ||||||||
$ | 75,425,000 | U.S. Treasury Note, 1.500%, 2/15/2030 | $ | 81,208,566 | ||||
94,045,000 | U.S. Treasury Note, 2.375%, 5/15/2029 | 108,184,812 | ||||||
37,405,000 | U.S. Treasury Note, 2.625%, 2/15/2029 | 43,720,016 | ||||||
53,565,000 | U.S. Treasury Note, 2.875%, 8/15/2028 | 63,340,612 | ||||||
624,792,000 | U.S. Treasury Note, 3.125%, 11/15/2028 | 754,265,497 | ||||||
|
| |||||||
2,085,178,017 | ||||||||
|
| |||||||
Utility Other — 0.3% | ||||||||
25,420,000 | Acwa Power Management & Investments One Ltd., 5.950%, 12/15/2039, 144A | 22,883,084 | ||||||
|
| |||||||
Wireless — 0.3% | ||||||||
1,424,000 | American Tower Corp., 4.700%, 3/15/2022 | 1,446,249 | ||||||
20,973,000 | Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A | 19,404,283 | ||||||
1,160,000 | Crown Castle International Corp., 4.150%, 7/01/2050 | 1,147,240 | ||||||
3,960,000 | Millicom International Cellular S.A., 6.625%, 10/15/2026, 144A | 3,757,644 | ||||||
|
| |||||||
25,755,416 | ||||||||
|
| |||||||
Wirelines — 1.0% | ||||||||
720,000 | AT&T, Inc., 4.350%, 6/15/2045 | 760,351 | ||||||
6,549,000 | AT&T, Inc., 4.500%, 3/09/2048 | 7,092,074 | ||||||
1,615,000 | AT&T, Inc., 4.750%, 5/15/2046 | 1,786,062 | ||||||
7,715,000 | AT&T, Inc., 5.250%, 3/01/2037 | 9,001,018 | ||||||
10,790,000 | AT&T, Inc., 5.450%, 3/01/2047 | 12,939,987 | ||||||
11,187,000 | Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A | 10,700,477 | ||||||
3,890,000 | Telefonica Emisiones S.A., 5.134%, 4/27/2020 | 3,890,274 | ||||||
23,277,000 | Telefonica Emisiones S.A., 5.462%, 2/16/2021 | 23,601,165 | ||||||
3,850,000 | Verizon Communications, Inc., 4.000%, 3/22/2050 | 4,553,147 | ||||||
|
| |||||||
74,324,555 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds (Identified Cost $6,905,899,519) | 7,046,101,040 | |||||||
|
| |||||||
Municipals — 0.2% | ||||||||
Local Authorities — 0.2% | ||||||||
17,415,000 | University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119 | 16,347,460 | ||||||
|
| |||||||
Total Municipals (Identified Cost $17,415,000) | 16,347,460 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $6,923,314,519) | 7,062,448,500 | |||||||
|
| |||||||
Senior Loans — 2.0% | ||||||||
Automotive — 0.1% | ||||||||
8,851,849 | Dayco Products LLC, 2017 Term Loan B,3-month LIBOR + 4.250%, 5.863%, 5/19/2023(d) | 6,196,294 | ||||||
2,766,100 | KAR Auction Services, Inc., 2019 Term Loan B6,1-month LIBOR + 2.250%, 3.188%, 9/19/2026(d) | 2,544,812 | ||||||
1,487,781 | Visteon Corp., 2018 Term Loan B, LIBOR + 1.750%, 2.787%, 3/25/2024(i) | 1,368,758 | ||||||
|
| |||||||
10,109,864 | ||||||||
|
|
See accompanying notes to financial statements.
21 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Chemicals — 0.1% | ||||||||
$ | 4,133,593 | Venator Materials Corp., Term Loan B,1-month LIBOR + 3.000%, 3.989%, 8/08/2024(d) | $ | 3,513,554 | ||||
|
| |||||||
Consumer Cyclical Services — 0.0% | ||||||||
1,369,541 | FrontDoor, Inc., 2018 Term Loan B,1-month LIBOR + 2.500%, 3.500%, 8/16/2025(d) | 1,301,064 | ||||||
|
| |||||||
Consumer Products — 0.2% | ||||||||
11,219,127 | Coty, Inc., 2018 USD Term Loan B,1-month LIBOR + 2.250%, 3.255%, 4/07/2025(d) | 8,871,525 | ||||||
661,485 | Energizer Holdings, Inc., 2018 Term Loan B, 1-month LIBOR + 2.250%, 3.875%, 12/17/2025(d) | 615,181 | ||||||
1,229,011 | Resideo Funding, Inc., Term Loan B,3-month LIBOR + 2.250%, 3.710%, 10/24/2025(d) | 1,106,110 | ||||||
29,570 | Serta Simmons Bedding LLC, 1st Lien Term Loan,1-month LIBOR + 3.500%, 4.500%, 11/08/2023(d) | 11,606 | ||||||
|
| |||||||
10,604,422 | ||||||||
|
| |||||||
Gaming — 0.1% | ||||||||
4,431,008 | Churchill Downs, Inc., 2017 Term Loan B,1-month LIBOR + 2.000%, 2.990%, 12/27/2024(d) | 3,877,132 | ||||||
|
| |||||||
Industrial Other — 0.0% | ||||||||
3,013,015 | Altra Industrial Motion Corp., 2018 Term Loan B,1-month LIBOR + 2.000%, 2.989%, 10/01/2025(d) | 2,618,491 | ||||||
|
| |||||||
Leisure — 0.1% | ||||||||
| 9,781,200 |
| AMC Entertainment Holdings, Inc., 2019 Term Loan B,1-month LIBOR + 3.000%, 4.080%, 4/22/2026(d) | 7,131,082 | ||||
|
| |||||||
Media Entertainment — 0.5% | ||||||||
10,526,653 | Entercom Media Corp., 2019 Term Loan,1-month LIBOR + 2.500%, 3.489%, 11/18/2024(d) | 9,473,988 | ||||||
3,468,383 | Lamar Media Corp., 2020 Term Loan B,1-month LIBOR + 1.500%, 2.516%, 2/05/2027(d) | 3,286,293 | ||||||
3,287,231 | Meredith Corp., 2020 Term Loan B2,1-month LIBOR + 2.500%, 3.489%, 1/31/2025(d) | 2,888,654 | ||||||
18,206,394 | Nielsen Finance LLC, USD Term Loan B4,1-month LIBOR + 2.000%, 3.005%, 10/04/2023(d) | 16,727,124 | ||||||
6,019,750 | Sinclair Television Group, Inc., Term Loan B2B,1-month LIBOR + 2.500%, 3.210%, 9/30/2026(d) | 5,658,565 | ||||||
|
| |||||||
38,034,624 | ||||||||
|
| |||||||
Packaging — 0.0% | ||||||||
2,611,771 | Plastipak Packaging, Inc., 2018 Term Loan B,1-month LIBOR + 2.500%, 3.490%, 10/14/2024(d) | 2,342,759 | ||||||
|
| |||||||
Pharmaceuticals — 0.2% | ||||||||
5,494,871 | Bausch Health Cos., Inc., Term Loan B,1-month LIBOR + 2.750%, 3.362%, 11/27/2025(d) | 5,192,653 | ||||||
7,164,737 | Change Healthcare Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 2.500%, 3.500%, 3/01/2024(d) | 6,734,853 |
See accompanying notes to financial statements.
| 22
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Pharmaceuticals — continued | ||||||||
$ | 5,000,468 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1-week LIBOR + 2.000%, 2.684%, 11/15/2027(d) | $ | 4,712,940 | ||||
|
| |||||||
16,640,446 | ||||||||
|
| |||||||
Property & Casualty Insurance — 0.1% | ||||||||
2,700,750 | USI, Inc., 2017 Repriced Term Loan,3-month LIBOR + 3.000%, 3.989%, 5/16/2024(d) | 2,457,683 | ||||||
2,119,688 | USI, Inc., 2019 Incremental Term Loan B,1-month LIBOR + 4.000%, 4.989%, 12/02/2026(d) | 1,893,580 | ||||||
|
| |||||||
4,351,263 | ||||||||
|
| |||||||
Restaurants — 0.2% | ||||||||
18,448,763 | 1011778 B.C. Unlimited Liability Co., Term Loan B4,1-month LIBOR + 1.750%, 2.739%, 11/19/2026(d) | 16,972,861 | ||||||
|
| |||||||
Technology — 0.3% | ||||||||
9,929,724 | Iron Mountain, Inc., 2018 Term Loan B,1-month LIBOR + 1.750%, 2.739%, 1/02/2026(d) | 9,333,940 | ||||||
1,954,854 | Sabre GLBL, Inc., 2018 Term Loan B,1-month LIBOR + 2.000%, 2.989%, 2/22/2024(d) | 1,627,416 | ||||||
9,739,974 | SS&C Technologies Inc., 2018 Term Loan B5,1-month LIBOR + 1.750%, 2.739%, 4/16/2025(d) | 9,088,662 | ||||||
|
| |||||||
20,050,018 | ||||||||
|
| |||||||
Transportation Services — 0.1% | ||||||||
9,714,169 | Uber Technologies, Inc., 2018 Incremental Term Loan, 1-month LIBOR + 3.500%, 4.489%, 7/13/2023(d) | 9,014,749 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $164,906,084) | 146,562,329 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks — 0.2% | ||||||||
Cable Satellite — 0.2% | ||||||||
17,563,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A (Identified Cost $18,210,290) | 17,563,000 | ||||||
|
| |||||||
Common Stocks — 0.0% | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||
77,870 | Paragon Offshore Ltd., Litigation Units, Class A(b)(c)(e)(j)(k) | — | ||||||
116,806 | Paragon Offshore Ltd., Litigation Units, Class B(j)(k) | 1,343,269 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $9,028,819) | 1,343,269 | |||||||
|
| |||||||
See accompanying notes to financial statements.
23 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Short-Term Investments — 1.5% | ||||||||
$ | 114,891,593 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $114,891,593 on 4/01/2020 collateralized by $113,765,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $114,507,658; $2,605,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $2,686,557 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $114,891,593) | $ | 114,891,593 | ||||
|
| |||||||
Total Investments — 97.2% (Identified Cost $7,230,351,305) | 7,342,808,691 | |||||||
Other assets less liabilities — 2.8% | 208,138,719 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 7,550,947,410 | ||||||
|
| |||||||
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
| ||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(††) | Amount shown represents units. One unit represents a principal amount of 100. |
| ||||||
(a) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2020 is disclosed. |
| ||||||
(b) | Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $1,711,149 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(c) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| ||||||
(d) | Variable rate security. Rate as of March 31, 2020 is disclosed. |
| ||||||
(e) | Illiquid security. |
| ||||||
(f) | Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of this security amounted to $2,844,656 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(g) | 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. |
| ||||||
(h) | Treasury Inflation Protected Security (TIPS). |
| ||||||
(i) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2020. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
| ||||||
(j) | Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows: |
|
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
Paragon Offshore Ltd., Litigation Units, Class A | 7/18/2017 | $ | 429,948 | $ | — | — | ||||||||||
Paragon Offshore Ltd., Litigation Units, Class B | 7/18/2017 | 8,598,870 | 1,343,269 | Less than 0.1% | ||||||||||||
See accompanying notes to financial statements.
| 24
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Core Plus Bond Fund – (continued)
(k) | Non-income producing security. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, the value of Rule 144A holdings amounted to $1,180,447,164 or 15.6% of net assets. |
| ||||||
ABS | Asset-Backed Securities |
| ||||||
ARMs | Adjustable Rate Mortgages |
| ||||||
EMTN | Euro Medium Term Note |
| ||||||
FHLMC | Federal Home Loan Mortgage Corp. |
| ||||||
FNMA | Federal National Mortgage Association |
| ||||||
GMTN | Global Medium Term Note |
| ||||||
GNMA | Government National Mortgage Association |
| ||||||
LIBOR | London Interbank Offered Rate |
| ||||||
MTN | Medium Term Note |
| ||||||
REITs | Real Estate Investment Trusts |
| ||||||
MXN | Mexican Peso |
| ||||||
UYU | Uruguayan Peso |
|
Industry Summary at March 31, 2020 (Unaudited)
Treasuries | 27.6 | % | ||
Mortgage Related | 24.4 | |||
Banking | 8.4 | |||
Agency Commercial Mortgage-Backed Securities | 2.7 | |||
Government Owned - No Guarantee | 2.6 | |||
Automotive | 2.3 | |||
Technology | 2.3 | |||
Other Investments, less than 2% each | 25.4 | |||
Short-Term Investments | 1.5 | |||
|
| |||
Total Investments | 97.2 | |||
Other assets less liabilities | 2.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
25 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 66.9% of Net Assets | ||||||||
Canada — 2.7% | ||||||||
787,100 | CGI, Inc.(a) | $ | 42,612,911 | |||||
1,097,100 | Open Text Corp. | 38,363,029 | ||||||
|
| |||||||
80,975,940 | ||||||||
|
| |||||||
China — 3.0% | ||||||||
452,772 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 88,055,099 | ||||||
|
| |||||||
France — 2.4% | ||||||||
316,789 | Dassault Systemes SE | 46,248,348 | ||||||
303,263 | Thales S.A. | 25,114,945 | ||||||
|
| |||||||
71,363,293 | ||||||||
|
| |||||||
Hong Kong — 1.7% | ||||||||
5,668,200 | AIA Group Ltd. | 50,756,654 | ||||||
|
| |||||||
India — 1.1% | ||||||||
2,860,400 | HDFC Bank Ltd. | 32,597,504 | ||||||
|
| |||||||
Japan — 1.8% | ||||||||
2,463,761 | Nomura Research Institute Ltd. | 52,041,371 | ||||||
|
| |||||||
Sweden — 1.8% | ||||||||
1,598,936 | Atlas Copco AB, Class A | 53,171,412 | ||||||
|
| |||||||
Switzerland — 3.6% | ||||||||
574,711 | Nestle S.A., (Registered) | 58,831,892 | ||||||
374,809 | Temenos AG, (Registered) | 48,856,192 | ||||||
|
| |||||||
107,688,084 | ||||||||
|
| |||||||
United Kingdom — 5.6% | ||||||||
1,495,802 | Halma PLC | 35,130,496 | ||||||
7,154,976 | Legal & General Group PLC | 16,905,049 | ||||||
341,878 | Linde PLC | 59,144,894 | ||||||
593,148 | London Stock Exchange Group PLC | 53,060,537 | ||||||
|
| |||||||
164,240,976 | ||||||||
|
| |||||||
United States — 43.2% | ||||||||
368,334 | Accenture PLC, Class A | 60,134,209 | ||||||
6,940 | Alphabet, Inc., Class C(a) | 8,069,901 | ||||||
55,037 | Alphabet, Inc., Class A(a) | 63,950,242 | ||||||
40,469 | Amazon.com, Inc.(a) | 78,903,219 | ||||||
283,650 | Becton Dickinson & Co. | 65,174,260 | ||||||
1,456,460 | CBRE Group, Inc., Class A(a) | 54,923,107 | ||||||
210,118 | Copart, Inc.(a) | 14,397,285 | ||||||
689,283 | Danaher Corp. | 95,403,660 | ||||||
348,291 | Estee Lauder Cos., Inc. (The), Class A | 55,496,688 | ||||||
379,662 | Facebook, Inc., Class A(a) | 63,327,622 | ||||||
136,910 | Goldman Sachs Group, Inc. (The) | 21,164,917 | ||||||
82,628 | Home Depot, Inc. (The) | 15,427,474 | ||||||
604,893 | IQVIA Holdings, Inc.(a) | 65,243,759 | ||||||
344,492 | M&T Bank Corp. | 35,630,808 |
See accompanying notes to financial statements.
| 26
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Shares | Description | Value (†) | ||||||
United States — continued | ||||||||
150,443 | MasterCard, Inc., Class A | $ | 36,341,011 | |||||
66,809 | Mettler-Toledo International, Inc.(a) | 46,132,283 | ||||||
267,122 | Northrop Grumman Corp. | 80,817,761 | ||||||
5,310 | NVR, Inc.(a) | 13,641,974 | ||||||
119,455 | Parker-Hannifin Corp. | 15,496,897 | ||||||
618,270 | Peloton Interactive, Inc.(a) | 16,415,068 | ||||||
289,598 | Roper Technologies, Inc. | 90,299,552 | ||||||
303,338 | S&P Global, Inc. | 74,332,977 | ||||||
88,828 | Sherwin-Williams Co. (The) | 40,818,243 | ||||||
430,054 | Texas Instruments, Inc. | 42,975,296 | ||||||
245 | Thryv Holdings, Inc.(a)(b) | 1,102 | ||||||
63,607 | Tyler Technologies, Inc.(a) | 18,863,292 | ||||||
338,220 | UnitedHealth Group, Inc. | 84,345,304 | ||||||
107,548 | VeriSign, Inc.(a) | 19,368,319 | ||||||
|
| |||||||
1,277,096,230 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $1,813,162,111) | 1,977,986,563 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Bonds and Notes — 30.5% | ||||||||
Non-Convertible Bonds — 30.1% | ||||||||
Australia — 0.4% | ||||||||
1,675,000 | Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(c) | 1,194,253 | ||||||
670,000 | GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(c) | 714,564 | ||||||
935,000 | National Australia Bank, 2.500%, 1/12/2021(c) | 937,665 | ||||||
11,610,000 | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD)(c) | 7,348,880 | ||||||
1,505,000 | New South Wales Treasury Corp., 6.000%, 3/01/2022, (AUD)(c) | 1,021,354 | ||||||
95,000 | Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A | 94,103 | ||||||
1,370,000 | Westpac Banking Corp., 2.650%, 1/16/2030(c) | 1,364,969 | ||||||
|
| |||||||
12,675,788 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
2,745,000 | Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR) | 2,751,893 | ||||||
1,690,000 | Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029(c) | 1,865,506 | ||||||
|
| |||||||
4,617,399 | ||||||||
|
| |||||||
Brazil — 0.8% | ||||||||
1,150,000 | Banco Bradesco S.A., 2.850%, 1/27/2023, 144A | 1,091,684 | ||||||
1,035,000 | Braskem Netherlands Finance BV, 4.500%, 1/10/2028 | 827,234 | ||||||
1,785,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030 | 1,390,515 | ||||||
8,500(††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL) | 1,848,229 | ||||||
10,753(††) | Brazil Notas do Tesouro Nacional, 10.000%, 1/01/2029, (BRL) | 2,364,567 | ||||||
10,980(††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL) | 2,214,609 | ||||||
11,634(††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL) | 2,544,289 | ||||||
2,685,000 | Brazilian Government International Bond, 4.500%, 5/30/2029 | 2,755,052 | ||||||
1,085,000 | Brazilian Government International Bond, 4.625%, 1/13/2028 | 1,155,525 |
See accompanying notes to financial statements.
27 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Brazil — continued | ||||||||
$ | 650,000 | Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A | $ | 575,250 | ||||
400,000 | Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A | 372,040 | ||||||
1,100,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025(c) | 970,750 | ||||||
1,250,000 | Itau Unibanco Holding S.A., 2.900%, 1/24/2023, 144A | 1,188,375 | ||||||
2,465,000 | Petrobras Global Finance BV, 5.999%, 1/27/2028 | 2,387,352 | ||||||
150,000 | Petrobras Global Finance BV, 6.875%, 1/20/2040 | 146,438 | ||||||
575,000 | Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A | 546,451 | ||||||
500,000 | Tupy Overseas S.A., 6.625%, 7/17/2024, 144A | 416,130 | ||||||
|
| |||||||
22,794,490 | ||||||||
|
| |||||||
Canada — 3.8% | ||||||||
411,455 | Air Canada Pass Through Trust, Series2015-2, Class A, 4.125%, 6/15/2029, 144A(c) | 377,329 | ||||||
826,264 | Air Canada Pass Through Trust, Series2017-1, Class AA, 3.300%, 7/15/2031, 144A(c) | 727,955 | ||||||
1,010,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 1,040,303 | ||||||
815,000 | Bank of Montreal, 1.750%, 6/15/2021, 144A(c) | 827,372 | ||||||
1,015,000 | Brookfield Finance, Inc., 3.900%, 1/25/2028(c) | 1,041,292 | ||||||
11,680,000 | Canadian Government Bond, 0.500%, 3/01/2022, (CAD)(c) | 8,305,473 | ||||||
65,740,000 | Canadian Government Bond, 0.750%, 3/01/2021, (CAD)(c) | 46,856,041 | ||||||
35,230,000 | Canadian Government Bond, 1.750%, 5/01/2021, (CAD)(c) | 25,383,224 | ||||||
970,000 | Canadian Imperial Bank of Commerce, 3.500%, 9/13/2023(c) | 1,029,411 | ||||||
1,800,000 | Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023(c) | 1,806,379 | ||||||
800,000 | CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(c) | 898,695 | ||||||
430,000 | Enbridge, Inc., 2.900%, 7/15/2022 | 388,682 | ||||||
905,000 | Export Development Canada, 1.800%, 9/01/2022, (CAD)(c) | 659,969 | ||||||
158,788 | GMF Canada Leasing Trust, Series2018-1A, Class A2, 3.030%, 6/21/2021, 144A, (CAD) | 112,899 | ||||||
672,176 | Institutional Mortgage Securities Canada, Inc., Series2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(c) | 477,277 | ||||||
5,000,000 | Province of British Columbia Canada, Series 10, 1.750%, 9/27/2024(c) | 5,169,476 | ||||||
7,200,000 | Province of Ontario Canada, 1.875%, 5/21/2020(c) | 7,206,336 | ||||||
2,355,000 | Province of Quebec Canada, 2.300%, 9/01/2029, (CAD)(c) | 1,738,396 | ||||||
2,475,000 | Royal Bank of Canada, GMTN, 2.250%, 11/01/2024(c) | 2,486,955 | ||||||
2,500,000 | Toronto-Dominion Bank (The), 2.100%, 7/15/2022, 144A(c) | 2,551,422 | ||||||
1,690,000 | Toronto-Dominion Bank (The), GMTN, 3.500%, 7/19/2023(c) | 1,740,707 | ||||||
1,580,000 | Videotron Ltd., 5.125%, 4/15/2027, 144A | 1,580,000 | ||||||
|
| |||||||
112,405,593 | ||||||||
|
| |||||||
Chile — 0.3% | ||||||||
950,000 | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 | 893,000 | ||||||
1,960,000 | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A(c) | 1,806,026 | ||||||
1,700,000 | Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025(c) | 1,754,484 | ||||||
1,160,000 | Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025, 144A(c) | 1,197,177 | ||||||
525,000 | Enel Chile S.A., 4.875%, 6/12/2028 | 509,250 | ||||||
800,000 | Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(c) | 768,008 | ||||||
669,524 | Latam Airlines Pass Through Trust, Series2015-1, Class A, 4.200%, 8/15/2029 | 602,571 |
See accompanying notes to financial statements.
| 28
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Chile — continued | ||||||||
$ | 375,207 | Latam Airlines Pass Through Trust, Series2015-1, Class B, 4.500%, 8/15/2025 | $ | 243,885 | ||||
950,000 | Latam Finance Ltd., 6.875%, 4/11/2024, 144A | 422,322 | ||||||
935,000 | Republic of Chile, 3.240%, 2/06/2028(c) | 987,603 | ||||||
1,120,000 | Transelec S.A., 4.250%, 1/14/2025, 144A(c) | 1,064,000 | ||||||
|
| |||||||
10,248,326 | ||||||||
|
| |||||||
China — 0.4% | ||||||||
920,000 | Alibaba Group Holding Ltd., 3.400%, 12/06/2027(c) | 964,376 | ||||||
795,000 | Baidu, Inc., 3.875%, 9/29/2023 | 825,131 | ||||||
12,000,000 | China Government Bond, 3.300%, 7/04/2023, (CNY) | 1,731,899 | ||||||
6,500,000 | China Government Bond, 3.390%, 5/21/2025, (CNH) | 951,059 | ||||||
500,000 | China Government Bond, 3.480%, 6/29/2027, (CNH) | 73,965 | ||||||
400,000 | China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(c) | 418,464 | ||||||
905,000 | Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(c) | 946,856 | ||||||
985,000 | Sinopec Group Overseas Development 2017 Ltd., 2.375%, 4/12/2020, 144A(c) | 985,039 | ||||||
500,000 | Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(c) | 509,904 | ||||||
1,175,000 | Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A(c) | 1,216,595 | ||||||
1,820,000 | Three Gorges Finance I Cayman Islands Ltd., 3.150%, 6/02/2026(c) | 1,911,091 | ||||||
1,270,000 | Weibo Corp., 3.500%, 7/05/2024(c) | 1,269,610 | ||||||
|
| |||||||
11,803,989 | ||||||||
|
| |||||||
Colombia — 0.6% | ||||||||
2,536,000 | Ecopetrol S.A., 5.875%, 5/28/2045 | 2,246,921 | ||||||
1,265,000,000 | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) | 315,705 | ||||||
1,300,000 | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A | 1,102,400 | ||||||
1,140,000 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 1,020,300 | ||||||
1,150,000 | Millicom International Cellular S.A., 6.625%, 10/15/2026 | 1,091,235 | ||||||
575,000 | Republic of Colombia, 3.875%, 4/25/2027 | 566,375 | ||||||
200,000,000 | Republic of Colombia, 7.750%, 4/14/2021, (COP) | 50,481 | ||||||
7,073,300,000 | Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP) | 1,673,470 | ||||||
29,559,900,000 | Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(c) | 7,381,543 | ||||||
870,000 | Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A | 836,505 | ||||||
|
| |||||||
16,284,935 | ||||||||
|
| |||||||
Denmark — 0.0% | ||||||||
670,000 | Danske Bank A/S, 3.875%, 9/12/2023, 144A | 661,282 | ||||||
|
| |||||||
Dominican Republic — 0.1% | ||||||||
1,410,000 | Dominican Republic, 5.500%, 1/27/2025, 144A | 1,353,600 | ||||||
590,000 | Dominican Republic, 5.950%, 1/25/2027, 144A | 555,338 | ||||||
995,000 | Dominican Republic, 6.000%, 7/19/2028, 144A | 934,643 | ||||||
425,000 | Dominican Republic, 8.625%, 4/20/2027, 144A | 442,000 | ||||||
|
| |||||||
3,285,581 | ||||||||
|
| |||||||
France — 0.2% | ||||||||
200,000 | AXA S.A., 7.125%, 12/15/2020, (GBP) | 256,059 | ||||||
205,000 | BNP Paribas S.A., 4.375%, 5/12/2026, 144A | 209,590 |
See accompanying notes to financial statements.
29 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
France — continued | ||||||||
$ | 1,415,000 | Caisse d’Amortissement de la Dette Sociale, 1.875%, 2/12/2022(c) | $ | 1,446,911 | ||||
250,000 | Credit Agricole S.A., 3.250%, 10/04/2024, 144A | 250,349 | ||||||
1,300,000 | Edenred, 1.875%, 3/06/2026, (EUR)(c) | 1,475,550 | ||||||
1,060,000 | French Republic Government Bond OAT, 4.250%, 10/25/2023, (EUR)(c) | 1,369,090 | ||||||
500,000 | Holding d’Infrastructures de Transport SASU, EMTN, 1.625%, 11/27/2027, (EUR) | 523,746 | ||||||
500,000 | Holding d’Infrastructures de Transport SASU, EMTN, 0.625%, 3/27/2023, (EUR) | 531,572 | ||||||
1,015,000 | Societe Generale S.A., 4.750%, 11/24/2025, 144A(c) | 1,013,002 | ||||||
|
| |||||||
7,075,869 | ||||||||
|
| |||||||
Germany — 0.2% | ||||||||
1,165,000 | BMW U.S. Capital LLC, 3.150%, 4/18/2024, 144A(c) | 1,127,052 | ||||||
1,850,000 | RWE AG, (fixed rate to 10/21/2020, variable rate thereafter), 2.750%, 4/21/2075, (EUR) | 1,990,824 | ||||||
1,450,000 | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A(c) | 1,460,912 | ||||||
|
| |||||||
4,578,788 | ||||||||
|
| |||||||
Hong Kong — 0.1% | ||||||||
355,000 | AIA Group Ltd., 3.200%, 3/11/2025, 144A(c) | 363,604 | ||||||
982,000 | AIA Group Ltd., 3.600%, 4/09/2029 | 1,019,618 | ||||||
1,135,000 | AIA Group Ltd., 3.900%, 4/06/2028, 144A(c) | 1,193,736 | ||||||
|
| |||||||
2,576,958 | ||||||||
|
| |||||||
India — 0.1% | ||||||||
650,000 | Greenko Dutch BV, 5.250%, 7/24/2024, 144A | 524,212 | ||||||
1,230,000 | ICICI Bank Ltd., EMTN, 3.250%, 9/09/2022 | 1,213,420 | ||||||
1,250,000 | Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A | 1,066,062 | ||||||
1,317,000 | Vedanta Resources Finance II PLC, 9.250%, 4/23/2026 | 549,848 | ||||||
|
| |||||||
3,353,542 | ||||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
300,000 | Indonesia Government International Bond, 4.125%, 1/15/2025, 144A | 308,073 | ||||||
735,000 | Indonesia Government International Bond, 4.750%, 1/08/2026 | 777,867 | ||||||
43,840,000,000 | Indonesia Treasury Bond, 7.000%, 9/15/2030, (IDR) | 2,513,207 | ||||||
50,092,000,000 | Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR) | 2,779,420 | ||||||
1,475,000 | Republic of Indonesia, 2.850%, 2/14/2030 | 1,432,520 | ||||||
545,000 | Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR) | 606,818 | ||||||
525,000 | Republic of Indonesia, 4.750%, 1/08/2026, 144A | 556,983 | ||||||
|
| |||||||
8,974,888 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
475,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021 | 435,768 | ||||||
1,250,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A | 1,218,146 | ||||||
375,000 | Ireland Government Bond, 3.400%, 3/18/2024, (EUR)(c) | 472,588 | ||||||
|
| |||||||
2,126,502 | ||||||||
|
| |||||||
Italy — 0.8% | ||||||||
200,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 194,815 | ||||||
530,000 | Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR) | 589,765 |
See accompanying notes to financial statements.
| 30
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Italy — continued | ||||||||
6,965,000 | Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR) | $ | 7,562,677 | |||||
3,305,000 | Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR) | 3,845,693 | ||||||
4,255,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(c) | 5,102,662 | ||||||
1,975,000 | Italy Government International Bond, 2.375%, 10/17/2024 | 1,951,494 | ||||||
3,335,000 | Republic of Italy, 2.500%, 11/15/2025, (EUR) | 3,970,952 | ||||||
630,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A | 597,843 | ||||||
635,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A | 609,467 | ||||||
|
| |||||||
24,425,368 | ||||||||
|
| |||||||
Japan — 1.0% | ||||||||
993,288,800(†††) | Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(c) | 9,231,995 | ||||||
2,020,350,000 | Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)(c) | 19,222,308 | ||||||
1,445,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029(c) | 1,434,779 | ||||||
|
| |||||||
29,889,082 | ||||||||
|
| |||||||
Korea — 0.3% | ||||||||
765,000 | Export-Import Bank of Korea, 3.000%, 11/01/2022(c) | 795,174 | ||||||
1,100,000 | Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A | 1,131,141 | ||||||
1,575,000 | Kia Motors Corp., 3.000%, 4/25/2023, 144A(c) | 1,606,736 | ||||||
910,000 | Korea Gas Corp., 2.750%, 7/20/2022, 144A(c) | 933,915 | ||||||
670,000 | KT Corp., 2.500%, 7/18/2026, 144A(c) | 687,278 | ||||||
1,180,000 | LG Chem Ltd., 3.250%, 10/15/2024, 144A | 1,221,636 | ||||||
1,440,000,000 | Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(c) | 1,207,796 | ||||||
770,000 | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A(c) | 792,808 | ||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(c) | 180,194 | ||||||
200,000 | Woori Bank, 5.875%, 4/13/2021, 144A(c) | 207,996 | ||||||
|
| |||||||
8,764,674 | ||||||||
|
| |||||||
Mexico — 1.0% | ||||||||
620,000 | Alfa SAB de CV, 6.875%, 3/25/2044 | 558,000 | ||||||
770,000 | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(c) | 889,894 | ||||||
10,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(c) | 394,524 | ||||||
675,000 | Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A | 609,700 | ||||||
300,000 | Cemex SAB de CV, 5.700%, 1/11/2025 | 253,503 | ||||||
1,775,000 | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030(c) | 1,734,132 | ||||||
1,205,000 | Comision Federal de Electricidad, 4.750%, 2/23/2027 | 1,114,625 | ||||||
800,000 | Gruma SAB de CV, 4.875%, 12/01/2024(c) | 787,008 | ||||||
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(c) | 265,777 | ||||||
142,000(††††) | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN) | 565,606 | ||||||
190,229(††††) | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c) | 802,205 | ||||||
1,123,620(††††) | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN) | 5,111,980 | ||||||
637,836(††††) | Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN) | 2,841,298 | ||||||
2,665,000 | Mexico Government International Bond, 3.250%, 4/16/2030 | 2,505,100 | ||||||
3,600,000 | Mexico Government International Bond, 4.000%, 10/02/2023(c) | 3,672,000 |
See accompanying notes to financial statements.
31 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Mexico — continued | ||||||||
196,000 | Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(c) | $ | 189,147 | |||||
1,240,000 | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 | 1,078,800 | ||||||
205,000 | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044 | 180,656 | ||||||
3,505,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 2,430,788 | ||||||
100,000 | Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR) | 111,256 | ||||||
835,000 | Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026 | 773,636 | ||||||
1,205,000 | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 | 1,151,275 | ||||||
1,010,000 | Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023 | 707,717 | ||||||
|
| |||||||
28,728,627 | ||||||||
|
| |||||||
Netherlands — 0.0% | ||||||||
870,000 | Cooperatieve Rabobank UA, 4.375%, 8/04/2025(c) | 878,422 | ||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
3,575,000 | New Zealand Government Bond, 3.000%, 4/20/2029, (NZD)(c) | 2,483,069 | ||||||
|
| |||||||
Norway — 0.3% | ||||||||
17,000,000 | City of Oslo, Norway, 3.550%, 2/12/2021, (NOK)(c) | 1,670,984 | ||||||
550,000 | Kommunalbanken AS, 1.750%, 9/15/2020, 144A(c) | 552,629 | ||||||
46,500,000 | Norway Government Bond, 1.375%, 8/19/2030, 144A, (NOK) | 4,689,248 | ||||||
3,815,000 | Norway Government Bond, Series 475, 2.000%, 5/24/2023, 144A, (NOK)(c) | 384,916 | ||||||
16,500,000 | Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK)(c) | 1,666,085 | ||||||
|
| |||||||
8,963,862 | ||||||||
|
| |||||||
Panama — 0.2% | ||||||||
680,000 | Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(c) | 678,769 | ||||||
1,485,000 | Cable Onda S.A., 4.500%, 1/30/2030, 144A | 1,306,800 | ||||||
1,045,000 | Panama Government International Bond, 3.160%, 1/23/2030 | 1,045,011 | ||||||
1,250,000 | Panama Government International Bond, 4.500%, 4/01/2056 | 1,353,125 | ||||||
|
| |||||||
4,383,705 | ||||||||
|
| |||||||
Paraguay — 0.0% | ||||||||
800,000 | Republic of Paraguay, 5.000%, 4/15/2026, 144A | 808,008 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
580,000 | Southern Copper Corp., 3.875%, 4/23/2025(c) | 574,868 | ||||||
1,050,000 | Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(c) | 991,211 | ||||||
|
| |||||||
1,566,079 | ||||||||
|
| |||||||
Singapore — 0.1% | ||||||||
785,000 | BOC Aviation Ltd., 2.750%, 9/18/2022, 144A | 807,338 | ||||||
345,000 | DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A | 361,387 | ||||||
3,215,000 | United Overseas Bank Ltd., 3.200%, 4/23/2021, 144A(c) | 3,207,284 | ||||||
|
| |||||||
4,376,009 | ||||||||
|
| |||||||
South Africa — 0.4% | ||||||||
1,400,000 | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A | 1,419,773 | ||||||
1,420,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024 | 1,249,600 | ||||||
930,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A | 818,400 | ||||||
46,510,000 | Republic of South Africa, Series 2035, 8.875%, 2/28/2035, (ZAR) | 2,088,692 |
See accompanying notes to financial statements.
| 32
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
South Africa — continued | ||||||||
$ | 7,585,000 | Republic of South Africa Government International Bond, 5.750%, 9/30/2049 | $ | 5,499,125 | ||||
39,185,000 | South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR) | 1,611,174 | ||||||
|
| |||||||
12,686,764 | ||||||||
|
| |||||||
Spain — 0.5% | ||||||||
2,300,000 | Banco Bilbao Vizcaya Argentaria S.A., GMTN, 0.750%, 9/11/2022, (EUR)(c) | 2,463,029 | ||||||
400,000 | Banco Santander S.A., 3.125%, 2/23/2023 | 381,291 | ||||||
100,000 | Iberdrola International BV, EMTN, 0.375%, 9/15/2025, (EUR) | 106,926 | ||||||
700,000 | Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR) | 784,722 | ||||||
3,590,000 | Spain Government Bond, 2.700%, 10/31/2048, 144A, (EUR)(c) | 5,030,920 | ||||||
725,000 | Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(c) | 810,283 | ||||||
430,000 | Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(c) | 506,760 | ||||||
2,565,000 | Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(c) | 3,263,179 | ||||||
1,300,000 | Telefonica Emisiones S.A., EMTN, 1.495%, 9/11/2025, (EUR) | 1,453,295 | ||||||
|
| |||||||
14,800,405 | ||||||||
|
| |||||||
Supranationals — 0.2% | ||||||||
1,115,000 | Corporacion Andina de Fomento, 4.375%, 6/15/2022(c) | 1,190,998 | ||||||
3,360,000 | European Investment Bank, 1.750%, 7/30/2024, 144A, (CAD)(c) | 2,453,280 | ||||||
3,515,000 | International Bank for Reconstruction & Development, 2.200%, 1/18/2022, (CAD)(c) | 2,563,755 | ||||||
|
| |||||||
6,208,033 | ||||||||
|
| |||||||
Sweden — 0.0% | ||||||||
2,450,000 | Sweden Government Bond, Series 1047, 5.000%, 12/01/2020, (SEK)(c) | 256,425 | ||||||
|
| |||||||
Switzerland — 0.1% | ||||||||
1,390,000 | Credit Suisse Group AG, (fixed rate to 4/01/2030, variable rate thereafter), 4.194%, 4/01/2031, 144A | 1,423,376 | ||||||
1,375,000 | Novartis Capital Corp., 2.000%, 2/14/2027(c) | 1,387,299 | ||||||
900,000 | Syngenta Finance NV, EMTN, 1.250%, 9/10/2027, (EUR) | 909,072 | ||||||
340,000 | Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/1/2025, variable rate thereafter), 4.250%, 10/01/2045 | 331,500 | ||||||
|
| |||||||
4,051,247 | ||||||||
|
| |||||||
Thailand — 0.2% | ||||||||
1,570,000 | Kasikornbank PCL, EMTN, 3.256%, 7/12/2023(c) | 1,645,554 | ||||||
85,000,000 | Thailand Government Bond, 2.125%, 12/17/2026, (THB)(c) | 2,732,845 | ||||||
950,000 | Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A | 986,404 | ||||||
|
| |||||||
5,364,803 | ||||||||
|
| |||||||
Trinidad — 0.0% | ||||||||
415,000 | Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A | 367,275 | ||||||
|
| |||||||
Turkey — 0.4% | ||||||||
2,830,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025 | 2,634,447 | ||||||
525,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A | 488,723 | ||||||
2,875,000 | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 | 2,537,291 | ||||||
6,970,000 | Turkey Government International Bond, 5.250%, 3/13/2030 | 5,636,987 |
See accompanying notes to financial statements.
33 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Turkey — continued | ||||||||
$ | 1,345,000 | Turkey Government International Bond, 7.625%, 4/26/2029 | $ | 1,281,112 | ||||
|
| |||||||
12,578,560 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
1,610,000 | Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(c) | 1,574,870 | ||||||
850,000 | DP World PLC, 3.250%, 5/18/2020, 144A(c) | 834,564 | ||||||
200,000 | DP World PLC, MTN, 3.250%, 5/18/2020 | 196,368 | ||||||
|
| |||||||
2,605,802 | ||||||||
|
| |||||||
United Kingdom — 0.4% | ||||||||
95,000 | Avon Products, Inc., 8.950%, 3/15/2043 | 79,800 | ||||||
1,265,000 | British Telecommunications PLC, 3.250%, 11/08/2029, 144A | 1,229,935 | ||||||
1,350,000 | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(c) | 1,436,353 | ||||||
365,000 | HSBC Holdings PLC, 4.950%, 3/31/2030 | 398,579 | ||||||
635,000 | Lloyds Banking Group PLC, 4.050%, 8/16/2023(c) | 654,396 | ||||||
400,000 | Lloyds Banking Group PLC, 4.500%, 11/04/2024(c) | 402,927 | ||||||
1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A(c) | 1,409,006 | ||||||
235,000 | Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(c) | 337,632 | ||||||
1,130,000 | Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(c) | 1,184,544 | ||||||
350,000 | Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(c) | 344,978 | ||||||
250,000 | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) | 272,039 | ||||||
1,035,000 | United Kingdom Gilt, 2.750%, 9/07/2024, (GBP)(c) | 1,432,545 | ||||||
530,000 | United Kingdom Gilt, 4.000%, 3/07/2022, (GBP)(c) | 707,477 | ||||||
130,000 | Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR) | 133,983 | ||||||
115,000 | Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP) | 131,771 | ||||||
1,660,000 | Vodafone Group PLC, 4.375%, 5/30/2028 | 1,753,181 | ||||||
|
| |||||||
11,909,146 | ||||||||
|
| |||||||
United States — 16.3% | ||||||||
485,000 | Abbott Ireland Financing DAC, 1.500%, 9/27/2026, (EUR) | 538,225 | ||||||
9,890,000 | AbbVie, Inc., 2.500%, 5/14/2020 | 9,890,687 | ||||||
1,500,000 | AES Corp. (The), 4.875%, 5/15/2023 | 1,443,735 | ||||||
15,000 | Air Lease Corp., 3.250%, 3/01/2025 | 11,756 | ||||||
96,000 | Air Lease Corp., 3.250%, 10/01/2029 | 76,900 | ||||||
130,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 93,887 | ||||||
480,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 441,600 | ||||||
8,000,000 | Ally Financial, Inc., 4.125%, 2/13/2022 | 7,697,520 | ||||||
745,000 | Ally Financial, Inc., 5.125%, 9/30/2024 | 725,995 | ||||||
1,728,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 2,002,234 | ||||||
70,000 | American Airlines Group, Inc., 3.750%, 3/01/2025, 144A | 49,000 | ||||||
1,965,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 1,576,912 | ||||||
1,786,350 | American Airlines Pass Through Certificates, Series2016-1, Class B, 5.250%, 7/15/2025 | 1,795,939 | ||||||
1,440,658 | American Airlines Pass Through Certificates, Series2016-3, Class B, 3.750%, 4/15/2027 | 1,151,246 | ||||||
534,455 | American Airlines Pass Through Certificates, Series2017-2, Class B, 3.700%, 4/15/2027 | 455,814 |
See accompanying notes to financial statements.
| 34
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United States — continued | ||||||||
$ | 112,681 | American Airlines Pass Through Certificates, Series2013-1, Class A, 4.000%, 1/15/2027 | $ | 103,794 | ||||
411,671 | American Airlines Pass Through Certificates, Series2017-1B, Class B, 4.950%, 8/15/2026 | 354,190 | ||||||
2,510,000 | American Honda Finance Corp., GMTN, 1.700%, 9/09/2021 | 2,468,848 | ||||||
400,000 | Antero Resources Corp., 5.125%, 12/01/2022 | 208,000 | ||||||
175,000 | Antero Resources Corp., 5.375%, 11/01/2021 | 127,313 | ||||||
3,060,000 | Antero Resources Corp., 5.625%, 6/01/2023 | 1,224,000 | ||||||
260,000 | Aptiv PLC, 1.600%, 9/15/2028, (EUR) | 256,788 | ||||||
1,510,000 | AT&T, Inc., 3.400%, 5/15/2025 | 1,570,701 | ||||||
3,960,000 | AT&T, Inc., 4.300%, 2/15/2030 | 4,252,569 | ||||||
495,000 | AT&T, Inc., 4.500%, 3/09/2048 | 536,048 | ||||||
625,000 | AT&T, Inc., 4.550%, 3/09/2049 | 671,733 | ||||||
925,000 | Aviation Capital Group LLC, 6.750%, 4/06/2021, 144A | 916,871 | ||||||
2,700,000 | Bank of America Corp., 6.110%, 1/29/2037 | 3,468,720 | ||||||
115,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 122,234 | ||||||
3,180,000 | Beazer Homes USA, Inc., 7.250%, 10/15/2029 | 2,416,800 | ||||||
140,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 128,792 | ||||||
25,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 21,728 | ||||||
635,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 571,805 | ||||||
640,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 574,393 | ||||||
585,000 | BP Capital Markets America, Inc., 3.216%, 11/28/2023(c) | 598,765 | ||||||
270,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 210,525 | ||||||
71,000 | California Resources Corp., 5.500%, 9/15/2021(d)(e) | 6,923 | ||||||
10,000 | California Resources Corp., 6.000%, 11/15/2024(d)(e) | 200 | ||||||
9,300,000 | California Resources Corp., 8.000%, 12/15/2022, 144A(d)(e) | 139,500 | ||||||
60,000 | CenturyLink, Inc., 5.625%, 4/01/2025 | 60,299 | ||||||
880,000 | CenturyLink, Inc., Series S, 6.450%, 6/15/2021 | 893,200 | ||||||
3,210,000 | Chesapeake Energy Corp., 4.875%, 4/15/2022(d)(e) | 321,000 | ||||||
315,000 | Chesapeake Energy Corp., 5.750%, 3/15/2023(d)(e) | 31,475 | ||||||
7,295,000 | Chesapeake Energy Corp., 8.000%, 6/15/2027 | 510,650 | ||||||
780,000 | Chevron Corp., 2.419%, 11/17/2020(c) | 777,101 | ||||||
1,635,000 | Cimarex Energy Co., 4.375%, 6/01/2024 | 1,288,463 | ||||||
40,000 | Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A | 41,000 | ||||||
500,000 | Citizens Financial Group, Inc., 4.300%, 12/03/2025 | 523,301 | ||||||
3,500,000 | Coca-Cola Co. (The), 1.550%, 9/01/2021 | 3,503,395 | ||||||
265,000 | Constellation Brands, Inc., 4.750%, 11/15/2024 | 273,845 | ||||||
485,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 249,483 | ||||||
640,000 | Continental Resources, Inc., 4.500%, 4/15/2023 | 355,433 | ||||||
63,000 | Continental Resources, Inc., 5.000%, 9/15/2022 | 40,190 | ||||||
375,000 | Cox Communications, Inc., 4.800%, 2/01/2035, 144A | 407,000 | ||||||
595,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 606,900 | ||||||
155,000 | Cummins, Inc., 5.650%, 3/01/2098 | 199,096 | ||||||
475,000 | Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A | 490,239 | ||||||
84,456 | Delta Air Lines Pass Through Trust, Series2007-1, Class B, 8.021%, 2/10/2024 | 86,533 | ||||||
940,000 | DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR)(c) | 901,244 |
See accompanying notes to financial statements.
35 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United States — continued | ||||||||
$ | 50,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | $ | 43,143 | ||||
8,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 6,565 | ||||||
1,680,000 | DISH DBS Corp., 5.000%, 3/15/2023 | 1,607,424 | ||||||
3,570,000 | DISH DBS Corp., 5.875%, 11/15/2024 | 3,471,825 | ||||||
1,385,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 1,423,088 | ||||||
310,000 | DR Horton, Inc., 4.375%, 9/15/2022 | 315,821 | ||||||
140,000 | Ecolab, Inc., 4.800%, 3/24/2030 | 157,260 | ||||||
160,000 | Edison International, 4.950%, 4/15/2025 | 159,630 | ||||||
340,000 | Enable Midstream Partners LP, 5.000%, 5/15/2044 | 146,010 | ||||||
235,000 | Enbridge Energy Partners LP, 7.375%, 10/15/2045 | 258,397 | ||||||
1,075,000 | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022 | 978,929 | ||||||
600,000 | EnLink Midstream Partners LP, 4.150%, 6/01/2025 | 290,820 | ||||||
410,000 | FedEx Corp., 1.000%, 1/11/2023, (EUR) | 443,774 | ||||||
650,000 | FedEx Corp., 3.400%, 1/14/2022 | 653,746 | ||||||
965,000 | Ford Motor Co., 4.750%, 1/15/2043 | 547,638 | ||||||
685,000 | Ford Motor Co., 5.291%, 12/08/2046 | 407,575 | ||||||
25,000 | Ford Motor Co., 6.375%, 2/01/2029 | 17,500 | ||||||
50,000 | Ford Motor Co., 6.625%, 2/15/2028 | 39,028 | ||||||
2,105,000 | Ford Motor Co., 6.625%, 10/01/2028 | 1,541,912 | ||||||
5,000 | Ford Motor Co., 7.500%, 8/01/2026 | 4,098 | ||||||
200,000 | Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026 | 175,000 | ||||||
295,000 | General Electric Co., 4.500%, 3/11/2044 | 290,178 | ||||||
50,000 | General Electric Co., GMTN, 3.100%, 1/09/2023 | 50,366 | ||||||
980,000 | General Motors Co., 5.200%, 4/01/2045 | 775,960 | ||||||
240,000 | General Motors Financial Co., Inc., 3.450%, 4/10/2022 | 225,800 | ||||||
925,000 | General Motors Financial Co., Inc., 5.250%, 3/01/2026 | 815,773 | ||||||
100,000 | General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR) | 91,511 | ||||||
770,000 | General Motors Financial of Canada Ltd., Series 5, 3.250%, 11/07/2023, (CAD) | 477,927 | ||||||
3,435,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 | 4,524,098 | ||||||
105,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 | 132,753 | ||||||
180,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 | 256,641 | ||||||
315,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 | 481,321 | ||||||
905,000 | Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A | 964,047 | ||||||
2,295,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 3,038,039 | ||||||
2,745,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | 2,518,537 | ||||||
165,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 145,200 | ||||||
20,000 | HCA, Inc., 4.750%, 5/01/2023 | 20,490 | ||||||
6,670,000 | HCA, Inc., 5.375%, 9/01/2026 | 6,872,368 | ||||||
225,000 | HCA, Inc., 7.050%, 12/01/2027 | 231,750 | ||||||
820,000 | HCA, Inc., 7.500%, 11/06/2033 | 820,000 | ||||||
395,000 | HCA, Inc., 8.360%, 4/15/2024 | 406,850 | ||||||
195,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 200,850 | ||||||
75,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 75,000 | ||||||
490,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 581,502 | ||||||
485,000 | Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A | 500,281 |
See accompanying notes to financial statements.
| 36
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United States — continued | ||||||||
$ | 835,000 | Hyundai Capital America, 2.650%, 2/10/2025, 144A | $ | 781,201 | ||||
1,585,000 | Hyundai Capital America, 2.750%, 9/27/2026, 144A(c) | 1,457,550 | ||||||
450,000 | International Lease Finance Corp., 4.625%, 4/15/2021 | 415,445 | ||||||
5,760,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 5,410,829 | ||||||
48,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036(d)(e) | 3,600 | ||||||
5,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097(d)(e) | 428 | ||||||
1,070,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 946,830 | ||||||
7,760,000 | JELD-WEN, Inc., 4.625%, 12/15/2025, 144A | 6,828,800 | ||||||
1,875,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 1,654,687 | ||||||
1,885,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 1,710,883 | ||||||
330,000 | Level 3 Financing, Inc., 5.125%, 5/01/2023 | 324,222 | ||||||
760,000 | Level 3 Financing, Inc., 5.375%, 5/01/2025 | 756,200 | ||||||
44,000 | Masco Corp., 6.500%, 8/15/2032 | 51,385 | ||||||
403,000 | Masco Corp., 7.750%, 8/01/2029 | 495,116 | ||||||
615,000 | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR) | 666,576 | ||||||
4,315,000 | Michaels Stores, Inc., 8.000%, 7/15/2027, 144A | 3,193,100 | ||||||
10,000,000 | Microsoft Corp., 1.550%, 8/08/2021 | 10,069,546 | ||||||
1,430,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A | 915,200 | ||||||
450,000 | Morgan Stanley, 3.950%, 4/23/2027 | 473,913 | ||||||
725,000 | Morgan Stanley, 5.750%, 1/25/2021 | 744,155 | ||||||
3,150,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 | 3,215,196 | ||||||
600,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 | 728,381 | ||||||
25,000 | MPLX LP, 4.500%, 7/15/2023 | 21,516 | ||||||
95,000 | MPLX LP, 4.875%, 6/01/2025 | 78,220 | ||||||
3,890,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A | 3,520,450 | ||||||
3,000,000 | Navient Corp., 5.000%, 10/26/2020 | 2,955,000 | ||||||
30,000 | Navient Corp., 5.000%, 3/15/2027 | 25,791 | ||||||
915,000 | Navient Corp., 5.500%, 1/25/2023 | 860,100 | ||||||
255,000 | Navient Corp., 5.875%, 10/25/2024 | 234,600 | ||||||
1,600(†††††) | Navient Corp., 6.000%, 12/15/2043 | 27,573 | ||||||
1,130,000 | Navient Corp., 6.750%, 6/15/2026 | 1,039,600 | ||||||
4,318,000 | Navient Corp., MTN, 5.625%, 8/01/2033 | 3,183,230 | ||||||
750,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 693,750 | ||||||
415,000 | Navient Corp., MTN, 7.250%, 1/25/2022 | 400,193 | ||||||
65,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 34,882 | ||||||
900,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | 306,000 | ||||||
405,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023 | 140,738 | ||||||
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 19,910 | ||||||
1,765,000 | Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A(c) | 1,729,100 | ||||||
120,000 | Oasis Petroleum, Inc., 6.875%, 1/15/2023 | 24,600 | ||||||
300,000 | Occidental Petroleum Corp., 4.500%, 7/15/2044 | 126,219 | ||||||
2,275,000 | Oceaneering International, Inc., 4.650%, 11/15/2024 | 908,408 | ||||||
420,000 | Old Republic International Corp., 4.875%, 10/01/2024 | 443,543 | ||||||
3,693,000 | ONEOK Partners LP, 4.900%, 3/15/2025 | 3,228,590 | ||||||
25,000 | ONEOK Partners LP, 6.200%, 9/15/2043 | 22,323 | ||||||
1,200,000 | Owens Corning, 4.400%, 1/30/2048 | 1,023,392 | ||||||
310,000 | Owens Corning, 7.000%, 12/01/2036 | 352,474 | ||||||
2,965,000 | Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A | 2,816,750 |
See accompanying notes to financial statements.
37 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United States — continued | ||||||||
775,000 | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR) | $ | 773,264 | |||||
790,000 | Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR) | 788,143 | ||||||
365,000 | Prologis LP, 2.250%, 6/30/2029, (GBP) | 445,832 | ||||||
1,115,000 | Prudential Financial, Inc., MTN, 3.700%, 3/13/2051 | 1,016,444 | ||||||
540,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 544,050 | ||||||
785,000 | PulteGroup, Inc., 6.375%, 5/15/2033 | 793,400 | ||||||
220,000 | PulteGroup, Inc., 7.875%, 6/15/2032 | 242,000 | ||||||
285,000 | QEP Resources, Inc., 5.250%, 5/01/2023 | 105,450 | ||||||
210,000 | QEP Resources, Inc., 5.375%, 10/01/2022 | 98,700 | ||||||
295,000 | Quicken Loans, Inc., 5.250%, 1/15/2028, 144A | 288,451 | ||||||
120,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A | 119,400 | ||||||
95,000 | Qwest Corp., 7.250%, 9/15/2025 | 96,504 | ||||||
345,000 | Radian Group, Inc., 4.500%, 10/01/2024 | 339,825 | ||||||
195,000 | Radian Group, Inc., 4.875%, 3/15/2027 | 192,075 | ||||||
890,000 | Range Resources Corp., 4.875%, 5/15/2025 | 529,550 | ||||||
850,000 | Range Resources Corp., 5.000%, 8/15/2022 | 637,245 | ||||||
220,000 | Range Resources Corp., 5.000%, 3/15/2023 | 160,600 | ||||||
25,000 | Sealed Air Corp., 4.875%, 12/01/2022, 144A | 25,031 | ||||||
640,000 | Sealed Air Corp., 5.500%, 9/15/2025, 144A | 648,006 | ||||||
420,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 | 367,500 | ||||||
140,000 | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) | 150,546 | ||||||
7,560,000 | SM Energy Co., 6.625%, 1/15/2027 | 2,200,451 | ||||||
155,000 | SM Energy Co., 6.750%, 9/15/2026 | 46,500 | ||||||
1,170,000 | Springleaf Finance Corp., 5.625%, 3/15/2023 | 1,129,050 | ||||||
860,000 | Springleaf Finance Corp., 6.875%, 3/15/2025 | 866,123 | ||||||
2,310,000 | Springleaf Finance Corp., 7.125%, 3/15/2026 | 2,286,900 | ||||||
330,000 | Springleaf Finance Corp., 7.750%, 10/01/2021 | 331,650 | ||||||
130,000 | Springleaf Finance Corp., 8.250%, 10/01/2023 | 130,000 | ||||||
1,365,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024 | 1,201,200 | ||||||
2,980,000 | Tenet Healthcare Corp., 5.125%, 5/01/2025 | 2,845,900 | ||||||
100,000 | Tenet Healthcare Corp., 6.750%, 6/15/2023 | 92,250 | ||||||
1,695,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 1,423,800 | ||||||
820,000 | Textron, Inc., 5.950%, 9/21/2021 | 840,221 | ||||||
90,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 84,507 | ||||||
85,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 88,789 | ||||||
1,635,000 | Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022(c) | 1,650,344 | ||||||
1,680,000 | Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026 | 1,912,741 | ||||||
171,000 | TransDigm, Inc., 6.500%, 7/15/2024 | 161,097 | ||||||
185,000 | TransDigm, Inc., 6.500%, 5/15/2025 | 173,898 | ||||||
6,665,000 | TRI Pointe Group, Inc., 4.875%, 7/01/2021 | 6,190,785 | ||||||
5,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024 | 4,645 | ||||||
81,903 | U.S. Airways Pass Through Trust, Series2012-1A, Class A, 5.900%, 4/01/2026 | 82,532 | ||||||
312,752 | U.S. Airways Pass Through Trust, Series2012-2A, Class A, 4.625%, 12/03/2026 | 309,552 | ||||||
20,350,000 | U.S. Treasury Bond, 2.000%, 2/15/2050 | 23,574,998 | ||||||
4,960,000 | U.S. Treasury Bond, 2.875%, 5/15/2049(c)(f) | 6,767,881 |
See accompanying notes to financial statements.
| 38
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United States — continued | ||||||||
$ | 4,380,000 | U.S. Treasury Bond, 3.000%, 8/15/2048 | $ | 6,084,094 | ||||
4,125,812 | U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(c)(g) | 4,069,184 | ||||||
4,165,078 | U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(c)(g) | 4,282,888 | ||||||
13,136,266 | U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(c)(g) | 13,231,944 | ||||||
21,640,000 | U.S. Treasury Note, 1.625%, 8/15/2029(c) | 23,487,008 | ||||||
38,000,000 | U.S. Treasury Note, 1.500%, 9/30/2021 | 38,740,703 | ||||||
34,445,000 | U.S. Treasury Note, 1.500%, 10/31/2021 | 35,146,009 | ||||||
35,975,000 | U.S. Treasury Note, 1.500%, 11/30/2021 | 36,743,685 | ||||||
13,685,000 | U.S. Treasury Note, 1.625%, 10/31/2026(c) | 14,648,830 | ||||||
21,715,000 | U.S. Treasury Note, 1.750%, 11/30/2021 | 22,273,992 | ||||||
21,700,000 | U.S. Treasury Note, 1.750%, 11/15/2029 | 23,839,484 | ||||||
4,515,000 | U.S. Treasury Note, 1.875%, 3/31/2022 | 4,664,383 | ||||||
15,000,000 | U.S. Treasury Note, 2.500%, 6/30/2020 | 15,089,341 | ||||||
4,700,000 | U.S. Treasury Note, 2.875%, 5/15/2028(c) | 5,541,594 | ||||||
422,639 | United Airlines Pass Through Trust, Series2016-2, Class B, 3.650%, 4/07/2027 | 372,717 | ||||||
2,940,000 | United Rentals North America, Inc., 5.500%, 7/15/2025 | 2,881,200 | ||||||
460,000 | United Rentals North America, Inc., 6.500%, 12/15/2026 | 466,900 | ||||||
1,450,000 | United States Steel Corp., 6.650%, 6/01/2037 | 873,190 | ||||||
25,000 | ViacomCBS, Inc., 4.375%, 3/15/2043 | 22,155 | ||||||
395,000 | ViacomCBS, Inc., 5.250%, 4/01/2044 | 375,609 | ||||||
145,000 | ViacomCBS, Inc., 5.850%, 9/01/2043 | 148,565 | ||||||
145,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A(d)(e) | 34,256 | ||||||
1,150,000 | Walmart, Inc., 3.700%, 6/26/2028(c) | 1,290,577 | ||||||
60,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 70,177 | ||||||
315,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 371,318 | ||||||
525,000 | Whiting Petroleum Corp., 5.750%, 3/15/2021(a)(d)(e) | 35,280 | ||||||
195,000 | Whiting Petroleum Corp., 6.250%, 4/01/2023(a)(d)(e) | 16,934 | ||||||
3,052,000 | Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A(d)(e)(h) | 122,080 | ||||||
65,000 | Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A(d)(e)(h) | 2,600 | ||||||
|
| |||||||
480,393,684 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds (Identified Cost $923,179,518) | 889,952,979 | |||||||
|
| |||||||
Convertible Bonds — 0.4% | ||||||||
United States — 0.4% |
| |||||||
1,450,000 | Booking Holdings, Inc., 0.900%, 9/15/2021 | 1,445,505 | ||||||
95,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026(d)(e)(i) | 2,850 | ||||||
545,000 | DISH Network Corp., 2.375%, 3/15/2024 | 431,913 | ||||||
6,460,000 | DISH Network Corp., 3.375%, 8/15/2026 | 5,244,561 | ||||||
290,000 | Evolent Health, Inc., 2.000%, 12/01/2021 | 239,250 | ||||||
1,855,000 | iStar, Inc., 3.125%, 9/15/2022 | 1,815,784 | ||||||
1,950,000 | Nuance Communications, Inc., 1.000%, 12/15/2035 | 1,863,303 | ||||||
205,000 | Nuance Communications, Inc., 1.250%, 4/01/2025 | 222,193 | ||||||
10,000 | Nuance Communications, Inc., 1.500%, 11/01/2035 | 10,538 |
See accompanying notes to financial statements.
39 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United States — continued | ||||||||
$ | 380,000 | SM Energy Co., 1.500%, 7/01/2021 | $ | 137,227 | ||||
825,000 | Western Digital Corp., 1.500%, 2/01/2024 | 717,605 | ||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $12,944,305) | 12,130,729 | |||||||
|
| |||||||
Municipals — 0.0% | ||||||||
United States — 0.0% | ||||||||
155,000 | State of Illinois, 5.100%, 6/01/2033 | 153,857 | ||||||
130,000 | Tobacco Settlement Financing Corp., SeriesA-1, 6.706%, 6/01/2046 | 112,311 | ||||||
|
| |||||||
Total Municipals (Identified Cost $255,788) | 266,168 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $936,379,611) | 902,349,876 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks — 0.1% | ||||||||
United States — 0.1% | ||||||||
460 | Chesapeake Energy Corp., 5.000%(d)(e) | 2,208 | ||||||
40 | Chesapeake Energy Corp., 5.750%(d)(e) | 1,139 | ||||||
736 | Chesapeake Energy Corp., 5.750%(d)(e) | 20,962 | ||||||
84 | Chesapeake Energy Corp., 5.750%, 144A(d)(e) | 2,392 | ||||||
38,952 | El Paso Energy Capital Trust I, 4.750% | 1,674,936 | ||||||
|
| |||||||
1,701,637 | ||||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $2,285,617) | 1,701,637 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments — 1.9% | ||||||||
$ | 41,007,080 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $41,007,080 on 4/01/2020 collateralized by $7,055,000 U.S. Treasury Note, 2.500% due 3/31/2023 valued at $7,520,468; $32,615,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $34,310,491 including accrued interest (Note 2 of Notes to Financial Statements) | 41,007,080 | |||||
5,100,000 | U.S. Treasury Bills, 1.508%, 8/20/2020(j) | 5,098,252 | ||||||
3,945,000 | U.S. Treasury Bills, 1.518%, 8/13/2020(j) | 3,943,859 | ||||||
5,825,000 | U.S. Treasury Bills, 1.520%, 8/06/2020(j) | 5,823,248 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $55,793,451) | 55,872,439 | |||||||
|
| |||||||
Total Investments — 99.4% (Identified Cost $2,807,620,790) | 2,937,910,515 | |||||||
Other assets less liabilities — 0.6% | 16,842,694 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,954,753,209 | ||||||
|
|
See accompanying notes to financial statements.
| 40
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
| ||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(††) | Amount shown represents units. One unit represents a principal amount of 1,000. |
| ||||||
(†††) | Amount shown represents principal amount including inflation adjustments. |
| ||||||
(††††) | Amount shown represents units. One unit represents a principal amount of 100. |
| ||||||
(†††††) | Amount shown represents units. One unit represents a principal amount of 25. |
| ||||||
(a) | Non-income producing security. |
| ||||||
(b) | Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows: |
|
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
Thryv Holdings, Inc. | 8/12/2016 | $1,194 | $ | 1,102 | Less than 0.1 | % | ||||||||||
(c) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
(d) | Illiquid security. |
| ||||||
(e) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of these securities amounted to $743,827 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(f) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
(g) | Treasury Inflation Protected Security (TIPS). |
| ||||||
(h) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| ||||||
(i) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| ||||||
(j) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, the value of Rule 144A holdings amounted to $121,288,208 or 4.1% of net assets. |
| ||||||
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. |
| ||||||
CPI | Consumer Price Index |
| ||||||
EMTN | Euro Medium Term Note |
| ||||||
GMTN | Global Medium Term Note |
| ||||||
MTN | Medium Term Note |
| ||||||
AUD | Australian Dollar |
| ||||||
BRL | Brazilian Real |
| ||||||
CAD | Canadian Dollar |
| ||||||
CNH | Chinese Yuan Renminbi Offshore |
| ||||||
CNY | Chinese Yuan Renminbi |
| ||||||
COP | Colombian Peso |
| ||||||
EUR | Euro |
| ||||||
GBP | British Pound |
| ||||||
IDR | Indonesian Rupiah |
| ||||||
JPY | Japanese Yen |
| ||||||
KRW | South Korean Won |
|
See accompanying notes to financial statements.
41 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
MXN | Mexican Peso |
| ||||||
NOK | Norwegian Krone |
| ||||||
NZD | New Zealand Dollar |
| ||||||
SEK | Swedish Krona |
| ||||||
THB | Thai Baht |
| ||||||
ZAR | South African Rand |
|
At March 31, 2020, 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. | 6/02/2020 | BRL | S | 18,445,000 | $ | 4,155,683 | $ | 3,535,184 | $ | 620,499 | ||||||||||||||||
Bank of America, N.A. | 6/17/2020 | KRW | B | 5,850,000,000 | 4,881,712 | 4,818,979 | (62,733 | ) | ||||||||||||||||||
Citibank N.A. | 6/17/2020 | ZAR | B | 76,025,000 | 4,347,451 | 4,208,158 | (139,293 | ) | ||||||||||||||||||
Citibank N.A. | 6/17/2020 | ZAR | S | 76,025,000 | 4,650,115 | 4,208,158 | 441,957 | |||||||||||||||||||
Credit Suisse International | 6/17/2020 | CAD | B | 13,785,000 | 9,488,574 | 9,802,471 | 313,897 | |||||||||||||||||||
Credit Suisse International | 6/17/2020 | CAD | S | 125,470,000 | 93,410,562 | 89,221,331 | 4,189,231 | |||||||||||||||||||
Credit Suisse International | 6/17/2020 | COP | S | 16,193,255,000 | 4,252,096 | 3,964,558 | 287,538 | |||||||||||||||||||
Credit Suisse International | 6/17/2020 | COP | S | 22,651,410,000 | 5,518,005 | 5,545,693 | (27,688 | ) | ||||||||||||||||||
Credit Suisse International | 6/17/2020 | GBP | B | 13,490,000 | 16,985,273 | 16,778,258 | (207,015 | ) | ||||||||||||||||||
Credit Suisse International | 6/17/2020 | JPY | B | 7,133,000,000 | 67,180,085 | 66,553,350 | (626,735 | ) | ||||||||||||||||||
Goldman Sachs & Co. | 6/17/2020 | MXN | B | 74,545,000 | 3,080,117 | 3,107,252 | 27,135 | |||||||||||||||||||
Goldman Sachs & Co. | 6/17/2020 | MXN | S | 74,545,000 | 3,421,705 | 3,107,252 | 314,453 | |||||||||||||||||||
HSBC Bank USA | 6/17/2020 | AUD | B | 8,155,000 | 5,399,711 | 5,017,160 | (382,551 | ) | ||||||||||||||||||
HSBC Bank USA | 6/17/2020 | AUD | S | 4,080,000 | 2,656,092 | 2,510,118 | 145,974 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 6/17/2020 | EUR | B | 79,475,000 | 90,305,058 | 87,907,622 | (2,397,436 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 6/17/2020 | EUR | S | 3,800,000 | 4,193,487 | 4,203,196 | (9,709 | ) | ||||||||||||||||||
UBS AG | 4/02/2020 | BRL | B | 12,290,000 | 2,459,475 | 2,365,235 | (94,240 | ) | ||||||||||||||||||
UBS AG | 4/02/2020 | BRL | S | 12,290,000 | 2,602,710 | 2,365,235 | 237,475 | |||||||||||||||||||
UBS AG | 6/17/2020 | IDR | S | 40,354,000,000 | 2,320,529 | 2,457,164 | (136,635 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | SEK | B | 7,350,000 | 780,137 | 744,226 | (35,911 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | THB | S | 83,000,000 | 2,627,580 | 2,530,006 | 97,574 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $ | 2,555,787 | ||||||||||||||||||||||||
|
|
See accompanying notes to financial statements.
| 42
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
At March 31, 2020, the Fund had the following open forward cross currency contracts:
Counterparty | Settlement Date | Deliver/Units of Currency | Receive/Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
UBS AG | 6/17/2020 | NOK | 18,380,000 | EUR | 1,765,847 | $ | 1,953,211 | $ | 184,787 | |||||||||||||||||
UBS AG | 6/17/2020 | EUR | 1,473,937 | NOK | 18,380,000 | 1,768,425 | 138,097 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $ | 322,884 | ||||||||||||||||||||||||
|
|
At March 31, 2020, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Ultra 10 Year U.S. Treasury Note | 6/19/2020 | 42 | $ | 6,209,912 | $ | 6,553,312 | $ | 343,400 | ||||||||||
|
|
Industry Summary at March 31, 2020 (Unaudited)
Treasuries | 16.6 | % | ||
IT Services | 7.1 | |||
Internet & Direct Marketing Retail | 5.7 | |||
Health Care Equipment & Supplies | 5.4 | |||
Software | 5.1 | |||
Capital Markets | 5.0 | |||
Interactive Media & Services | 4.6 | |||
Life Sciences Tools & Services | 3.8 | |||
Chemicals | 3.7 | |||
Aerospace & Defense | 3.5 | |||
Industrial Conglomerates | 3.1 | |||
Health Care Providers & Services | 2.8 | |||
Machinery | 2.3 | |||
Banks | 2.3 | |||
Insurance | 2.3 | |||
Banking | 2.0 | |||
Food Products | 2.0 | |||
Other Investments, less than 2% each | 20.2 | |||
Short-Term Investments | 1.9 | |||
|
| |||
Total Investments | 99.4 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 0.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
43 |
Portfolio of Investments – as of March 31, 2020 (Unaudited)
Loomis Sayles Global Allocation Fund – (continued)
Currency Exposure Summary at March 31, 2020 (Unaudited)
United States Dollar | 72.5 | % | ||
Canadian Dollar | 5.8 | |||
Euro | 3.9 | |||
British Pound | 3.7 | |||
Swiss Franc | 3.6 | |||
Japanese Yen | 2.8 | |||
Other, less than 2% each | 7.1 | |||
|
| |||
Total Investments | 99.4 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 0.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 44
Statements of Assets and Liabilities
March 31, 2020 (Unaudited)
Core Plus Bond Fund | Global Allocation Fund | |||||||
ASSETS |
| |||||||
Investments at cost | $ | 7,230,351,305 | $ | 2,807,620,790 | ||||
Net unrealized appreciation | 112,457,386 | 130,289,725 | ||||||
|
|
|
| |||||
Investments at value | 7,342,808,691 | 2,937,910,515 | ||||||
Cash | — | 3,165,290 | ||||||
Due from brokers (Note 2) | — | 2,483,755 | ||||||
Foreign currency at value (identified cost $0 and $8,300,950, respectively) | — | 8,298,964 | ||||||
Receivable for Fund shares sold | 41,379,897 | 12,458,627 | ||||||
Receivable for securities sold | 315,460,525 | 6,141,087 | ||||||
Collateral received for open forward foreign currency contracts (Notes 2 and 4) | — | 5,290,000 | ||||||
Dividends and interest receivable | 45,047,412 | 8,404,125 | ||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | 6,998,617 | ||||||
Tax reclaims receivable | — | 1,032,559 | ||||||
Receivable for variation margin on futures contracts (Note 2) | — | 36,219 | ||||||
Prepaid expenses (Note 8) | 32 | 11 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 7,744,696,557 | 2,992,219,769 | ||||||
|
|
|
| |||||
LIABILITIES |
| |||||||
Payable for securities purchased | 158,876,304 | 22,049,847 | ||||||
Payable for Fund shares redeemed | 27,305,072 | 3,468,994 | ||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | 4,119,946 | ||||||
Foreign taxes payable (Note 2) | — | 32,643 | ||||||
Payable to custodian bank (Note 9) | 4,210,283 | — | ||||||
Due to brokers (Note 2) | — | 5,290,000 | ||||||
Management fees payable (Note 6) | 2,103,953 | 1,905,343 | ||||||
Deferred Trustees’ fees (Note 6) | 595,303 | 259,619 | ||||||
Administrative fees payable (Note 6) | 289,373 | 114,927 | ||||||
Payable to distributor (Note 6d) | 46,563 | 37,787 | ||||||
Other accounts payable and accrued expenses | 322,296 | 187,454 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 193,749,147 | 37,466,560 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 7,550,947,410 | $ | 2,954,753,209 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: |
| |||||||
Paid-in capital | $ | 7,471,385,287 | $ | 2,733,441,157 | ||||
Accumulated earnings | 79,562,123 | 221,312,052 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 7,550,947,410 | $ | 2,954,753,209 | ||||
|
|
|
|
See accompanying notes to financial statements.
45 |
Statements of Assets and Liabilities (continued)
March 31, 2020 (Unaudited)
Core Plus Bond Fund | Global Allocation Fund | |||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||
Class A shares: |
| |||||||
Net assets | $ | 514,293,604 | $ | 431,558,603 | ||||
|
|
|
| |||||
Shares of beneficial interest | 38,597,757 | 20,527,527 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 13.32 | $ | 21.02 | ||||
|
| �� |
|
| ||||
Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 13.91 | $ | 22.30 | ||||
|
|
|
| |||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 148,582,740 | $ | 433,792,541 | ||||
|
|
|
| |||||
Shares of beneficial interest | 11,149,462 | 20,914,294 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 13.33 | $ | 20.74 | ||||
|
|
|
| |||||
Class N shares: |
| |||||||
Net assets | $ | 2,724,727,127 | $ | 201,969,802 | ||||
|
|
|
| |||||
Shares of beneficial interest | 202,695,023 | 9,553,313 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 13.44 | $ | 21.14 | ||||
|
|
|
| |||||
Class Y shares: |
| |||||||
Net assets | $ | 4,163,343,939 | $ | 1,887,432,263 | ||||
|
|
|
| |||||
Shares of beneficial interest | 309,893,358 | 89,242,796 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 13.43 | $ | 21.15 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 46
Statements of Operations
For the Six Months Ended March 31, 2020 (Unaudited)
Core Plus Bond Fund | Global Allocation Fund | |||||||
INVESTMENT INCOME |
| |||||||
Interest | $ | 109,939,601 | $ | 16,369,250 | ||||
Dividends | — | 8,928,677 | ||||||
Less net foreign taxes withheld | — | (226,786 | ) | |||||
|
|
|
| |||||
109,939,601 | 25,071,141 | |||||||
|
|
|
| |||||
Expenses |
| |||||||
Management fees (Note 6) | 12,204,388 | 12,082,354 | ||||||
Service and distribution fees (Note 6) | 1,437,062 | 3,052,138 | ||||||
Administrative fees (Note 6) | 1,674,319 | 714,020 | ||||||
Trustees’ fees and expenses (Note 6) | 147,828 | 70,597 | ||||||
Transfer agent fees and expenses (Notes 6 and 7) | 2,206,993 | 1,281,183 | ||||||
Audit and tax services fees | 26,703 | 27,992 | ||||||
Custodian fees and expenses | 124,983 | 137,535 | ||||||
Legal fees (Note 8) | 62,044 | 28,065 | ||||||
Registration fees | 145,736 | 108,522 | ||||||
Shareholder reporting expenses | 124,493 | 74,533 | ||||||
Miscellaneous expenses (Note 8) | 119,653 | 92,768 | ||||||
|
|
|
| |||||
Total expenses | 18,274,202 | 17,669,707 | ||||||
Less waiver and/or expense reimbursement (Note 6) | — | (782 | ) | |||||
|
|
|
| |||||
Net expenses | 18,274,202 | 17,668,925 | ||||||
|
|
|
| |||||
Net investment income | 91,665,399 | 7,402,216 | ||||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||
Net realized gain (loss) on: |
| |||||||
Investments | 89,122,818 | 97,159,541 | ||||||
Futures contracts | — | 155,691 | ||||||
Forward foreign currency contracts (Note 2d) | — | 3,202,323 | ||||||
Foreign currency transactions (Note 2c) | (200,328 | ) | (464,087 | ) | ||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||
Investments | (46,811,882 | ) | (421,566,353 | ) | ||||
Futures contracts | — | 343,400 | ||||||
Forward foreign currency contracts (Note 2d) | — | 3,759,851 | ||||||
Foreign currency translations (Note 2c) | (144,687 | ) | 157,097 | |||||
|
|
|
| |||||
Net realized and unrealized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | 41,965,921 | (317,252,537 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 133,631,320 | $ | (309,850,321 | ) | |||
|
|
|
|
See accompanying notes to financial statements.
47 |
Statements of Changes in Net Assets
Core Plus Bond Fund | Global Allocation Fund | |||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |||||||||||||
FROM OPERATIONS: |
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Net investment income | $ | 91,665,399 | $ | 193,816,309 | $ | 7,402,216 | $ | 23,195,146 | ||||||||
Net realized gain on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | 88,922,490 | 37,103,540 | 100,053,468 | 60,158,656 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations | (46,956,569 | ) | 342,043,742 | (417,306,005 | ) | 124,957,256 | ||||||||||
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Net increase (decrease) in net assets resulting from operations | 133,631,320 | 572,963,591 | (309,850,321 | ) | 208,311,058 | |||||||||||
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FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (6,492,212 | ) | (14,225,845 | ) | (13,439,864 | ) | (15,303,424 | ) | ||||||||
Class C | (1,259,474 | ) | (2,905,066 | ) | (11,301,039 | ) | (13,674,405 | ) | ||||||||
Class N | (36,498,685 | ) | (62,882,079 | ) | (6,572,302 | ) | (3,466,169 | ) | ||||||||
Class Y | (56,026,577 | ) | (103,228,686 | ) | (60,646,702 | ) | (64,089,255 | ) | ||||||||
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Total distributions | (100,276,948 | ) | (183,241,676 | ) | (91,959,907 | ) | (96,533,253 | ) | ||||||||
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NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 24,617,104 | 683,792,596 | 282,260,244 | 518,843,716 | ||||||||||||
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Net increase (decrease) in net assets | 57,971,476 | 1,073,514,511 | (119,549,984 | ) | 630,621,521 | |||||||||||
NET ASSETS |
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Beginning of the period | 7,492,975,934 | 6,419,461,423 | 3,074,303,193 | 2,443,681,672 | ||||||||||||
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End of the period | $ | 7,550,947,410 | $ | 7,492,975,934 | $ | 2,954,753,209 | $ | 3,074,303,193 | ||||||||
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See accompanying notes to financial statements.
| 48
Financial Highlights
For a share outstanding throughout each period.
Core Plus Bond Fund—Class A | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 13.25 | $ | 12.53 | $ | 12.96 | $ | 13.06 | $ | 12.34 | $ | 13.18 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.14 | 0.34 | 0.35 | 0.28 | 0.37 | 0.37 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.70 | (0.38 | ) | (0.04 | ) | 0.71 | (0.77 | ) | |||||||||||||||
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Total from Investment Operations | 0.23 | 1.04 | (0.03 | ) | 0.24 | 1.08 | (0.40 | ) | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.32 | ) | (0.40 | ) | (0.34 | ) | (0.36 | ) | (0.36 | ) | ||||||||||||
Net realized capital gains | — | — | — | — | — | (0.08 | ) | |||||||||||||||||
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Total Distributions | (0.16 | ) | (0.32 | ) | (0.40 | ) | (0.34 | ) | (0.36 | ) | (0.44 | ) | ||||||||||||
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Net asset value, end of the period | $ | 13.32 | $ | 13.25 | $ | 12.53 | $ | 12.96 | $ | 13.06 | $ | 12.34 | ||||||||||||
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Total return(b) | 1.75 | %(c) | 8.39 | % | (0.27 | )% | 1.86 | % | 8.90 | % | (3.13 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 514,294 | $ | 558,291 | $ | 600,762 | $ | 676,892 | $ | 776,566 | $ | 912,662 | ||||||||||||
Net expenses | 0.72 | %(d) | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.74 | % | ||||||||||||
Gross expenses | 0.72 | %(d) | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.74 | % | ||||||||||||
Net investment income | 2.16 | %(d) | 2.63 | % | 2.71 | % | 2.19 | % | 2.91 | % | 2.87 | % | ||||||||||||
Portfolio turnover rate | 147 | % | 297 | %(e) | 181 | % | 195 | % | 143 | % | 175 | % |
(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) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
See accompanying notes to financial statements.
49 |
Financial Highlights (continued)
For a share outstanding throughout each period.
Core Plus Bond Fund—Class C | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 13.25 | $ | 12.53 | $ | 12.96 | $ | 13.06 | $ | 12.33 | $ | 13.18 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.09 | 0.24 | 0.25 | 0.19 | 0.27 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 0.70 | (0.38 | ) | (0.05 | ) | 0.73 | (0.77 | ) | |||||||||||||||
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Total from Investment Operations | 0.19 | 0.94 | (0.13 | ) | 0.14 | 1.00 | (0.50 | ) | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.22 | ) | (0.30 | ) | (0.24 | ) | (0.27 | ) | (0.27 | ) | ||||||||||||
Net realized capital gains | — | — | — | — | — | (0.08 | ) | |||||||||||||||||
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Total Distributions | (0.11 | ) | (0.22 | ) | (0.30 | ) | (0.24 | ) | (0.27 | ) | (0.35 | ) | ||||||||||||
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Net asset value, end of the period | $ | 13.33 | $ | 13.25 | $ | 12.53 | $ | 12.96 | $ | 13.06 | $ | 12.33 | ||||||||||||
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Total return(b) | 1.44 | %(c) | 7.57 | % | (1.03 | )% | 1.08 | % | 8.17 | % | (3.86 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 148,583 | $ | 160,201 | $ | 185,758 | $ | 248,687 | $ | 321,626 | $ | 354,285 | ||||||||||||
Net expenses | 1.47 | %(d) | 1.48 | % | 1.48 | % | 1.48 | % | 1.48 | % | 1.49 | % | ||||||||||||
Gross expenses | 1.47 | %(d) | 1.48 | % | 1.48 | % | 1.48 | % | 1.48 | % | 1.49 | % | ||||||||||||
Net investment income | 1.41 | %(d) | 1.88 | % | 1.96 | % | 1.44 | % | 2.16 | % | 2.11 | % | ||||||||||||
Portfolio turnover rate | 147 | % | 297 | %(e) | 181 | % | 195 | % | 143 | % | 175 | % |
(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) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
See accompanying notes to financial statements.
| 50
Financial Highlights (continued)
For a share outstanding throughout each period.
Core Plus Bond Fund—Class N | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 13.37 | $ | 12.63 | $ | 13.06 | $ | 13.17 | $ | 12.44 | $ | 13.28 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.17 | 0.38 | 0.39 | 0.33 | 0.41 | 0.42 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.08 | 0.72 | (0.38 | ) | (0.06 | ) | 0.73 | (0.78 | ) | |||||||||||||||
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Total from Investment Operations | 0.25 | 1.10 | 0.01 | 0.27 | 1.14 | (0.36 | ) | |||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.36 | ) | (0.44 | ) | (0.38 | ) | (0.41 | ) | (0.40 | ) | ||||||||||||
Net realized capital gains | — | — | — | — | — | (0.08 | ) | |||||||||||||||||
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Total Distributions | (0.18 | ) | (0.36 | ) | (0.44 | ) | (0.38 | ) | (0.41 | ) | (0.48 | ) | ||||||||||||
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Net asset value, end of the period | $ | 13.44 | $ | 13.37 | $ | 12.63 | $ | 13.06 | $ | 13.17 | $ | 12.44 | ||||||||||||
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Total return | 1.91 | %(b) | 8.85 | % | 0.07 | % | 2.12 | % | 9.33 | % | (2.82 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 2,724,727 | $ | 2,610,699 | $ | 1,899,190 | $ | 1,784,150 | $ | 2,134,113 | $ | 2,209,110 | ||||||||||||
Net expenses | 0.38 | %(c) | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | 0.40 | % | ||||||||||||
Gross expenses | 0.38 | %(c) | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % | 0.40 | % | ||||||||||||
Net investment income | 2.50 | %(c) | 2.96 | % | 3.06 | % | 2.53 | % | 3.25 | % | 3.27 | % | ||||||||||||
Portfolio turnover rate | 147 | % | 297 | %(d) | 181 | % | 195 | % | 143 | % | 175 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
(d) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
See accompanying notes to financial statements.
51 |
Financial Highlights (continued)
For a share outstanding throughout each period.
Core Plus Bond Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 13.36 | $ | 12.63 | $ | 13.06 | $ | 13.16 | $ | 12.43 | $ | 13.27 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.16 | 0.37 | 0.38 | 0.31 | 0.40 | 0.41 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.71 | (0.38 | ) | (0.04 | ) | 0.73 | (0.78 | ) | |||||||||||||||
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Total from Investment Operations | 0.25 | 1.08 | 0.00 | (b) | 0.27 | 1.13 | (0.37 | ) | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.35 | ) | (0.43 | ) | (0.37 | ) | (0.40 | ) | (0.39 | ) | ||||||||||||
Net realized capital gains | — | — | — | — | — | (0.08 | ) | |||||||||||||||||
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Total Distributions | (0.18 | ) | (0.35 | ) | (0.43 | ) | (0.37 | ) | (0.40 | ) | (0.47 | ) | ||||||||||||
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Net asset value, end of the period | $ | 13.43 | $ | 13.36 | $ | 12.63 | $ | 13.06 | $ | 13.16 | $ | 12.43 | ||||||||||||
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Total return | 1.86 | %(c) | 8.67 | % | (0.02 | )% | 2.10 | % | 9.22 | % | (2.89 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 4,163,344 | $ | 4,163,785 | $ | 3,733,751 | $ | 3,846,208 | $ | 2,953,919 | $ | 3,137,371 | ||||||||||||
Net expenses | 0.47 | %(d) | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.49 | % | ||||||||||||
Gross expenses | 0.47 | %(d) | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.49 | % | ||||||||||||
Net investment income | 2.41 | %(d) | 2.87 | % | 2.97 | % | 2.43 | % | 3.15 | % | 3.14 | % | ||||||||||||
Portfolio turnover rate | 147 | % | 297 | %(e) | 181 | % | 195 | % | 143 | % | 175 | % |
(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) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
See accompanying notes to financial statements.
| 52
Financial Highlights (continued)
For a share outstanding throughout each period.
Global Allocation Fund—Class A | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 23.76 | $ | 23.10 | $ | 21.60 | $ | 19.17 | $ | 18.45 | $ | 19.77 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.05 | 0.19 | 0.23 | 0.31 | 0.24 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.11 | ) | 1.38 | 1.75 | 2.36 | 1.47 | (0.37 | ) | ||||||||||||||||
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Total from Investment Operations | (2.06 | ) | 1.57 | 1.98 | 2.67 | 1.71 | (0.16 | ) | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.16 | ) | (0.19 | ) | (0.24 | ) | (0.15 | ) | (0.20 | ) | ||||||||||||
Net realized capital gains | (0.56 | ) | (0.75 | ) | (0.29 | ) | — | (0.84 | ) | (0.96 | ) | |||||||||||||
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Total Distributions | (0.68 | ) | (0.91 | ) | (0.48 | ) | (0.24 | ) | (0.99 | ) | (1.16 | ) | ||||||||||||
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Net asset value, end of the period | $ | 21.02 | $ | 23.76 | $ | 23.10 | $ | 21.60 | $ | 19.17 | $ | 18.45 | ||||||||||||
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Total return(b) | (9.11 | )%(c) | 7.66 | % | 9.26 | % | 14.10 | % | 9.64 | % | (0.91 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 431,559 | $ | 453,009 | $ | 401,036 | $ | 305,275 | $ | 280,263 | $ | 246,371 | ||||||||||||
Net expenses | 1.15 | %(d) | 1.16 | % | 1.16 | % | 1.18 | % | 1.17 | % | 1.18 | % | ||||||||||||
Gross expenses | 1.15 | %(d) | 1.16 | % | 1.16 | % | 1.18 | % | 1.17 | % | 1.18 | % | ||||||||||||
Net investment income | 0.39 | %(d) | 0.83 | % | 1.03 | % | 1.57 | % | 1.32 | % | 1.06 | % | ||||||||||||
Portfolio turnover rate | 20 | % | 27 | % | 22 | % | 35 | % | 43 | % | 48 | % |
(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) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
53 |
Financial Highlights (continued)
For a share outstanding throughout each period.
Global Allocation Fund—Class C | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 23.43 | $ | 22.78 | $ | 21.29 | $ | 18.89 | $ | 18.19 | $ | 19.51 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.02 | 0.06 | 0.16 | 0.10 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.09 | ) | 1.38 | 1.73 | 2.33 | 1.46 | (0.36 | ) | ||||||||||||||||
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Total from Investment Operations | (2.13 | ) | 1.40 | 1.79 | 2.49 | 1.56 | (0.30 | ) | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | (0.00 | )(b) | (0.01 | ) | (0.09 | ) | (0.02 | ) | (0.06 | ) | |||||||||||||
Net realized capital gains | (0.56 | ) | (0.75 | ) | (0.29 | ) | — | (0.84 | ) | (0.96 | ) | |||||||||||||
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Total Distributions | (0.56 | ) | (0.75 | ) | (0.30 | ) | (0.09 | ) | (0.86 | ) | (1.02 | ) | ||||||||||||
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Net asset value, end of the period | $ | 20.74 | $ | 23.43 | $ | 22.78 | $ | 21.29 | $ | 18.89 | $ | 18.19 | ||||||||||||
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Total return(c) | (9.45 | )%(d) | 6.85 | % | 8.46 | % | 13.22 | % | 8.88 | % | (1.66 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 433,793 | $ | 480,479 | $ | 412,610 | $ | 354,017 | $ | 423,350 | $ | 393,416 | ||||||||||||
Net expenses | 1.90 | %(e) | 1.91 | % | 1.91 | % | 1.93 | % | 1.92 | % | 1.93 | % | ||||||||||||
Gross expenses | 1.90 | %(e) | 1.91 | % | 1.91 | % | 1.93 | % | 1.92 | % | 1.93 | % | ||||||||||||
Net investment income (loss) | (0.36 | )%(e) | 0.08 | % | 0.29 | % | 0.84 | % | 0.57 | % | 0.31 | % | ||||||||||||
Portfolio turnover rate | 20 | % | 27 | % | 22 | % | 35 | % | 43 | % | 48 | % |
(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) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 54
Financial Highlights (continued)
For a share outstanding throughout each period.
Global Allocation Fund—Class N | ||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Period Ended September 30, 2017* | |||||||||||||
Net asset value, beginning of the period | $ | 23.92 | $ | 23.25 | $ | 21.73 | $ | 19.20 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income(a) | 0.09 | 0.27 | 0.31 | 0.20 | ||||||||||||
Net realized and unrealized gain (loss) | (2.12 | ) | 1.38 | 1.75 | 2.33 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (2.03 | ) | 1.65 | 2.06 | 2.53 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||
Net investment income | (0.19 | ) | (0.23 | ) | (0.25 | ) | — | |||||||||
Net realized capital gains | (0.56 | ) | (0.75 | ) | (0.29 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.75 | ) | (0.98 | ) | (0.54 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 21.14 | $ | 23.92 | $ | 23.25 | $ | 21.73 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return | (8.96 | )%(b) | 8.04 | % | 9.60 | % | 13.18 | %(b) | ||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||
Net assets, end of the period (000’s) | $ | 201,970 | $ | 202,692 | $ | 80,346 | $ | 59,512 | ||||||||
Net expenses | 0.82 | %(c) | 0.82 | % | 0.83 | % | 0.87 | %(c) | ||||||||
Gross expenses | 0.82 | %(c) | 0.82 | % | 0.83 | % | 0.87 | %(c) | ||||||||
Net investment income | 0.72 | %(c) | 1.20 | % | 1.36 | % | 1.48 | %(c) | ||||||||
Portfolio turnover rate | 20 | % | 27 | % | 22 | % | 35 | %(d) |
* | From commencement of Class operations on February 1, 2017 through September 30, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
(d) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017. |
See accompanying notes to financial statements.
55 |
Financial Highlights (continued)
For a share outstanding throughout each period.
Global Allocation Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 23.92 | $ | 23.25 | $ | 21.74 | $ | 19.29 | $ | 18.55 | $ | 19.89 | ||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.08 | 0.24 | 0.29 | 0.36 | 0.29 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.12 | ) | 1.40 | 1.75 | 2.37 | 1.49 | (0.37 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (2.04 | ) | 1.64 | 2.04 | 2.73 | 1.78 | (0.12 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.22 | ) | (0.24 | ) | (0.28 | ) | (0.20 | ) | (0.26 | ) | ||||||||||||
Net realized capital gains | (0.56 | ) | (0.75 | ) | (0.29 | ) | — | (0.84 | ) | (0.96 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.73 | ) | (0.97 | ) | (0.53 | ) | (0.28 | ) | (1.04 | ) | (1.22 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 21.15 | $ | 23.92 | $ | 23.25 | $ | 21.74 | $ | 19.29 | $ | 18.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | (8.98 | )%(b) | 7.95 | % | 9.49 | % | 14.42 | % | 9.97 | % | (0.72 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,887,432 | $ | 1,938,124 | $ | 1,549,689 | $ | 1,067,062 | $ | 835,391 | $ | 604,609 | ||||||||||||
Net expenses | 0.90 | %(c) | 0.91 | % | 0.91 | % | 0.93 | % | 0.92 | % | 0.93 | % | ||||||||||||
Gross expenses | 0.90 | %(c) | 0.91 | % | 0.91 | % | 0.93 | % | 0.92 | % | 0.93 | % | ||||||||||||
Net investment income | 0.64 | %(c) | 1.08 | % | 1.29 | % | 1.79 | % | 1.58 | % | 1.30 | % | ||||||||||||
Portfolio turnover rate | 20 | % | 27 | % | 22 | % | 35 | % | 43 | % | 48 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 56
March 31, 2020 (Unaudited)
1. Organization. Natixis Funds Trust 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 anopen-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 (the “Core Plus Bond Fund”)
Loomis Sayles Funds II:
Loomis Sayles Global Allocation Fund (the “Global Allocation Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y shares.
Class A shares are sold with a maximumfront-end sales charge of 4.25% for Core Plus Bond Fund and 5.75% for Global Allocation Fund. Class C shares do not pay afront-end sales charge, pay higher Rule12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) 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 afront-end sales charge, a CDSC or Rule12b-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. Expenses of a Fund are bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-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 Rule12b-1 Plan. Shares of each class would receive theirpro 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
57 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
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 period-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. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange 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. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are 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 valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Fund securities and other investments
| 58
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value 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 its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, 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 securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of March 31, 2020, securities held by the Funds were fair valued as follows:
Fund | Equity | Percentage of | Securities | Percentage of | Securities fair | Percentage of | ||||||||||||||||||
Core Plus Bond Fund | $ | — | — | $ | 2,844,656 | Less than 0.1% | $ | 1,711,149 | Less than 0.1% | |||||||||||||||
Global Allocation Fund | 472,714,400 | 16.0 | % | 743,827 | Less than 0.1% | — | — |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
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 theex-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. 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
59 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. 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 apro 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 on the Funds’ books 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.
For the six months ended March 31, 2020, the amount of income available to be distributed by Core Plus Bond Fund has been reduced by $5,899,537 as a result of losses arising from changes in exchange rates.
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.
| 60
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
d. Forward Foreign Currency Contracts. The Funds 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 the 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 tradedover-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.
e. Futures Contracts. The Funds 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 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.
61 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
f. When-Issued and Delayed Delivery Transactions. The Funds 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 netmark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
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.
There were no when-issued or delayed delivery securities held by the Funds as of March 31, 2020.
g. 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 March 31, 2020 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 six 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.
| 62
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
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 eligible to be reclaimed. 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 will be filed 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.
h. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-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 bonds, treasury inflation-protected bonds, defaulted and/ornon-income producing securities, capital gains taxes, deferred Trustees’ fees, distributionre-designations 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, defaulted and/ornon-income producing securities, forward foreign currency contractmark-to-market, wash sales, premium amortization, corporate actions, treasury inflation-protected bonds, contingent payment debt instruments, trust preferred securities and convertible bonds. 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.
63 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2019 was as follows:
2019 Distributions Paid From: | ||||||||||||
Fund | Ordinary | Long-Term | Total | |||||||||
Core Plus Bond Fund | $ | 183,241,676 | $ | — | $ | 183,241,676 | ||||||
Global Allocation Fund | 18,627,380 | 77,905,873 | 96,533,253 |
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 inper-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, 2019, capital loss carryforwards were as follows:
Core Plus | Global | |||||||
Capital loss carryforward: |
| |||||||
Long-term: |
| |||||||
No expiration date | $ | (74,174,601 | ) | $ | — | |||
|
|
|
|
As of March 31, 2020, unrealized appreciation (depreciation) on a tax basis was approximately as follows:
Core Plus | Global | |||||||
Unrealized appreciation (depreciation) | ||||||||
Investments | $ | 125,937,988 | $ | 143,306,463 | ||||
Foreign currency translations | (45,833,312 | ) | (11,485,257 | ) | ||||
|
|
|
| |||||
Total unrealized appreciation | $ | 80,104,676 | $ | 131,821,206 | ||||
|
|
|
|
| 64
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
As of March 31, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Core Plus | Global | |||||||
Federal tax cost | $ | 7,262,530,287 | $ | 2,809,244,903 | ||||
|
|
|
| |||||
Gross tax appreciation | $ | 374,522,256 | $ | 320,508,290 | ||||
Gross tax depreciation | (294,243,852 | ) | (188,620,606 | ) | ||||
|
|
|
| |||||
Net tax appreciation | $ | 80,278,404 | $ | 131,887,684 | ||||
|
|
|
|
The difference between these amounts and those reported in the preceding table are primarily attributable to capital gains taxes and foreign exchange gains or losses.
Amounts in the tables above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivativesmark-to-market.
i. Senior Loans. Each Fund may invest in senior loans 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. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
j. 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 aretri-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 March 31, 2020, 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
65 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
k. Due to/from Brokers. Transactions and positions in certain futures and forward foreign currency contracts 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 Allocation Fund represents cash pledged as collateral for forward foreign currency contracts. 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.
l. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities fornon-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued bynon-U.S. Governments andnon-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended March 31, 2020, neither Fund had loaned securities under this agreement.
m. 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.
n. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update2018-13, Fair Value
| 66
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements.ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. New disclosures required by ASU2018-13 will be incorporated in the Funds’ semiannual financial statements as of March 31, 2021.
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 and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in
67 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2020, at value:
Core Plus Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 118,331,534 | $ | 32,730 | (b) | $ | 118,364,264 | |||||||
Collateralized Mortgage Obligations | — | 70,401,230 | 1,678,419 | (b) | 72,079,649 | |||||||||||
All OtherNon-Convertible Bonds(a) | — | 6,855,657,127 | — | 6,855,657,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 7,044,389,891 | 1,711,149 | 7,046,101,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Municipals(a) | — | 16,347,460 | — | 16,347,460 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 7,060,737,351 | 1,711,149 | 7,062,448,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 146,562,329 | — | 146,562,329 | ||||||||||||
Preferred Stocks(a) | — | 17,563,000 | — | 17,563,000 | ||||||||||||
Common Stocks(a) | — | 1,343,269 | — | (c) | 1,343,269 | |||||||||||
Short-Term Investments | — | 114,891,593 | — | 114,891,593 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 7,341,097,542 | $ | 1,711,149 | $ | 7,342,808,691 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Fair valued by the Fund’s adviser. |
(c) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
| 68
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Global Allocation Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 71,363,293 | $ | — | $ | 71,363,293 | ||||||||
Hong Kong | — | 50,756,654 | — | 50,756,654 | ||||||||||||
India | — | 32,597,504 | — | 32,597,504 | ||||||||||||
Japan | — | 52,041,371 | — | 52,041,371 | ||||||||||||
Sweden | — | 53,171,412 | — | 53,171,412 | ||||||||||||
Switzerland | — | 107,688,084 | — | 107,688,084 | ||||||||||||
United Kingdom | 59,144,894 | 105,096,082 | — | 164,240,976 | ||||||||||||
United States | 1,277,095,128 | 1,102 | — | 1,277,096,230 | ||||||||||||
All Other Common Stocks(a) | 169,031,039 | — | — | 169,031,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,505,271,061 | 472,715,502 | — | 1,977,986,563 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
United States | 27,573 | 480,366,111 | — | 480,393,684 | ||||||||||||
All OtherNon-Convertible Bonds(a) | — | 409,559,295 | — | 409,559,295 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | 27,573 | 889,925,406 | — | 889,952,979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 12,127,879 | 2,850 | (b) | 12,130,729 | |||||||||||
Municipals(a) | — | 266,168 | — | 266,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | 27,573 | 902,319,453 | 2,850 | 902,349,876 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks(a) | 1,674,936 | 26,701 | — | 1,701,637 | ||||||||||||
Short-Term Investments | — | 55,872,439 | — | 55,872,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,506,973,570 | 1,430,934,095 | 2,850 | 2,937,910,515 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 6,998,617 | — | 6,998,617 | ||||||||||||
Futures Contracts (unrealized appreciation) | 343,400 | — | — | 343,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,507,316,970 | $ | 1,437,932,712 | $ | 2,850 | $ | 2,945,252,532 | ||||||||
|
|
|
|
|
|
|
|
69 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Global Allocation Fund (continued)
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (4,119,946) | $ | — | $ | (4,119,946) | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Valued using broker-dealer bid prices. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or March 31, 2020:
Core Plus Bond Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | 41,289 | $ | — | $ | — | $ | 20 | $ | — | ||||||||||
Collateralized Mortgage Obligations | — | — | (2,427 | ) | 2,763 | — | ||||||||||||||
Common Stocks | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | 779 | — | — | (779 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 42,068 | $ | — | $ | (2,427 | ) | $ | 2,004 | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | (8,579 | ) | $ | — | $ | — | $ | 32,730 | $ | (74) | |||||||||
Collateralized Mortgage Obligations | (1,789,551 | ) | 3,467,634 | — | 1,678,419 | 2,763 | ||||||||||||||
Common Stocks | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | — | (a) | (779 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,798,130 | ) | $ | 3,467,634 | $ | — | $ | 1,711,149 | $ | 1,910 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 Inputs. |
| 70
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
Debt securities valued at $3,467,634 were transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2020 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
Global Allocation Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
Canada | $ | 4,819 | $ | — | $ | 17 | $ | 29 | $ | — | ||||||||||
Convertible Bonds | ||||||||||||||||||||
United States | — | 808 | — | (54,721 | ) | — | ||||||||||||||
Preferred Stocks | ||||||||||||||||||||
United States | 301,240 | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 306,059 | $ | 808 | $ | 17 | $ | (54,692 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
Canada | $ | (4,865 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||
Convertible Bonds | ||||||||||||||||||||
United States | — | 56,763 | — | 2,850 | (54,721 | ) | ||||||||||||||
Preferred Stocks | ||||||||||||||||||||
United States | — | — | (301,240 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (4,865 | ) | $ | 56,763 | $ | (301,240) | $ | 2,850 | $ | (54,721) | |||||||||
|
|
|
|
|
|
|
|
|
|
71 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
A debt security valued at $56,763 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
Preferred stocks valued at $301,240 were transferred from Level 3 to Level 2 during the period ended March 31, 2020. At September 30, 2019, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities. At March 31, 2020, these securities were valued on the basis of 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 Global Allocation Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund is 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 Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund 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 Fund. During the six months ended March 31, 2020, Global Allocation Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The 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. The Fund may also use futures contracts to gain investment exposure. During the six months ended March 31, 2020, the Fund used futures contracts for hedging purposes, to manage duration and to gain investment exposure.
| 72
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
The following is a summary of derivative instruments for Global Allocation Fund as of March 31, 2020, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | Unrealized | ||||||
Over-the-counter asset derivatives | ||||||||
Foreign exchange contracts | $ | 6,998,617 | $ | — | ||||
|
|
|
| |||||
Exchange-traded asset derivatives | ||||||||
Interest rate contracts | $ | — | $ | 343,400 | ||||
|
|
|
| |||||
Total asset derivatives | $ | 6,998,617 | $ | 343,400 | ||||
|
|
|
| |||||
Liabilities | Unrealized | |||||||
Over-the-counter liability derivatives | ||||||||
Foreign exchange contracts | $ | (4,119,946 | ) |
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 Allocation Fund during the six months ended March 31, 2020, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: | Futures | Forward | ||||||
Interest rate contracts | $ | 155,691 | $ | — | ||||
Foreign exchange contracts | — | 3,202,323 | ||||||
|
|
|
| |||||
Total | $ | 155,691 | $ | 3,202,323 | ||||
|
|
|
| |||||
Net Change in Unrealized | Futures | Forward | ||||||
Interest rate contracts | $ | 343,400 | $ | — | ||||
Foreign exchange contracts | — | 3,759,851 | ||||||
|
|
|
| |||||
Total | $ | 343,400 | $ | 3,759,851 | ||||
|
|
|
|
73 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on grossmonth-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2020:
Global Allocation Fund | Forwards | Futures | ||||||
Average Notional Amount Outstanding | 9.37 | % | 0.17 | % | ||||
Highest Notional Amount Outstanding | 11.24 | % | 0.22 | % | ||||
Lowest Notional Amount Outstanding | 8.43 | % | 0.18 | % | ||||
Notional Amount Outstanding as of March 31, 2020 | 11.24 | % | 0.22 | % |
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 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 netmark-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.
| 74
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
As of March 31, 2020, gross amounts ofover-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 | Offset | Net Asset | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | 620,499 | $ | (62,733 | ) | $ | 557,766 | $ | (340,000 | ) | $ | 217,766 | ||||||||
Citibank N.A. | 441,957 | (139,293 | ) | 302,664 | (302,664 | ) | — | |||||||||||||
Credit Suisse International | 4,790,666 | (861,438 | ) | 3,929,228 | (3,929,228 | ) | — | |||||||||||||
Goldman Sachs & Co. | 341,588 | — | 341,588 | — | 341,588 | |||||||||||||||
HSBC Bank USA | 145,974 | (145,974 | ) | — | — | — | ||||||||||||||
UBS AG | 657,933 | (266,786 | ) | 391,147 | (390,000 | ) | 1,147 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 6,998,617 | $ | (1,476,224 | ) | $ | 5,522,393 | $ | (4,961,892 | ) | $ | 560,501 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Gross Amounts of | Offset | Net | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | (62,733 | ) | $ | 62,733 | $ | — | $ | — | $ | — | |||||||||
Citibank N.A. | (139,293 | ) | 139,293 | — | — | — | ||||||||||||||
Credit Suisse International | (861,438 | ) | 861,438 | — | — | — | ||||||||||||||
HSBC Bank USA | (382,551 | ) | 145,974 | (236,577 | ) | 236,577 | — | |||||||||||||
Morgan Stanley Capital Services, Inc. | (2,407,145 | ) | — | (2,407,145 | ) | 2,103,755 | (303,390 | ) | ||||||||||||
UBS AG | (266,786 | ) | 266,786 | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (4,119,946 | ) | $ | 1,476,224 | $ | (2,643,722 | ) | $ | 2,340,332 | $ | (303,390 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
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 aremarked-to-market and when collateral moves. The ISDA agreements includetri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, 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
75 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
credit risk onover-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 atpre-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 (typically $250,000, depending on the counterparty). 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 are required to segregate customer margin 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 clients, U.S. bankruptcy laws will typically allocate that shortfall on apro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2020:
Fund | Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | ||||||
Global Allocation Fund | $ | 9,655,040 | $ | 876,592 |
Net loss amount reflects cash received as collateral of $5,290,000, which is recorded on the Statements of Assets and Liabilities.
5. Purchases and Sales of Securities. For the six months ended March 31, 2020, 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 | $ | 9,831,229,267 | $ | 10,264,217,922 | $ | 987,010,293 | $ | 572,715,022 | ||||||||
Global Allocation Fund | 174,147,934 | 75,109,385 | 796,353,128 | 545,310,398 |
| 76
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
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 (“Natixis”), 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 | Over | |||||||||
Core Plus Bond Fund | 0.2000 | % | 0.1875 | % | 0.1500 | % | ||||||
Global Allocation Fund | 0.7500 | % | 0.7500 | % | 0.7300 | % |
Natixis Advisors, L.P. (“Natixis Advisors”) serves as the advisory administrator to Core Plus Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. 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 | Over | |||||||||
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, 2021, 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.
77 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
For the six months ended March 31, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Fund | Expense Limit as a Percentage of Average Daily Net Assets | |||||||||||||||
Class A | Class C | Class N | Class Y | |||||||||||||
Core Plus Bond Fund | 0.80 | % | 1.55 | % | 0.50 | % | 0.55 | % | ||||||||
Global Allocation 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 a class’ expense limits, 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 six months ended March 31, 2020, the management fees for each Fund were as follows:
Fund | Gross | Percentage of | ||||||
Core Plus Bond Fund | $ | 6,102,194 | 0.16 | % | ||||
Global Allocation Fund | 12,082,354 | 0.74 | % |
For the six months ended March 31, 2020, the advisory administration fees for Core Plus Bond Fund were $6,102,194 (effective rate of 0.16% of average daily net assets).
No expenses were recovered for either Fund during the six months ended March 31, 2020 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, 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 Rule12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, 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
| 78
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, 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 Plans, each Fund pays Natixis Distribution a monthly distribution fee at an 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 six months ended March 31, 2020, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Core Plus Bond Fund | $ | 675,629 | $ | 190,358 | $ | 571,075 | ||||||
Global Allocation Fund | 608,395 | 610,936 | 1,832,807 |
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly itspro 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 Trust, 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 Trust of $10 million, which is reevaluated on an annual basis.
For the six months ended March 31, 2020, the administrative fees for each Fund were as follows:
Fund | Administrative Fees | |||
Core Plus Bond Fund | $ | 1,674,319 | ||
Global Allocation Fund | 714,020 |
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
79 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
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 currentper-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 six months ended March 31, 2020, thesub-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 | |||
Core Plus Bond Fund | $ | 2,103,542 | ||
Global Allocation Fund | 1,240,559 |
As of March 31, 2020, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
Core Plus Bond Fund | $ | 46,563 | ||
Global Allocation Fund | 37,787 |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on apro ratabasis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended March 31, 2020, were as follows:
Fund | Commissions | |||
Core Plus Bond Fund | $ | 10,717 | ||
Global Allocation Fund | 120,820 |
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 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
| 80
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
aggregate, a retainer fee at the annual rate of $199,000. 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. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.
Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. All other Trustee fees remained unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. 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 Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. 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.
g. Affiliated Ownership. As of March 31, 2020, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Core Plus Bond Fund and Global Allocation Fund representing 0.13% and 0.64%, respectively, of the Funds’ net assets.
Investment activities of affiliated shareholders could have material impacts on the Funds.
81 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors had given a binding contractual undertaking to Global Allocation Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through January 31, 2020 and is not subject to recovery under the expense limitation agreement described above.
For the six months ended March 31, 2020, Natixis Advisors reimbursed Global Allocation Fund $782 for transfer agency expenses related to Class N shares.
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 apro ratabasis 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 six months ended March 31, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Core Plus Bond Fund | $ | 240,343 | $ | 67,732 | $ | 6,435 | $ | 1,892,483 | ||||||||
Global Allocation Fund | 205,031 | 205,793 | 1,469 | 868,890 |
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 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 an arrangement fee, an upfront fee, and certain other 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 and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the six months ended March 31, 2020, neither Fund had borrowings under this agreement.
9. Payable to Custodian Bank. The Funds’ custodian bank, State Street Bank, provides overdraft protection to the Funds in the event of a cash shortfall. Cash overdrafts bear
| 82
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
interest at a rate per annum equal to the Federal Funds rate plus 2.00%. At March 31, 2020, Core Plus Bond Fund had a payable of $4,210,283 to the custodian bank for an overdraft.
10. 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’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.
Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus(“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that theCOVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of theCOVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.
11. 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 Fund. As of March 31, 2020, based on management’s evaluation of the shareholder account base, Core Plus Bond Fund had accounts representing controlling ownership of more than 5% of the Fund’s 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:
Number of 5% | Percentage of | |||||||
Core Plus Bond Fund | 2 | 12.75 | % |
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 anon-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
83 |
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended March 31, 2020 | | Year Ended September 30, 2019 | |||||||||||||
Core Plus Bond Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 6,514,739 | $ | 86,771,737 | 12,426,857 | $ | 158,345,750 | ||||||||||
Issued in connection with the reinvestment of distributions | 367,871 | 4,887,687 | 837,896 | 10,721,395 | ||||||||||||
Redeemed | (10,413,210 | ) | (138,230,536 | ) | (19,090,450 | ) | (243,916,582 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (3,530,600 | ) | $ | (46,571,112 | ) | (5,825,697 | ) | $ | (74,849,437 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 775,497 | $ | 10,332,142 | 1,660,719 | $ | 21,057,183 | ||||||||||
Issued in connection with the reinvestment of distributions | 72,265 | 960,459 | 172,807 | 2,212,246 | ||||||||||||
Redeemed | (1,785,326 | ) | (23,708,781 | ) | (4,572,623 | ) | (58,229,725 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (937,564 | ) | $ | (12,416,180 | ) | (2,739,097 | ) | $ | (34,960,296 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 39,046,490 | $ | 526,566,163 | 74,861,614 | $ | 965,170,758 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,585,605 | 34,681,013 | 4,521,156 | 58,566,539 | ||||||||||||
Redeemed | (34,229,754 | ) | (454,996,855 | ) | (34,409,887 | ) | (444,651,546 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 7,402,341 | $ | 106,250,321 | 44,972,883 | $ | 579,085,751 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 48,288,250 | $ | 649,327,317 | 85,377,215 | $ | 1,102,722,145 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,569,703 | 47,841,407 | 6,833,439 | 88,271,244 | ||||||||||||
Redeemed | (53,612,481 | ) | (719,814,649 | ) | (76,245,974 | ) | (976,476,811 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,754,528 | ) | $ | (22,645,925 | ) | 15,964,680 | $ | 214,516,578 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 1,179,649 | $ | 24,617,104 | 52,372,769 | $ | 683,792,596 | ||||||||||
|
|
|
|
|
|
|
|
| 84
Notes to Financial Statements (continued)
March 31, 2020 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended March 31, 2020 | | Year Ended September 30, 2019 | |||||||||||||
Global Allocation Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 4,165,368 | $ | 99,821,806 | 7,286,270 | $ | 162,617,493 | ||||||||||
Issued in connection with the reinvestment of distributions | 408,536 | 10,037,742 | 622,284 | 12,134,537 | ||||||||||||
Redeemed | (3,109,593 | ) | (72,471,534 | ) | (6,207,958 | ) | (137,784,719 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,464,311 | $ | 37,388,014 | 1,700,596 | $ | 36,967,311 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 3,057,118 | $ | 72,608,025 | 5,953,693 | $ | 130,846,979 | ||||||||||
Issued in connection with the reinvestment of distributions | 335,475 | 8,148,688 | 519,881 | 10,054,504 | ||||||||||||
Redeemed | (2,983,870 | ) | (68,698,358 | ) | (4,084,514 | ) | (89,798,271 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 408,723 | $ | 12,058,355 | 2,389,060 | $ | 51,103,212 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 1,377,610 | $ | 33,185,335 | 5,515,442 | $ | 122,986,662 | ||||||||||
Issued in connection with the reinvestment of distributions | 229,737 | 5,672,201 | 168,053 | 3,290,482 | ||||||||||||
Redeemed | (527,154 | ) | (12,428,769 | ) | (665,833 | ) | (15,132,556 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,080,193 | $ | 26,428,767 | 5,017,662 | $ | 111,144,588 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 18,326,233 | $ | 433,811,952 | 31,758,778 | $ | 709,981,758 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,901,677 | 46,971,422 | 2,439,526 | 47,790,318 | ||||||||||||
Redeemed | (11,997,985 | ) | (274,398,266 | ) | (19,828,297 | ) | (438,143,471 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 8,229,925 | $ | 206,385,108 | 14,370,007 | $ | 319,628,605 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 11,183,152 | $ | 282,260,244 | 23,477,325 | $ | 518,843,716 | ||||||||||
|
|
|
|
|
|
|
|
85 |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
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 forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-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 Trust’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 FormN-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 was no change in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a) | (1) Not applicable. |
(a) (2) |
(a) (3) | Not applicable. |
(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.
Natixis Funds Trust I | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 19, 2020 |
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/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 19, 2020 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer and Principal Financial and Accounting Officer | |
Date: | May 19, 2020 |