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Loomis Sayles Funds Ii

Filed: 5 Dec 16, 7:00pm
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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: 811-06241

 

 

Loomis Sayles Funds II

(Exact name of Registrant as specified in charter)

 

 

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(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: September 30, 2016

 

 

 


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Item 1. Reports to Stockholders.

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


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ANNUAL REPORT

September 30, 2016

LOGO

 

Loomis Sayles Global Equity and Income Fund

Loomis Sayles Growth Fund

Loomis Sayles Value Fund

 

LOGO

 

 

TABLE OF CONTENTS

Portfolio Review  page 1

Portfolio of Investments  page 23

Financial Statements  page  51

Notes to Financial Statements  page 68

 


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LOOMIS SAYLES GLOBAL EQUITY AND INCOME FUND

 

Managers Symbols
Daniel J. Fuss, CFA®, CIC Class A    LGMAX
Eileen N. Riley, CFA® Class C    LGMCX
David W. Rolley, CFA® Class Y    LSWWX
Lee M. Rosenbaum 
Loomis, Sayles & Company, L.P. 

 

 

Investment Goal

The Fund seeks high total investment return through a combination of capital appreciation and current income.

 

 

Market Conditions

Global markets were turbulent at times, producing varied results during the reporting period. Investors grappled with mixed global economic data, questions about future monetary policy, fluctuating oil prices and the ramifications of the U.K.’s vote to leave the European Union (EU) in June. As a result, the year was characterized by periods of calm punctuated by sharp market selloffs. After raising interest rates in December 2015, the Federal Reserve (the Fed) subsequently adopted a more dovish tone in early 2016, given the increasingly mixed global economic outlook. The Fed maintained its cautious stance through the rest of the period, while other major central banks remained highly accommodative. Ultimately, equity and fixed-income markets produced strong returns over the reporting period.

Equity market returns varied by region. U.S. equities performed well as the modest U.S. economic recovery continued. In contrast, U.K. equities were weaker, partly due to currency moves, as the British pound fell sharply versus the U.S. dollar following the June Brexit vote.

The bouts of volatility triggered flights to quality that supported global fixed-income markets, particularly during the first quarter of 2016, when global bonds rallied. Highly accommodative central bank policy supported bond prices, despite forcing many government — and even some corporate — bond yields into negative territory.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles Global Equity and Income Fund returned 9.64%. The fund underperformed its primary benchmark, the Morgan Stanley Capital International (MSCI) World Index, which returned 12.02%. The fund underperformed its secondary benchmark, the Citigroup World Government Bond Index, which returned 9.71%. Effective September 30, 2016, the fund’s primary benchmark changed from the MSCI World Index to the MSCI All Country World Index and the fund’s secondary benchmark changed from the Citigroup World Government Bond Index to a blended benchmark of 60% MSCI All Country World Index / 40% Bloomberg Barclays Global Aggregate Bond Index.

 

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Explanation of Fund Performance

The fund’s target allocations between equity and fixed-income shifted in favor of equity, as we found more opportunities in the equity market.

Within the fund’s equity component, the healthcare sector was the most significant drag on absolute and relative performance, largely due to the pharmaceuticals industry. In particular, Valeant Pharmaceuticals, a Canada-based drug company, weighed on results. The company’s stock struggled on concerns about Valeant’s accounting practices and its relationship with a small specialty online pharmacy (Philidor). In addition, the company faced a potential congressional subpoena regarding aggressive drug price increases. Valeant’s higher leverage, largely due to its mergers and acquisitions (M&A) strategy, led to increased risks for the company’s cash flow, which intensified investor concerns. We sold the position in October 2015. Another drug company — Alexion Pharmaceuticals — also detracted from performance. The company experienced delays in Latin American product revenues due to currency issues and the negative effects of continued low oil prices on the region. Alexion also suffered in sympathy with the broad biotechnology sector, which sold off aggressively in the first quarter of 2016. Alexion’s stock stumbled further after the Brexit vote due to investor concerns about currency fluctuation, given the large amount of company revenue based in the U.K. We eliminated the position in June 2016. Elsewhere in the pharmaceuticals industry, Allergan suffered in sympathy with Valeant, given its similar M&A strategy. However, unlike Valeant, the company had no questionable ties with specialty pharmaceutical companies or egregious price increases. We continue to own Allergan due to the company’s current valuation, solid cash position (after the sale of their generics business to Teva) and strong discipline in delivering cash to shareholders.

U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-U.S.-dollar-denominated holdings during the period. During the period the amount of income available to be distributed by the fund was reduced to reflect the realization of currency losses from certain bond sales and maturities. Within the fund’s fixed-income component, an allocation to the Mexican peso weighed on return. Fiscal and trade balance concerns persisted in Mexico, and asset class hedging and investor flows were not favorable. Holdings in the British pound also detracted from performance. The currency ended the period weaker due to concerns about Brexit-related negotiations and economic uncertainty.

On a positive note, the information technology, consumer discretionary and industrial sectors were the largest contributors to the equity component’s absolute and relative performance. Stock selection was the primary driver of outperformance in all three sectors.

In terms of individual contributors, a position in Alibaba aided performance. The China-based e-commerce company outperformed due to accelerating revenue growth fueled by improved monetization (particularly in mobile), better-than-expected margins and positive cash flow generation. The company used its cash flow for thoughtful M&A and modest share buybacks. Additionally, Alibaba provided visibility on a variety of key businesses, and our confidence in the stock remains high. TransDigm, an aerospace components manufacturer, was another main contributor during the period. TransDigm delivered strong results in the last four quarters, with the commercial aftermarket business driving

 

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LOOMIS SAYLES GLOBAL EQUITY AND INCOME FUND

 

top-line growth and improved margin performance. In addition to delivering strong organic results, management allocated $1.5 billion of capital to acquisitions, which we believe will drive margin and free cash flow growth. We continue to have a favorable view of the business and its prospects. A position in Facebook was also a top contributor, outperforming due to improved revenue, margins, cash flow and a lower tax rate. The social media company is quickly attacking the total addressable market and ramping up key properties where its penetration has only begun. We believe management has thoughtfully strengthened the platform year after year.

Within the fixed-income segment, security selection among lower-rated investment grade and high-yield issuers, including hard currency emerging markets, contributed to performance. These issues outperformed their higher-rated counterparts, largely due to investor demand for higher-yielding assets in a low-yield environment. In particular, energy and basic industry holdings added notable value, aided by improved commodity prices. Selections among communications and consumer (cyclical and non-cyclical) issuers also performed well. In addition, the U.S. yield curve flattened throughout the period, further supporting the portfolio’s longer duration (greater price sensitivity to interest rate changes) and higher-yielding names. Elsewhere, our global bank holdings were positive, despite pressure in the banking sector from low interest rates and Brexit-related uncertainty.

Outlook

We expect the euro zone, England, and Japan to continue expansionary monetary policies to spur growth, though the benefits may be waning. Fiscal policy responses may be the next step. The U.S. economy remains on sure footing. We believe the Fed will raise rates in December 2016, but the market is divided on the issue. The Fed is likely to take a moderate approach to rate hikes heading into 2017 as growth and inflation forecasts remain benign.

Since early 2015, ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been reduced, primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

The U.S. presidential election in November can add to global uncertainty and may be a catalyst for volatility heading into year-end. Europe is also facing challenges, with the migrant crisis fraying EU cohesion and the risk of political instability and EU referendum contagion spreading across the euro zone. The upcoming Italy reform referendum could lead to risk aversion and broad selloffs in peripheral government debt and bank corporate bonds. Elsewhere, OPEC has indicated it may cut oil production at its November meeting, which

 

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may cause oil prices to appreciate modestly. However, we believe there is a ceiling to oil price appreciation, because rising prices may attract additional production to the market. Ultimately, we believe prices will remain fairly range bound at about $45 to $50 a barrel into 2017.

 

 

Hypothetical Growth of $10,000 Investment in Class A Shares5

September 30, 2006 through September 30, 2016

 

LOGO

See notes to chart on page 5.

Top Ten Holdings as of September 30, 2016

 

    Security Name  % of
Net Assets
 
1  Alibaba Group Holding Ltd., Sponsored ADR   3.15%  
2  TransDigm Group, Inc.   3.06%  
3  Facebook, Inc., Class A   2.79%  
4  AutoZone, Inc.   2.45%  
5  Allergan PLC   2.37%  
6  AIA Group Ltd.   2.36%  
7  Anheuser-Busch InBev SA/NV   2.18%  
8  Nestle S.A., (Registered)   2.17%  
9  Alphabet, Inc., Class A   2.10%  
10  Sherwin-Williams Co. (The)   2.02%  

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

 

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LOOMIS SAYLES GLOBAL EQUITY AND INCOME FUND

 

Average Annual Total Returns — September 30, 20165

 

     
            Expense Ratio6 
   1 Year  5 Years  10 Years  Gross  Net 
   
Class A (Inception 2/1/06)      
NAV  9.64  9.89  7.77  1.18  1.18
With 5.75% Maximum Sales Charge  3.31    8.60    7.14     
   
Class C (Inception 2/1/06)      
NAV  8.88    9.08    6.96    1.93    1.93  
With CDSC1  7.88    9.08    6.96     
   
Class Y (Inception 5/1/96)      
NAV  9.97    10.16    8.04    0.93    0.93  
  
Comparative Performance      
MSCI ACWI (Net)2  11.96    10.63    4.34     
Blended Index3  10.92    7.15    4.62     
MSCI World Index4  12.02    12.27    5.06          

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 ngam.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.

 

1Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2The MSCI All Country World Index (Net) represents the performance of 46 markets in both the developed and emerging markets in Africa, Europe, North America and South America. Effective September 30, 2016, the MSCI ACWI (Net) replaced the MSCI World Index as the Fund’s primary benchmark because the Fund believes the MSCI ACWI (Net), an index which is designed to measure the equity market performance of both developed and emerging markets, is more representative of the Fund’s investment strategy and geographical exposure.

 

3The 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.

 

4MSCI World Index is an unmanaged index that is designed to measure the equity market performance of developed markets.

 

5Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

6As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES GROWTH FUND

 

Manager Symbols
Aziz V. Hamzaogullari, CFA® Class A    LGRRX
Loomis, Sayles & Company, L.P. Class C    LGRCX
 Class N    LGRNX
 Class Y    LSGRX

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

Market Conditions

Despite several bouts of heightened volatility, U.S. stocks continued to rally, posting solid double-digit gains for the 12-month period. Non-U.S. stocks also advanced sharply, driven by strong gains in the emerging markets. Early in the period, anticipation surrounding the Federal Reserve’s (the Fed’s) strategy for monetary policy normalization — combined with sluggish U.S. economic growth, slowing growth in China, and plunging oil prices — triggered strong month-to-month volatility. The Fed finally lifted short-term rates in December and indicated more tightening would come in 2016. Stocks generally declined until mid-February, when a turnaround in the oil markets, combined with signs that China’s economy was stabilizing, helped restore investor optimism and drive stock prices higher. Strong volatility resurfaced again in June, when U.K. citizens voted to exit the European Union (E.U.). This event sparked a brief selloff among stocks and other riskier assets. But cooler heads ultimately prevailed and a recovery rally ensued. Central banks in Europe, the U.K. and Japan pledged additional support, while the Fed continued to hold rates steady. Better-than-expected corporate earnings reports and modestly improving economic data also encouraged investors, and stocks generally remained on an upward course through September 30.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles Growth Fund returned 21.32%. The fund outperformed its benchmark, the Russell 1000® Growth Index, which returned 13.76%.

Explanation of Fund Performance

The Fund’s positions in Amazon, Alibaba, and Facebook contributed to performance. Stock selection in the information technology, consumer discretionary and energy sectors, along with our overweight position in information technology and underweight in consumer discretionary, contributed to relative performance. Among individual holdings, global e-commerce company Amazon was a main contributor. During the period, the company reported strong growth in revenue that exceeded consensus expectations and strong gross merchandise volume (GMV) globally. Amazon Web Services (AWS) also posted impressive revenue growth that was significantly higher than our estimate for overall spending by businesses on enterprise information technology (IT). With its sales mix

 

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shifting increasingly to third-party e-commerce sales, AWS, advertising revenue and higher-margin product categories, Amazon reported solid margins and significant free cash flow growth even while the company continued making strategic investments. We believe Amazon is one of the best-positioned companies in e-commerce and enterprise IT — each addressing large, underpenetrated markets where secular growth is still in its early stages.

In addition, China-based e-commerce company Alibaba was a top contributor. The company reported fundamentally strong results during the period, with revenue growth consistently exceeding consensus expectations and GMV increased at a higher rate than the overall growth rate in China’s retail commerce. Growth drivers included better monetization and increasing consumer engagement. The higher monetized mobile platform now accounts for 75% of the company’s total GMV, up from 55% just one year ago. At the end of the period, the company reported 434 million monthly active users, with 427 million active monthly mobile users that represented a 39% increase compared with last year. China’s structural shift to e-commerce is the secular growth driver for Alibaba. Its competitive advantages include its strong brand, the powerful network and ecosystem of its interconnected sites, and economies of scale. We believe the current market price embeds expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions.

Social media company Facebook reported robust revenue growth throughout the period and continued to take market share. The company’s growth rate was more than three times that of its online competitors and significantly higher than traditional advertisers. Mobile advertising grew to 84% of Facebook’s advertising revenue during the period and was up from 76% a year ago. Facebook’s user base grew 15% year over year to 1.7 billion users, with 87% residing outside North America. Free cash flow remained robust during the period. The global secular shift from traditional advertising to online advertising is the largest growth driver for Facebook. We believe Facebook’s unique attributes, such as its brand and network and social advantages, position the company to drive revenue, cash flow growth, and market share gains as this long-term secular shift progresses.

On the down side, positions in Novo Nordisk, Novartis, and SEI Investments detracted from performance. At a sector level, stock selection in the financials sector detracted from relative performance. In terms of individual holdings, a position in Novo Nordisk, a diabetes-focused pharmaceutical company, was a main detractor. The company reported fundamentally solid growth during the period led by strong performance of its next-generation insulin products and non-insulin anti-diabetic therapy, Victoza. However, the company’s stock price experienced near-term pressure due to lower-than-expected management guidance and missing consensus expectations in the second half of the period. We continue to believe Novo’s competitive advantages, including deep experience in diabetes care and therapeutic proteins, a robust infrastructure that took decades to build, efficient manufacturing techniques and a robust pipeline and economies of scale, are difficult to replicate. Accordingly, we believe Novo Nordisk has an unmatched ability to engineer, formulate, develop and deliver value-added treatments for unmet patient needs. We believe the company’s shares are currently selling below our estimate of intrinsic value (our estimate of the true worth of a business, which we define as the present value of all

 

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expected future net cash flows to the company) and offer an attractive reward-to-risk opportunity.

A position in Novartis was another detractor from performance. The company’s branded and generic (Sandoz) pharmaceutical businesses reported solid results during the period, but they were modestly offset by near-term weakness in the company’s Alcon eye care division. This weakness was due to lower demand for surgical equipment in the U.S. and emerging markets as well as increasing competition from cheaper generic allergy products with expiring patents in the U.S. We believe Novartis has significant competitive advantages, including its brand, culture of innovation, product breadth, clinical trials expertise, powerful distribution network and the benefits of scale. We believe Novartis is well positioned to benefit from significant long-term opportunities driven by global population growth and the emphasis on improving healthcare standards in developed and emerging markets.

Although asset manager SEI Investments reported solid revenue growth during the period, management reiterated its decision to augment capital investments in sales, operational capacity and technology, which led to concerns about near-term profitability and pressured the stock price. Share prices recovered somewhat later in the period, when reported earnings exceeded expectations and net new sales events had the second-highest quarter since 2010. SEI’s high-quality business model benefits from high recurring revenues and high switching costs for customers, which has led to average banking client relationships of more than 17 years. Over our investment time horizon, we believe SEI will be able to grow margins faster than revenue and generate double-digit free cash flow growth.

Outlook

Our investment process is characterized by bottom-up, fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. The fund ended the quarter with overweight positions in the information technology, consumer staples, financials and energy sectors and underweight positions in the consumer discretionary, industrials and healthcare sectors. We did not own positions in the materials, real estate, telecommunication services and utilities sectors.

 

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LOOMIS SAYLES GROWTH FUND

 

Hypothetical Growth of $10,000 Investment in Class A Shares3

September 30, 2006 through September 30, 2016

 

LOGO

Top Ten Holdings as of September 30, 2016

 

    Security Name  % of
Net Assets
 
1  

Amazon.com, Inc.

   7.27%  
2  

Facebook, Inc., Class A

   5.99%  
3  

Cisco Systems, Inc.

   5.07%  
4  

Alibaba Group Holding Ltd., Sponsored ADR

   4.93%  
5  

Visa, Inc., Class A

   4.81%  
6  

QUALCOMM, Inc.

   4.48%  
7  

Monster Beverage Corp.

   4.23%  
8  

Oracle Corp.

   3.84%  
9  

Danone, Sponsored ADR

   3.73%  
10  

Procter & Gamble Co. (The)

   3.50%  

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

 

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Average Annual Total Returns — September 30, 20163

 

      
               Expense Ratio4 
   1 Year  5 Years  10 Years  Life of
Class N
  Gross  Net 
   
Class A (Inception 12/31/96)       
NAV  21.32  18.43  7.65    0.92  0.92
With 5.75% Maximum Sales Charge  14.39    17.04    7.01         
   
Class C (Inception 9/12/03)       
NAV  20.48    17.54    6.86        1.67    1.67  
With CDSC1  19.48    17.54    6.86         
   
Class N (Inception 2/1/13)       
NAV  21.75            15.65    9.82    0.55  
   
Class Y (Inception 5/16/91)       
NAV  21.55    18.71    7.99        0.67    0.67  
  
Comparative Performance       
Russell 1000® Growth Index2  13.76    16.60    8.85    13.80          

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 ngam.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.

 

1Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

 

3Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES VALUE FUND

 

Managers Symbols  
Arthur J. Barry, CFA® Class A  LSVRX
Adam C. Liebhoff Class C  LSCVX
Loomis, Sayles & Company, L.P. Class N  LSVNX
 Class Y  LSGIX
 Admin Class  LSAVX

 

 

Investment Goal

The Fund seeks long-term growth of capital and income.

 

 

Market Conditions

Despite a fair amount of volatility, equity market performance was positive for the 12-month period. Although the Federal Reserve (the Fed) neglected to raise short-term interest rates at its September meeting, the probability for a 2016 rate hike increased, driving the 10-year Treasury yield higher in the final months of the period. Accordingly, equity market leadership changed hands recently, favoring the more cyclical sectors (technology, financials and industrials) and finally providing a small headwind to the more defensive sectors (telecommunications, utilities and staples). Energy temporarily faded to the background in terms of global headlines, supplanted perhaps by the U.S. presidential election, the results of which likely will influence market sentiment during the fourth quarter.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles Value Fund returned 9.65%. The fund underperformed its benchmark, the Russell 1000® Value Index, which returned 16.20%.

Explanation of Fund Performance

Although all sectors contributed positively to absolute return, stock selection within the healthcare, financial and energy sectors, combined with an overweight position in the consumer discretionary sector, weighed heavily on relative performance. Meanwhile, stock selection within the industrials sector contributed most to overall performance.

In terms of individual holdings, a position in Marathon Oil, an independent exploration and production company, was a primary detractor. The stock was particularly weak in the face of falling oil prices in January. At the same time, concerns about the company’s balance sheet emerged, as leverage appeared exceedingly high given the outlook for commodity prices. By mid-February, Marathon had become a fairly small position in the fund, and we decided to exit the holding and reallocate the proceeds into Hess. We believed Hess offered upside potential similar to Marathon but with much less risk.

In addition, shares of Knowles, a manufacturer of cellular microphones, declined early in the period, as investors grew concerned about a potential major slowdown in the global

 

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smartphone market. Such a slowdown could have a substantially negative impact on Knowles. Given our small weighting in the company, and the fact that it dropped below $1 billion in market capitalization, we exited the stock in the first quarter of 2016.

A position in pharmaceutical company Teva also weighed on relative performance. Several factors contributed to the stock’s underperformance, including generic price deflation, concerns about Teva’s acquisition of Allergan’s generic business, and a litigation risk that could invalidate the company’s intellectual property on its most profitable drug.

On the positive side, software company Microsoft was a top contributor, largely due to its transition from license to subscription revenue for its applications and to its growing new market for Infrastructure as a Service (IAAS–Azure). Microsoft has shown a sharper pace of innovation and a willingness to partner with leading technology innovators, all while reining in costs and returning substantial cash to shareholders.

Shares of Symantec, also a software company, climbed materially as the firm stepped up its focus on the security market by divesting Veritas and acquiring Blue Coat Systems, a leading provider of advanced web security solutions. We are optimistic about the acquisition of Blue Coat, as it provides Symantec with exposure to rapidly growing segments of the security business. The deal also put Blue Coat’s CEO in charge of the whole enterprise, which we believe is a positive factor.

A position in pharmaceutical company Merck & Co. also was a main contributor to absolute performance. The stock performed well due to the launch of the company’s immune oncology drug, Keytruda, for the treatment of lung cancer.

Outlook

With major U.S. equity indices at or close to record highs, the bull market remains intact. However, it is now the second-longest bull market since the 1930s. In general, bull markets do not die of old age; instead, they falter when intervening macroeconomic events, such as rising inflation, cause central banks to tighten monetary policy for an extended period. Currently, we believe the Fed may raise interest rates 25 basis points by year-end, but all signs point to a very slow, deliberate tightening cycle. These measured expectations helped prolong the business cycle and fuel the rally in stock prices. If equity earnings move back to a growth mode later this year and in 2017, we expect equity performance to remain balanced across the market cap spectrum and among growth and value styles.

We will continue to take a security-specific approach to investing. As always, we view opportunities as defined by our reward to risk profiles, regardless of the direction of the markets.

 

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LOOMIS SAYLES VALUE FUND

 

Hypothetical Growth of $10,000 Investment in Class A Shares1,4

September 30, 2006 through September 30, 2016

 

LOGO

Top Ten Holdings as of September 30, 2016

 

    Security Name  % of
Net Assets
 
1  

JPMorgan Chase & Co.

   2.99%  
2  

Microsoft Corp.

   2.73%  
3  

Wells Fargo & Co.

   2.27%  
4  

Bank of America Corp.

   2.15%  
5  

Pfizer, Inc.

   2.13%  
6  

UnitedHealth Group, Inc.

   2.04%  
7  

United Technologies Corp.

   1.98%  
8  

Merck & Co., Inc.

   1.95%  
9  

Medtronic PLC

   1.92%  
10  

Halliburton Co.

   1.91%  

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

 

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Average Annual Total Returns — September 30, 20164

 

      
               Expense Ratio5 
   1 Year  5 Years  10 Years  Life of
Class N
  Gross  Net 
   
Class A (Inception 6/30/06)1       
NAV  9.65  14.87  5.78    0.95  0.95
With 5.75% Maximum Sales Charge  3.36    13.52    5.16         
   
Class C (Inception 6/1/07)1       
NAV  8.85    14.02    5.00        1.70    1.70  
With CDSC2  7.98    14.02    5.00         
   
Class N (Inception 2/1/13)       
NAV  10.08            9.69    0.57    0.57  
   
Class Y (Inception 5/13/91)       
NAV  9.92    15.16    6.08        0.70    0.70  
   
Admin Class (Inception 2/1/10)1       
NAV  9.11    14.54    5.49        1.23    1.23  
  
Comparative Performance       
Russell 1000® Value Index3  16.20    16.15    5.85    11.32          

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 ngam.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.

 

1Prior to 6/1/07, performance of Class A shares is that of Retail Class shares, which were redesignated as Class A shares, restated to reflect the sales load of Class A shares. Prior to the inception of Class C shares (6/1/07), performance is that of Institutional Class shares, restated to reflect the higher net expenses and sales loads of Class C shares. Prior to the inception of Admin Class shares (2/1/10), performance is that of Class A shares, restated to reflect the higher net expenses of Admin Class shares.

 

2Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

3

Russell 1000® Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and higher forecasted growth values.

 

4Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

1639614.1.1

 

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ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds website at ngam.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds 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-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of 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 prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016. 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 row as shown below for your class.

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

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

 

LOOMIS SAYLES GLOBAL EQUITY AND
INCOME FUND
 

BEGINNING
ACCOUNT VALUE
4/1/2016

  

ENDING
ACCOUNT VALUE
9/30/2016

  

EXPENSES PAID
DURING PERIOD*
4/1/2016 – 9/30/2016

 

Class A

    

Actual

  $1,000.00    $1,062.60    $6.08  

Hypothetical (5% return before expenses)

  $1,000.00    $1,019.10    $5.96  

Class C

    

Actual

  $1,000.00    $1,059.50    $9.94  

Hypothetical (5% return before expenses)

  $1,000.00    $1,015.35    $9.72  

Class Y

    

Actual

  $1,000.00    $1,064.00    $4.80  

Hypothetical (5% return before expenses)

  $1,000.00    $1,020.35    $4.70  

 

*Expenses are equal to the Fund’s annualized expense ratio: 1.18%, 1.93% and 0.93% for Class A, C 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).

 

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LOOMIS SAYLES GROWTH FUND 

BEGINNING
ACCOUNT VALUE
4/1/2016

  

ENDING
ACCOUNT VALUE
9/30/2016

  

EXPENSES PAID
DURING PERIOD*
4/1/2016 – 9/30/2016

 

Class A

    

Actual

  $1,000.00    $1,112.60    $4.86  

Hypothetical (5% return before expenses)

  $1,000.00    $1,020.40    $4.65  

Class C

    

Actual

  $1,000.00    $1,108.20    $8.80  

Hypothetical (5% return before expenses)

  $1,000.00    $1,016.65    $8.42  

Class N

    

Actual

  $1,000.00    $1,114.70    $3.07  

Hypothetical (5% return before expenses)

  $1,000.00    $1,022.10    $2.93  

Class Y

    

Actual

  $1,000.00    $1,113.70    $3.54  

Hypothetical (5% return before expenses)

  $1,000.00    $1,021.65    $3.39  

 

*Expenses are equal to the Fund’s annualized expense ratio: 0.92%, 1.67%, 0.58% and 0.67% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

LOOMIS SAYLES VALUE FUND 

BEGINNING
ACCOUNT VALUE
4/1/2016

  

ENDING
ACCOUNT VALUE
9/30/2016

  

EXPENSES PAID
DURING PERIOD*
4/1/2016 – 9/30/2016

 

Class A

    

Actual

  $1,000.00    $1,062.50    $4.85  

Hypothetical (5% return before expenses)

  $1,000.00    $1,020.30    $4.75  

Class C

    

Actual

  $1,000.00    $1,058.50    $8.65  

Hypothetical (5% return before expenses)

  $1,000.00    $1,016.60    $8.47  

Class N

    

Actual

  $1,000.00    $1,064.50    $2.94  

Hypothetical (5% return before expenses)

  $1,000.00    $1,022.15    $2.88  

Class Y

    

Actual

  $1,000.00    $1,063.40    $3.56  

Hypothetical (5% return before expenses)

  $1,000.00    $1,021.55    $3.49  

Admin Class

    

Actual

  $1,000.00    $1,058.20    $6.02  

Hypothetical (5% return before expenses)

  $1,000.00    $1,019.15    $5.91  

 

*Expenses are equal to the Fund’s annualized expense ratio: 0.94%, 1.68%, 0.57%, 0.69% and 1.17% for Class A, C, N, Y and Admin Class, 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).

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category,

 

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performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds. For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

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

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

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of the Loomis Sayles Value Fund, the performance of which lagged that of a relevant peer group median and/or category median for certain (although not all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and

 

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consistent with the Fund’s investment objective and policies; and (2) that the Fund’s long-term performance was competitive when compared to relevant performance benchmarks or peer groups.

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

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that all three of the Funds included in this report have expense caps in place, and the Trustees considered that the current expenses of each Fund are below the cap.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, and whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

 

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each Fund’s management fee and overall net expense ratio was at or below median compared to a peer group of funds and that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

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

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

 

· 

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

 

· 

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

 

· 

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

 

· 

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

 

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· 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2017.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund

 

    
Shares
   Description      
Value (†)
 
 Common Stocks — 65.4% of Net Assets  
  Belgium — 2.2%  
 254,983    Anheuser-Busch InBev SA/NV  $33,532,248  
    

 

 

 
  Canada — 1.0%  
 318,000    CGI Group, Inc., Class A(b)   15,146,781  
    

 

 

 
  China — 3.1%  
 458,620    Alibaba Group Holding Ltd., Sponsored ADR(b)   48,517,410  
    

 

 

 
  France — 1.8%  
 296,443    Thales S.A.   27,296,723  
    

 

 

 
  Hong Kong — 2.4%  
 5,402,000    AIA Group Ltd.   36,327,053  
    

 

 

 
  India — 1.9%  
 1,144,407    HCL Technologies Ltd.   13,768,551  
 703,644    HDFC Bank Ltd.   15,561,172  
    

 

 

 
     29,329,723  
    

 

 

 
  Italy — 1.0%  
 313,494    Luxottica Group S.p.A.   14,973,444  
    

 

 

 
  Japan — 1.0%  
 471,970    Nomura Research Institute Ltd.   16,289,630  
    

 

 

 
  Sweden — 1.6%  
 540,721    Assa Abloy AB   10,980,774  
 479,965    Atlas Copco AB, A Shares   14,449,121  
    

 

 

 
     25,429,895  
    

 

 

 
  Switzerland — 5.0%  
 138,887    Dufry AG, (Registered)(b)   17,412,390  
 24,366    Geberit AG, (Registered)   10,680,598  
 422,912    Nestle S.A., (Registered)   33,394,850  
 59,828    Roche Holding AG   14,867,163  
    

 

 

 
     76,355,001  
    

 

 

 
  United Kingdom — 3.0%  
 3,019,959    ITV PLC   7,325,580  
 7,642,635    Legal & General Group PLC   21,659,382  
 456,704    London Stock Exchange Group PLC   16,549,774  
    

 

 

 
     45,534,736  
    

 

 

 
  United States — 41.4%  
 158,432    Allergan PLC(b)   36,488,474  
 23,661    Alphabet, Inc., Class C(b)   18,391,459  
 40,243    Alphabet, Inc., Class A(b)   32,357,787  
 24,222    Amazon.com, Inc.(b)   20,281,323  
 48,974    AutoZone, Inc.(b)   37,628,683  
 413,239    Comcast Corp., Class A   27,414,275  
 272,272    CVS Health Corp.   24,229,485  
 670    Dex Media, Inc.(b)(c)   1,332  
 231,232    Eaton Corp. PLC   15,194,255  

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

    
Shares
   Description      
Value (†)
 
  United States — continued  
 51,290    EOG Resources, Inc.  $4,960,256  
 334,377    Facebook, Inc., Class A(b)   42,890,538  
 131,293    FactSet Research Systems, Inc.   21,282,595  
 100,743    Goldman Sachs Group, Inc. (The)   16,246,824  
 9,113    Halcon Resources Corp.(b)   85,480  
 955    Hawaiian Telcom Holdco, Inc.(b)   21,382  
 217,929    LyondellBasell Industries NV, Class A   17,578,153  
 104,480    M&T Bank Corp.   12,130,128  
 435,852    Marriott International, Inc., Class A   29,345,915  
 42,462    Mettler-Toledo International, Inc.(b)   17,826,821  
 434,998    Newell Brands, Inc.   22,906,995  
 15,349    Priceline Group, Inc. (The)(b)   22,585,900  
 142,819    Roper Technologies, Inc.   26,060,183  
 182,179    S&P Global, Inc.   23,056,574  
 149,977    Schlumberger Ltd.   11,794,191  
 112,123    Sherwin-Williams Co. (The)   31,019,949  
 295,149    Texas Instruments, Inc.   20,713,557  
 163,030    TransDigm Group, Inc.(b)   47,135,234  
 89,478    Travelers Cos., Inc. (The)   10,249,705  
 185,190    UnitedHealth Group, Inc.   25,926,600  
 120,305    Walt Disney Co. (The)   11,171,522  
 244,061    Wells Fargo & Co.   10,807,021  
    

 

 

 
     637,782,596  
    

 

 

 
  Total Common Stocks
(Identified Cost $856,004,621)
   1,006,515,240  
    

 

 

 
    
Principal
Amount (‡)
          
 Bonds and Notes — 31.7%  
 Non-Convertible Bonds — 30.7%  
  Argentina — 0.3%  
$775,000    Provincia de Buenos Aires, 9.125%, 3/16/2024, 144A   866,806  
 535,000    Republic of Argentina, 6.875%, 4/22/2021, 144A   582,385  
 150,000    Republic of Argentina, 7.625%, 4/22/2046, 144A   169,094  
 382,136    Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A   413,662  
 565,000    YPF S.A., 8.500%, 3/23/2021, 144A   629,269  
 1,755,000    YPF S.A., 8.750%, 4/04/2024, 144A   1,954,368  
    

 

 

 
     4,615,584  
    

 

 

 
  Australia — 0.2%  
 970,000    Commonwealth Bank of Australia, 1.375%, 9/06/2018, 144A(d)   968,953  
 670,000    Goodman Australia Industrial Fund Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A   673,474  
 110,000    Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A   119,139  
 95,000    Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A   97,341  
 120,000    Sydney Airport Finance Co. Pty Ltd., 5.125%, 2/22/2021, 144A   134,607  
 950,000    Telstra Corp. Ltd., 3.125%, 4/07/2025, 144A(d)   991,297  
    

 

 

 
     2,984,811  
    

 

 

 

 

See accompanying notes to financial statements.

 

|  24


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Belgium — 0.1%  
$1,040,000    Anheuser-Busch InBev Finance, Inc., 3.300%, 2/01/2023(d)  $1,097,730  
 350,000    Anheuser-Busch InBev S.A., EMTN, 6.500%, 6/23/2017, (GBP)(d)   471,976  
 440,000    Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A   460,495  
    

 

 

 
     2,030,201  
    

 

 

 
  Brazil — 0.9%  
 600,000    Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A   604,320  
 800,000    Braskem Finance Ltd., 5.750%, 4/15/2021, 144A   838,560  
 2,250(††)    Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)   672,357  
 8,815(††)    Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)   2,583,753  
 2,300,000    BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(d)   656,304  
 1,000,000    CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A   855,000  
 400,000    Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A   393,000  
 885,000    Embraer Netherlands Finance BV, 5.050%, 6/15/2025(d)   889,425  
 800,000    Gerdau Trade, Inc., 5.750%, 1/30/2021, 144A   828,240  
 226,000    GTL Trade Finance, Inc., 5.893%, 4/29/2024, 144A   222,610  
 915,000    Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A   917,288  
 1,825,000    Petrobras Global Finance BV, 4.375%, 5/20/2023   1,632,462  
 320,000    Petrobras Global Finance BV, 5.375%, 1/27/2021   316,480  
 775,000    Petrobras Global Finance BV, 5.750%, 1/20/2020   798,638  
 300,000    Petrobras Global Finance BV, 6.875%, 1/20/2040   264,810  
 500,000    Tupy Overseas S.A., 6.625%, 7/17/2024, 144A   504,375  
 546,000    Vale Overseas Ltd., 6.875%, 11/21/2036   530,712  
 225,000    Vale S.A., 5.625%, 9/11/2042   189,000  
    

 

 

 
     13,697,334  
    

 

 

 
  Canada — 2.0%  
 1,085,000    Air Canada, 7.625%, 10/01/2019, 144A, (CAD)   858,547  
 495,000    Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(d)   525,319  
 815,000    Bank of Montreal, 1.750%, 6/15/2022, 144A(d)   814,813  
 5,065,000    Canadian Government, 1.250%, 9/01/2018, (CAD)(d)   3,915,140  
 11,900,000    Canadian Government, 1.750%, 9/01/2019, (CAD)   9,391,199  
 970,000    Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019(d)   970,007  
 1,335,000    Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A,
(CAD)(d)
   1,018,648  
 6,165,000    Province of Ontario Canada, 1.250%, 6/17/2019(d)   6,156,486  
 7,200,000    Province of Ontario Canada, 1.875%, 5/21/2020   7,319,066  
 600,000    Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)(d)   503,804  
    

 

 

 
     31,473,029  
    

 

 

 
  Chile — 0.4%  
 1,450,000    Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(d)   1,469,824  
 200,000    Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022   213,828  
 600,000    Chile Government International Bond, 3.125%, 1/21/2026(d)   636,750  
 300,000,000    Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(d)   485,279  
 1,160,000    CODELCO, Inc., 4.500%, 9/16/2025, 144A(d)   1,223,256  
 250,000    Engie Energia Chile S.A., 5.625%, 1/15/2021, 144A   276,960  

 

See accompanying notes to financial statements.

 

25  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Chile — continued  
$800,000    Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(d)  $834,282  
 550,000    Itau CorpBanca, 3.125%, 1/15/2018(d)   556,856  
 1,120,000    Transelec S.A., 4.250%, 1/14/2025, 144A(d)   1,176,800  
    

 

 

 
     6,873,835  
    

 

 

 
  China — 0.1%  
 800,000    Baidu, Inc., 2.250%, 11/28/2017(d)   806,404  
 700,000    Baidu, Inc., 3.250%, 8/06/2018(d)   718,332  
 400,000    China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(d)   437,461  
    

 

 

 
     1,962,197  
    

 

 

 
  Colombia — 0.4%  
 555,000    Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A   545,287  
 610,000    Ecopetrol S.A., 4.125%, 1/16/2025   592,279  
 600,000    Ecopetrol S.A., 5.875%, 9/18/2023(d)   647,250  
 490,000    Ecopetrol S.A., 5.875%, 5/28/2045   449,477  
 1,265,000,000    Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)   433,837  
 2,140,000,000    Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)(d)   715,497  
 200,000,000    Republic of Colombia, 7.750%, 4/14/2021, (COP)   73,723  
 6,150,000,000    Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(d)   2,208,395  
    

 

 

 
     5,665,745  
    

 

 

 
  Dominican Republic — 0.1%  
 1,410,000    Dominican Republic International Bond, 5.500%, 1/27/2025, 144A   1,494,600  
 425,000    Dominican Republic International Bond, 8.625%, 4/20/2027, 144A   520,625  
    

 

 

 
     2,015,225  
    

 

 

 
  France — 0.3%  
 970,000    Air Liquide Finance S.A., 1.375%, 9/27/2019, 144A   969,486  
 425,000    Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029   470,156  
 15,000    Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028   16,350  
 200,000    AXA S.A., 7.125%, 12/15/2020, (GBP)(d)   317,878  
 390,000    Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500%, (GBP)(e)   499,180  
 1,015,000    Societe Generale S.A., 4.750%, 11/24/2025, 144A(d)   1,048,316  
 475,000    Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750%, (EUR)(e)   524,253  
    

 

 

 
     3,845,619  
    

 

 

 
  Germany — 0.1%  
 470,000    Commerzbank AG, EMTN, 4.000%, 3/23/2026, (EUR)   532,066  
 200,000    Schaeffler Finance BV, 3.250%, 5/15/2025, (EUR)   242,756  
 300,000    ZF North America Capital, Inc., 2.750%, 4/27/2023, (EUR)   358,573  
    

 

 

 
     1,133,395  
    

 

 

 
  Hong Kong — 0.0%  
 355,000    AIA Group Ltd., 3.200%, 3/11/2025, 144A(d)   362,283  
 400,000    Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A(d)   402,458  
    

 

 

 
     764,741  
    

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Hungary — 0.2%  
$1,330,000    Hungary Government International Bond, 5.375%, 3/25/2024  $1,544,516  
 980,000    Hungary Government International Bond, 5.750%, 11/22/2023(d)   1,153,950  
    

 

 

 
     2,698,466  
    

 

 

 
  Iceland — 0.1%  
 1,000,000    Republic of Iceland, 5.875%, 5/11/2022, 144A(d)   1,174,860  
    

 

 

 
  India — 0.3%  
 550,000    Axis Bank Ltd., 3.250%, 5/21/2020, 144A   564,371  
 990,000    Bharti Airtel International BV, 5.350%, 5/20/2024, 144A(d)   1,083,377  
 1,400,000    ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A   1,426,638  
 750,000    Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A(d)   844,961  
 700,000    State Bank of India/London, 4.125%, 8/01/2017, 144A   713,381  
    

 

 

 
     4,632,728  
    

 

 

 
  Indonesia — 0.6%  
 300,000    Indonesia Government International Bond, 4.125%, 1/15/2025, 144A   320,043  
 525,000    Indonesia Government International Bond, 4.750%, 1/08/2026, 144A   586,871  
 3,500,000,000    Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)   303,311  
 781,000,000    Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)   67,575  
 11,640,000,000    Indonesia Government International Bond, Series FR53, 8.250%, 7/15/2021, (IDR)   940,939  
 12,100,000,000    Indonesia Treasury Bond, 6.125%, 5/15/2028, (IDR)   846,970  
 24,000,000,000    Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(d)   1,897,786  
 14,000,000,000    Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(d)   1,154,767  
 400,000    Listrindo Capital BV, 6.950%, 2/21/2019, 144A   414,402  
 795,000    Perusahaan Listrik Negara PT, 5.250%, 10/24/2042, 144A   820,838  
 545,000    Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)   653,612  
 500,000    TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A   506,250  
    

 

 

 
     8,513,364  
    

 

 

 
  Italy — 0.4%  
 440,000    Italy Buoni Poliennali Del Tesoro, 1.500%, 6/01/2025, (EUR)(d)   513,797  
 2,080,000    Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(d)   2,531,904  
 2,295,000    Italy Buoni Poliennali Del Tesoro, 4.750%, 8/01/2023, 144A, (EUR)(d)   3,287,684  
    

 

 

 
     6,333,385  
    

 

 

 
  Japan — 0.3%  
 900,000    Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A(d)   901,275  
 940,000    Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 2.150%, 9/14/2018, 144A(d)   948,194  
 540,000    Nissan Motor Acceptance Corp., 2.000%, 3/08/2019, 144A(d)   544,763  
 1,165,000    Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(d)   1,191,539  
 850,000    SoftBank Group Corp., 4.500%, 4/15/2020, 144A   881,875  
    

 

 

 
     4,467,646  
    

 

 

 
  Kazakhstan — 0.0%  
 475,000    Tengizchevroil Finance Co. International Ltd., 4.000%, 8/15/2026, 144A   470,250  
    

 

 

 
  Korea — 0.6%  
 3,700,000    Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(d)   472,043  

 

See accompanying notes to financial statements.

 

27  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Korea — continued  
$600,000    Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A(d)  $611,700  
 600,000    Industrial Bank of Korea, 2.375%, 7/17/2017, 144A(d)   604,717  
 400,000    KEB Hana Bank, 4.000%, 11/03/2016, 144A(d)   400,898  
 400,000    Korea Development Bank (The), 4.625%, 11/16/2021(d)   455,524  
 630,000    Korea Development Bank (The), MTN, 4.500%, 11/22/2019, (AUD)(d)   506,822  
 400,000    Korea National Oil Corp., 3.125%, 4/03/2017, 144A(d)   403,615  
 2,589,140,000    Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)(d)   2,381,959  
 670,000    KT Corp., 2.500%, 7/18/2026, 144A(d)   676,732  
 1,125,000    Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(d)   1,151,511  
 950,000    Shinhan Bank, 2.250%, 4/15/2020, 144A(d)   961,884  
 770,000    Shinhan Bank, 3.875%, 3/24/2026, 144A(d)   814,357  
 140,000    SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(d)   190,107  
 200,000    Woori Bank, 5.875%, 4/13/2021, 144A(d)   230,072  
    

 

 

 
     9,861,941  
    

 

 

 
  Luxembourg — 0.1%  
 430,000    INEOS Group Holdings S.A., 5.750%, 2/15/2019, (EUR)   495,116  
 500,000    Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A   505,650  
    

 

 

 
     1,000,766  
    

 

 

 
  Mexico — 1.0%  
 10,000,000    America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(d)   502,327  
 675,000    Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A   655,391  
 300,000    Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(d)   308,250  
 640,000    Cemex Finance LLC, 6.000%, 4/01/2024, 144A   656,000  
 300,000    Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR)   343,442  
 505,000    Cemex SAB de CV, 5.700%, 1/11/2025, 144A   511,161  
 200,000    Cemex SAB de CV, 7.750%, 4/16/2026, 144A   221,900  
 800,000    Gruma SAB de CV, 4.875%, 12/01/2024(d)   856,000  
 10,000,000    Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(d)   447,094  
 1,150,000(†††)    Mexican Fixed Rate Bonds, Series M-30, 10.000%, 11/20/2036, (MXN)(d)   8,266,875  
 196,000    Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(d)   208,401  
 1,020,000    Mexico Government International Bond, 4.125%, 1/21/2026(d)   1,097,010  
 780,000    Petroleos Mexicanos, 4.250%, 1/15/2025(d)   752,622  
 625,000    Petroleos Mexicanos, 5.625%, 1/23/2046(d)   545,188  
 135,000(†††)    Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)(d)   603,866  
    

 

 

 
     15,975,527  
    

 

 

 
  Morocco — 0.1%  
 965,000    OCP S.A., 4.500%, 10/22/2025, 144A(d)   977,950  
 590,000    OCP S.A., 6.875%, 4/25/2044, 144A   668,422  
    

 

 

 
     1,646,372  
    

 

 

 
  Netherlands — 0.1%  
 870,000    Cooperatieve Rabobank UA, 4.375%, 8/04/2025(d)   917,546  
 675,000    ING Bank NV, 1.650%, 8/15/2019, 144A(d)   674,407  

 

See accompanying notes to financial statements.

 

|  28


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Netherlands — continued  
$525,000    Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A  $524,344  
    

 

 

 
     2,116,297  
    

 

 

 
  New Zealand — 0.4%  
 2,899,580    New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(d)   2,463,829  
 2,340,000    New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(d)   1,829,024  
 2,590,000    New Zealand Government Bond, 5.500%, 4/15/2023, (NZD)(d)   2,281,662  
    

 

 

 
     6,574,515  
    

 

 

 
  Norway — 0.2%  
 13,275,000    Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(d)   1,763,812  
 13,760,000    Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(d)   1,889,646  
    

 

 

 
     3,653,458  
    

 

 

 
  Panama — 0.1%  
 680,000    Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(d)   695,300  
 300,000    Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A(d)   301,875  
    

 

 

 
     997,175  
    

 

 

 
  Paraguay — 0.1%  
 800,000    Republic of Paraguay, 5.000%, 4/15/2026, 144A   866,000  
    

 

 

 
  Peru — 0.2%  
 580,000    Southern Copper Corp., 3.875%, 4/23/2025(d)   582,318  
 1,050,000    Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(d)   1,091,055  
 1,050,000    Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A   1,102,395  
    

 

 

 
     2,775,768  
    

 

 

 
  Philippines — 0.0%  
 175,000    PLDT, Inc., EMTN, 8.350%, 3/06/2017(d)   178,727  
    

 

 

 
  Poland — 0.4%  
 17,080,000    Poland Government Bond, 4.000%, 10/25/2023, (PLN)(d)   4,847,202  
 3,210,000    Poland Government Bond, 5.500%, 10/25/2019, (PLN)(d)   927,684  
    

 

 

 
     5,774,886  
    

 

 

 
  Portugal — 0.0%  
 400,000    EDP Finance BV, 4.125%, 1/15/2020, 144A   414,600  
 225,000    EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)   255,597  
    

 

 

 
     670,197  
    

 

 

 
  Romania — 0.0%  
 410,000    Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)   498,589  
    

 

 

 
  Russia — 0.1%  
 63,000,000    Russian Federal Bond - OFZ, Series 6208, 7.500%, 2/27/2019, (RUB)   983,701  
    

 

 

 
  Singapore — 0.2%  
 495,000    BOC Aviation Ltd., 3.000%, 3/30/2020(d)   507,801  
 2,000,000    DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(d)   2,033,200  
    

 

 

 
     2,541,001  
    

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  South Africa — 0.2%  
$930,000    MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A  $899,775  
 500,000    Myriad International Holdings BV, 6.000%, 7/18/2020, 144A   550,100  
 15,980,000    South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(d)   972,725  
    

 

 

 
     2,422,600  
    

 

 

 
  Spain — 0.4%  
 800,000    Gas Natural Fenosa Finance BV, (fixed rate to 4/24/2024, variable rate thereafter), 3.375% , (EUR)(e)   856,217  
 725,000    Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(d)   842,233  
 430,000    Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(d)   518,248  
 1,825,000    Spain Government International Bond, 4.300%, 10/31/2019, 144A, (EUR)(d)   2,327,185  
 800,000    Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(d)   1,147,325  
    

 

 

 
     5,691,208  
    

 

 

 
  Supranationals — 0.5%  
 2,075,000    Asian Development Bank, GMTN, 0.875%, 10/05/2018   2,072,821  
 855,000    Banque Quest Africaine de Developpement, 5.500%, 5/06/2021, 144A(d)   909,447  
 840,000    Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A(d)   846,300  
 1,115,000    Corporacion Andina de Fomento, 4.375%, 6/15/2022(d)   1,236,814  
 1,140,000    International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)(d)   885,970  
 70,000,000    International Finance Corp., 7.800%, 6/03/2019, (INR)(d)   1,092,864  
    

 

 

 
     7,044,216  
    

 

 

 
  Sweden — 0.0%  
 2,450,000    Sweden Government Bond, 5.000%, 12/01/2020, (SEK)(d)   352,387  
    

 

 

 
  Switzerland — 0.1%  
 1,075,000    Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A(d)   1,038,408  
 200,000    LafargeHolcim Finance U.S. LLC, 3.500%, 9/22/2026, 144A   203,918  
    

 

 

 
     1,242,326  
    

 

 

 
  Thailand — 0.1%  
 1,010,000    Siam Commercial Bank PCL (The), 3.500%, 4/07/2019, 144A(d)   1,052,071  
 950,000    Thai Oil PCL, 3.625%, 1/23/2023, 144A(d)   999,052  
    

 

 

 
     2,051,123  
    

 

 

 
  Turkey — 0.1%  
 800,000    Arcelik AS, 5.000%, 4/03/2023, 144A   789,600  
    

 

 

 
  United Arab Emirates — 0.1%  
 850,000    DP World Ltd., 3.250%, 5/18/2020, 144A   876,562  
 600,000    Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A(d)   601,373  
    

 

 

 
     1,477,935  
    

 

 

 
  United Kingdom — 0.6%  
 600,000    Anglo American Capital PLC, 2.625%, 9/27/2017, 144A   598,500  
 1,100,000    Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 6.625% (e)   1,003,750  

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United Kingdom — continued  
 400,000    Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000%, (GBP)(e)  $483,137  
 260,000    Delphi Automotive PLC, 1.600%, 9/15/2028, (EUR)   296,853  
 565,000    HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter), 6.875%(e)   587,600  
 295,000    HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(d)   454,099  
 150,000    Imperial Brands Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)   215,888  
 400,000    Lloyds Banking Group PLC, 4.500%, 11/04/2024(d)   414,145  
 1,020,000    Lloyds Banking Group PLC, (fixed rate to 6/27/2024, variable rate thereafter), 7.500%(e)   1,053,354  
 400,000    Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)   591,044  
 1,130,000    Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(d)   1,177,706  
 950,000    Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2020, variable rate thereafter), 7.500% (e)   871,502  
 350,000    Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(d)   350,393  
 250,000    Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)(d)   288,036  
 600,000    United Kingdom Gilt, 2.000%, 9/07/2025, (GBP)(d)   867,738  
 130,000    Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)   144,264  
 100,000    WPP PLC, 6.000%, 4/04/2017, (GBP)(d)   132,898  
    

 

 

 
     9,530,907  
    

 

 

 
  United States — 18.2%  
 15,000    21st Century Fox America, Inc., 6.400%, 12/15/2035   19,228  
 9,890,000    AbbVie, Inc., 2.500%, 5/14/2020   10,082,598  
 45,000    AECOM, 5.750%, 10/15/2022   47,264  
 45,000    AECOM, 5.875%, 10/15/2024   48,038  
 1,745,000    AES Corp. (The), 4.875%, 5/15/2023   1,771,175  
 1,000,000    Alcoa, Inc., 5.125%, 10/01/2024   1,063,750  
 305,000    Alcoa, Inc., 5.400%, 4/15/2021   326,350  
 975,000    Alcoa, Inc., 5.900%, 2/01/2027   1,043,250  
 3,073,000    Alcoa, Inc., 5.950%, 2/01/2037   3,089,901  
 4,655,000    Ally Financial, Inc., 3.750%, 11/18/2019   4,730,644  
 3,345,000    Ally Financial, Inc., 4.125%, 2/13/2022   3,382,631  
 745,000    Ally Financial, Inc., 5.125%, 9/30/2024   789,700  
 129,000    Ally Financial, Inc., 8.000%, 12/31/2018   142,223  
 1,728,000    Ally Financial, Inc., 8.000%, 11/01/2031   2,129,760  
 2,686,371    American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025   2,817,332  
 170,098    American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027   180,911  
 6,190,000    Anadarko Petroleum Corp., 3.450%, 7/15/2024   6,105,828  
 300,000    Anadarko Petroleum Corp., 4.500%, 7/15/2044   275,249  
 400,000    Antero Resources Corp., 5.125%, 12/01/2022   403,000  
 175,000    Antero Resources Corp., 5.375%, 11/01/2021   176,969  
 3,060,000    Antero Resources Corp., 5.625%, 6/01/2023   3,117,375  
 1,510,000    AT&T, Inc., 3.400%, 5/15/2025   1,551,386  
 3,960,000    AT&T, Inc., 4.125%, 2/17/2026   4,279,180  

 

See accompanying notes to financial statements.

 

31  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued  
$6,901    Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(c)  $7,022  
 495,000    Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A   444,881  
 925,000    Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A   1,086,875  
 95,000    Avon Products, Inc., 8.950%, 3/15/2043   77,663  
 200,000    Bank of America Corp., 5.490%, 3/15/2019   216,089  
 2,700,000    Bank of America Corp., 6.110%, 1/29/2037   3,299,932  
 115,000    Bank of America Corp., MTN, 4.250%, 10/22/2026   122,008  
 50,000    Beazer Homes USA, Inc., 7.250%, 2/01/2023   49,750  
 15,000    Boston Scientific Corp., 5.125%, 1/12/2017   15,157  
 71,000    California Resources Corp., 5.500%, 9/15/2021   37,630  
 10,000    California Resources Corp., 6.000%, 11/15/2024   4,775  
 1,995,000    CenturyLink, Inc., 6.450%, 6/15/2021   2,137,144  
 510,000    CenturyLink, Inc., 7.650%, 3/15/2042   439,875  
 55,000    CenturyLink, Inc., Series G, 6.875%, 1/15/2028   53,006  
 605,000    CenturyLink, Inc., Series P, 7.600%, 9/15/2039   526,350  
 1,025,000    Chemours Co. (The), 6.625%, 5/15/2023   999,375  
 190,000    Chemours Co. (The), 7.000%, 5/15/2025   186,675  
 3,210,000    Chesapeake Energy Corp., 4.875%, 4/15/2022   2,704,425  
 315,000    Chesapeake Energy Corp., 5.750%, 3/15/2023   267,750  
 495,000    Chesapeake Energy Corp., 6.125%, 2/15/2021   454,162  
 190,000    Chesapeake Energy Corp., 6.625%, 8/15/2020   178,838  
 95,000    Chesapeake Energy Corp., 6.875%, 11/15/2020   88,825  
 100,000    Chesapeake Energy Corp., 7.250%, 12/15/2018   101,500  
 7,030,000    Chesapeake Energy Corp., 8.000%, 12/15/2022, 144A   7,126,662  
 780,000    Chevron Corp., 2.419%, 11/17/2020(d)   802,003  
 1,635,000    Cimarex Energy Co., 4.375%, 6/01/2024   1,707,666  
 525,000    Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A   538,125  
 500,000    Citizens Financial Group, Inc., 4.300%, 12/03/2025   524,636  
 2,913,000    Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020   2,887,511  
 155,000    Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A   162,363  
 480,000    Consolidated Communications, Inc., 6.500%, 10/01/2022   465,600  
 265,000    Constellation Brands, Inc., 4.750%, 11/15/2024   286,862  
 1,005,000    Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018   1,050,225  
 75,986    Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020   78,691  
 255,000    Continental Resources, Inc., 3.800%, 6/01/2024   233,325  
 50,000    Continental Resources, Inc., 4.500%, 4/15/2023   48,000  
 375,000    Cox Communications, Inc., 4.800%, 2/01/2035, 144A   371,598  
 1,335,000    CSC Holdings LLC, 10.875%, 10/15/2025, 144A   1,563,619  
 155,000    Cummins, Inc., 5.650%, 3/01/2098   173,239  
 160,460    Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024   182,731  
 1,200,000    Devon Energy Corp., 3.250%, 5/15/2022   1,191,421  
 990,000    Devon Energy Corp., 5.850%, 12/15/2025   1,114,125  
 475,000    Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A   520,744  

 

See accompanying notes to financial statements.

 

|  32


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued  
$42,000    Dillard’s, Inc., 6.625%, 1/15/2018  $44,360  
 50,000    Dillard’s, Inc., 7.000%, 12/01/2028   57,247  
 8,000    Dillard’s, Inc., 7.750%, 7/15/2026   9,210  
 300,000    Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)   331,589  
 395,000    DISH DBS Corp., 5.000%, 3/15/2023   384,137  
 1,495,000    DISH DBS Corp., 5.875%, 11/15/2024   1,476,312  
 315,000    DPL, Inc., 6.750%, 10/01/2019   326,812  
 310,000    DR Horton, Inc., 4.375%, 9/15/2022   333,250  
 235,000    DS Services of America, Inc., 10.000%, 9/01/2021, 144A   262,025  
 600,000    Enbridge Energy Partners LP, 5.875%, 10/15/2025   689,788  
 575,000    Enbridge Energy Partners LP, 7.375%, 10/15/2045   727,082  
 410,000    FedEx Corp., 1.000%, 1/11/2023, (EUR)   474,446  
 150,000    Foot Locker, Inc., 8.500%, 1/15/2022   177,000  
 25,000    Ford Motor Co., 6.375%, 2/01/2029   30,639  
 50,000    Ford Motor Co., 6.625%, 2/15/2028   59,912  
 2,105,000    Ford Motor Co., 6.625%, 10/01/2028   2,644,413  
 40,000    Ford Motor Co., 7.125%, 11/15/2025   49,892  
 530,000    Ford Motor Co., 7.400%, 11/01/2046   765,318  
 5,000    Ford Motor Co., 7.500%, 8/01/2026   6,391  
 5,000,000    Ford Motor Credit Co. LLC, 2.459%, 3/27/2020   5,046,645  
 1,600,000    Ford Motor Credit Co. LLC, 3.588%, 6/02/2020, (AUD)(d)   1,248,402  
 1,000,000    Ford Motor Credit Co. LLC, 5.000%, 5/15/2018   1,049,654  
 905,000    Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(f)(g)   1,040,533  
 2,370,000    Freeport-McMoRan, Inc., 3.875%, 3/15/2023(d)   2,126,885  
 210,000    Freeport-McMoRan, Inc., 5.400%, 11/14/2034   174,300  
 2,475,000    Freeport-McMoRan, Inc., 5.450%, 3/15/2043   1,986,187  
 865,000    Frontier Communications Corp., 6.875%, 1/15/2025   765,525  
 560,000    Frontier Communications Corp., 11.000%, 9/15/2025   584,500  
 205,000    FTS International, Inc., 6.250%, 5/01/2022   78,413  
 275,000    Gates Global LLC/Gates Global Co., 6.000%, 7/15/2022, 144A   261,250  
 50,000    General Electric Co., GMTN, 3.100%, 1/09/2023   53,118  
 740,000    General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000% (d)(e)   786,953  
 115,000    General Motors Co., 5.200%, 4/01/2045   119,621  
 195,000    General Motors Co., 6.750%, 4/01/2046   244,467  
 5,000,000    General Motors Financial Co., Inc., 2.400%, 4/10/2018   5,036,090  
 240,000    General Motors Financial Co., Inc., 3.450%, 4/10/2022   243,434  
 925,000    General Motors Financial Co., Inc., 5.250%, 3/01/2026   1,015,913  
 195,000    Genworth Holdings, Inc., 4.800%, 2/15/2024   160,388  
 500,000    Genworth Holdings, Inc., 4.900%, 8/15/2023   416,250  
 215,000    Genworth Holdings, Inc., 6.500%, 6/15/2034   175,225  
 3,435,000    Georgia-Pacific LLC, 7.250%, 6/01/2028   4,649,736  
 105,000    Georgia-Pacific LLC, 7.375%, 12/01/2025   139,952  
 180,000    Georgia-Pacific LLC, 7.750%, 11/15/2029   257,588  
 315,000    Georgia-Pacific LLC, 8.875%, 5/15/2031   498,300  
 800,000    Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)(d)   624,298  
 2,295,000    Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037   2,922,246  

 

See accompanying notes to financial statements.

 

33  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued  
$3,045,000    Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022  $3,227,700  
 165,000    Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028   180,263  
 70,000    GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(h)   67,377  
 1,000,000    HCA Holdings, Inc., 6.250%, 2/15/2021   1,085,000  
 20,000    HCA, Inc., 4.750%, 5/01/2023   20,850  
 225,000    HCA, Inc., 7.050%, 12/01/2027   239,344  
 820,000    HCA, Inc., 7.500%, 11/06/2033   888,675  
 1,500,000    HCA, Inc., 7.690%, 6/15/2025   1,685,865  
 395,000    HCA, Inc., 8.360%, 4/15/2024   458,627  
 195,000    HCA, Inc., MTN, 7.580%, 9/15/2025   219,863  
 75,000    HCA, Inc., MTN, 7.750%, 7/15/2036   81,281  
 855,000    Hecla Mining Co., 6.875%, 5/01/2021   858,206  
 585,000    Hercules, Inc., 6.500%, 6/30/2029   526,500  
 490,000    Hewlett Packard Enterprise Co., 6.350%, 10/15/2045, 144A   505,652  
 310,000    Hexion, Inc., 7.875%, 2/15/2023(c)(f)   111,600  
 470,000    Highwoods Realty LP, 5.850%, 3/15/2017   478,446  
 485,000    Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A   512,887  
 955,000    Hyundai Capital America, 2.750%, 9/27/2026, 144A   942,671  
 450,000    International Lease Finance Corp., 4.625%, 4/15/2021   471,375  
 1,250,000    International Lease Finance Corp., 6.250%, 5/15/2019   1,354,687  
 745,000    INVISTA Finance LLC, 4.250%, 10/15/2019, 144A   741,335  
 145,000    iStar, Inc., 4.875%, 7/01/2018   145,725  
 3,460,000    iStar, Inc., 5.000%, 7/01/2019   3,450,935  
 70,000    iStar, Inc., 5.850%, 3/15/2017   70,836  
 200,000    iStar, Inc., 7.125%, 2/15/2018   208,500  
 48,000    J.C. Penney Corp., Inc., 6.375%, 10/15/2036   41,280  
 5,000    J.C. Penney Corp., Inc., 7.625%, 3/01/2097   4,125  
 665,000    Jefferies Group LLC, 5.125%, 4/13/2018   694,269  
 30,000    Jefferies Group LLC, 5.125%, 1/20/2023   31,962  
 1,070,000    Jefferies Group LLC, 6.250%, 1/15/2036   1,115,236  
 685,000    Jefferies Group LLC, 6.450%, 6/08/2027   775,488  
 1,410,000    Jefferies Group LLC, 6.875%, 4/15/2021   1,645,019  
 15,000    K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(f)(g)   10,500  
 110,000    K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A   74,525  
 165,000    K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A   99,825  
 1,665,000    KB Home, 8.000%, 3/15/2020   1,854,394  
 2,805,000    Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A   3,183,675  
 190,000    Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017   191,425  
 140,000    Level 3 Communications, Inc., 5.750%, 12/01/2022   146,300  
 330,000    Level 3 Financing, Inc., 5.125%, 5/01/2023   339,900  
 760,000    Level 3 Financing, Inc., 5.375%, 5/01/2025   792,300  
 20,000    Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034   18,781  
 165,000    Masco Corp., 6.500%, 8/15/2032   181,500  
 865,000    Masco Corp., 7.750%, 8/01/2029   1,033,675  

 

See accompanying notes to financial statements.

 

|  34


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued  
$410,000    Micron Technology, Inc., 5.250%, 8/01/2023, 144A  $404,875  
 965,000    Micron Technology, Inc., 5.500%, 2/01/2025   945,700  
 1,230,000    Micron Technology, Inc., 5.625%, 1/15/2026, 144A   1,177,725  
 1,430,000    Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A   1,455,025  
 825,000    Morgan Stanley, 2.125%, 4/25/2018   831,934  
 220,000    Morgan Stanley, 2.500%, 1/24/2019   224,171  
 450,000    Morgan Stanley, 3.750%, 2/25/2023   477,941  
 725,000    Morgan Stanley, 5.750%, 1/25/2021   826,453  
 3,150,000    Morgan Stanley, MTN, 4.100%, 5/22/2023   3,330,372  
 600,000    Morgan Stanley, MTN, 6.250%, 8/09/2026   752,258  
 100,000    Morgan Stanley, Series F, MTN, 1.129%, 10/18/2016(h)   100,014  
 25,000    MPLX LP, 4.500%, 7/15/2023   25,486  
 95,000    MPLX LP, 4.875%, 6/01/2025   98,162  
 3,000,000    Navient Corp., 5.000%, 10/26/2020   2,958,750  
 95,000    Navient Corp., 5.875%, 10/25/2024   86,450  
 175,000    Navient LLC, 4.875%, 6/17/2019   174,344  
 915,000    Navient LLC, 5.500%, 1/25/2023   839,512  
 1,600(††††)    Navient LLC, 6.000%, 12/15/2043   36,760  
 40,000    Navient LLC, MTN, 4.625%, 9/25/2017   40,600  
 60,000    Navient LLC, MTN, 5.500%, 1/15/2019   60,900  
 1,130,000    Navient LLC, MTN, 7.250%, 1/25/2022   1,152,600  
 10,000    Navient LLC, Series A, MTN, 5.000%, 6/15/2018   10,000  
 2,560,000    Navient LLC, Series A, MTN, 5.625%, 8/01/2033(f)(g)   2,035,200  
 360,000    Navient LLC, Series A, MTN, 8.450%, 6/15/2018   387,000  
 4,457,000    New Albertson’s, Inc., 7.450%, 8/01/2029   4,367,860  
 525,000    New Albertson’s, Inc., 7.750%, 6/15/2026   523,031  
 5,710,000    New Albertson’s, Inc., 8.000%, 5/01/2031   5,631,487  
 2,110,000    New Albertson’s, Inc., 8.700%, 5/01/2030   2,141,650  
 1,265,000    New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028   1,163,800  
 365,000    Newell Brands, Inc., 4.000%, 12/01/2024   387,764  
 65,000    Newfield Exploration Co., 5.625%, 7/01/2024   66,625  
 20,000    NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A   21,700  
 1,019,000    Noble Energy, Inc., 5.625%, 5/01/2021   1,064,926  
 135,000    Oasis Petroleum, Inc., 6.875%, 3/15/2022   129,263  
 220,000    Oasis Petroleum, Inc., 6.875%, 1/15/2023   210,100  
 2,275,000    Oceaneering International, Inc., 4.650%, 11/15/2024   2,292,517  
 420,000    Old Republic International Corp., 4.875%, 10/01/2024   454,141  
 5,085,000    ONEOK Partners LP, 4.900%, 3/15/2025   5,470,072  
 25,000    ONEOK Partners LP, 6.200%, 9/15/2043   27,619  
 55,000    Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022   57,200  
 140,000    Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025   147,000  
 535,000    Owens Corning, 7.000%, 12/01/2036   675,374  
 2,965,000    Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A   3,083,600  
 540,000    PulteGroup, Inc., 6.000%, 2/15/2035   545,400  
 785,000    PulteGroup, Inc., 6.375%, 5/15/2033   817,709  

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued  
$220,000    PulteGroup, Inc., 7.875%, 6/15/2032  $254,100  
 285,000    QEP Resources, Inc., 5.250%, 5/01/2023   280,725  
 145,000    QEP Resources, Inc., 5.375%, 10/01/2022   143,913  
 65,000    QEP Resources, Inc., 6.875%, 3/01/2021   67,763  
 255,000    Quicken Loans, Inc., 5.750%, 5/01/2025, 144A   253,088  
 1,335,000    Qwest Capital Funding, Inc., 6.500%, 11/15/2018   1,411,762  
 650,000    Qwest Capital Funding, Inc., 6.875%, 7/15/2028   614,250  
 400,000    Qwest Capital Funding, Inc., 7.625%, 8/03/2021   412,000  
 60,000    Qwest Capital Funding, Inc., 7.750%, 2/15/2031   58,200  
 476,000    Qwest Corp., 6.875%, 9/15/2033   474,523  
 115,000    Qwest Corp., 7.250%, 9/15/2025   125,848  
 37,000    R.R. Donnelley & Sons Co., 7.000%, 2/15/2022   38,388  
 200,000    Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A   195,000  
 230,000    Range Resources Corp., 4.875%, 5/15/2025   220,800  
 850,000    Range Resources Corp., 5.000%, 8/15/2022, 144A   845,750  
 220,000    Range Resources Corp., 5.000%, 3/15/2023, 144A   215,050  
 1,075,000    Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022   1,134,606  
 230,000    Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023   237,449  
 665,000    Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021   702,406  
 20,000    Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025   21,500  
 970,000    Santander Holdings USA, Inc., 2.650%, 4/17/2020(d)   975,831  
 25,000    Sealed Air Corp., 4.875%, 12/01/2022, 144A   26,250  
 640,000    Sealed Air Corp., 5.500%, 9/15/2025, 144A   686,400  
 420,000    ServiceMaster Co. LLC (The), 7.450%, 8/15/2027   446,460  
 760,000    Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A   797,240  
 425,000    Spectrum Brands, Inc., 4.000%, 10/01/2026, 144A, (EUR)   485,382  
 2,675,000    Springleaf Finance Corp., 5.250%, 12/15/2019   2,731,844  
 330,000    Springleaf Finance Corp., 7.750%, 10/01/2021   346,087  
 130,000    Springleaf Finance Corp., 8.250%, 10/01/2023   136,500  
 2,349,000    Sprint Capital Corp., 6.875%, 11/15/2028   2,205,124  
 2,240,000    Sprint Capital Corp., 8.750%, 3/15/2032   2,284,800  
 26,000    Sprint Communications, Inc., 6.000%, 12/01/2016   26,130  
 1,720,000    Sprint Communications, Inc., 6.000%, 11/15/2022   1,595,300  
 120,000    Sprint Corp., 7.125%, 6/15/2024   117,000  
 2,840,000    Sprint Corp., 7.875%, 9/15/2023   2,857,750  
 2,910,000    SUPERVALU, Inc., 6.750%, 6/01/2021   2,720,850  
 670,000    Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019   679,380  
 175,000    Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018   181,125  
 1,365,000    Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024   1,460,550  
 520,000    Tenet Healthcare Corp., 5.000%, 3/01/2019   508,300  
 100,000    Tenet Healthcare Corp., 6.750%, 6/15/2023   93,000  
 1,360,000    Tenet Healthcare Corp., 6.875%, 11/15/2031   1,118,600  
 820,000    Textron, Inc., 5.950%, 9/21/2021   939,276  

 

See accompanying notes to financial statements.

 

|  36


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued  
$90,000    Time Warner Cable LLC, 4.500%, 9/15/2042  $85,883  
 565,000    Time Warner Cable LLC, 5.250%, 7/15/2042, (GBP)(d)   859,621  
 85,000    Time Warner Cable LLC, 5.500%, 9/01/2041   90,730  
 1,680,000    Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026, 144A   2,174,997  
 171,000    TransDigm, Inc., 6.500%, 7/15/2024   179,978  
 185,000    TransDigm, Inc., 6.500%, 5/15/2025   192,631  
 6,665,000    TRI Pointe Group, Inc., 4.875%, 7/01/2021   6,831,625  
 90,000    TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019   92,588  
 5,000    TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024   5,200  
 870,000    TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A   876,525  
 8,530,000    U.S. Treasury Note, 0.375%, 10/31/2016   8,531,587  
 8,520,000    U.S. Treasury Note, 0.500%, 11/30/2016   8,524,183  
 370,000    U.S. Treasury Note, 0.625%, 8/31/2017(d)(i)   369,899  
 10,257    UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018   10,270  
 630,000    United Continental Holdings, Inc., 6.375%, 6/01/2018   661,500  
 2,940,000    United Rentals North America, Inc., 5.500%, 7/15/2025   2,998,800  
 2,635,000    United Rentals North America, Inc., 5.750%, 11/15/2024   2,733,812  
 295,000    United Rentals North America, Inc., 7.625%, 4/15/2022   314,175  
 1,940,000    United States Steel Corp., 6.650%, 6/01/2037   1,552,000  
 690,000    United States Steel Corp., 7.375%, 4/01/2020   686,550  
 770,000    United States Steel Corp., 7.500%, 3/15/2022   758,450  
 111,922    US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026   128,711  
 59,592    US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021   65,998  
 422,020    US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026   460,001  
 230,000    USG Corp., 9.500%, 1/15/2018   249,780  
 25,000    Viacom, Inc., 4.375%, 3/15/2043   22,952  
 180,000    Viacom, Inc., 4.850%, 12/15/2034   183,522  
 395,000    Viacom, Inc., 5.250%, 4/01/2044   413,542  
 145,000    Viacom, Inc., 5.850%, 9/01/2043   163,538  
 1,380,000    Western Digital Corp., 7.375%, 4/01/2023, 144A   1,518,000  
 60,000    Weyerhaeuser Co., 6.950%, 10/01/2027   74,592  
 315,000    Weyerhaeuser Co., 7.375%, 3/15/2032   426,463  
 1,060,000    Whiting Petroleum Corp., 5.000%, 3/15/2019   1,025,550  
 590,000    Whiting Petroleum Corp., 5.750%, 3/15/2021   551,650  
 130,000    Whiting Petroleum Corp., 6.250%, 4/01/2023   118,625  
 555,000    Whiting Petroleum Corp., 6.500%, 10/01/2018   546,675  
 55,000    Windstream Services LLC, 7.500%, 6/01/2022   52,800  
 1,955,000    Windstream Services LLC, 7.500%, 4/01/2023   1,867,025  
 1,105,000    Windstream Services LLC, 7.750%, 10/01/2021   1,102,237  
 500,000    WPX Energy, Inc., 5.250%, 1/15/2017   503,750  
 125,000    Xerox Corp., 6.750%, 2/01/2017   126,969  
    

 

 

 
     280,397,424  
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $446,354,695)
   472,467,061  
    

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
 Convertible Bonds — 1.0%  
  United States — 1.0%  
$650,000    Brocade Communications Systems, Inc., 1.375%, 1/01/2020  $641,469  
 10,000    CalAmp Corp., 1.625%, 5/15/2020   9,250  
 190,000    CalAtlantic Group, Inc., 0.250%, 6/01/2019   175,988  
 68,000    Chesapeake Energy Corp., 2.500%, 5/15/2037   67,575  
 185,000    Ciena Corp., 3.750%, 10/15/2018, 144A   234,025  
 2,290,000    Dish Network Corp., 3.375%, 8/15/2026, 144A   2,507,550  
 530,000    Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)   722,125  
 275,000    Iconix Brand Group, Inc., 1.500%, 3/15/2018   237,188  
 1,125,000    Intel Corp., 3.250%, 8/01/2039   2,057,344  
 1,000,000    KB Home, 1.375%, 2/01/2019   972,500  
 1,690,000    Nuance Communications, Inc., 1.000%, 12/15/2035, 144A   1,470,300  
 2,200,000    Old Republic International Corp., 3.750%, 3/15/2018   2,641,375  
 1,450,000    Priceline Group, Inc. (The), 0.900%, 9/15/2021   1,556,937  
 1,580,000    Rovi Corp., 0.500%, 3/01/2020   1,574,517  
 40,000    RPM International, Inc., 2.250%, 12/15/2020   47,925  
 90,000    Trinity Industries, Inc., 3.875%, 6/01/2036   107,550  
    

 

 

 
  Total Convertible Bonds
(Identified Cost $12,795,697)
   15,023,618  
    

 

 

 
    
 Municipals — 0.0%  
  United States — 0.0%  
 155,000    State of Illinois, 5.100%, 6/01/2033   149,420  
 130,000    Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046   111,654  
    

 

 

 
  Total Municipals
(Identified Cost $251,681)
   261,074  
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $459,402,073)
   487,751,753  
    

 

 

 
    
 Senior Loans — 0.3%  
  United States — 0.3%  
 4,316    Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(h)   4,111  
 1,809,375    Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(h)   1,808,398  
 1,065,000    Flying Fortress, Inc., New Term Loan, 3.588%, 4/30/2020(h)   1,070,858  
 444,001    PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(h)   442,336  
 120,000    PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(h)   119,400  
 837,245    Supervalu, Inc., Refi Term Loan B, 5.500%, 3/21/2019(h)   838,099  
    

 

 

 
  Total Senior Loans
(Identified Cost $4,280,345)
   4,283,202  
    

 

 

 
    
Shares          
 Preferred Stocks — 0.0%  
  United States — 0.0%  
 2,585    Alcoa, Inc., Series 1, 5.375%   84,504  

 

See accompanying notes to financial statements.

 

|  38


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Shares

   Description      
Value (†)
 
  United States — continued  
 460    Chesapeake Energy Corp., 5.000%(b)  $19,723  
 40    Chesapeake Energy Corp., 5.750%(b)   20,825  
 736    Chesapeake Energy Corp., 5.750%(b)   389,160  
 84    Chesapeake Energy Corp., Series A, 5.750% 144A(b)   43,732  
 2,794    El Paso Energy Capital Trust I, 4.750%   139,700  
    

 

 

 
  Total Preferred Stocks
(Identified Cost $703,097)
   697,644  
    

 

 

 
    
 Warrants — 0.0%  
 2,475    Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(b)(c)
(Identified Cost $0)
   3,776  
    

 

 

 
    
Principal
Amount (‡)
          
 Short-Term Investments — 2.1%  
$31,962,491    Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $31,962,572 on 10/03/2016 collateralized by $30,225,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $32,605,219 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $31,962,491)   31,962,491  
    

 

 

 
    
  Total Investments — 99.5%
(Identified Cost $1,352,352,627)(a)
   1,531,214,106  
  Other assets less liabilities — 0.5%   7,789,952  
    

 

 

 
  Net Assets — 100.0%  $1,539,004,058  
    

 

 

 
    
 (‡)    Principal Amount stated in U.S. dollars unless otherwise noted.  
 (†)    See Note 2 of Notes to Financial Statements.  
 (††)    Amount shown represents units. One unit represents a principal amount of 1,000.  
 (†††)    Amount shown represents units. One unit represents a principal amount of 100.  
 (††††)    Amount shown represents units. One unit represents a principal amount of 25.  
 (a)    Federal Tax Information:  
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $1,350,922,765 for federal income tax purposes was as follows:   
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost  $215,979,568  
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value   (35,688,227
    

 

 

 
  Net unrealized appreciation  $180,291,341  
    

 

 

 
    
 (b)    Non-income producing security.  
 (c)    Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $123,730 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.    
 (d)    Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.   

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

 (e)    Perpetual bond with no specified maturity date.  
 (f)    Illiquid security. (Unaudited)  
 (g)    Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $3,086,233 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.    
 (h)    Variable rate security. Rate as of September 30, 2016 is disclosed.  
 (i)    Security (or a portion thereof) has been pledged as collateral for open derivative contracts.  
 (j)    Coupon rate is a fixed rate for an initial period then resets at a specified date and 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 September 30, 2016, the value of Rule 144A holdings amounted to $120,137,536 or 7.8% 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.    
 EMTN    Euro Medium Term Note  
 GMTN    Global Medium Term Note  
 MTN    Medium Term Note  
    
 AUD    Australian Dollar  
 BRL    Brazilian Real  
 CAD    Canadian Dollar  
 CLP    Chilean Peso  
 COP    Colombian Peso  
 EUR    Euro  
 GBP    British Pound  
 IDR    Indonesian Rupiah  
 INR    Indian Rupee  
 KRW    South Korean Won  
 MXN    Mexican Peso  
 NOK    Norwegian Krone  
 NZD    New Zealand Dollar  
 PLN    Polish Zloty  
 RUB    New Russian Ruble  
 SEK    Swedish Krona  
 ZAR    South African Rand  

 

See accompanying notes to financial statements.

 

|  40


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

At September 30, 2016, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell
  Delivery
Date
   Currency  Units
of
Currency
   Notional
Value
   Unrealized
Appreciation
(Depreciation)
 
Sell1   12/21/2016    Australian Dollar   3,428,000    $2,619,048    $(61,876
Buy1   12/21/2016    British Pound   2,370,000     3,076,838     (56,930
Sell1   12/21/2016    Canadian Dollar   7,245,000     5,525,473     30,687  
Sell1   12/21/2016    Canadian Dollar   8,000,000     6,101,281     (9,524
Buy2   12/21/2016    Euro   850,000     958,297     1,176  
Buy2   12/21/2016    Euro   36,370,000     41,003,853     (5,217
Sell2   12/21/2016    Euro   620,000     698,993     (239
Sell1   12/21/2016    Indonesian Rupiah   39,600,000,000     2,998,788     (33,607
Buy1   12/21/2016    Japanese Yen   2,486,500,000     24,605,424     230,841  
Sell3   12/21/2016    Mexican Peso   117,600,000     6,012,969     332,777  
Sell1   12/21/2016    New Zealand Dollar   8,162,000     5,925,324     (4,446
Sell3   12/21/2016    Norwegian Krone   4,200,000     525,467     (12,029
Sell4   12/21/2016    Polish Zloty   14,420,000     3,765,440     3,313  
Sell3   12/21/2016    South African Rand   13,500,000     969,033     (49,726
Sell3   12/21/2016    Swedish Krona   3,100,000     362,791     4,407  
          

 

 

 
Total          $369,607  
          

 

 

 

At September 30, 2016, the Fund had the following open forward cross currency contracts:

 

Settlement Date  Deliver/Units of Currency  Receive/Units of Currency   Unrealized
Appreciation
(Depreciation)
 
12/21/2016   Norwegian Krone    14,180,000   Euro1   1,526,810    $(52,739
         

 

 

 

1 Counterparty is Credit Suisse International

2 Counterparty is Morgan Stanley & Co.

3 Counterparty is UBS AG

4 Counterparty is Citibank N.A.

 

See accompanying notes to financial statements.

 

41  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Equity and Income Fund – (continued)

 

Industry Summary at September 30, 2016

 

Internet Software & Services

   9.2

Treasuries

   5.5  

Aerospace & Defense

   5.1  

Capital Markets

   5.0  

Insurance

   4.5  

Pharmaceuticals

   4.1  

Chemicals

   3.7  

Banking

   3.7  

Specialty Retail

   3.5  

Media

   3.0  

IT Services

   2.9  

Internet & Direct Marketing Retail

   2.8  

Banks

   2.5  

Beverages

   2.2  

Food Products

   2.2  

Other Investments, less than 2% each

   37.5  

Short-Term Investments

   2.1  
  

 

 

 

Total Investments

   99.5  

Other assets less liabilities (including forward foreign currency contracts)

   0.5  
  

 

 

 

Net Assets

   100.0
  

 

 

 

Currency Exposure Summary at September 30, 2016

 

United States Dollar

   73.3

Euro

   6.1  

Swiss Franc

   5.0  

British Pound

   3.2  

Hong Kong Dollar

   2.4  

Canadian Dollar

   2.0  

Indian Rupee

   2.0  

Other, less than 2% each

   5.5  
  

 

 

 

Total Investments

   99.5  

Other assets less liabilities (including forward foreign currency contracts)

   0.5  
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  42


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Growth Fund

 

Shares   Description  Value (†) 
 Common Stocks — 98.3% of Net Assets  
  Air Freight & Logistics — 5.8%  
 2,583,164    Expeditors International of Washington, Inc.  $133,084,609  
 1,104,940    United Parcel Service, Inc., Class B   120,836,239  
    

 

 

 
     253,920,848  
    

 

 

 
  Beverages — 8.1%  
 3,414,551    Coca-Cola Co. (The)   144,503,798  
 1,266,142    Monster Beverage Corp.(b)   185,882,307  
 443,291    SABMiller PLC, Sponsored ADR   25,750,774  
    

 

 

 
     356,136,879  
    

 

 

 
  Biotechnology — 4.3%  
 598,438    Amgen, Inc.   99,825,443  
 226,065    Regeneron Pharmaceuticals, Inc.(b)   90,882,651  
    

 

 

 
     190,708,094  
    

 

 

 
  Capital Markets — 4.8%  
 519,543    FactSet Research Systems, Inc.   84,217,920  
 170,519    Greenhill & Co., Inc.   4,019,133  
 2,678,293    SEI Investments Co.   122,156,944  
    

 

 

 
     210,393,997  
    

 

 

 
  Communications Equipment — 5.1%  
 7,017,264    Cisco Systems, Inc.   222,587,614  
    

 

 

 
  Consumer Finance — 1.3%  
 876,631    American Express Co.   56,139,449  
    

 

 

 
  Energy Equipment & Services — 2.5%  
 1,384,165    Schlumberger Ltd.   108,850,736  
    

 

 

 
  Food Products — 3.7%  
 11,048,803    Danone, Sponsored ADR   164,074,724  
    

 

 

 
  Health Care Equipment & Supplies — 2.6%  
 1,176,628    Varian Medical Systems, Inc.(b)   117,109,785  
    

 

 

 
  Health Care Technology — 2.6%  
 1,845,161    Cerner Corp.(b)   113,938,692  
    

 

 

 
  Hotels, Restaurants & Leisure — 2.6%  
 1,267,141    Yum! Brands, Inc.   115,069,074  
    

 

 

 
  Household Products — 3.5%  
 1,713,557    Procter & Gamble Co. (The)   153,791,741  
    

 

 

 
  Internet & Direct Marketing Retail — 7.3%  
 381,585    Amazon.com, Inc.(b)   319,504,936  
    

 

 

 
  Internet Software & Services — 16.2%  
 2,049,871    Alibaba Group Holding Ltd., Sponsored ADR(b)   216,855,853  
 146,521    Alphabet, Inc., Class C(b)   113,889,308  
 145,961    Alphabet, Inc., Class A(b)   117,361,402  
 2,051,562    Facebook, Inc., Class A(b)   263,153,858  
    

 

 

 
     711,260,421  
    

 

 

 

 

See accompanying notes to financial statements.

 

43  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Growth Fund – (continued)

 

Shares   Description  Value (†) 
  IT Services — 5.7%  
 434,095    Automatic Data Processing, Inc.  $38,287,179  
 2,554,796    Visa, Inc., Class A   211,281,629  
    

 

 

 
     249,568,808  
    

 

 

 
  Machinery — 1.8%  
 918,625    Deere & Co.   78,404,644  
    

 

 

 
  Pharmaceuticals — 6.7%  
 1,025,390    Merck & Co., Inc.   63,994,590  
 1,269,385    Novartis AG, Sponsored ADR   100,230,640  
 3,137,955    Novo Nordisk AS, Sponsored ADR   130,507,548  
    

 

 

 
     294,732,778  
    

 

 

 
  Semiconductors & Semiconductor Equipment — 4.9%  
 292,992    Analog Devices, Inc.   18,883,334  
 2,876,024    QUALCOMM, Inc.   197,007,644  
    

 

 

 
     215,890,978  
    

 

 

 
  Software — 8.8%  
 1,648,712    Autodesk, Inc.(b)   119,251,339  
 1,745,555    Microsoft Corp.   100,543,968  
 4,295,386    Oracle Corp.   168,722,762  
    

 

 

 
     388,518,069  
    

 

 

 
  Total Common Stocks
(Identified Cost $3,772,884,348)
   4,320,602,267  
    

 

 

 
    
Principal
Amount
          
 Short-Term Investments — 2.7%  
$115,998,857    Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $115,999,147 on 10/03/2016 collateralized by $109,685,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $118,322,694 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $115,998,857)   115,998,857  
    

 

 

 
    
  Total Investments — 101.0%
(Identified Cost $3,888,883,205)(a)
   4,436,601,124  
  Other assets less liabilities — (1.0)%   (42,088,297
    

 

 

 
  Net Assets — 100.0%  $4,394,512,827  
    

 

 

 
    

 

See accompanying notes to financial statements.

 

|  44


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Growth Fund – (continued)

 

 (†)    See Note 2 of Notes to Financial Statements.  
 (a)    Federal Tax Information:  
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $3,889,923,543 for federal income tax purposes was as follows:   
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost  $592,453,674  
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value   (45,776,093
    

 

 

 
  Net unrealized appreciation  $546,677,581  
    

 

 

 
    
 (b)    Non-income producing security.  
    
 ADR    An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.    

Industry Summary at September 30, 2016

 

Internet Software & Services

   16.2

Software

   8.8  

Beverages

   8.1  

Internet & Direct Marketing Retail

   7.3  

Pharmaceuticals

   6.7  

Air Freight & Logistics

   5.8  

IT Services

   5.7  

Communications Equipment

   5.1  

Semiconductors & Semiconductor Equipment

   4.9  

Capital Markets

   4.8  

Biotechnology

   4.3  

Food Products

   3.7  

Household Products

   3.5  

Health Care Equipment & Supplies

   2.6  

Hotels, Restaurants & Leisure

   2.6  

Health Care Technology

   2.6  

Energy Equipment & Services

   2.5  

Other Investments, less than 2% each

   3.1  

Short-Term Investments

   2.7  
  

 

 

 

Total Investments

   101.0  

Other assets less liabilities

   (1.0
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

45  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Value Fund

 

Shares

   Description  Value (†) 
 Common Stocks — 98.0% of Net Assets  
  Aerospace & Defense — 3.7%  
 99,639    Northrop Grumman Corp.  $21,317,764  
 245,287    United Technologies Corp.   24,921,159  
    

 

 

 
     46,238,923  
    

 

 

 
  Automobiles — 1.0%  
 232,250    Harley-Davidson, Inc.   12,214,027  
    

 

 

 
  Banks — 11.9%  
 1,724,556    Bank of America Corp.   26,989,301  
 451,096    Citigroup, Inc.   21,305,264  
 628,059    Fifth Third Bancorp   12,850,087  
 563,936    JPMorgan Chase & Co.   37,552,498  
 245,423    PNC Financial Services Group, Inc. (The)   22,110,158  
 644,545    Wells Fargo & Co.   28,540,453  
    

 

 

 
     149,347,761  
    

 

 

 
  Beverages — 1.5%  
 176,784    PepsiCo, Inc.   19,228,796  
    

 

 

 
  Biotechnology — 1.0%  
 200,058    AbbVie, Inc.   12,617,658  
    

 

 

 
  Capital Markets — 2.3%  
 162,749    Ameriprise Financial, Inc.   16,237,468  
 175,413    State Street Corp.   12,214,007  
    

 

 

 
     28,451,475  
    

 

 

 
  Chemicals — 1.4%  
 262,897    E.I. du Pont de Nemours & Co.   17,606,212  
    

 

 

 
  Communications Equipment — 3.0%  
 719,409    Cisco Systems, Inc.   22,819,654  
 169,171    Harris Corp.   15,497,755  
    

 

 

 
     38,317,409  
    

 

 

 
  Construction Materials — 1.5%  
 163,165    Vulcan Materials Co.   18,556,755  
    

 

 

 
  Consumer Finance — 2.7%  
 183,919    American Express Co.   11,778,173  
 390,527    Discover Financial Services   22,084,302  
    

 

 

 
     33,862,475  
    

 

 

 
  Containers & Packaging — 1.5%  
 401,203    Sealed Air Corp.   18,383,121  
    

 

 

 
  Diversified Telecommunication Services — 1.5%  
 368,419    Verizon Communications, Inc.   19,150,420  
    

 

 

 
  Electric Utilities — 2.9%  
 161,807    NextEra Energy, Inc.   19,792,232  
 278,156    PG&E Corp.   17,014,803  
    

 

 

 
     36,807,035  
    

 

 

 

 

See accompanying notes to financial statements.

 

|  46


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Value Fund – (continued)

 

Shares

   Description  Value (†) 
  Electrical Equipment — 1.4%  
 267,043    Eaton Corp. PLC  $17,547,395  
    

 

 

 
  Energy Equipment & Services — 3.0%  
 534,107    Halliburton Co.   23,970,722  
 369,225    National Oilwell Varco, Inc.   13,565,327  
    

 

 

 
     37,536,049  
    

 

 

 
  Food & Staples Retailing — 1.6%  
 232,311    CVS Health Corp.   20,673,356  
    

 

 

 
  Food Products — 1.5%  
 438,614    Mondelez International, Inc., Class A   19,255,155  
    

 

 

 
  Health Care Equipment & Supplies — 1.9%  
 278,905    Medtronic PLC   24,097,392  
    

 

 

 
  Health Care Providers & Services — 3.5%  
 77,430    Aetna, Inc.   8,939,294  
 52,116    Humana, Inc.   9,218,799  
 182,807    UnitedHealth Group, Inc.   25,592,980  
    

 

 

 
     43,751,073  
    

 

 

 
  Household Durables — 1.3%  
 305,998    Newell Brands, Inc.   16,113,855  
    

 

 

 
  Independent Power & Renewable Electricity Producers — 0.7%  
 714,946    Calpine Corp.(b)   9,036,917  
    

 

 

 
  Industrial Conglomerates — 1.4%  
 150,392    Honeywell International, Inc.   17,534,203  
    

 

 

 
  Insurance — 7.4%  
 374,180��   American International Group, Inc.   22,203,841  
 525,760    FNF Group   19,405,802  
 404,169    MetLife, Inc.   17,957,229  
 162,771    Travelers Cos., Inc. (The)   18,645,418  
 422,055    Unum Group   14,902,762  
    

 

 

 
     93,115,052  
    

 

 

 
  Internet & Direct Marketing Retail — 1.1%  
 661,841    Liberty Interactive Corp./QVC Group, Class A(b)   13,243,438  
    

 

 

 
  Machinery — 2.5%  
 225,624    Ingersoll-Rand PLC   15,328,895  
 248,709    Pentair PLC   15,977,066  
    

 

 

 
     31,305,961  
    

 

 

 
  Media — 2.7%  
 358,638    Comcast Corp., Class A   23,792,045  
 304,672    Liberty Global PLC, Class A(b)   10,413,689  
    

 

 

 
     34,205,734  
    

 

 

 
  Multiline Retail — 0.8%  
 142,051    Dollar General Corp.   9,942,149  
    

 

 

 

 

See accompanying notes to financial statements.

 

47  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Value Fund – (continued)

 

Shares

   Description  Value (†) 
  Oil, Gas & Consumable Fuels — 5.7%  
 202,990    Chevron Corp.  $20,891,731  
 428,109    Hess Corp.   22,955,205  
 327,064    Royal Dutch Shell PLC, Sponsored ADR   16,376,094  
 217,853    Valero Energy Corp.   11,546,209  
    

 

 

 
     71,769,239  
    

 

 

 
  Pharmaceuticals — 8.2%  
 81,615    Allergan PLC(b)   18,796,751  
 194,425    Eli Lilly & Co.   15,604,550  
 392,798    Merck & Co., Inc.   24,514,523  
 789,880    Pfizer, Inc.   26,753,236  
 375,865    Teva Pharmaceutical Industries Ltd., Sponsored ADR   17,293,549  
    

 

 

 
     102,962,609  
    

 

 

 
  Real Estate Management & Development — 0.8%  
 349,891    CBRE Group, Inc., Class A(b)   9,789,950  
    

 

 

 
  REITs – Diversified — 2.0%  
 312,879    Outfront Media, Inc.   7,399,588  
 558,166    Weyerhaeuser Co.   17,827,822  
    

 

 

 
     25,227,410  
    

 

 

 
  Road & Rail — 1.5%  
 196,009    Norfolk Southern Corp.   19,024,634  
    

 

 

 
  Semiconductors & Semiconductor Equipment — 1.6%  
 288,492    QUALCOMM, Inc.   19,761,702  
    

 

 

 
  Software — 5.3%  
 595,386    Microsoft Corp.   34,294,234  
 419,910    Oracle Corp.   16,494,065  
 628,332    Symantec Corp.   15,771,133  
    

 

 

 
     66,559,432  
    

 

 

 
  Specialty Retail — 0.9%  
 77,814    Advance Auto Parts, Inc.   11,603,624  
    

 

 

 
  Technology Hardware, Storage & Peripherals — 1.6%  
 180,644    Apple, Inc.   20,421,804  
    

 

 

 
  Textiles, Apparel & Luxury Goods — 1.2%  
 148,015    Ralph Lauren Corp.   14,970,237  
    

 

 

 
  Tobacco — 1.5%  
 197,879    Philip Morris International, Inc.   19,237,796  
    

 

 

 
  Wireless Telecommunication Services — 1.0%  
 439,217    Vodafone Group PLC, Sponsored ADR   12,803,176  
    

 

 

 
  Total Common Stocks
(Identified Cost $976,836,520)
   1,232,271,409  
    

 

 

 
    

 

See accompanying notes to financial statements.

 

|  48


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Value Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
 Short-Term Investments — 1.8%  
$22,406,170    Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $22,406,226 on 10/03/2016 collateralized by $21,190,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $22,858,713 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,406,170)  $22,406,170  
    

 

 

 
    
  Total Investments — 99.8%
(Identified Cost $999,242,690)(a)
   1,254,677,579  
  Other assets less liabilities — 0.2%   2,353,347  
    

 

 

 
  Net Assets — 100.0%  $1,257,030,926  
    

 

 

 
    
Shares          
 Common Stocks Sold Short — 0.0%  
  Chemicals — 0.0%  
 6,015    AdvanSix, Inc.(b)(c)
(Proceeds $102,513)
  $(99,789
    

 

 

 
    
 (†)    See Note 2 of Notes to Financial Statements.  
 (a)    Federal Tax Information:  
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $1,002,751,992 (excludes proceeds received from short sales of $102,513) for federal income tax purposes was as follows:    
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   
  Investment securities  $291,262,745  
  Securities sold short   2,724  
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value  
  Investment securities   (39,337,158
  Securities sold short     
    

 

 

 
  Net unrealized appreciation  $251,928,311  
    

 

 

 
    
 (b)    Non-income producing security.  
 (c)    When-issued security. When-issued refers to a transaction made conditionally because a security, although authorized, has not been issued.   
    
 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.    
 REITs    Real Estate Investment Trusts  

 

See accompanying notes to financial statements.

 

49  |


Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Value Fund – (continued)

 

Industry Summary at September 30, 2016

 

Banks

   11.9

Pharmaceuticals

   8.2  

Insurance

   7.4  

Oil, Gas & Consumable Fuels

   5.7  

Software

   5.3  

Aerospace & Defense

   3.7  

Health Care Providers & Services

   3.5  

Communications Equipment

   3.0  

Energy Equipment & Services

   3.0  

Electric Utilities

   2.9  

Media

   2.7  

Consumer Finance

   2.7  

Machinery

   2.5  

Capital Markets

   2.3  

REITs - Diversified

   2.0  

Other Investments, less than 2% each*

   31.2  

Short-Term Investments

   1.8  
  

 

 

 

Total Investments

   99.8  

Other assets less liabilities

   0.2  
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

*Net of securities sold short.

 

See accompanying notes to financial statements.

 

|  50


Table of Contents

Statements of Assets and Liabilities

 

September 30, 2016

 

   Global Equity
and Income
Fund
  Growth
Fund
   Value
Fund
 

ASSETS

     

Investments at cost

  $1,352,352,627   $3,888,883,205    $999,242,690  

Net unrealized appreciation

   178,861,479    547,717,919     255,434,889  
  

 

 

  

 

 

   

 

 

 

Investments at value

   1,531,214,106    4,436,601,124     1,254,677,579  

Cash

   638,139           

Due from brokers (Note 2)

   6,000           

Foreign currency at value (identified cost $3,699,350, $0 and $0, respectively)

   3,685,013           

Receivable for Fund shares sold

   8,000,577    18,428,187     642,592  

Receivable for securities sold

   3,516,295         2,209,649  

Collateral received for open forward foreign currency contracts (Note 4)

   360,000           

Dividends and interest receivable

   7,036,063    2,771,334     953,043  

Unrealized appreciation on forward foreign currency contracts (Note 2)

   603,201           

Tax reclaims receivable

   580,602    683,770       

Receivable for securities sold short (Note 2)

            102,513  

Prepaid expenses (Note 8)

   6,195    11,771     6,015  
  

 

 

  

 

 

   

 

 

 

TOTAL ASSETS

   1,555,646,191    4,458,496,186     1,258,591,391  
  

 

 

  

 

 

   

 

 

 

LIABILITIES

     

Securities sold short, at value (proceeds $102,513) (Note 2)

            99,789  

Payable for securities purchased

   12,614,006    58,828,504       

Payable for Fund shares redeemed

   2,009,472    2,882,533     454,090  

Unrealized depreciation on forward foreign currency contracts (Note 2)

   286,333           

Foreign taxes payable (Note 2)

   22,570           

Due to brokers (Note 2)

   360,000           

Management fees payable (Note 6)

   982,791    1,756,842     522,286  

Deferred Trustees’ fees (Note 6)

   142,232    174,036     337,962  

Administrative fees payable (Note 6)

   55,490    154,543     45,540  

Payable to distributor (Note 6d)

   14,671    47,712     10,227  

Other accounts payable and accrued expenses

   154,568    139,189     90,571  
  

 

 

  

 

 

   

 

 

 

TOTAL LIABILITIES

   16,642,133    63,983,359     1,560,465  
  

 

 

  

 

 

   

 

 

 

NET ASSETS

  $1,539,004,058   $4,394,512,827    $1,257,030,926  
  

 

 

  

 

 

   

 

 

 

NET ASSETS CONSIST OF:

     

Paid-in capital

  $1,352,973,279   $3,786,305,647    $965,717,955  

Undistributed net investment income

   10,444,127    17,971,361     19,352,403  

Accumulated net realized gain (loss) on investments and foreign currency transactions

   (3,545,488  42,517,900     16,522,955  

Net unrealized appreciation on investments, short sales and foreign currency translations

   179,132,140    547,717,919     255,437,613  
  

 

 

  

 

 

   

 

 

 

NET ASSETS

  $1,539,004,058   $4,394,512,827    $1,257,030,926  
  

 

 

  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

51  |


Table of Contents

Statements of Assets and Liabilities (continued)

 

September 30, 2016

 

   Global Equity
and Income
Fund
   Growth
Fund
   Value
Fund
 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

      

Class A shares:

      

Net assets

  $280,262,778    $729,989,074    $191,909,446  
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   14,619,381     61,020,198     9,257,594  
  

 

 

   

 

 

   

 

 

 

Net asset value and redemption price per share

  $19.17    $11.96    $20.73  
  

 

 

   

 

 

   

 

 

 

Offering price per share (100/94.25 of net asset value) (Note 1)

  $20.34    $12.69    $21.99  
  

 

 

   

 

 

   

 

 

 

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

      

Net assets

  $423,349,930    $109,798,099    $11,474,269  
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   22,415,130     9,931,314     561,591  
  

 

 

   

 

 

   

 

 

 

Net asset value and offering price per share

  $18.89    $11.06    $20.43  
  

 

 

   

 

 

   

 

 

 

Class N shares:

      

Net assets

  $    $60,765,103    $499,533,298  
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

        4,772,330     24,019,970  
  

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $    $12.73    $20.80  
  

 

 

   

 

 

   

 

 

 

Class Y shares:

      

Net assets

  $835,391,350    $3,493,960,551    $553,259,447  
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   43,304,754     274,393,637     26,586,342  
  

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $19.29    $12.73    $20.81  
  

 

 

   

 

 

   

 

 

 

Admin Class shares:

      

Net assets

  $    $    $854,466  
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

             41,942  
  

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $    $    $20.37  
  

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  52


Table of Contents

Statements of Operations

 

For the Year Ended September 30, 2016

 

   Global Equity
and Income
Fund
  Growth
Fund
  Value
Fund
 

INVESTMENT INCOME

    

Dividends

  $12,925,585   $41,165,704   $37,676,942  

Interest

   23,696,821    29,400    21,438  

Less net foreign taxes withheld

   (785,746  (1,078,326  (291,695
  

 

 

  

 

 

  

 

 

 
   35,836,660    40,116,778    37,406,685  
  

 

 

  

 

 

  

 

 

 

Expenses

    

Management fees (Note 6)

   10,746,920    13,482,702    7,041,043  

Service and distribution fees (Note 6)

   4,868,443    1,778,520    797,832  

Administrative fees (Note 6)

   631,931    1,191,159    620,523  

Trustees’ fees and expenses (Note 6)

   54,665    85,010    63,804  

Transfer agent fees and expenses (Note 6)

   1,216,450    2,518,289    986,349  

Audit and tax services fees

   71,080    41,737    41,100  

Custodian fees and expenses

   240,721    102,273    35,531  

Legal fees

   23,524    40,157    23,341  

Registration fees

   104,983    268,216    102,969  

Shareholder reporting expenses

   88,269    129,612    71,342  

Miscellaneous expenses (Note 8)

   62,844    57,117    47,266  
  

 

 

  

 

 

  

 

 

 

Total expenses

   18,109,830    19,694,792    9,831,100  

Less waiver and/or expense reimbursement (Note 6)

       (205    
  

 

 

  

 

 

  

 

 

 

Net expenses

   18,109,830    19,694,587    9,831,100  
  

 

 

  

 

 

  

 

 

 

Net investment income

   17,726,830    20,422,191    27,575,585  
  

 

 

  

 

 

  

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SHORT SALES AND FOREIGN CURRENCY TRANSACTIONS

    

Net realized gain (loss) on:

    

Investments

   (12,554,286  61,467,333    20,497,235  

Foreign currency transactions

   1,418,158          

Net change in unrealized appreciation (depreciation) on:

    

Investments

   125,468,401    460,433,284    85,540,666  

Short sales

           2,724  

Foreign currency translations

   188,409          
  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain on investments, short sales and foreign currency transactions

   114,520,682    521,900,617    106,040,625  
  

 

 

  

 

 

  

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $132,247,512   $542,322,808   $133,616,210  
  

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

53  |


Table of Contents

Statements of Changes in Net Assets

 

  Global Equity and Income Fund  Growth Fund 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
 

FROM OPERATIONS:

    

Net investment income

 $17,726,830   $11,891,262   $20,422,191   $7,486,907  

Net realized gain (loss) on investments and foreign currency transactions

  (11,136,128  67,722,170    61,467,333    102,347,346  

Net change in unrealized appreciation (depreciation) on investments and foreign currency translations

  125,656,810    (94,044,352  460,433,284    (62,314,445
 

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

  132,247,512    (14,430,920  542,322,808    47,519,808  
 

 

 

  

 

 

  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

    

Net investment income

    

Class A

  (2,081,218  (2,404,233  (638,700  (382,515

Class C

  (533,445  (1,155,191        

Class N

          (27,613  (7

Class Y

  (7,355,165  (8,199,038  (7,860,674  (5,959,493

Net realized capital gains

    

Class A

  (11,445,258  (11,493,040        

Class C

  (18,956,422  (18,511,977        

Class N

                

Class Y

  (31,143,894  (30,839,565        
 

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  (71,515,402  (72,603,044  (8,526,987  (6,342,015
 

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

  233,875,615    84,205,723    2,522,919,151    198,516,181  
 

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets

  294,607,725    (2,828,241  3,056,714,972    239,693,974  

NET ASSETS

    

Beginning of the year

  1,244,396,333    1,247,224,574    1,337,797,855    1,098,103,881  
 

 

 

  

 

 

  

 

 

  

 

 

 

End of the year

 $1,539,004,058   $1,244,396,333   $4,394,512,827   $1,337,797,855  
 

 

 

  

 

 

  

 

 

  

 

 

 

UNDISTRIBUTED NET INVESTMENT INCOME

 $10,444,127   $7,742,946   $17,971,361   $6,076,156  
 

 

 

  

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

|  54


Table of Contents

Statements of Changes in Net Assets (continued)

 

       
Value Fund
 
   Year Ended
September 30,
2016
  Year Ended
September 30,
2015
 

FROM OPERATIONS:

   

Net investment income

  $27,575,585   $25,736,925  

Net realized gain on investments and foreign currency transactions

   20,497,235    324,209,929  

Net change in unrealized appreciation (depreciation) on investments, securities sold short and foreign currency translations

   85,543,390    (400,601,216
  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   133,616,210    (50,654,362
  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

   

Net investment income

   

Class A

   (1,396,913  (10,401,685

Class C

   (62,920  (187,911

Class N

   (9,650,934  (13,964,469

Class Y

   (10,292,470  (21,235,238

Admin Class

   (1,221,354  (5,320

Net realized capital gains

   

Class A

   (25,901,132  (52,482,381

Class B(a)

   (7,739  (35,446

Class C

   (3,063,203  (1,642,866

Class N

   (118,136,122  (59,475,488

Class Y

   (138,382,558  (98,286,185

Admin Class

   (18,149,180  (27,631
  

 

 

  

 

 

 

Total distributions

   (326,264,525  (257,744,620
  

 

 

  

 

 

 

NET DECREASE IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (NOTE 12)

   (11,555,512  (524,658,028
  

 

 

  

 

 

 

Net decrease in net assets

   (204,203,827  (833,057,010

NET ASSETS

   

Beginning of the year

   1,461,234,753    2,294,291,763  
  

 

 

  

 

 

 

End of the year

  $1,257,030,926   $1,461,234,753  
  

 

 

  

 

 

 

UNDISTRIBUTED NET INVESTMENT INCOME

  $19,352,403   $16,118,141  
  

 

 

  

 

 

 

 

(a)On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

55  |


Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

  Global Equity and Income Fund—Class A 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $18.45   $19.77   $18.57   $17.07   $14.24  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.24    0.21    0.28    0.32(b)   0.35(c) 

Net realized and unrealized gain (loss)

  1.47    (0.37  1.49    1.45    2.71  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.71    (0.16  1.77    1.77    3.06  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.15  (0.20  (0.33  (0.27  (0.23

Net realized capital gains

  (0.84  (0.96  (0.24        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.99  (1.16  (0.57  (0.27  (0.23
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $19.17   $18.45   $19.77   $18.57   $17.07  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(d)

  9.64  (0.91)%   9.62  10.54%(b)   21.75%(c) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $280,263   $246,371   $237,167   $251,211   $216,209  

Net expenses

  1.17  1.18  1.17  1.18  1.21

Gross expenses

  1.17  1.18  1.17  1.18  1.21

Net investment income

  1.32  1.06  1.46  1.82%(b)   2.16%(c) 

Portfolio turnover rate

  43  48  49  58  29

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.27, total return would have been 10.25% and the ratio of net investment income to average net assets would have been 1.51%.
(c)Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.31, total return would have been 21.46% and the ratio of net investment income to average net assets would have been 1.93%.
(d)A sales charge for Class A shares is not reflected in total return calculations.

 

See accompanying notes to financial statements.

 

|  56


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Global Equity and Income Fund—Class C 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $18.19   $19.51   $18.36   $16.90   $14.10  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.10    0.06    0.14    0.19(b)   0.22(c) 

Net realized and unrealized gain (loss)

  1.46    (0.36  1.45    1.45    2.70  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.56    (0.30  1.59    1.64    2.92  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.02  (0.06  (0.20  (0.18  (0.12

Net realized capital gains

  (0.84  (0.96  (0.24        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.86  (1.02  (0.44  (0.18  (0.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $18.89   $18.19   $19.51   $18.36   $16.90  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(d)

  8.88  (1.66)%   8.72  9.77%(b)   20.83%(c) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $423,350   $393,416   $377,001   $340,561   $251,366  

Net expenses

  1.92  1.93  1.92  1.93  1.96

Gross expenses

  1.92  1.93  1.92  1.93  1.96

Net investment income

  0.57  0.31  0.71  1.07%(b)   1.40%(c) 

Portfolio turnover rate

  43  48  49  58  29

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.13, total return would have been 9.41% and the ratio of net investment income to average net assets would have been 0.76%.
(c)Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.19, total return would have been 20.55% and the ratio of net investment income to average net assets would have been 1.18%.
(d)A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

 

See accompanying notes to financial statements.

 

57  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Global Equity and Income Fund—Class Y 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $18.55   $19.89   $18.68   $17.15   $14.31  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.29    0.25    0.33    0.37(b)   0.40(c) 

Net realized and unrealized gain (loss)

  1.49    (0.37  1.49    1.47    2.71  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.78    (0.12  1.82    1.84    3.11  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.20  (0.26  (0.37  (0.31  (0.27

Net realized capital gains

  (0.84  (0.96  (0.24        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (1.04  (1.22  (0.61  (0.31  (0.27
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $19.29   $18.55   $19.89   $18.68   $17.15  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  9.97  (0.72)%   9.87  10.90%(b)   21.96%(c) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $835,391   $604,609   $633,057   $570,694   $460,103  

Net expenses

  0.92  0.93  0.92  0.93  0.96

Gross expenses

  0.92  0.93  0.92  0.93  0.96

Net investment income

  1.58  1.30  1.69  2.07%(b)   2.44%(c) 

Portfolio turnover rate

  43  48  49  58  29

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.31, total return would have been 10.60% and the ratio of net investment income to average net assets would have been 1.76%.
(c)Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.36, total return would have been 21.75% and the ratio of net investment income to average net assets would have been 2.20%.

 

See accompanying notes to financial statements.

 

|  58


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Growth Fund—Class A 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $9.90   $9.45   $8.07   $6.50   $5.24  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.06    0.05    0.05    0.04    0.04  

Net realized and unrealized gain (loss)

  2.05    0.45    1.34    1.59    1.23  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.11    0.50    1.39    1.63    1.27  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.05  (0.05  (0.01  (0.06  (0.01

Net realized capital gains

                    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.05  (0.05  (0.01  (0.06  (0.01
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.96   $9.90   $9.45   $8.07   $6.50  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  21.32  5.30  17.23  25.23  24.22

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $729,989   $122,203   $63,682   $50,248   $33,663  

Net expenses

  0.92  0.92  0.94  1.03  1.07

Gross expenses

  0.92  0.92  0.94  1.03  1.07

Net investment income

  0.58  0.45  0.55  0.57  0.61

Portfolio turnover rate

  11  27%(c)   14  6  16

 

(a)Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)A sales charge for Class A shares is not reflected in total return calculations.
(c)Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

59  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Growth Fund—Class C 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $9.18   $8.79   $7.55   $6.09   $4.94  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment loss(a)

  (0.02  (0.03  (0.02  (0.01  (0.01

Net realized and unrealized gain (loss)

  1.90    0.42    1.26    1.48    1.16  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.88    0.39    1.24    1.47    1.15  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

              (0.01    

Net realized capital gains

                    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

              (0.01    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.06   $9.18   $8.79   $7.55   $6.09  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  20.48  4.44  16.42  24.21  23.28

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $109,798   $41,421   $29,837   $20,798   $10,489  

Net expenses

  1.66  1.67  1.69  1.78  1.82

Gross expenses

  1.66  1.67  1.69  1.78  1.82

Net investment loss

  (0.16)%   (0.29)%   (0.20)%   (0.20)%   (0.13)% 

Portfolio turnover rate

  11  27%(c)   14  6  16

 

(a)Per share net investment loss has been calculated using the average shares outstanding during the period.
(b)A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c)Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

|  60


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Growth Fund—Class N 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Period Ended
September 30,
2013*
 

Net asset value, beginning of the period

 $10.52   $10.01   $8.56   $7.58  
 

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

    

Net investment income(a)

  0.10    0.08    0.05    0.03  

Net realized and unrealized gain (loss)

  2.18    0.49    1.42    0.95  
 

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.28    0.57    1.47    0.98  
 

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

    

Net investment income

  (0.07  (0.06  (0.02    

Net realized capital gains

                
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.07  (0.06  (0.02    
 

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $12.73   $10.52   $10.01   $8.56  
 

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  21.75  5.65  17.21  12.93%(c) 

RATIOS TO AVERAGE NET ASSETS:

    

Net assets, end of the period (000’s)

 $60,765   $1   $1   $1  

Net expenses(d)

  0.58  0.55  0.95  0.95%(e) 

Gross expenses

  0.58  9.82  3.45  3.50%(e) 

Net investment income

  0.82  0.71  0.52  0.60%(e) 

Portfolio turnover rate

  11  27%(f)   14  6

 

*From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c)Periods less than one year are not annualized.
(d)The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e)Computed on an annualized basis for periods less than one year.
(f)Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

61  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Growth Fund—Class Y 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $10.53   $10.04   $8.57   $6.90   $5.56  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.10    0.07    0.08    0.05    0.06  

Net realized and unrealized gain (loss)

  2.16    0.49    1.42    1.69    1.30  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.26    0.56    1.50    1.74    1.36  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.06  (0.07  (0.03  (0.07  (0.02

Net realized capital gains

                    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.06  (0.07  (0.03  (0.07  (0.02
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $12.73   $10.53   $10.04   $8.57   $6.90  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  21.55  5.59  17.51  25.49  24.57

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $3,493,961   $1,174,150   $1,004,157   $541,245   $102,688  

Net expenses

  0.66  0.67  0.69  0.77  0.82

Gross expenses

  0.66  0.67  0.69  0.77  0.82

Net investment income

  0.82  0.69  0.79  0.68  0.87

Portfolio turnover rate

  11  27%(b)   14  6  16

 

(a)Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b)Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

|  62


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Value Fund—Class A 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $23.98   $28.47   $25.59   $20.86   $16.04  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.34    0.29    0.45(b)   0.31    0.27  

Net realized and unrealized gain (loss)

  1.80    (1.58  4.00    4.70    4.78  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.14    (1.29  4.45    5.01    5.05  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.28  (0.53  (0.27  (0.28  (0.23

Net realized capital gains

  (5.11  (2.67  (1.30        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (5.39  (3.20  (1.57  (0.28  (0.23
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $20.73   $23.98   $28.47   $25.59   $20.86  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(c)

  9.65  (5.59)%   17.97%(b)   24.35  31.71

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $191,909   $124,662   $580,092   $171,327   $129,572  

Net expenses

  0.94  0.95  0.96  0.97  0.98

Gross expenses

  0.94  0.95  0.96  0.97  0.98

Net investment income

  1.65  1.07  1.63%(b)   1.31  1.45

Portfolio turnover rate

  15  20  28  24  25

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.29, total return would have been 17.02% and the ratio of net investment income to average net assets would have been 1.05%.
(c)A sales charge for Class A shares is not reflected in total return calculations.

 

See accompanying notes to financial statements.

 

63  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Value Fund—Class C 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $23.69   $28.14   $25.33   $20.65   $15.85  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.20    0.10    0.31(b)   0.13    0.13  

Net realized and unrealized gain (loss)

  1.76    (1.57  3.89    4.68    4.74  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.96    (1.47  4.20    4.81    4.87  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.11  (0.31  (0.09  (0.13  (0.07

Net realized capital gains

  (5.11  (2.67  (1.30        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (5.22  (2.98  (1.39  (0.13  (0.07
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $20.43   $23.69   $28.14   $25.33   $20.65  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(c)

  8.85  (6.30)%   17.07%(b)   23.41  30.78

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $11,474   $15,071   $16,958   $15,158   $9,104  

Net expenses

  1.69  1.70  1.71  1.72  1.73

Gross expenses

  1.69  1.70  1.71  1.72  1.73

Net investment income

  0.94  0.40  1.15%(b)   0.55  0.70

Portfolio turnover rate

  15  20  28  24  25

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.08, total return would have been 16.11% and the ratio of net investment income to average net assets would have been 0.28%.
(c)A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

 

See accompanying notes to financial statements.

 

|  64


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Value Fund—Class N 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Period Ended
September 30,
2013*
 

Net asset value, beginning of the period

 $24.09   $28.58   $25.65   $22.59  
 

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

    

Net investment income(a)

  0.44    0.42    0.63(b)   0.25  

Net realized and unrealized gain (loss)

  1.80    (1.61  3.94    2.81  
 

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.24    (1.19  4.57    3.06  
 

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

    

Net investment income

  (0.42  (0.63  (0.34    

Net realized capital gains

  (5.11  (2.67  (1.30    
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (5.53  (3.30  (1.64    
 

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $20.80   $24.09   $28.58   $25.65  
 

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  10.08  (5.23)%   18.43%(b)   13.55%(c) 

RATIOS TO AVERAGE NET ASSETS:

    

Net assets, end of the period (000’s)

 $499,533   $554,946   $392,811   $260,643  

Net expenses

  0.57  0.57  0.57  0.57%(d) 

Gross expenses

  0.57  0.57  0.57  0.57%(d) 

Net investment income

  2.11  1.55  2.28%(b)   1.50%(d) 

Portfolio turnover rate

  15  20  28  24

 

*From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.39, total return would have been 17.48% and the ratio of net investment income to average net assets would have been 1.43%.
(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.

 

65  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Value Fund—Class Y 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $24.10   $28.58   $25.65   $20.91   $16.08  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.41    0.37    0.60(b)   0.36    0.32  

Net realized and unrealized gain (loss)

  1.79    (1.60  3.94    4.72    4.78  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.20    (1.23  4.54    5.08    5.10  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.38  (0.58  (0.31  (0.34  (0.27

Net realized capital gains

  (5.11  (2.67  (1.30        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (5.49  (3.25  (1.61  (0.34  (0.27
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $20.81   $24.10   $28.58   $25.65   $20.91  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  9.92  (5.37)%   18.27%(b)   24.65  32.05

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $553,259   $681,109   $1,303,492   $1,513,807   $1,240,093  

Net expenses

  0.69  0.70  0.71  0.72  0.73

Gross expenses

  0.69  0.70  0.71  0.72  0.73

Net investment income

  1.95  1.36  2.19%(b)   1.56  1.68

Portfolio turnover rate

  15  20  28  24  25

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.35, total return would have been 17.32% and the ratio of net investment income to average net assets would have been 1.28%.

 

See accompanying notes to financial statements.

 

|  66


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Value Fund —Admin Class 
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
  Year Ended
September 30,
2014
  Year Ended
September 30,
2013
  Year Ended
September 30,
2012
 

Net asset value, beginning of the period

 $23.81   $28.34   $25.51   $20.79   $16.00  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.32    0.26    0.30(b)   0.24    0.22  

Net realized and unrealized gain (loss)

  1.69    (1.61  4.07    4.71    4.77  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  2.01    (1.35  4.37    4.95    4.99  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.34  (0.51  (0.24  (0.23  (0.20

Net realized capital gains

  (5.11  (2.67  (1.30        
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (5.45  (3.18  (1.54  (0.23  (0.20
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $20.37   $23.81   $28.34   $25.51   $20.79  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  9.11  (5.83)%   17.68%(b)   24.08  31.43

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $854   $85,387   $268   $12   $2  

Net expenses

  1.19  1.23  1.21  1.19  1.24

Gross expenses

  1.19  1.23  1.21  1.19  1.24

Net investment income

  1.61  1.03  1.07%(b)   1.01  1.17

Portfolio turnover rate

  15  20  28  24  25

 

(a)Per share net investment income has been calculated using the average shares outstanding during the period.
(b)Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.27, total return would have been 16.73% and the ratio of net investment income to average net assets would have been 0.96%.

 

See accompanying notes to financial statements.

 

67  |


Table of Contents

Notes to Financial Statements

 

September 30, 2016

 

1.  Organization.  Loomis Sayles Funds II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Global Equity and Income Fund (the “Global Equity and Income Fund”)

Loomis Sayles Growth Fund (the “Growth Fund”)

Loomis Sayles Value Fund (the “Value Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. In addition, Growth Fund and Value Fund offer Class N shares and Value Fund offers Admin Class shares. As of the close of business on January 11, 2016, Class B shares were converted into Class A shares and are no longer offered.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Class N and Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A, Class C and Admin Class ), and transfer agent fees are borne collectively for Growth Fund and Value Fund Class A, Class B, Class C and Admin Class (for Value Fund) and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan.

 

|  68


Table of Contents

Notes to Financial Statements (continued)

 

September 30, 2016

 

Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Valuation.  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:

Listed equity securities (including shares of closed-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. 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. Broker-dealer bid prices may be used to value debt and unlisted equity securities and

 

69  |


Table of Contents

Notes to Financial Statements (continued)

 

September 30, 2016

 

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.

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. 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 (“NYSE”). 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.

As of September 30, 2016, securities held by Global Equity and Income Fund were fair valued as follows:

 

Equity
securities
1

 

Percentage
of Net
Assets

 

Securities
classified
as fair
valued

 

Percentage
of Net
Assets

 

Securities fair
valued by the
Fund’s
adviser

 

Percentage
of Net
Assets

$289,507,281

 18.8% $3,086,233 0.2% $123,730 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 is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an

 

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September 30, 2016

 

accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Short Sales.  A short sale is a transaction in which a Fund sells a security it does not own, usually in anticipation of a decline in the fair market value of the security. To sell a security short, a Fund typically borrows that security from a prime broker and delivers it to the short sale counterparty. Short sale proceeds are held by the prime broker until the short position is closed out and would be reflected as due from broker in the Statements of Assets and Liabilities. When closing out a short position, a Fund will have to purchase the security it originally sold short. The value of short sales is reflected as a liability in the Statements of Assets and Liabilities and is marked-to-market daily.

During the period ended September 30, 2016, Value Fund was due to receive shares of AdvanSix, Inc. as part of a corporate action. The Fund sold its shares on a when-issued basis prior to receiving them. This transaction is presented in the Portfolio of Investments as a short sale. Since the Fund did not borrow the security and did not utilize a prime broker, proceeds from the sale are reflected as receivable for securities sold short in the Statements of Assets and Liabilities.

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars 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 Fund has net losses, reduce the amount of income available to be distributed by the Fund.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

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 year ended September 30, 2016, the amount of income available to be distributed has been reduced by $5,333,285 for Global Equity and Income Fund.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

e.  Forward Foreign Currency Contracts.  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 gain or loss 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 traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

f.  Due to/from Brokers.  Transactions and positions in certain 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 to brokers balance in the Statement of Assets and Liabilities for Global Equity and Income Fund represents cash received as collateral for forward foreign currency contracts. The due from brokers balance in the Statement of Assets and Liabilities for Global Equity and Income Fund represents cash pledged as collateral for forward foreign currency contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

g.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. 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.

h.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

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.

i.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as defaulted and/or non-income producing securities, foreign currency gains and losses, paydown gains and losses, contingent payment debt instruments, capital gain and return of capital distributions received, convertible bonds, distribution re-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, forward foreign currency contract mark-to-market, wash sales, premium amortization, contingent payment debt instruments, capital gains taxes, trust preferred securities, convertible bonds and return of capital distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2016 and 2015 were as follows:

 

  2016 Distributions Paid From:  2015 Distributions Paid From: 

Fund

 

Ordinary
Income

  

Long-Term
Capital Gains

  

Total

  

Ordinary
Income

  

Long-Term
Capital Gains

  

Total

 

Global Equity and Income Fund

 $13,560,829   $57,954,573   $71,515,402   $29,430,584   $43,172,460   $72,603,044  

Growth Fund

  8,526,987        8,526,987    6,342,015        6,342,015  

Value Fund

  22,731,511    303,533,014    326,264,525    56,748,378    200,996,242    257,744,620  

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:

 

   

Global
Equity and
Income Fund

  

Growth
Fund

   

Value
Fund

 

Undistributed ordinary income

  $11,468,934   $30,843,548    $19,690,365  

Undistributed long-term capital gains

       30,860,087     20,032,257  
  

 

 

  

 

 

   

 

 

 

Total undistributed earnings

   11,468,934    61,703,635     39,722,622  
  

 

 

  

 

 

   

 

 

 

Capital loss carryforward:

     

No expiration date

   (5,511,225         
  

 

 

  

 

 

   

 

 

 

Unrealized appreciation

   180,215,983    546,677,581     251,928,311  
  

 

 

  

 

 

   

 

 

 

Total accumulated earnings

  $186,173,692   $608,381,216    $291,650,933  
  

 

 

  

 

 

   

 

 

 

Capital loss carryforward utilized in the current year

  $   $18,909,834    $  
  

 

 

  

 

 

   

 

 

 

As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:

 

   

Global
Equity and
Income Fund

  

Growth
Fund

   

Value
Fund

 

Unrealized appreciation (depreciation)

     

Investments

  $ 187,650,866   $546,677,581    $251,928,311  

Foreign currency translations

   (7,434,883         
  

 

 

  

 

 

   

 

 

 

Total unrealized appreciation (depreciation)

  $180,215,983   $546,677,581    $251,928,311  
  

 

 

  

 

 

   

 

 

 

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

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 are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

k.  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 for non-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 by non-U.S. Governments and non-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 year ended September 30, 2016, none of the Funds had loaned securities under this agreement.

l.  Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

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 Fund’s 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 Fund 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. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

 

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Table of Contents

Notes to Financial Statements (continued)

 

September 30, 2016

 

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

Global Equity and Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

  

Total

 

Common Stocks

       

Belgium

  $    $33,532,248    $   $33,532,248  

France

        27,296,723         27,296,723  

Hong Kong

        36,327,053         36,327,053  

India

   15,561,172     13,768,551         29,329,723  

Italy

        14,973,444         14,973,444  

Japan

        16,289,630         16,289,630  

Sweden

        25,429,895         25,429,895  

Switzerland

        76,355,001         76,355,001  

United Kingdom

        45,534,736         45,534,736  

United States

   637,781,264          1,332(b)   637,782,596  

All Other Common Stocks(a)

   63,664,191              63,664,191  
  

 

 

   

 

 

   

 

 

  

 

 

 

Total Common Stocks

   717,006,627     289,507,281     1,332    1,006,515,240  
  

 

 

   

 

 

   

 

 

  

 

 

 

Bonds and Notes

       

Non-Convertible Bonds

       

United States

   36,760     280,242,042     118,622(b)   280,397,424  

All Other Non-Convertible Bonds(a)

        192,069,637         192,069,637  
  

 

 

   

 

 

   

 

 

  

 

 

 

Total Non-Convertible Bonds

   36,760     472,311,679     118,622    472,467,061  
  

 

 

   

 

 

   

 

 

  

 

 

 

Convertible Bonds(a)

        15,023,618         15,023,618  

Municipals(a)

        261,074         261,074  
  

 

 

   

 

 

   

 

 

  

 

 

 

Total Bonds and Notes

   36,760     487,596,371     118,622    487,751,753  
  

 

 

   

 

 

   

 

 

  

 

 

 

Senior Loans(a)

        4,283,202         4,283,202  

Preferred Stocks(a)

   224,204     473,440         697,644  

Warrants

             3,776(b)   3,776  

Short-Term Investments

        31,962,491         31,962,491  
  

 

 

   

 

 

   

 

 

  

 

 

 

Total Investments

   717,267,591     813,822,785     123,730    1,531,214,106  
  

 

 

   

 

 

   

 

 

  

 

 

 

Forward Foreign Currency Contracts (unrealized appreciation)

        603,201         603,201  
  

 

 

   

 

 

   

 

 

  

 

 

 

Total

  $717,267,591    $814,425,986    $123,730   $1,531,817,307  
  

 

 

   

 

 

   

 

 

  

 

 

 

 

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Table of Contents

Notes to Financial Statements (continued)

 

September 30, 2016

 

Global Equity and Income Fund (continued)

Liability Valuation Inputs

 

Description

  

Level 1

   

Level 2

  

Level 3

   

Total

 

Forward Foreign Currency Contracts (unrealized depreciation)

  $  —    $(286,333 $  —    $(286,333
  

 

 

   

 

 

  

 

 

   

 

 

 

 

(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.

Growth Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks(a)

  $4,320,602,267    $    $  —    $4,320,602,267  

Short-Term Investments

        115,998,857          115,998,857  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $4,320,602,267    $115,998,857    $    $4,436,601,124  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.

Value Fund

Asset Valuation Inputs

 

Description

 

Level 1

  

Level 2

  

Level 3

   

Total

 

Common Stocks(a)

 $1,232,271,409   $   $  —    $1,232,271,409  

Short-Term Investments

      22,406,170         22,406,170  
 

 

 

  

 

 

  

 

 

   

 

 

 

Total

 $1,232,271,409   $22,406,170   $    $1,254,677,579  
 

 

 

  

 

 

  

 

 

   

 

 

 

Liability Valuation Inputs

 

Description

 

Level 1

  

Level 2

  

Level 3

  

Total

 

Common Stocks Sold Short(a)

 $(99,789 $  —   $  —   $(99,789
 

 

 

  

 

 

  

 

 

  

 

 

 

 

(a)Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or September 30, 2016:

Global Equity and Income Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
September 30,
2015

  

Accrued
Discounts
(Premiums)

  

Realized
Gain
(Loss)

  

Change in
Unrealized
Appreciation
(Depreciation)

  

Purchases

 

Common Stocks

     

United States

 $   $   $   $(1,934 $3,266  

Bonds and Notes

     

Non-Convertible Bonds

     

United States

  171,786    4,292        (57,099    

Warrants

              3,776      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $171,786   $4,292   $   $(55,257 $3,266  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Investments in Securities

 

Sales

  

Transfers
into Level 3

  

Transfers
out of
Level 3

  

Balance as of
September 30,
2016

  

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016

 

Common Stocks

     

United States

 $   $   $   $1,332   $(1,934

Bonds and Notes

     

Non-Convertible Bonds

     

United States

      164,300    (164,657  118,622    (57,099

Warrants

              3,776    3,776  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $   $164,300   $(164,657 $123,730   $(55,257
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

A debt security valued at $164,300 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, 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 September 30, 2016, this security was 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 security.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

A debt security valued at $164,657 was transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At September 30, 2016, 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.

All transfers are recognized at the beginning of the reporting period.

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 Equity and Income Fund used during the period include forward foreign currency contracts.

Global Equity and Income 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 year ended September 30, 2016, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The following is a summary of derivative instruments for Global Equity and Income Fund as of September 30, 2016, as reflected within the Statements of Assets and Liabilities

 

Assets

  

Unrealized
appreciation on
forward foreign
currency contracts

 

Over-the-counter asset derivatives

  

Foreign exchange contracts

  $603,201  

Liabilities

  

Unrealized
depreciation on
forward foreign
currency contracts

 

Over-the-counter liability derivatives

  

Foreign exchange contracts

  $(286,333

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

Transactions in derivative instruments for Global Equity and Income Fund during the year ended September 30, 2016 as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

  

Foreign currency

transactions1

 

Foreign exchange contracts

  $1,393,445  

 

Net Change in Unrealized Appreciation
(Depreciation) on:

  

Foreign currency

translations1

 

Foreign exchange contracts

  $98,070  

 

1 

Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

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 be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Global Equity and Income Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2016:

 

Global Equity and Income Fund

  

Forwards

 

Average Notional Amount Outstanding

   6.60

Highest Notional Amount Outstanding

   7.27

Lowest Notional Amount Outstanding

   5.77

Notional Amount Outstanding as of September 30, 2016

   7.06

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

Global Equity and Income Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its 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 the Fund or the counterparty to the extent of

 

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the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund 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 Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of September 30, 2016, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Equity and Income Fund

 

Counterparty

 

Gross Amounts
of Assets

  

Offset
Amount

  

Net Asset
Balance

  

Collateral
(Received)/
Pledged

  

Net
Amount

 

Citibank N.A.

 $3,313   $   $3,313   $   $3,313  

Credit Suisse International

  261,528    (219,122  42,406        42,406  

Morgan Stanley & Co.

  1,176    (1,176            

UBS AG

  337,184    (61,755  275,429    (275,429    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 $603,201   $(282,053 $321,148   $(275,429 $45,719  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Counterparty

 

Gross Amounts
of Liabilities

  

Offset
Amount

  

Net Liability
Balance

  

Collateral
(Received)/
Pledged

  

Net
Amount

 

Credit Suisse International

 $(219,122 $219,122   $   $   $  

Morgan Stanley & Co.

  (5,456  1,176    (4,280  4,280      

UBS AG

  (61,755  61,755              
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 $(286,333 $282,053   $(4,280 $4,280   $  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

 

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Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, 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 a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the 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 applicable 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 applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2016:

 

Fund

  

Maximum Amount

of Loss - Gross

   

Maximum Amount

of Loss - Net

 

Global Equity and Income Fund

  $655,188    $93,426  

These amounts include cash received as collateral for Global Equity and Income Fund of $360,000.

5.  Purchases and Sales of Securities.  For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

 

Fund

  

Purchases

   

Sales

 

Global Equity and Income Fund

  $724,555,203    $479,360,444  

Growth Fund

   2,767,080,632     287,562,690  

Value Fund

   200,588,365     507,588,420  

 

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For the year ended September 30, 2016, purchases and sales of U.S. Government/Agency securities by the Global Equity and Income Fund were $84,698,200 and $115,881,283, respectively.

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. Separate management agreements for each Fund in effect for the year ended September 30, 2016, provided for fees at the following annual percentage rates of each Fund’s average daily net assets:

 

   Percentage of
Average
Daily Net Assets
 

Fund

  

First

$2 billion

  

Over

$2 billion

 

Global Equity and Income Fund

   0.75  0.73

Growth Fund

   0.50  0.50

Value Fund

   0.50  0.50

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, 2017, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 2016 (period ending close of business January 11, 2016, for Class B) the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

  Expense Limit as a Percentage of
Average Daily Net Assets
 

Fund

 

Class A

  

Class B

  

Class C

  

Class N

  

Class Y

  

Admin
Class

 

Global Equity and Income Fund

  1.25      2.00      1.00    

Growth Fund

  1.25  2.00  2.00  0.95  1.00    

Value Fund

  1.10  1.85  1.85  0.80  0.85  1.35

 

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Loomis Sayles shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its 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 year ended September 30, 2016, the management fees for each Fund were as follows:

 

Fund

  

Management
Fees

   

Percentage of
Average
Daily Net Assets

 

Global Equity and Income Fund

  $10,746,920     0.75

Growth Fund

   13,482,702     0.50

Value Fund

   7,041,043     0.50

No expenses were recovered for any of the Funds during the year ended September 30, 2016 under the terms of the expense limitation agreements.

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles’ general partner is indirectly owned by Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b.  Service and Distribution Fees.  NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class B (if applicable) and Class C shares (the “Class B and Class C Plans”), and Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Class A Plans, each Fund pays NGAM 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 NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B (if applicable) and Class C Plans, each Fund pays (or paid) NGAM 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 B (if applicable) and Class C shares, as

 

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compensation for services provided by NGAM Distribution in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.

Also under the Class B (if applicable) and Class C Plans, each Fund pays (or paid) NGAM Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.

Under the Admin Class Plan, Value Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Value Fund may pay NGAM Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the year ended September 30, 2016, the service and distribution fees for each Fund were as follows:

 

  Service Fees  Distribution Fees 

Fund

 

Class A

  

Class B

  

Class C

  

Admin
Class

  

Class B

  

Class C

  

Admin
Class

 

Global Equity and Income Fund

 $674,991   $   $1,048,362   $   $   $3,145,090   $  

Growth Fund

  1,023,599    8    188,723        22    566,168      

Value Fund

  354,954    30    32,389    156,602    90    97,165    156,602  

c.  Administrative Fees.  NGAM Advisors, L.P. (“NGAM Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

 

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For the year ended September 30, 2016, the administrative fees for each Fund were as follows:

 

Fund

  Administrative
Fees
 

Global Equity and Income Fund

  $631,931  

Growth Fund

   1,191,159  

Value Fund

   620,523  

d.  Sub-Transfer Agent Fees.   NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended September 30, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

  Sub-Transfer
Agent Fees
 

Global Equity and Income Fund

  $1,145,652  

Growth Fund

   2,344,001  

Value Fund

   892,030  

As of September 30, 2016, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

  Reimbursements
of Sub-Transfer
Agent Fees
 

Global Equity and Income Fund

  $14,671  

Growth Fund

   47,712  

Value Fund

   10,227  

 

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Sub-transfer agent fees attributable to Class A, Class B, Class C, Class Y, and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended September 30, 2016, were as follows:

 

Fund

  

Commissions

 

Global Equity and Income Fund

  $129,417  

Growth Fund

   161,960  

Value Fund

   52,639  

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. 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 and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. 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 and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. 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

 

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on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts and Loomis Sayles Funds Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 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.

g.  Affiliated Ownership.  As of September 30, 2016, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

  

Pension
Plan

  

Retirement
Plan

  

Total
Affiliated
Ownership

 

Global Equity and Income Fund

   1.06  1.00  2.06

Growth Fund

   0.32  0.84  1.16

Value Fund

   1.13  1.87  3.00

Investment activities of affiliated shareholders could have material impacts on the Funds.

h.  Reimbursement of Transfer Agent Fees and Expenses.  NGAM Advisors has given a binding contractual undertaking to the Growth Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2017 and is not subject to recovery under the expense limitation agreement described above.

For the year ended September 30, 2016, NGAM Advisors reimbursed the Fund $205 for transfer agency expenses related to Class N shares.

i.  Payment by Affiliates.  For the year ended September 30, 2016, Loomis Sayles reimbursed Global Equity and Income Fund $49,212 in connection with a trading error.

7.  Class-Specific Transfer Agent Fees and Expenses.   For the year ended September 30, 2016, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

   Transfer Agent Fees and Expenses 

Fund

  

Class A

   

Class B

   

Class C

   

Class N

   

Class Y

   

Admin
Class

 

Growth Fund

  $392,003    $3    $70,321    $205    $2,055,757    $  

Value Fund

   168,818     12     15,270     1,301     727,407     73,541  

 

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Transfer agent fees and expenses attributable to Class A, Class B, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

The Global Equity and Income Fund allocates transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8.  Line of Credit.  Effective April 14, 2016, the Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (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. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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 other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

9.  Brokerage Commission Recapture.  Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements

 

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and are included in realized gains on investments on the Statements of Operations. For the year ended September 30, 2016, amounts rebated under these agreements were as follows:

 

Fund

  

Rebates

 

Global Equity and Income Fund

  $33,951  

Growth Fund

   98,367  

Value Fund

   66,530  

10.  Concentration of Risk.  Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

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 Funds. As of September 30, 2016, based on management’s evaluation of the shareholder account base, the Funds 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:

 

Fund

  

Number of 5%
Account Holders

   

Percentage of
Ownership

 

Global Equity and Income Fund

          

Growth Fund

   3     22.40

Value Fund

   2     34.88

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

 

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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:

 

   
 
Year Ended
September 30, 2016
 
  
  
 
Year Ended
September 30, 2015
 
  

Global Equity and Income Fund

   Shares    Amount    Shares    Amount  
Class A     

Issued from the sale of shares

   6,518,060   $118,574,424    4,329,411   $83,633,755  

Issued in connection with the reinvestment of distributions

   577,893    10,419,401    543,357    10,198,816  

Redeemed

   (5,833,275  (106,983,972  (3,512,804  (67,808,443
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   1,262,678   $22,009,853    1,359,964   $26,024,128  
  

 

 

  

 

 

  

 

 

  

 

 

 
Class C     

Issued from the sale of shares

   5,118,112   $92,412,220    5,429,765   $103,964,870  

Issued in connection with the reinvestment of distributions

   632,650    11,305,458    555,784    10,348,688  

Redeemed

   (4,961,383  (89,655,498  (3,679,631  (70,272,069
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   789,379   $14,062,180    2,305,918   $44,041,489  
  

 

 

  

 

 

  

 

 

  

 

 

 
Class Y     

Issued from the sale of shares

   20,904,782   $383,282,778    11,734,160   $227,617,351  

Issued in connection with the reinvestment of distributions

   1,658,138    30,028,870    1,570,256    29,583,620  

Redeemed

   (11,843,072  (215,508,066  (12,553,471  (243,060,865
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   10,719,848   $197,803,582    750,945   $14,140,106  
  

 

 

  

 

 

  

 

 

  

 

 

 

Increase (decrease) from capital share transactions

   12,771,905   $233,875,615    4,416,827   $84,205,723  
  

 

 

  

 

 

  

 

 

  

 

 

 

 

93  |


Table of Contents

Notes to Financial Statements (continued)

 

September 30, 2016

 

 

12.  Capital Shares (continued).

 

   
 
Year Ended
September 30, 2016
 
  
  
 
Year Ended
September 30, 2015
 
  

Growth Fund

   Shares    Amount    Shares    Amount  
Class A     

Issued from the sale of shares

   56,665,269   $606,177,061    7,627,613   $76,862,467  

Issued in connection with the reinvestment of distributions

   45,231    484,871    32,331    321,374  

Redeemed

   (8,031,026  (87,510,712  (2,055,747  (20,446,591
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   48,679,474   $519,151,220    5,604,197   $56,737,250  
  

 

 

  

 

 

  

 

 

  

 

 

 
Class B(a)     

Issued from the sale of shares

      $    342   $3,298  

Redeemed

   (2,435  (23,311  (46,536  (434,022
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   (2,435 $(23,311  (46,194 $(430,724
  

 

 

  

 

 

  

 

 

  

 

 

 
Class C     

Issued from the sale of shares

   7,094,313   $72,448,712    1,853,819   $17,439,832  

Redeemed

   (1,673,262  (16,737,009  (738,782  (6,915,130
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   5,421,051   $55,711,703    1,115,037   $10,524,702  
  

 

 

  

 

 

  

 

 

  

 

 

 
Class N     

Issued from the sale of shares

   4,862,039   $58,891,254       $  

Issued in connection with the reinvestment of distributions

   2,429    27,613    1    7  

Redeemed

   (92,271  (1,120,395        
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   4,772,197   $57,798,472    1   $7  
  

 

 

  

 

 

  

 

 

  

 

 

 
Class Y     

Issued from the sale of shares

   211,348,667   $2,459,280,818    52,581,221   $564,535,215  

Issued in connection with the reinvestment of distributions

   485,301    5,527,574    466,174    4,918,135  

Redeemed

   (48,951,026  (574,527,325  (18,517,808  (199,164,033

Redeemed in-kind (Note 13)

           (23,009,100  (238,604,371
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   162,882,942   $1,890,281,067    11,520,487   $131,684,946  
  

 

 

  

 

 

  

 

 

  

 

 

 

Increase (decrease) from capital share transactions

   221,753,229   $2,522,919,151    18,193,528   $198,516,181  
  

 

 

  

 

 

  

 

 

  

 

 

 

 

(a)On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

|  94


Table of Contents

Notes to Financial Statements (continued)

 

September 30, 2016

 

12.  Capital Shares (continued).

 

   
 
Year Ended
September 30, 2016
 
  
  
 
Year Ended
September 30, 2015
 
  

Value Fund

   Shares    Amount    Shares    Amount  
Class A     

Issued from the sale of shares

   5,405,331   $108,937,619    1,738,963   $46,569,244  

Issued in connection with the reinvestment of distributions

   1,230,998    24,706,134    2,328,240    61,605,209  

Redeemed

   (2,577,346  (52,841,200  (19,246,045  (514,711,447
  

 

 

  

 

 

  

 

 

  

 

 

 

Net change

   4,058,983   $80,802,553    (15,178,842 $(406,536,994
  

 

 

  

 

 

  

 

 

  

 

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