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Loomis Sayles Funds Ii

Filed: 2 Dec 19, 12:25pm
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORMN-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)

 

 

 

888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617)449-2822

Date of fiscal year end: September 30

Date of reporting period: September 30, 2019

 

 

 


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Item 1. Reports to Stockholders.

The Registrant’s annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:

 


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LOGO

 

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Annual Report

September 30, 2019

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling1-800-633-3330. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/loomissayles.


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LOOMIS SAYLES SMALL CAP GROWTH FUND

 

Managers Symbols  
Mark F. Burns, CFA® Institutional Class  LSSIX
John J. Slavik, CFA® Retail Class  LCGRX
 Class N  LSSNX

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

 

Market Conditions

The12-month period ending September 30, 2019 was challenging for domestic small cap equities. The worst market conditions came in the fourth quarter of 2018, as stocks sold off dramatically. On a market cap basis, large cap stocks outperformed, as measured by the Russell indices.

Small cap value managers generally fared better than their growth peers, as the Russell 2000® Growth Index was down close to 10% during the12-month period, compared to the Russell 2000® Value Index’s 8.24% decline. Most sectors in the benchmark, the Russell 2000® Growth Index, posted negative returns, with energy being a particularly noteworthy underperformer. The utility sector, however, was an outlier to the upside, posting returns close to 27%.

Performance Results

For the 12 months ended September 30, 2019, Institutional Class shares of the Loomis Sayles Small Cap Growth Fund returned-6.88% at net asset value. The Fund held up better than its benchmark, the Russell 2000® Growth Index, which returned-9.63%.

Explanation of Fund Performance

Among contributors to overall return, stock selection in the financials and communication services sectors, along with an overweight position in the information technology sector, drove the Fund’s outperformance. By contrast, underweight positioning in the real estate and utilities sectors, which outperformed the benchmark, and an overweight position to the energy sector, which underperformed the benchmark, hurt relative performance.

Among individual stocks, the Fund’s top contributors to performance were insurance company Kinsale Capital Group Inc., Goosehead Insurance Inc. and medical device producer Insulet Corp. Kinsale Capital was the Fund’s top performing stock. Kinsale is the only publicly traded property and casualty insurance company focused on the excess and surplus market, and results were strong during the year due to premium growth as the competitive environment became more favorable. Goosehead Insurance reported strong results driven by growth in its franchise and corporate business segments, while better than expected commissions helped to boost results. Insulet reported strong results during the

 

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year, with healthy international sales after working through inventory issues in the previous quarter. Margins were strong, and US new patient starts were at anall-time high. Insulet also began distributing into a new channel (pharmacy) which expanded its market reach and ease of access for patients.

Conversely, optical retailer National Vision Holdings Inc., cloud-based healthcare management platform provider HealthEquity Inc. and casino gaming products specialist PlayAGS Inc. were the largest detractors to the Fund’s performance. National Vision declined during the year amid concerns that comparable sales would fail to accelerate, attracting a short-seller research report that weighed on the stock. HealthEquity suffered from concerns around slowing growth and abating catalysts. Despite reporting solid results, expectations were high and investors were disappointed. Concern also grew about the impact of lower interest rates on HealthEquity’s custody business. Finally, PlayAGS reported results that fell short of expectations. The shortfall was due to a variety of issues, including regional product weakness, weather and higher than anticipated expenses.

Outlook

As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure revenue and earnings growth trends can remain intact. This may prove challenging if earnings estimates continue to see downward pressure.

Markets may be volatile as investors search for clues about the health of the global economy. Central banks appear to be willing to support the global economy, which may reduce some near-term risks. US trade policy remains a source of uncertainty for corporate decision makers and investors. If theUS-China trade war is resolved, there could be a rebound in the broader global economy towards the end of the year. Business confidence indicators in the US have shown some signs of weakness, and the inversion of the yield curve further supports the market’s position at the later stages of the cycle. Volatility remains subdued, but macroeconomic and geopolitical events could cause it to return.

While the outlook remains uncertain, we will not attempt to alter our process. As always, we look to deliver to our clients a compelling level of positive risk-adjusted returns that compound over time.

 

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LOOMIS SAYLES SMALL CAP GROWTH FUND

 

 

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

September 30, 2009 through September 30, 20192

 

LOGO

Top Ten Holdings as of September 30, 2019

 

    Security name  % of
assets
 
1  Kinsale Capital Group, Inc.   1.82
2  POOL CORP.   1.75 
3  WNS Holdings Ltd., ADR   1.74 
4  Albany International Corp., Class A   1.72 
5  InterXion Holding NV   1.68 
6  Mercury Systems, Inc.   1.64 
7  Trex Co., Inc.   1.63 
8  Goosehead Insurance, Inc., Series A   1.57 
9  SiteOne Landscape Supply, Inc.   1.55 
10  RBC Bearings, Inc.   1.53 

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 — September30, 20192

 

                   Expense Ratios3 
   1 year  5 years  10 years  

Life of

Class N

  Gross  Net 
   
Institutional Class
(Inception
12/31/96)
  -6.88  11.17  14.32    0.94  0.94
   
Retail Class
(Inception
12/31/96)
  -7.11   10.90   14.03      1.19   1.19 
   
Class N
(Inception
2/1/13)
  -6.76   11.31      12.56   0.82   0.82 
  
Comparative Performance       
Russell2000® Growth Index1  -9.63   9.08   12.25   10.75         

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

 

1  

Russell2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.

 

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

 

3  Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 01/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

Managers Symbols  
Joseph R. Gatz, CFA® Institutional Class  LSSCX
Jeffrey Schwartz, CFA® Retail Class  LSCRX
 Admin Class  LSVAX
 Class N  LSCNX

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

 

Market Conditions

Stocks tumbled during the fourth quarter of 2018 over concerns about US Federal Reserve (the Fed) policy tightening, trade wars, and weaker global growth which contributed to a negative turn in investor sentiment. The equity market then staged a remarkable rally during the first nine weeks of 2019 before settling into a trading range for the balance of the12-month period. Large cap stocks recorded a modest gain for the period, while small cap stocks finished modestly lower.

Lingering investor concerns over the Fed having “overtightened” in 2018, evidence of a softening global economy, and heightened activity related to international trade and tariffs led to increased market volatility throughout the year. Top performers included more defensive investments, including larger capitalization stocks, higher visibility business models, and companies with the healthiest balance sheets.

Interest rates fell fairly dramatically across the maturity spectrum as the result of softer economic data and the Fed moving to an accommodative stance, lowering interest rates twice during the third quarter of 2019.

Small cap growth stocks and value stocks swapped leadership throughout the period with small cap value returns ending just ahead of growth, helped by a stunning value rally in the month of September.

Performance Results

For the 12 months ended September 30, 2019, Institutional Class shares of the Loomis Sayles Small Cap Value Fund returned-4.11% at net asset value. The Fund held up better than its benchmark, the Russell 2000® Value Index, which returned-8.24%.

Explanation of Fund Performance

The Fund started the fiscal year period positioned fairly conservatively, favoring the upper portion of the market capitalization range and emphasizing companies with highly durable business models. The Fund maintained a fairly significant underweight to the energy sector, which was by far the worst performing area of the small cap market. An overweight to information technology also added to relative performance.

 

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Stock selection was favorable across most sectors of the Fund, but especially so in the consumer discretionary and health care sectors. Among individual stocks, Mellanox Technologies, Ltd., Aerojet Rocketdyne Holdings, Inc. and Euronet Worldwide, Inc. had the largest positive contributions to performance for the period.

Mellanox Technologies is a leading provider of networking technologies used for high performance and cloud computing. The company has benefited from the explosion of data and proliferation of data centers driving demand for faster networks and interconnects. During the first quarter of 2019, Mellanox agreed to be acquired, providing an additional boost to their share price.

Aerojet Rocketdyne is the leading independent provider of propulsion systems to space, missile defense, and tactical missile customers. It is benefiting from the overall growth of investments in space as well as an increasingly complex geopolitical environment. Profit margins have improved as the company has consolidated its manufacturing footprint.

Euronet facilitates electronic financial transactions on a global basis and manages ATM networks. The stock outperformed as prior regulatory concerns in its electronic funds transfer segment abated and high earnings visibility companies were in favor with investors.

On the negative side, the Fund’s underweight in the “bond proxy” sectors such as real estate and utilities detracted from relative performance, as interest rates declined fairly substantially during the period. Stock selection was also weak within the information technology and financials sectors. During the12-month period, Conduent, Inc., Avanos Medical, Inc. and Apergy Corporation detracted the most from performance.

Conduent is a leading service company specializing in transaction-intensive services including health savings account administration and toll processing. The company was spun off from Xerox Corporation in 2016 and has made progress reducing its cost structure. However, it has been burdened by legacy technology systems issues and has been unable to add new business as quickly as originally anticipated.

Avanos was spun off from Kimberly-Clark in 2015 and has now transformed itself into a pure-play medical device company. Industry-wide shortages of two pain medications manufactured by Pfizer that are used in the company’sOn-Q pain pumps have temporarily constrained top line growth, negatively affecting investor enthusiasm for the stock.

Apergy provides equipment and services in the drilling and production phases of oil and gas wells. Energy stocks were the worst performing sector over the trailing 12 months, and oil services stocks were the weakest segment within energy as rig counts have fallen and drilling companies have cut back on capital expenditures to maintain current wells.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

Outlook

We remain committed to identify inefficiencies in the small cap market that result in stock prices and valuations that do not accurately reflect our assessment of the underlying value of the corporate enterprise. We apply this approach consistently over time, regardless of the current market environment.

While many forms of inefficiency may exist in the market, we focus on companies that are misunderstood, underfollowed or in the midst of a “special situation” where we believe we can use our strengths and consistent process. We require fundamentally sound business models, capable management teams and financial stability. Key to our process are distinct, company-specific catalysts on the horizon to sustain, enhance, or highlight the fundamental outlook. These principles are applied consistently over time, regardless of the current market environment. With a margin of safety and a proper time horizon, our goal is to achieve an attractive return for our investors, while managing to an appropriate level of risk.

 

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

September 30, 2009 through September 30, 20193

 

LOGO

Top Ten Holdings as of September 30, 2019

 

    Security name  % of
assets
 
1  ALLETE, Inc.   1.54
2  Viad Corp.   1.42 
3  Churchill Downs, Inc.   1.31 
4  NextEra Energy Partners LP   1.23 
5  Nomad Foods Ltd.   1.22 
6  Littelfuse, Inc.   1.19 
7  Vistra Energy Corp.   1.17 
8  Armstrong World Industries, Inc.   1.15 
9  GCI Liberty, Inc., Class A   1.15 
10  Reinsurance Group of America, Inc.   1.14 

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.

See notes to chart on page 9.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

Average Annual Total Returns — September30, 20193

 

                   

Expense Ratios4

 
   1 year  5 years  10 years  

Life of

Class N

  Gross  Net 
   
Institutional Class
(Inception
5/13/91)
  -4.11  7.57  10.97    0.95  0.93
   
Retail Class
(Inception
12/31/96)
  -4.33   7.30   10.70      1.20   1.18 
   
Admin Class
(Inception
1/2/98)
  -4.60   7.04   10.43      1.45   1.43 
   
Class N
(Inception
2/1/13)
  -4.07   7.64      9.15   0.86   0.86 
  
Comparative Performance       
Russell2000® Value Index1  -8.24   7.17   10.06   8.23    
Russell2000® Index2  -8.89   8.19   11.19   9.53         

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

 

1  

Russell2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.

 

2  

Russell2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

 

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

 

4  Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 01/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Managers Symbols  
Mark F. Burns, CFA® Institutional Class  LSMIX
John J. Slavik, CFA®   

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

 

Market Conditions

The12-month period ending September 30, 2019 was challenging for domestic small cap equities. Mid-cap and large cap equities posted positive returns over the year. After a dramatic selloff in the fourth quarter of 2018, most domestic equity indices bounced back, but the Russell 2500TM Growth Index (the Index) still finished lower for the period. On a market cap basis, large cap stocks outperformed, as measured by the Russell indices.

The Russell benchmarks showed minimal performance differential between growth and value managers in the small/mid-cap market. Most sectors in the growth benchmark posted negative returns, with energy being a particularly noteworthy underperformer within the Index, losing approximately 48%. The utility sector, however, was an outlier to the upside, posting returns close to 27%.

Performance Results

For the 12 months ended September 30, 2019, Institutional Class shares of the Loomis Sayles Small/Mid Cap Growth Fund returned-3.27% at net asset value. The Fund held up better than its benchmark, the Russell 2500TM Growth Index, which returned-4.11%.

Explanation of Fund Performance

The Fund’s relative performance was driven by stock selection, with particularly strong contributions from the health care, industrials and financials sectors. Stock selection in the information technology sector detracted from relative performance.

Among individual stocks, the Fund’s top contributors to performance were medical device producer Insulet Corp., electronic fixed income trading platform provider MarketAxess Holdings Inc. and aftermarket aircraft parts supplier Heico Corp. Insulet reported strong results during the year, with healthy international sales after working through inventory issues in the previous quarter. Margins were also strong, and US new patient starts were at anall-time high. The company began distributing into a new channel (pharmacy) which expanded its market reach and ease of access for patients. MarketAxess reported solid results throughout the year, citing improving market conditions for credit trading, and volume trended ahead of prior time periods. Heico benefited from robust demand and a strong pipeline of M&A targets. The market has been favorable for its flight support business, givenair-traffic increases and fleet expansion. Rising US defense spending has also benefited its electronic technologies business.

 

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Conversely, transportation and logistics services company XPO Logistics, cloud-based healthcare management platform provider HealthEquity Inc. and modular space rental solutions specialist WillScot Corp. were the largest detractors to performance for the12-month time period. The bulk of the impact from these holdings was concentrated in the market selloff of the fourth quarter of 2018. XPO Logistics declined in response to a report from a short-selling investment firm. The logistics company disputed the report’s merit, but given heavy selling pressure across all equities, the stock declined significantly. HealthEquity suffered from concerns around slowing growth and abating catalysts. Despite reporting solid results, expectations were high and investors were disappointed. Concern also grew about the impact of lower interest rates on HealthEquity’s custody business. Finally, WillScot issued stock to warrant holders during poor market conditions, which likely created selling pressure on the stock.

Outlook

As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure revenue and earnings growth trends can remain intact. This may prove challenging if earnings estimates continue to see downward pressure.

Markets may be volatile as investors search for clues about the health of the global economy. Central banks appear to be willing to support the global economy, which may reduce some near-term risks. US trade policy remains a source of uncertainty for corporate decision makers and investors. If theUS-China trade war is resolved, there could be a rebound in the broader global economy towards the end of the year. Business confidence indicators in the US have shown some signs of weakness, and the inversion of the yield curve further supports the market’s position at the later stages of the cycle. Volatility remains subdued, but macroeconomic and geopolitical events could cause it to return.

While the outlook remains uncertain, we will not attempt to alter our process. As always, we look to deliver to our clients a compelling level of positive risk-adjusted returns that compound over time.

 

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Hypothetical Growth of $1,000,000 Investment in Institutional Class Shares

June 30, 2015 (inception) through September 30, 20192

 

LOGO

Top Ten Holdings as of September 30, 2019

 

    Security name  % of
assets
 
1  Insulet Corp.   2.04
2  Live Nation Entertainment, Inc.   1.75 
3  EPAM Systems, Inc.   1.75 
4  Bright Horizons Family Solutions, Inc.   1.64 
5  Guidewire Software, Inc.   1.63 
6  Generac Holdings, Inc.   1.59 
7  Hexcel Corp.   1.51 
8  HEICO Corp.   1.49 
9  Booz Allen Hamilton Holding Corp.   1.47 
10  ICON PLC   1.46 

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.

See notes to chart on page 13.

 

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Average Annual Total Returns — September30, 20192

 

           Expense Ratios3 
   1 year  

Life of

Fund

  Gross  Net 
  
Institutional Class (Inception6/30/15)  -3.27  10.02  1.42  0.85
  
Comparative Performance     
Russell2500TM Growth Index1  -4.11   8.23         

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

 

1  

TheRussell2500TM Growth Index measures the performance of the small-to-mid-cap growth segment of the US equity universe. It includes those Russell 2500TM Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500TM Growth Index is constructed to provide a comprehensive and unbiased barometer of the small-to-mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-to-mid-cap opportunity set and that the represented companies continue to reflect growth characteristics. Indices are unmanaged.

 

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

 

3  Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 01/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

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

Proxy Voting Information

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

Quarterly Portfolio Schedules

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at www.sec.gov.

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

UNDERSTANDING YOUR FUND’S EXPENSES

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

 

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understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each Fund shows theactual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2019 through September 30, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

The second line in the table of each Fund 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 other funds.

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

Loomis Sayles Small Cap Growth Fund

 

Institutional Class

  Beginning
Account Value
4/1/2019
   Ending
Account Value
9/30/2019
   Expenses Paid
During Period*
4/1/2019 – 9/30/2019
 

Actual

   $1,000.00    $1,000.00    $4.76 

Hypothetical (5% return before expenses)

   $1,000.00    $1,020.31    $4.81 

Retail Class

 

Actual

   $1,000.00    $998.70    $6.01 

Hypothetical (5% return before expenses)

   $1,000.00    $1,019.05    $6.07 

Class N

 

Actual

   $1,000.00    $1,000.80    $4.16 

Hypothetical (5% return before expenses)

   $1,000.00    $1,020.91    $4.20 

*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.20% and 0.83% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

   

 

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Loomis Sayles Small Cap Value Fund

 

Institutional Class

  Beginning
Account Value
4/1/2019
     Ending
Account Value
9/30/2019
     Expenses Paid
During Period*
4/1/2019 – 9/30/2019
 

Actual

   $1,000.00      $1,035.80      $4.59 

Hypothetical (5% return before expenses)

   $1,000.00      $1,020.56      $4.56 

Retail Class

 

Actual

   $1,000.00      $1,035.00      $5.87 

Hypothetical (5% return before expenses)

   $1,000.00      $1,019.30      $5.82 

Admin Class

 

Actual

   $1,000.00      $1,033.30      $7.14 

Hypothetical (5% return before expenses)

   $1,000.00      $1,018.05      $7.08 

Class N

 

Actual

   $1,000.00      $1,036.10      $4.24 

Hypothetical (5% return before expenses)

   $1,000.00      $1,020.91      $4.20 

*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.83% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

   

Loomis Sayles Small/Mid Cap Growth Fund

 

Institutional Class

  Beginning
Account Value
4/1/2019
     Ending
Account Value
9/30/2019
     Expenses Paid
During Period*
4/1/2019 – 9/30/2019
 

Actual

   $1,000.00      $1,028.70      $4.32 

Hypothetical (5% return before expenses)

   $1,000.00      $1,020.81      $4.31 

*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

   

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

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

 

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other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, 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 for aone-year period at its meeting held in June 2019. 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 Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis 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 reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

 

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The Board noted that, through December 31, 2018, each Fund’sone-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):

 

   One-Year     Three-Year     Five-Year 

Loomis Sayles Small Cap Growth Fund

   20%      32%      29% 

Loomis Sayles Small Cap Value Fund

   80%      62%      48% 

Loomis Sayles Small/Mid Cap Growth Fund

   63%      27%      N/A 

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain periods, was competitive over the long term relative to its category and (3) that the Fund’s performance has been competitive when compared to its benchmark.

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

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets 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 Fund grows in size. The Trustees considered that over the past several years, management had made recommendations

 

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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 of the Funds have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their caps. The Trustees also considered that Loomis Sayles Small Cap Growth Fund’s current expenses are below its cap. The Trustees noted that the Funds had total advisory fee rates that were below the medians of their respective peer groups of funds.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about 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 Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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

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 caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that although none of the Funds’ management fees were subject to breakpoints, each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.

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

 

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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.

 

 

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

 

 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.

 

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Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Growth Fund

 

Shares  Description Value (†) 
 Common Stocks –97.0% of Net Assets 
 Aerospace & Defense –4.9%

 

 396,117  AAR Corp. $16,323,982 
 299,980  Hexcel Corp.  24,637,357 
 627,968  Kratos Defense & Security Solutions, Inc.(a)  11,677,065 
 331,133  Mercury Systems, Inc.(a)  26,878,066 
  

 

 

 
   79,516,470 
  

 

 

 
 Air Freight & Logistics –0.6%

 

 468,325  Air Transport Services Group, Inc.(a)  9,844,192 
  

 

 

 
 Auto Components –1.8%

 

 211,674  Fox Factory Holding Corp.(a)  13,174,590 
 533,557  Stoneridge, Inc.(a)  16,524,260 
  

 

 

 
   29,698,850 
  

 

 

 
 Banks –0.8%

 

 324,015  TCF Financial Corp.  12,335,251 
  

 

 

 
 Biotechnology –6.8%

 

 542,550  Aimmune Therapeutics, Inc.(a)  11,360,997 
 130,269  Argenx SE, ADR(a)  14,845,455 
 155,230  Blueprint Medicines Corp.(a)  11,404,748 
 891,462  Epizyme, Inc.(a)  9,195,431 
 191,893  Genomic Health, Inc.(a)  13,014,183 
 717,044  Halozyme Therapeutics, Inc.(a)  11,121,353 
 214,459  PTC Therapeutics, Inc.(a)  7,253,003 
 211,167  Repligen Corp.(a)  16,194,397 
 132,173  Ultragenyx Pharmaceutical, Inc.(a)  5,654,361 
 324,210  Xencor, Inc.(a)  10,935,603 
  

 

 

 
   110,979,531 
  

 

 

 
 Building Products –3.3%

 

 381,251  AAON, Inc.  17,514,671 
 280,254  Advanced Drainage Systems, Inc.  9,043,796 
 292,715  Trex Co., Inc.(a)  26,616,575 
  

 

 

 
   53,175,042 
  

 

 

 
 Capital Markets –1.5%

 

 473,303  AssetMark Financial Holdings, Inc.(a)  12,329,543 
 210,143  Hamilton Lane, Inc., Class A  11,969,745 
  

 

 

 
   24,299,288 
  

 

 

 
 Commercial Services & Supplies –1.4%

 

 407,711  Casella Waste Systems, Inc., Class A(a)  17,507,110 
 82,854  McGrath RentCorp  5,765,810 
  

 

 

 
   23,272,920 
  

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Growth Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Construction & Engineering –0.7%

 

 586,308  Primoris Services Corp. $11,497,500 
  

 

 

 
 Distributors –1.7%

 

 142,067  POOL CORP.  28,654,914 
  

 

 

 
 Diversified Consumer Services –2.7%

 

 65,770  Chegg, Inc.(a)  1,969,811 
 221,828  Grand Canyon Education, Inc.(a)  21,783,510 
 1,213,083  Laureate Education, Inc., Class A(a)  20,106,851 
  

 

 

 
   43,860,172 
  

 

 

 
 Diversified Telecommunication Services –1.8%

 

 175,533  Bandwidth, Inc., Class A(a)  11,428,954 
 313,582  Cogent Communications Holdings, Inc.  17,278,368 
  

 

 

 
   28,707,322 
  

 

 

 
 Electrical Equipment –1.5%

 

 306,443  Generac Holdings, Inc.(a)  24,006,745 
  

 

 

 
 Electronic Equipment, Instruments & Components –1.8%

 

 224,265  Novanta, Inc.(a)  18,326,936 
 79,955  Rogers Corp.(a)  10,930,648 
  

 

 

 
   29,257,584 
  

 

 

 
 Energy Equipment & Services –1.5%

 

 361,165  Apergy Corp.(a)  9,769,513 
 486,364  Cactus, Inc., Class A(a)  14,075,374 
  

 

 

 
   23,844,887 
  

 

 

 
 Entertainment –1.0%

 

 772,351  IMAX Corp.(a)  16,953,104 
  

 

 

 
 Food & Staples Retailing –1.2%

 

 490,272  Chefs’ Warehouse, Inc. (The)(a)  19,767,767 
  

 

 

 
 Food Products –2.5%

 

 486,364  Freshpet, Inc.(a)  24,206,336 
 592,544  Simply Good Foods Co. (The)(a)  17,177,851 
  

 

 

 
   41,384,187 
  

 

 

 
 Health Care Equipment & Supplies –4.3%

 

 539,957  AtriCure, Inc.(a)  13,466,527 
 232,358  CONMED Corp.  22,341,222 
 403,478  CryoLife, Inc.(a)  10,954,428 
 86,196  Penumbra, Inc.(a)  11,592,500 
 191,307  Quidel Corp.(a)  11,736,684 
  

 

 

 
   70,091,361 
  

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Growth Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Health Care Providers & Services –3.1%

 

 143,042  Amedisys, Inc.(a) $18,739,933 
 292,130  BioTelemetry, Inc.(a)  11,898,455 
 172,197  LHC Group, Inc.(a)  19,554,691 
  

 

 

 
   50,193,079 
  

 

 

 
 Health Care Technology –2.0%

 

 480,653  HMS Holdings Corp.(a)  16,565,706 
 317,354  Inovalon Holdings, Inc., Class A(a)  5,201,432 
 123,736  Medidata Solutions, Inc.(a)  11,321,844 
  

 

 

 
   33,088,982 
  

 

 

 
 Hotels, Restaurants & Leisure –1.9%

 

 227,202  Planet Fitness, Inc., Class A(a)  13,148,180 
 200,181  Wingstop, Inc.  17,471,797 
  

 

 

 
   30,619,977 
  

 

 

 
 Insurance –5.4%

 

 521,174  Goosehead Insurance, Inc., Series A  25,719,937 
 298,454  James River Group Holdings Ltd.  15,292,783 
 288,327  Kinsale Capital Group, Inc.  29,787,062 
 227,700  Palomar Holdings, Inc.(a)  8,975,934 
 312,539  Trupanion, Inc.(a)  7,944,742 
  

 

 

 
   87,720,458 
  

 

 

 
 IT Services –6.0%

 

 419,962  EVERTEC, Inc.  13,111,213 
 694,439  Evo Payments, Inc., Class A(a)  19,527,625 
 336,496  InterXion Holding NV(a)  27,410,964 
 489,661  NIC, Inc.  10,111,500 
 485,096  WNS Holdings Ltd., ADR(a)  28,499,390 
  

 

 

 
   98,660,692 
  

 

 

 
 Leisure Products –1.0%

 

 807,526  Callaway Golf Co.  15,674,080 
  

 

 

 
 Life Sciences Tools & Services –2.6%

 

 248,963  Adaptive Biotechnologies Corp.(a)  7,692,957 
 556,959  NeoGenomics, Inc.(a)  10,649,056 
 248,935  PRA Health Sciences, Inc.(a)  24,701,820 
  

 

 

 
   43,043,833 
  

 

 

 
 Machinery –7.1%

 

 312,022  Albany International Corp., Class A  28,131,904 
 259,953  Chart Industries, Inc.(a)  16,210,669 
 757,470  Harsco Corp.(a)  14,361,631 
 558,616  Kornit Digital Ltd.(a)  17,194,200 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Growth Fund – continued

 

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

 

 154,255  Proto Labs, Inc.(a) $15,749,436 
 150,266  RBC Bearings, Inc.(a)  24,930,632 
  

 

 

 
   116,578,472 
  

 

 

 
 Pharmaceuticals –3.7%

 

 526,049  Horizon Therapeutics PLC(a)  14,324,314 
 169,856  MyoKardia, Inc.(a)  8,857,991 
 292,093  Pacira BioSciences, Inc.(a)  11,119,981 
 123,053  Reata Pharmaceuticals, Inc., Class A(a)  9,879,925 
 279,844  Supernus Pharmaceuticals, Inc.(a)  7,690,113 
 211,004  Zogenix, Inc.(a)  8,448,600 
  

 

 

 
   60,320,924 
  

 

 

 
 Professional Services –2.5%

 

 329,963  Huron Consulting Group, Inc.(a)  20,239,931 
 241,771  ICF International, Inc.  20,422,396 
  

 

 

 
   40,662,327 
  

 

 

 
 Semiconductors & Semiconductor Equipment –2.6%

 

 145,285  Monolithic Power Systems, Inc.  22,610,705 
 184,287  Silicon Laboratories, Inc.(a)  20,520,357 
  

 

 

 
   43,131,062 
  

 

 

 
 Software –10.4%

 

 219,097  Cornerstone OnDemand, Inc.(a)  12,010,898 
 311,826  Envestnet, Inc.(a)  17,680,534 
 422,789  Five9, Inc.(a)  22,720,681 
 155,913  Globant S.A.(a)  14,278,512 
 108,071  HubSpot, Inc.(a)  16,384,644 
 396,852  Mimecast Ltd.(a)  14,155,711 
 167,402  PROS Holdings, Inc.(a)  9,977,159 
 299,638  Q2 Holdings, Inc.(a)  23,632,449 
 397,340  Rapid7, Inc.(a)  18,035,263 
 342,834  RealPage, Inc.(a)  21,550,545 
  

 

 

 
   170,426,396 
  

 

 

 
 Specialty Retail –1.4%

 

 618,740  National Vision Holdings, Inc.(a)  14,893,072 
 265,304  Sonic Automotive, Inc., Class A  8,333,198 
  

 

 

 
   23,226,270 
  

 

 

 
 Textiles, Apparel & Luxury Goods –2.1%

 

 218,610  Columbia Sportswear Co.  21,181,123 
 368,575  Steven Madden Ltd.  13,191,299 
  

 

 

 
   34,372,422 
  

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Growth Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Thrifts & Mortgage Finance –1.9%

 

 342,306  Essent Group Ltd. $16,317,727 
 563,784  NMI Holdings, Inc., Class A(a)  14,804,968 
  

 

 

 
   31,122,695 
  

 

 

 
 Trading Companies & Distributors –1.5%

 

 342,054  SiteOne Landscape Supply, Inc.(a)  25,318,837 
  

 

 

 
 Total Common Stocks
(Identified Cost $1,312,164,600)
  1,585,307,593 
  

 

 

 
 
Principal
Amount

 
      
 Short-Term Investments –3.4% 
$55,500,624  Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $55,502,319 on 10/01/2019 collateralized by $54,620,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $56,612,374 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $55,500,624)  55,500,624 
  

 

 

 
 Total Investments –100.4%
(Identified Cost $1,367,665,224)
  1,640,808,217 
 

Other assets less liabilities—(0.4)%

  (6,644,063
  

 

 

 
 Net Assets –100.0% $1,634,164,154 
  

 

 

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

 

 (a)  Non-income producing security.

 

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

 

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Growth Fund – continued

 

Industry Summary at September 30, 2019

 

Software

  10.4

Machinery

  7.1 

Biotechnology

  6.8 

IT Services

  6.0 

Insurance

  5.4 

Aerospace & Defense

  4.9 

Health Care Equipment & Supplies

  4.3 

Pharmaceuticals

  3.7 

Building Products

  3.3 

Health Care Providers & Services

  3.1 

Diversified Consumer Services

  2.7 

Semiconductors & Semiconductor Equipment

  2.6 

Life Sciences Tools & Services

  2.6 

Food Products

  2.5 

Professional Services

  2.5 

Textiles, Apparel & Luxury Goods

  2.1 

Health Care Technology

  2.0 

Other Investments, less than 2% each

  25.0 

Short-Term Investments

  3.4 
 

 

 

 

Total Investments

  100.4 

Other assets less liabilities

  (0.4
 

 

 

 

Net Assets

  100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

27  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund

 

Shares  Description Value (†) 
 Common Stocks – 99.0% of Net Assets 
 Aerospace & Defense –1.7%

 

 156,282  Aerojet Rocketdyne Holdings, Inc.(a) $7,893,804 
 74,984  BWX Technologies, Inc.  4,289,834 
  

 

 

 
   12,183,638 
  

 

 

 
 Auto Components –1.5%

 

 152,445  Cooper Tire & Rubber Co.  3,981,863 
 48,454  Fox Factory Holding Corp.(a)  3,015,777 
 39,753  LCI Industries  3,651,313 
  

 

 

 
   10,648,953 
  

 

 

 
 Banks –15.0%

 

 154,250  Ameris Bancorp  6,207,020 
 166,240  BancorpSouth Bank  4,922,366 
 107,053  Bank OZK  2,919,335 
 160,522  Bryn Mawr Bank Corp.  5,860,658 
 93,549  Carolina Financial Corp.  3,324,732 
 138,995  Cathay General Bancorp  4,827,991 
 227,100  CenterState Bank Corp.  5,446,994 
 256,269  CVB Financial Corp.  5,348,334 
 220,906  First Financial Bancorp  5,406,674 
 346,655  Home BancShares, Inc.  6,515,381 
 89,891  IBERIABANK Corp.  6,790,366 
 139,260  PacWest Bancorp  5,060,709 
 95,744  Pinnacle Financial Partners, Inc.  5,433,472 
 151,044  Popular, Inc.  8,168,460 
 108,832  Prosperity Bancshares, Inc.  7,686,804 
 40,560  Signature Bank  4,835,563 
 160,207  TCF Financial Corp.  6,099,081 
 197,480  Triumph Bancorp, Inc.(a)  6,297,637 
 113,943  Wintrust Financial Corp.  7,364,136 
  

 

 

 
   108,515,713 
  

 

 

 
 Beverages –0.7%

 

 416,350  Cott Corp.  5,191,884 
  

 

 

 
 Biotechnology –0.5%

 

 44,384  United Therapeutics Corp.(a)  3,539,624 
  

 

 

 
 Building Products –1.7%

 

 46,323  American Woodmark Corp.(a)  4,118,578 
 85,931  Armstrong World Industries, Inc.  8,309,528 
  

 

 

 
   12,428,106 
  

 

 

 
 Capital Markets –1.5%

 

 325,208  Donnelley Financial Solutions, Inc.(a)  4,006,563 
 116,480  Stifel Financial Corp.  6,683,622 
  

 

 

 
   10,690,185 
  

 

 

 

 

See accompanying notes to financial statements.

 

|  28


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Chemicals –3.1%

 

 186,220  AdvanSix, Inc.(a) $4,789,578 
 53,359  Ashland Global Holdings, Inc.  4,111,311 
 122,555  Cabot Corp.  5,554,193 
 40,317  Ingevity Corp.(a)  3,420,494 
 69,697  WR Grace & Co.  4,652,972 
  

 

 

 
   22,528,548 
  

 

 

 
 Commercial Services & Supplies –4.4%

 

 89,279  Clean Harbors, Inc.(a)  6,892,339 
 172,650  IAA, Inc.(a)  7,204,684 
 172,650  KAR Auction Services, Inc.  4,238,557 
 175,199  Kimball International, Inc., Class B  3,381,341 
 152,591  Viad Corp.  10,246,486 
  

 

 

 
   31,963,407 
  

 

 

 
 Communications Equipment –1.2%

 

 272,103  Digi International, Inc.(a)  3,706,043 
 360,583  Viavi Solutions, Inc.(a)  5,049,965 
  

 

 

 
   8,756,008 
  

 

 

 
 Construction & Engineering –0.9%

 

 186,609  Arcosa, Inc.  6,383,894 
  

 

 

 
 Distributors –0.6%

 

 127,834  Core-Mark Holding Co., Inc.  4,105,389 
  

 

 

 
 Diversified Consumer Services –1.6%

 

 112,585  frontdoor, Inc.(a)  5,468,253 
 149,813  OneSpaWorld Holdings Ltd.(a)  2,326,596 
 66,542  ServiceMaster Global Holdings, Inc.(a)  3,719,698 
  

 

 

 
   11,514,547 
  

 

 

 
 Diversified Financial Services –0.8%

 

 226,416  Cannae Holdings, Inc.(a)  6,219,648 
  

 

 

 
 Diversified Telecommunication Services –1.1%

 

 133,581  GCI Liberty, Inc., Class A(a)  8,291,373 
  

 

 

 
 Electric Utilities –1.5%

 

 127,026  ALLETE, Inc.  11,103,343 
  

 

 

 
 Electrical Equipment –0.6%

 

 227,061  TPI Composites, Inc.(a)  4,257,394 
  

 

 

 
 Electronic Equipment, Instruments & Components –2.8%

 

 108,422  Kimball Electronics, Inc.(a)  1,573,203 
 48,470  Littelfuse, Inc.  8,594,216 
 157,993  Methode Electronics, Inc.  5,314,884 

 

See accompanying notes to financial statements.

 

29  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Electronic Equipment, Instruments & Components – continued

 

 15,858  Rogers Corp.(a) $2,167,947 
 201,758  TTM Technologies, Inc.(a)  2,460,439 
  

 

 

 
   20,110,689 
  

 

 

 
 Energy Equipment & Services –1.1%

 

 223,506  Apergy Corp.(a)  6,045,837 
 41,390  DMC Global, Inc.  1,820,332 
  

 

 

 
   7,866,169 
  

 

 

 
 Entertainment –0.5%

 

 128,200  Liberty Media Corp.-Liberty Braves, Class C(a)  3,557,550 
  

 

 

 
 Food Products –3.6%

 

 224,605  Darling Ingredients, Inc.(a)  4,296,693 
 35,446  J&J Snack Foods Corp.  6,805,632 
 431,084  Nomad Foods Ltd.(a)  8,837,222 
 56,983  Post Holdings, Inc.(a)  6,031,081 
  

 

 

 
   25,970,628 
  

 

 

 
 Health Care Equipment & Supplies –2.0%

 

 112,321  Avanos Medical, Inc.(a)  4,207,545 
 77,360  Quidel Corp.(a)  4,746,036 
 187,113  Varex Imaging Corp.(a)  5,340,205 
  

 

 

 
   14,293,786 
  

 

 

 
 Health Care Providers & Services –0.8%

 

 100,333  AMN Healthcare Services, Inc.(a)  5,775,167 
  

 

 

 
 Hotels, Restaurants & Leisure –2.8%

 

 76,463  Churchill Downs, Inc.  9,439,740 
 22,981  Cracker Barrel Old Country Store, Inc.  3,737,860 
 70,132  Marriott Vacations Worldwide Corp.  7,266,376 
  

 

 

 
   20,443,976 
  

 

 

 
 Household Durables –0.8%

 

 35,486  Helen of Troy Ltd.(a)  5,594,723 
  

 

 

 
 Independent Power & Renewable Electricity Producers –3.2%

 

 168,813  NextEra Energy Partners LP  8,920,079 
 140,035  NRG Energy, Inc.  5,545,386 
 317,351  Vistra Energy Corp.  8,482,792 
  

 

 

 
   22,948,257 
  

 

 

 
 Industrial Conglomerates –0.7%

 

 162,759  Raven Industries, Inc.  5,445,916 
  

 

 

 
 Insurance –3.9%

 

 178,589  Employers Holdings, Inc.  7,782,908 

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Insurance – continued

 

 122,468  First American Financial Corp. $7,226,837 
 133,106  ProAssurance Corp.  5,360,179 
 51,406  Reinsurance Group of America, Inc.  8,218,791 
  

 

 

 
   28,588,715 
  

 

 

 
 Internet & Direct Marketing Retail –0.4%

 

 287,102  Qurate Retail, Inc., Class A(a)  2,961,457 
  

 

 

 
 IT Services –5.1%

 

 376,418  Conduent, Inc.(a)  2,341,320 
 115,704  CSG Systems International, Inc.  5,979,583 
 49,840  Euronet Worldwide, Inc.(a)  7,291,592 
 204,987  Genpact Ltd.  7,943,246 
 224,297  Perspecta, Inc.  5,858,638 
 37,706  WEX, Inc.(a)  7,619,251 
  

 

 

 
   37,033,630 
  

 

 

 
 Leisure Products –0.6%

 

 77,944  Brunswick Corp.  4,062,441 
  

 

 

 
 Machinery –4.2%

 

 55,864  Alamo Group, Inc.  6,576,310 
 67,500  Altra Industrial Motion Corp.  1,869,413 
 157,864  Columbus McKinnon Corp.  5,750,986 
 357,465  Harsco Corp.(a)  6,777,536 
 34,564  John Bean Technologies Corp.  3,436,699 
 69,131  Kadant, Inc.  6,069,010 
  

 

 

 
   30,479,954 
  

 

 

 
 Marine –0.4%

 

 35,137  Kirby Corp.(a)  2,886,856 
  

 

 

 
 Media –1.3%

 

 374,795  Gray Television, Inc.(a)  6,116,654 
 78,466  John Wiley & Sons, Inc., Class A  3,447,796 
  

 

 

 
   9,564,450 
  

 

 

 
 Metals & Mining –0.4%

 

 507,316  Ferroglobe R&W Trust(a)(b)(c)(d)   
 81,689  Haynes International, Inc.  2,927,734 
  

 

 

 
   2,927,734 
  

 

 

 
 Multi-Utilities –2.1%

 

 245,544  MDU Resources Group, Inc.  6,921,885 
 108,521  NorthWestern Corp.  8,144,501 
  

 

 

 
   15,066,386 
  

 

 

 

 

See accompanying notes to financial statements.

 

31  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Oil, Gas & Consumable Fuels –1.5%

 

 35,050  Arch Coal, Inc., Class A $2,600,710 
 565,046  SRC Energy, Inc.(a)  2,633,114 
 192,547  Viper Energy Partners LP  5,327,776 
  

 

 

 
   10,561,600 
  

 

 

 
 Personal Products –0.5%

 

 35,613  Medifast, Inc.  3,690,575 
  

 

 

 
 Pharmaceuticals –1.4%

 

 124,259  Catalent, Inc.(a)  5,922,184 
 143,865  Supernus Pharmaceuticals, Inc.(a)  3,953,410 
  

 

 

 
   9,875,594 
  

 

 

 
 Professional Services –2.8%

 

 92,412  ASGN, Inc.(a)  5,809,018 
 241,312  Clarivate Analytics PLC(a)  4,070,933 
 61,988  Insperity, Inc.  6,113,257 
 111,257  Korn Ferry  4,298,971 
  

 

 

 
   20,292,179 
  

 

 

 
 REITs – Apartments –0.8%

 

 119,160  American Campus Communities, Inc.  5,729,213 
  

 

 

 
 REITs – Diversified –0.6%

 

 160,546  Outfront Media, Inc.  4,459,968 
  

 

 

 
 REITs – Hotels –0.8%

 

 71,375  Ryman Hospitality Properties, Inc.  5,839,189 
  

 

 

 
 REITs – Office Property –0.9%

 

 160,908  JBG SMITH Properties  6,309,203 
  

 

 

 
 REITs – Shopping Centers –0.8%

 

 314,399  Retail Opportunity Investments Corp.  5,731,494 
  

 

 

 
 REITs – Single Tenant –1.5%

 

 274,618  Essential Properties Realty Trust, Inc.  6,291,498 
 85,107  National Retail Properties, Inc.  4,800,035 
  

 

 

 
   11,091,533 
  

 

 

 
 REITs – Storage –0.9%

 

 182,971  CubeSmart  6,385,688 
  

 

 

 
 REITs – Warehouse/Industrials –2.9%

 

 184,388  Americold Realty Trust  6,835,263 
 87,780  CyrusOne, Inc.  6,943,398 
 173,265  Rexford Industrial Realty, Inc.  7,627,125 
  

 

 

 
   21,405,786 
  

 

 

 

 

See accompanying notes to financial statements.

 

|  32


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Road & Rail –1.2%

 

 39,114  Genesee & Wyoming, Inc., Class A(a) $4,322,488 
 24,283  Old Dominion Freight Line, Inc.  4,127,382 
  

 

 

 
   8,449,870 
  

 

 

 
 Semiconductors & Semiconductor Equipment –2.1%

 

 97,629  Advanced Energy Industries, Inc.(a)  5,604,881 
 39,706  Mellanox Technologies Ltd.(a)  4,351,381 
 167,797  Tower Semiconductor Ltd.(a)  3,228,414 
 35,140  Versum Materials, Inc.  1,859,960 
  

 

 

 
   15,044,636 
  

 

 

 
 Software –1.5%

 

 123,311  ACI Worldwide, Inc.(a)  3,862,717 
 42,553  LogMeIn, Inc.  3,019,561 
 95,772  Verint Systems, Inc.(a)  4,097,126 
  

 

 

 
   10,979,404 
  

 

 

 
 Specialty Retail –1.7%

 

 106,551  Aaron’s, Inc.  6,846,967 
 189,878  Urban Outfitters, Inc.(a)  5,333,673 
  

 

 

 
   12,180,640 
  

 

 

 
 Thrifts & Mortgage Finance –2.0%

 

 51,558  Federal Agricultural Mortgage Corp., Class C  4,210,226 
 152,408  Meta Financial Group, Inc.  4,970,025 
 214,056  OceanFirst Financial Corp.  5,051,722 
  

 

 

 
   14,231,973 
  

 

 

 
 Total Common Stocks
(Identified Cost $511,675,605)
  716,158,683 
  

 

 

 
 
Principal
Amount

 
      
 Short-Term Investments –1.0% 
$7,065,933  Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $7,066,149 on 10/01/2019 collateralized by $6,755,000 U.S. Treasury Note, 2.625% due 12/31/2025 valued at $7,207,524 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,065,933)  7,065,933 
  

 

 

 
 Total Investments –100.0%
(Identified Cost $518,741,538)
  723,224,616 
 

Other assets less liabilities—(0.0)%

  (252,118
  

 

 

 
 Net Assets –100.0% $722,972,498 
  

 

 

 

 

See accompanying notes to financial statements.

 

33  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small Cap Value Fund – continued

 

 (†)  See Note 2 of Notes to Financial Statements.
 (a)  Non-income producing security.
 (b)  Security subject to restrictions on resale. This security was acquired on November 29, 2016 at a cost of $0. At September 30, 2019, the value of this security amounted to $0.
 (c)  Illiquid security. (Unaudited)
 (d)  Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2019, the value of this security amounted to $0. See Note 2 of Notes to Financial Statements.
 REITs  Real Estate Investment Trusts

Industry Summary at September30, 2019

 

Banks

  15.0

IT Services

  5.1 

Commercial Services & Supplies

  4.4 

Machinery

  4.2 

Insurance

  3.9 

Food Products

  3.6 

Independent Power & Renewable Electricity Producers

  3.2 

Chemicals

  3.1 

REITs – Warehouse/Industrials

  2.9 

Hotels, Restaurants & Leisure

  2.8 

Professional Services

  2.8 

Electronic Equipment, Instruments & Components

  2.8 

Multi-Utilities

  2.1 

Semiconductors & Semiconductor Equipment

  2.1 

Health Care Equipment & Supplies

  2.0 

Thrifts & Mortgage Finance

  2.0 

Other Investments, less than 2% each

  37.0 

Short-Term Investments

  1.0 
 

 

 

 

Total Investments

  100.0 

Other assets less liabilities

  (0.0
 

 

 

 

Net Assets

  100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

|  34


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Small/Mid Cap Growth Fund

 

Shares  Description Value (†) 
 Common Stocks –89.1% of Net Assets 
 Aerospace & Defense –3.0%

 

 4,107  HEICO Corp. $512,882 
 6,313  Hexcel Corp.  518,487 
  

 

 

 
   1,031,369 
  

 

 

 
 Banks –1.1%

 

 8,551  Western Alliance Bancorp  394,030 
  

 

 

 
 Biotechnology –3.3%

 

 1,938  Argenx SE, ADR(a)  220,855 
 2,826  Ascendis Pharma AS, ADR(a)  272,200 
 3,554  Blueprint Medicines Corp.(a)  261,112 
 4,152  Neurocrine Biosciences, Inc.(a)  374,137 
  

 

 

 
   1,128,304 
  

 

 

 
 Capital Markets –3.6%

 

 15,962  Ares Management Corp., Class A  427,941 
 1,237  MarketAxess Holdings, Inc.  405,118 
 2,695  Morningstar, Inc.  393,847 
  

 

 

 
   1,226,906 
  

 

 

 
 Commercial Services & Supplies –1.4%

 

 11,984  Ritchie Bros. Auctioneers, Inc.  478,162 
  

 

 

 
 Communications Equipment –1.3%

 

 11,391  Ciena Corp.(a)  446,869 
  

 

 

 
 Distributors –1.4%

 

 2,308  POOL CORP.  465,524 
  

 

 

 
 Diversified Consumer Services –4.2%

 

 3,685  Bright Horizons Family Solutions, Inc.(a)  561,962 
 4,925  Grand Canyon Education, Inc.(a)  483,635 
 24,873  Laureate Education, Inc., Class A(a)  412,270 
  

 

 

 
   1,457,867 
  

 

 

 
 Diversified Telecommunication Services –1.1%

 

 7,051  Cogent Communications Holdings, Inc.  388,510 
  

 

 

 
 Electrical Equipment –2.6%

 

 2,479  Acuity Brands, Inc.  334,144 
 6,961  Generac Holdings, Inc.(a)  545,325 
  

 

 

 
   879,469 
  

 

 

 
 Electronic Equipment, Instruments & Components –2.5%

 

 8,104  FLIR Systems, Inc.  426,189 
 10,712  Trimble, Inc.(a)  415,733 
  

 

 

 
   841,922 
  

 

 

 

 

See accompanying notes to financial statements.

 

35  |


Table of Contents

Portfolio of Investments – as of September30, 2019

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Energy Equipment & Services –0.8%

 

 9,363  Cactus, Inc., Class A(a) $270,965 
  

 

 

 
 Entertainment –1.7%

 

 9,036  Live Nation Entertainment, Inc.(a)  599,448 
  

 

 

 
 Food & Staples Retailing –2.0%

 

 2,641  Casey’s General Stores, Inc.  425,624 
 13,951  Sprouts Farmers Market, Inc.(a)  269,812 
  

 

 

 
   695,436 
  

 

 

 
 Food Products –2.4%

 

 8,733  Freshpet, Inc.(a)  434,641 
 19,623  Nomad Foods Ltd.(a)  402,272 
  

 

 

 
   836,913 
  

 

 

 
 Health Care Equipment & Supplies –4.9%

 

 6,340  Globus Medical, Inc., Class A(a)  324,101 
 4,236  Insulet Corp.(a)  698,643 
 1,616  Penumbra, Inc.(a)  217,336 
 3,129  West Pharmaceutical Services, Inc.  443,755 
  

 

 

 
   1,683,835 
  

 

 

 
 Health Care Providers & Services –2.0%

 

 3,988  LHC Group, Inc.(a)  452,877 
 918  WellCare Health Plans, Inc.(a)  237,918 
  

 

 

 
   690,795 
  

 

 

 
 Health Care Technology –1.4%

 

 6,578  HMS Holdings Corp.(a)  226,711 
 2,960  Medidata Solutions, Inc.(a)  270,840 
  

 

 

 
   497,551 
  

 

 

 
 Hotels, Restaurants & Leisure –3.2%

 

 6,168  Planet Fitness, Inc., Class A(a)  356,942 
 6,444  Texas Roadhouse, Inc.  338,439 
 1,717  Vail Resorts, Inc.  390,721 
  

 

 

 
   1,086,102 
  

 

 

 
 Insurance –2.1%

 

 5,023  Kemper Corp.  391,543 
 3,159  Kinsale Capital Group, Inc.  326,356 
  

 

 

 
   717,899 
  

 

 

 
 IT Services –8.6%

 

 8,011  Black Knight, Inc.(a)  489,152 
 7,122  Booz Allen Hamilton Holding Corp.  505,804 
 3,789  Broadridge Financial Solutions, Inc.  471,465 

 

See accompanying notes to financial statements.

 

|  36


Table of Contents

Portfolio of Investments – as of September30, 2019

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 IT Services – continued

 

 3,284  EPAM Systems, Inc.(a) $598,739 
 13,730  Evo Payments, Inc., Class A(a)  386,088 
 2,453  WEX, Inc.(a)  495,678 
  

 

 

 
   2,946,926 
  

 

 

 
 Life Sciences Tools & Services –3.4%

 

 1,824  Charles River Laboratories International, Inc.(a)  241,443 
 3,399  ICON PLC(a)  500,809 
 4,131  PRA Health Sciences, Inc.(a)  409,919 
  

 

 

 
   1,152,171 
  

 

 

 
 Machinery –4.8%

 

 5,190  Albany International Corp., Class A  467,930 
 14,330  Gardner Denver Holdings, Inc.(a)  405,396 
 6,983  Helios Technologies, Inc.  283,300 
 1,730  WABCO Holdings, Inc.(a)  231,388 
 2,258  Woodward, Inc.  243,480 
  

 

 

 
   1,631,494 
  

 

 

 
 Oil, Gas & Consumable Fuels –0.7%

 

 2,605  Diamondback Energy, Inc.  234,215 
  

 

 

 
 Pharmaceuticals –1.8%

 

 6,406  Catalent, Inc.(a)  305,310 
 10,986  Horizon Therapeutics PLC(a)  299,149 
  

 

 

 
   604,459 
  

 

 

 
 Professional Services –2.5%

 

 5,991  TransUnion  485,930 
 6,195  TriNet Group, Inc.(a)  385,267 
  

 

 

 
   871,197 
  

 

 

 
 Semiconductors & Semiconductor Equipment –5.4%

 

 5,954  Advanced Energy Industries, Inc.(a)  341,819 
 3,415  MKS Instruments, Inc.  315,136 
 2,300  Monolithic Power Systems, Inc.  357,949 
 7,036  Semtech Corp.(a)  342,020 
 4,312  Silicon Laboratories, Inc.(a)  480,141 
  

 

 

 
   1,837,065 
  

 

 

 
 Software –9.3%

 

 4,167  Everbridge, Inc.(a)  257,146 
 5,318  Guidewire Software, Inc.(a)  560,411 
 3,107  HubSpot, Inc.(a)  471,052 
 5,360  j2 Global, Inc.  486,795 
 5,121  Paylocity Holding Corp.(a)  499,707 
 3,868  Pegasystems, Inc.  263,217 

 

See accompanying notes to financial statements.

 

37  |


Table of Contents

Portfolio of Investments – as of September30, 2019

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares  Description Value (†) 
 Common Stocks – continued 
 Software – continued

 

 1,068  Tyler Technologies, Inc.(a) $280,350 
 4,993  Zendesk, Inc.(a)  363,890 
  

 

 

 
   3,182,568 
  

 

 

 
 Specialty Retail –2.3%

 

 6,547  Aaron’s, Inc.  420,710 
 2,968  Five Below, Inc.(a)  374,265 
  

 

 

 
   794,975 
  

 

 

 
 Textiles, Apparel & Luxury Goods –2.1%

 

 2,764  Carter’s, Inc.  252,104 
 4,296  Columbia Sportswear Co.  416,240 
 2,710  Under Armour, Inc., Class A(a)  54,037 
  

 

 

 
   722,381 
  

 

 

 
 Thrifts & Mortgage Finance –1.0%

 

 7,247  Essent Group Ltd.  345,464 
  

 

 

 
 Trading Companies & Distributors –1.2%

 

 5,778  SiteOne Landscape Supply, Inc.(a)  427,688 
  

 

 

 
 Total Common Stocks
(Identified Cost $28,230,728)
  30,568,479 
  

 

 

 
 
Principal
Amount

 
      
 Short-Term Investments –3.6% 
$1,255,709  Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $1,255,747 on 10/01/2019 collateralized by $1,205,000 U.S. Treasury Note, 2.625% due 1/31/2026 valued at $1,283,779 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,255,709)  1,255,709 
  

 

 

 
 Total Investments –92.7%
(Identified Cost $29,486,437)
  31,824,188 
 

Other assets less liabilities—7.3%

  2,487,780 
  

 

 

 
 Net Assets –100.0% $34,311,968 
  

 

 

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

 

 (a)  Non-income producing security.

 

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

 

 

See accompanying notes to financial statements.

 

|  38


Table of Contents

Portfolio of Investments – as of September30, 2019

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Industry Summary at September 30, 2019

 

Software

  9.3

IT Services

  8.6 

Semiconductors & Semiconductor Equipment

  5.4 

Health Care Equipment & Supplies

  4.9 

Machinery

  4.8 

Diversified Consumer Services

  4.2 

Capital Markets

  3.6 

Life Sciences Tools & Services

  3.4 

Biotechnology

  3.3 

Hotels, Restaurants & Leisure

  3.2 

Aerospace & Defense

  3.0 

Electrical Equipment

  2.6 

Professional Services

  2.5 

Electronic Equipment, Instruments & Components

  2.5 

Food Products

  2.4 

Specialty Retail

  2.3 

Textiles, Apparel & Luxury Goods

  2.1 

Insurance

  2.1 

Food & Staples Retailing

  2.0 

Health Care Providers & Services

  2.0 

Other Investments, less than 2% each

  14.9 

Short-Term Investments

  3.6 
 

 

 

 

Total Investments

  92.7 

Other assets less liabilities

  7.3 
 

 

 

 

Net Assets

  100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

39  |


Table of Contents

Statements of Assets and Liabilities

September 30, 2019

 

   Small Cap
Growth Fund
  Small Cap
Value Fund
  Small/Mid Cap
Growth Fund
 

ASSETS

 

Investments at cost

 $1,367,665,224  $518,741,538  $29,486,437 

Net unrealized appreciation

  273,142,993   204,483,078   2,337,751 
 

 

 

  

 

 

  

 

 

 

Investments at value

  1,640,808,217   723,224,616   31,824,188 

Cash

     21    

Receivable for Fund shares sold

  3,854,047   733,146   2,650,150 

Receivable for securities sold

  16,226,878   1,184,781   499,418 

Dividends and interest receivable

  280,448   771,685   3,543 

Prepaid expenses (Note 7)

  117   64   2 
 

 

 

  

 

 

  

 

 

 

TOTAL ASSETS

  1,661,169,707   725,914,313   34,977,301 
 

 

 

  

 

 

  

 

 

 

LIABILITIES

 

Payable for securities purchased

  24,440,223   1,135,768   547,215 

Payable for Fund shares redeemed

  1,139,557   1,001,424   22,414 

Management fees payable (Note 5)

  1,033,060   440,042   15,288 

Deferred Trustees’ fees (Note 5)

  197,406   236,970   25,174 

Administrative fees payable (Note 5)

  60,030   26,246   1,161 

Payable to distributor (Note 5d)

  15,155   6,383   9 

Other accounts payable and accrued expenses

  120,122   94,982   54,072 
 

 

 

  

 

 

  

 

 

 

TOTAL LIABILITIES

  27,005,553   2,941,815   665,333 
 

 

 

  

 

 

  

 

 

 

NET ASSETS

 $1,634,164,154  $722,972,498  $34,311,968 
 

 

 

  

 

 

  

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

 $1,222,672,893  $466,918,155  $31,416,440 

Accumulated earnings

  411,491,261   256,054,343   2,895,528 
 

 

 

  

 

 

  

 

 

 

NET ASSETS

 $1,634,164,154  $722,972,498  $34,311,968 
 

 

 

  

 

 

  

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

   

Institutional Class:

 

Net assets

 $908,615,572  $433,360,358  $34,311,968 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

  34,548,404   15,119,422   3,422,035 
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $26.30  $28.66  $10.03 
 

 

 

  

 

 

  

 

 

 

Retail Class:

 

Net assets

 $95,634,525  $134,434,310  $ 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

  3,993,192   4,783,042    
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $23.95  $28.11  $ 
 

 

 

  

 

 

  

 

 

 

Admin Class shares:

 

Net assets

 $  $13,356,614  $ 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

     500,586    
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $  $26.68  $ 
 

 

 

  

 

 

  

 

 

 

Class N shares:

 

Net assets

 $629,914,057  $141,821,216  $ 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

  23,745,799   4,944,207    
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $26.53  $28.68  $ 
 

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Table of Contents

Statements of Operations

For the Year Ended September 30, 2019

 

   Small Cap
Growth Fund
  Small Cap
Value Fund
  Small/Mid Cap
Growth Fund
 

INVESTMENT INCOME

 

Dividends

 $4,070,821  $9,917,219  $104,043 

Interest

  922,045   163,867   12,865 

Less net foreign taxes withheld

     (35,326  (998
 

 

 

  

 

 

  

 

 

 
  4,992,866   10,045,760   115,910 
 

 

 

  

 

 

  

 

 

 

Expenses

 

Management fees (Note 5)

  11,217,209   5,996,267   175,353 

Service and distribution fees (Note 5)

  269,104   475,016    

Administrative fees (Note 5)

  658,351   351,874   10,310 

Trustees’ fees and expenses (Note 5)

  63,099   42,520   16,461 

Transfer agent fees and expenses (Notes 5 and 6)

  1,209,125   655,051   2,908 

Audit and tax services fees

  39,427   40,130   39,697 

Custodian fees and expenses

  48,492   25,667   6,563 

Legal fees (Note 7)

  44,056   24,161   637 

Registration fees

  111,127   77,888   26,339 

Shareholder reporting expenses

  63,833   56,174   1,497 

Miscellaneous expenses (Note 7)

  70,796   45,910   23,580 
 

 

 

  

 

 

  

 

 

 

Total expenses

  13,794,619   7,790,658   303,345 

Less waiver and/or expense reimbursement (Note 5)

  (11,103  (216,358  (104,533
 

 

 

  

 

 

  

 

 

 

Net expenses

  13,783,516   7,574,300   198,812 
 

 

 

  

 

 

  

 

 

 

Net investment income (loss)

  (8,790,650  2,471,460   (82,902
 

 

 

  

 

 

  

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

   

Net realized gain on:

 

Investments

  155,991,266   55,538,968   707,633 

Net change in unrealized appreciation (depreciation) on:

   

Investments

  (268,064,056  (109,251,529  (112,924
 

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss) on investments

  (112,072,790  (53,712,561  594,709 
 

 

 

  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

 $(120,863,440 $(51,241,101 $511,807 
 

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

41  |


Table of Contents

Statements of Changes in Net Assets

 

   Small Cap Growth Fund  Small Cap Value Fund 
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
 

FROM OPERATIONS:

    

Net investment income (loss)

 $(8,790,650 $(7,529,984 $2,471,460  $2,080,621 

Net realized gain on investments

  155,991,266   143,506,294   55,538,968   118,702,551 

Net change in unrealized appreciation (depreciation) on investments

  (268,064,056  216,618,091   (109,251,529  (58,719,669
 

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

  (120,863,440  352,594,401   (51,241,101  62,063,503 
 

 

 

  

 

 

  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

    

Institutional Class

  (74,228,048  (93,157,470  (67,841,584  (73,726,264

Retail Class

  (11,691,827  (13,096,336  (23,416,722  (27,201,028

Admin Class

        (3,000,140  (3,453,473

Class N

  (45,465,070  (35,428,773  (18,276,952  (16,470,360
 

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  (131,384,945  (141,682,579  (112,535,398  (120,851,125
 

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)

  305,348,898   159,153,016   (86,935,502  (50,857,393
 

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets

  53,100,513   370,064,838   (250,712,001  (109,645,015

NET ASSETS

 

Beginning of the year

  1,581,063,641   1,210,998,803   973,684,499   1,083,329,514 
 

 

 

  

 

 

  

 

 

  

 

 

 

End of the year

 $1,634,164,154  $1,581,063,641  $722,972,498  $973,684,499 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

|  42


Table of Contents

Statements of Changes in Net Assets – continued

 

   Small/Mid Cap Growth Fund 
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
 

FROM OPERATIONS:

 

Net investment loss

 $(82,902 $(61,563

Net realized gain on investments

  707,633   5,067,741 

Net change in unrealized appreciation (depreciation) on investments

  (112,924  (965,346
 

 

 

  

 

 

 

Net increase in net assets resulting from operations

  511,807   4,040,832 
 

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Institutional Class

  (4,717,064   
 

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)

  21,017,023   (1,132,819
 

 

 

  

 

 

 

Net increase in net assets

  16,811,766   2,908,013 

NET ASSETS

 

Beginning of the year

  17,500,202   14,592,189 
 

 

 

  

 

 

 

End of the year

 $34,311,968  $17,500,202 
 

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

43  |


Table of Contents

Financial Highlights

For a share outstanding throughout each period.

 

   Small Cap Growth Fund—Institutional Class     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $31.55  $27.37  $22.03  $22.22  $24.27  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

  (0.16  (0.16  (0.12  (0.09  (0.14 

Net realized and unrealized gain (loss)

  (2.51  7.54   5.46   1.59   1.63  
 

 

 

 

Total from Investment Operations

  (2.67  7.38   5.34   1.50   1.49  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net realized capital gains

  (2.58  (3.20     (1.69  (3.54 
 

 

 

 

Net asset value, end of the period

 $26.30  $31.55  $27.37  $22.03  $22.22  
 

 

 

 

Total return

  (6.88)%   29.77  24.24  6.92  5.78 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $908,616  $926,914  $824,103  $812,383  $800,883  

Net expenses

  0.95  0.94  0.95  0.95  0.94 

Gross expenses

  0.95  0.94  0.95  0.95  0.94 

Net investment loss

  (0.62)%   (0.58)%   (0.49)%   (0.41)%   (0.57)%  

Portfolio turnover rate

  67  41  45  56  78 

 

 

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

 

See accompanying notes to financial statements.

 

|  44


Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Growth Fund—Retail Class     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $29.09  $25.53  $20.61  $20.93  $23.10  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

  (0.21  (0.22  (0.16  (0.13  (0.19 

Net realized and unrealized gain (loss)

  (2.35  6.98   5.08   1.50   1.56  
 

 

 

 

Total from Investment Operations

  (2.56  6.76   4.92   1.37   1.37  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net realized capital gains

  (2.58  (3.20     (1.69  (3.54 
 

 

 

 

Net asset value, end of the period

 $23.95  $29.09  $25.53  $20.61  $20.93  
 

 

 

 

Total return

  (7.11)%(b)   29.45  23.93  6.61  5.58 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $95,635  $136,415  $107,387  $118,670  $162,906  

Net expenses

  1.19%(c)   1.19  1.20  1.20  1.19 

Gross expenses

  1.20  1.19  1.20  1.20  1.19 

Net investment loss

  (0.86)%   (0.82)%   (0.73)%   (0.66)%   (0.82)%  

Portfolio turnover rate

  67  41  45  56  78 

 

 

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

45  |


Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Growth Fund—Class N     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $31.76  $27.50  $22.11  $22.27  $24.29  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

  (0.13  (0.12  (0.09  (0.06  (0.12 

Net realized and unrealized gain (loss)

  (2.52  7.58   5.48   1.59   1.64  
 

 

 

 

Total from Investment Operations

  (2.65  7.46   5.39   1.53   1.52  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net realized capital gains

  (2.58  (3.20     (1.69  (3.54 
 

 

 

 

Net asset value, end of the period

 $26.53  $31.76  $27.50  $22.11  $22.27  
 

 

 

 

Total return

  (6.76)%   29.93  24.38  7.05  5.92 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $629,914  $517,734  $279,508  $196,733  $162,591  

Net expenses

  0.82  0.82  0.82  0.83  0.83 

Gross expenses

  0.82  0.82  0.82  0.83  0.83 

Net investment loss

  (0.49)%   (0.43)%   (0.39)%   (0.29)%   (0.51)%  

Portfolio turnover rate

  67  41  45  56  78 

 

 

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Institutional Class     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $35.27  $37.37  $33.78  $32.19  $36.40  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.10   0.09   0.13   0.17   0.27  

Net realized and unrealized gain (loss)

  (2.49  2.11   6.36   4.82   0.49  
 

 

 

 

Total from Investment Operations

  (2.39  2.20   6.49   4.99   0.76  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.08  (0.05  (0.14  (0.22  (0.22 

Net realized capital gains

  (4.14  (4.25  (2.76  (3.18  (4.75 
 

 

 

 

Total Distributions

  (4.22  (4.30  (2.90  (3.40  (4.97 
 

 

 

 

Net asset value, end of the period

 $28.66  $35.27  $37.37  $33.78  $32.19  
 

 

 

 

Total return(b)

  (4.11)%   6.21  19.68  16.75  1.20 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $433,360  $587,198  $665,229  $654,501  $666,107  

Net expenses(c)

  0.90  0.90  0.90  0.90  0.90 

Gross expenses

  0.93  0.92  0.93  0.93  0.92 

Net investment income

  0.36  0.26  0.37  0.52  0.75 

Portfolio turnover rate

  24  19  25  22  22 

 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Retail Class     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $34.66  $36.83  $33.33  $31.78  $35.98  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.03   0.00(b)   0.04   0.08   0.18  

Net realized and unrealized gain (loss)

  (2.44  2.08   6.27   4.77   0.48  
 

 

 

 

Total from Investment Operations

  (2.41  2.08   6.31   4.85   0.66  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

        (0.05  (0.12  (0.11 

Net realized capital gains

  (4.14  (4.25  (2.76  (3.18  (4.75 
 

 

 

 

Total Distributions

  (4.14  (4.25  (2.81  (3.30  (4.86 
 

 

 

 

Net asset value, end of the period

 $28.11  $34.66  $36.83  $33.33  $31.78  
 

 

 

 

Total return(c)

  (4.33)%   5.95  19.38  16.47  0.94 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $134,434  $208,310  $251,405  $267,936  $306,360  

Net expenses(d)

  1.15  1.15  1.15  1.15  1.15 

Gross expenses

  1.18  1.17  1.18  1.18  1.17 

Net investment income

  0.10  0.01  0.12  0.27  0.50 

Portfolio turnover rate

  24  19  25  22  22 

 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Admin Class     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $33.25  $35.58  $32.31  $30.88  $35.06  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

  (0.04  (0.08  (0.04  0.01   0.09  

Net realized and unrealized gain (loss)

  (2.39  2.00   6.07   4.62   0.48  
 

 

 

 

Total from Investment Operations

  (2.43  1.92   6.03   4.63   0.57  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

           (0.02  (0.00)(b)  

Net realized capital gains

  (4.14  (4.25  (2.76  (3.18  (4.75 
 

 

 

 

Total Distributions

  (4.14  (4.25  (2.76  (3.20  (4.75 
 

 

 

 

Net asset value, end of the period

 $26.68  $33.25  $35.58  $32.31  $30.88  
 

 

 

 

Total return(c)

  (4.60)%   5.68  19.10  16.19  0.71 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $13,357  $24,530  $30,533  $43,973  $45,762  

Net expenses(d)

  1.40  1.40  1.40  1.39%(e)   1.38%(f)  

Gross expenses

  1.43  1.42  1.43  1.42%(e)   1.40%(f)  

Net investment income (loss)

  (0.15)%   (0.24)%   (0.11)%   0.03  0.28 

Portfolio turnover rate

  24  19  25  22  22 

 

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Includes refund of prior year service fee of 0.01%.

(f)

Includes refund of prior year service fee of 0.02%.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Class N     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Year Ended
September 30,
2015
     

Net asset value, beginning of the period

 $35.31  $37.41  $33.81  $32.22  $36.44  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.12   0.12   0.15   0.19   0.27  

Net realized and unrealized gain (loss)

  (2.50  2.11   6.37   4.83   0.50  
 

 

 

 

Total from Investment Operations

  (2.38  2.23   6.52   5.02   0.77  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.11  (0.08  (0.16  (0.25  (0.24 

Net realized capital gains

  (4.14  (4.25  (2.76  (3.18  (4.75 
 

 

 

 

Total Distributions

  (4.25  (4.33  (2.92  (3.43  (4.99 
 

 

 

 

Net asset value, end of the period

 $28.68  $35.31  $37.41  $33.81  $32.22  
 

 

 

 

Total return

  (4.07)%   6.28  19.78  16.84  1.25 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $141,821  $153,646  $136,162  $68,332  $38,555  

Net expenses

  0.83  0.83  0.83  0.83  0.83%(b)  

Gross expenses

  0.83  0.83  0.83  0.83  0.83%(b)  

Net investment income

  0.43  0.33  0.44  0.61  0.76 

Portfolio turnover rate

  24  19  25  22  22 

 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes fee/expense recovery of less than 0.01%.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small/Mid Cap Growth Fund—Institutional Class     
   Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
  Period Ended
September 30,
2015*
     

Net asset value, beginning of the period

 $15.49  $12.31  $9.73  $9.05  $10.00  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

  (0.04  (0.05  0.00(b)   (0.02  (0.01 

Net realized and unrealized gain (loss)

  (1.55)(c)   3.23   2.60   0.70   (0.94 
 

 

 

 

Total from Investment Operations

  (1.59  3.18   2.60   0.68   (0.95 
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

        (0.02       

Net realized capital gains

  (3.87             
 

 

 

 

Total Distributions

  (3.87     (0.02       
 

 

 

 

Net asset value, end of the period

 $10.03  $15.49  $12.31  $9.73  $9.05  
 

 

 

 

Total return(d)

  (3.27)%   25.83  26.74  7.51  (9.50)%(e)  

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $34,312  $17,500  $14,592  $11,974  $9,242  

Net expenses(f)

  0.85  0.85  0.85  0.85  0.85%(g)  

Gross expenses

  1.30  1.43  1.57  1.75  2.65%(g)  

Net investment income (loss)

  (0.35)%   (0.35)%   0.01  (0.22)%   (0.53)%(g)  

Portfolio turnover rate

  67  102%(h)   49  53  14 

 

*

From commencement of operations on June 30, 2015 through September 30, 2015.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01.

(c)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to significant shareholder flows.

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

September 30, 2019

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

Loomis Sayles Funds I:

Loomis Sayles Small Cap Value Fund (the “Small Cap Value Fund”)

Loomis Sayles Funds II:

Loomis Sayles Small Cap Growth Fund (the “Small Cap Growth Fund”)

Loomis Sayles Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”)

Each Fund is a diversified investment company.

Small Cap Growth Fund and Small Cap Value Fund were closed to new investors effective September 14, 2012 and September 15, 2008, respectively. Small Cap Growth Fundre-opened to new investors effective October 1, 2018. Small Cap Value Fundre-opened to new investors effective November 27, 2017. Small Cap Growth Fund offers Institutional Class, Retail Class and Class N shares. Small Cap Value Fund offers Institutional Class, Retail Class, Admin Class and Class N shares. Small/Mid Cap Growth Fund offers Institutional Class shares.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Small Cap Growth Fund and Small Cap Value Fund and $1,000,000 for Small/Mid Cap Growth Fund. Certain categories of investors are exempted from the minimum investment amount for Class N and Institutional Class as outlined in the relevant Fund’s prospectus. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees are borne collectively for Institutional Class, Retail Class and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule12b-1 Plan. Shares of each class would receive theirpro rata share

 

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Notes to Financial Statements – continued

September 30, 2019

 

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 ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. 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. Broker-dealer bid prices may be used to value debt and unlisted equity securities 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.

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

 

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Notes to Financial Statements – continued

September 30, 2019

 

other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.

b.  Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on theex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendaryear-end amounts of ordinary income, capital gains and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income,non-class specific expenses and realized and unrealized gains and losses are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars

 

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Notes to Financial Statements – continued

September 30, 2019

 

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.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

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

d.  Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2019 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 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

 

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Notes to Financial Statements – continued

September 30, 2019

 

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.

e.  Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as return of capital distributions received, deferred Trustees’ fees, and net operating losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to return of capital distributions received, deferred Trustees’ fees and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2019 and 2018 were as follows:

 

  2019 Distributions Paid From:  2018 Distributions Paid From: 

Fund

 Ordinary
Income
  Long-Term
Capital Gains
  Total  Ordinary
Income
  Long-Term
Capital Gains
  Total 

Small Cap Growth Fund

 $  $131,384,945  $131,384,945  $  $141,682,579  $141,682,579 

Small Cap Value Fund

  1,761,169   110,774,229   112,535,398   1,359,796   119,491,329   120,851,125 

Small/Mid Cap Growth Fund

     4,717,064   4,717,064          

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

 

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Notes to Financial Statements – continued

September 30, 2019

 

As of September 30, 2019, the components of distributable earnings on a tax basis were as follows:

 

   Small Cap
Growth Fund
  Small Cap
Value Fund
  Small/Mid
Cap Growth
Fund
 

Undistributed ordinary income

  $  $1,766,135  $ 

Undistributed long-term capital gains

   145,569,989   50,009,384   721,955 
  

 

 

  

 

 

  

 

 

 

Total undistributed earnings

   145,569,989   51,775,519   721,955 
  

 

 

  

 

 

  

 

 

 

Late-year ordinary and post-October capital loss deferrals*

   (6,292,971     (67,038
  

 

 

  

 

 

  

 

 

 

Unrealized appreciation

   272,411,649   204,515,794   2,265,785 
  

 

 

  

 

 

  

 

 

 

Total accumulated earnings

  $411,688,667  $256,291,313  $2,920,702 
  

 

 

  

 

 

  

 

 

 

* Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses.

As of September 30, 2019, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

  Small Cap
Growth Fund
  Small Cap
Value Fund
  Small/Mid
Cap Growth
Fund
 

Federal tax cost

 $1,368,396,568  $518,708,822  $29,558,403 
 

 

 

  

 

 

  

 

 

 

Gross tax appreciation

 $323,020,604  $227,812,904  $2,768,670 

Gross tax depreciation

  (50,608,955  (23,297,110  (502,885
 

 

 

  

 

 

  

 

 

 

Net tax appreciation

 $272,411,649  $204,515,794  $2,265,785 
 

 

 

  

 

 

  

 

 

 

f.  Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2019, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

g.  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

 

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certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities fornon-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued bynon-U.S. Governments andnon-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2019, none of the Funds had loaned securities under this agreement.

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

3.  Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  

Level 1—quoted prices in active markets for identical assets or liabilities;

 

  

Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  

Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

 

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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2019, at value:

Small Cap Growth Fund

Asset Valuation Inputs

 

Description

 Level 1  Level 2  Level 3  Total 

Common Stocks(a)

 $1,585,307,593  $  $  $1,585,307,593 

Short-Term Investments

     55,500,624      55,500,624 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $1,585,307,593  $55,500,624  $      —  $1,640,808,217 
 

 

 

  

 

 

  

 

 

  

 

 

 

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

For the year ended September 30, 2019, there were no transfers among Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs

 

Description

 Level 1  Level 2  Level 3  Total 

Common Stocks(a)

 $   716,158,683  $  $  $716,158,683 

Short-Term Investments

     7,065,933      7,065,933 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $716,158,683  $  7,065,933  $      —  $   723,224,616 
 

 

 

  

 

 

  

 

 

  

 

 

 

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

For the year ended September 30, 2019, there were no transfers among Levels 1, 2 and 3.

Small/Mid Cap Growth Fund

Asset Valuation Inputs

 

Description

 Level 1  Level 2  Level 3  Total 

Common Stocks(a)

 $30,568,479  $  $  $30,568,479 

Short-Term Investments

     1,255,709      1,255,709 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $     30,568,479  $  1,255,709  $      —  $     31,824,188 
 

 

 

  

 

 

  

 

 

  

 

 

 

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

For the year ended September 30, 2019, there were no transfers among Levels 1, 2 and 3.

 

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4.  Purchases and Sales of Securities. For the year ended September 30, 2019, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

 Purchases  Sales 

Small Cap Growth Fund

 $1,147,534,384  $966,340,282 

Small Cap Value Fund

  189,739,344   386,389,761 

Small/Mid Cap Growth Fund

  28,246,006   15,323,220 

5.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

Fund

 Percentage of
Average  Daily Net Assets
    

Small Cap Growth Fund

  0.75%  

Small Cap Value Fund

  0.75%  

Small/Mid Cap Growth Fund

  0.75%  

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2020, 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, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

  Expense Limit as a Percentage of
Average Daily Net Assets
 

Fund

 Institutional Class  Retail Class  Admin Class  Class N 

Small Cap Growth Fund

  1.00%   1.25%   —       0.95% 

Small Cap Value Fund

  0.90%   1.15%   1.40%   0.85% 

Small/Mid Cap Growth Fund

  0.85%   —       —       —     

 

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Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below 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, 2019, the management fees for each Fund were as follows:

 

  Gross
Management
Fees
  Contractual
Waivers of
Management
Fees1
  Net
Management
Fees
   

Percentage of
Average Daily Net Assets

 

Fund

  Gross   Net 

Small Cap Growth Fund

 $11,217,209  $  $11,217,209    0.75%    0.75% 

Small Cap Value Fund

  5,996,267      5,996,267    0.75%    0.75% 

Small/Mid Cap Growth Fund

  175,353   104,365   70,988    0.75%    0.30% 

For the year ended September 30, 2019, class-specific expenses have been reimbursed as follows:

 

  Reimbursement1 

Fund

 Institutional
Class
  Retail
Class
  Admin
Class
  Class N   Total 

Small Cap Value Fund

 $155,034  $49,387  $5,632  $      —   $210,053 

1Waiver/expense reimbursements are subject to possible recovery until September 30, 2020.

b.  Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

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

 

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

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

For the year ended September 30, 2019, the service and distribution fees for each Fund were as follows:

 

  Service Fees  Distribution Fees 

Fund

 Admin Class  Retail Class  Admin Class 

Small Cap Growth Fund

 $  $269,104  $ 

Small Cap Value Fund

  44,171   386,674   44,171 

c.  Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, effective July 1, 2019, each Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

Prior to July 1, 2019, each Fund paid Natixis Advisors monthly itspro 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million.

 

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Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver was in effect through June 30, 2019.

For the year ended September 30, 2019, the administrative fees for each Fund were as follows:

 

Fund

 Gross
Administrative
Fees
  Waiver of
Administrative
Fees
  Net
Administrative
Fees
 

Small Cap Growth Fund

 $658,351  $11,103  $647,248 

Small Cap Value Fund

  351,874   6,305   345,569 

Small/Mid Cap Growth Fund

  10,310   168   10,142 

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

For the year ended September 30, 2019, thesub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

 Sub-Transfer
Agent Fees
 

Small Cap Growth Fund

 $1,187,960 

Small Cap Value Fund

  623,706 

Small/Mid Cap Growth Fund

  561 

 

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As of September 30, 2019, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

 Reimbursements of
Sub-Transfer
Agent Fees
 

Small Cap Growth Fund

 $15,155 

Small Cap Value Fund

  6,383 

Small/Mid Cap Growth Fund

  9 

Sub-transfer agent fees attributable to Institutional Class, Retail Class and Admin Class are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2019, the Chairperson of the Board received a retainer fee at the annual rate of $340,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $170,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $12,000. 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

 

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of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

f.  Affiliated Ownership. As of September 30, 2019, 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 Funds’ net assets:

 

Fund

 Pension
Plan
  Retirement
Plan
  Total
Affiliated
Ownership
 

Small Cap Growth Fund

  0.18%   1.38%   1.56% 

Small Cap Value Fund

  0.35%   3.91%   4.26% 

Small/Mid Cap Growth Fund

  —       14.46%   14.46% 

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

6.  Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Institutional Class, Retail Class and Admin Class are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the year ended September 30, 2019, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):

 

  Transfer Agent Fees and Expenses 

Fund

 Institutional
Class
  Retail
Class
  Admin
Class
  Class N 

Small Cap Growth Fund

 $1,073,889  $133,017  $  $2,219 

Small Cap Value Fund

  481,548   155,099   17,723   681 

Small/Mid Cap Growth Fund

  2,908          

7.  Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to

 

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each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the year ended September 30, 2019, Small Cap Growth Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $111,196,100 at a weighted average interest rate of 3.49%. Interest expense incurred was $10,790.

8.  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, 2019, 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%
Non-Affiliated
Account Holders
 Percentage of
Non-Affiliated
Ownership
 Percentage of
Affiliated Ownership
(Note 5f)
  Total
Percentage of
Ownership
 

Small Cap Value Fund

 1   6.32%  —         6.32% 

Small/Mid Cap Growth Fund

 4 52.63%  14.46%   67.09% 

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

 

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9.  Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

 

  Small Cap Growth Fund 
  Year Ended
September 30, 2019
  Year Ended
September 30, 2018
 
Institutional Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  11,579,961  $308,840,843   5,754,255  $164,470,396 

Issued in connection with the reinvestment of distributions

  3,229,384   71,175,640   3,526,960   89,866,953 

Redeemed

  (9,640,609  (255,383,227  (10,014,456  (275,865,186
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  5,168,736  $124,633,256   (733,241 $(21,527,837
 

 

 

  

 

 

  

 

 

  

 

 

 
Retail Class 

Issued from the sale of shares

  1,457,788  $35,354,241   1,440,364  $38,533,569 

Issued in connection with the reinvestment of distributions

  580,575   11,675,362   555,428   13,074,766 

Redeemed

  (2,734,300  (66,088,287  (1,512,825  (39,740,093
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (695,937 $(19,058,684  482,967  $11,868,242 
 

 

 

  

 

 

  

 

 

  

 

 

 
Class N 

Issued from the sale of shares

  14,891,081  $407,213,957   6,071,292  $171,038,280 

Issued in connection with the reinvestment of distributions

  2,040,644   45,322,697   1,378,059   35,305,861 

Redeemed

  (9,488,573  (252,762,328  (1,311,117  (37,531,530
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  7,443,152  $199,774,326   6,138,234  $168,812,611 
 

 

 

  

 

 

  

 

 

  

 

 

 

Increase from capital share transactions

  11,915,951  $305,348,898   5,887,960  $159,153,016 
 

 

 

  

 

 

  

 

 

  

 

 

 
  Small Cap Value Fund 
  Year Ended
September 30, 2019
  Year Ended
September 30, 2018
 
Institutional Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  1,885,997  $52,720,402   2,693,880  $94,890,273 

Issued in connection with the reinvestment of distributions

  2,757,754   64,641,757   2,049,039   70,363,994 

Redeemed

  (6,172,550  (172,631,075  (5,895,445  (207,624,212
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (1,528,799 $(55,268,916  (1,152,526 $(42,369,945
 

 

 

  

 

 

  

 

 

  

 

 

 

 

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Notes to Financial Statements – continued

September 30, 2019

 

9.  Capital Shares – continued

 

  Small Cap Value Fund – continued 
  Year Ended
September 30, 2019
  Year Ended
September 30, 2018
 
Retail Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  248,433  $6,930,683   283,804  $9,876,474 

Issued in connection with the reinvestment of distributions

  1,013,991   23,352,213   802,859   27,144,677 

Redeemed

  (2,489,201  (67,155,838  (1,902,508  (66,646,118
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (1,226,777 $(36,872,942  (815,845 $(29,624,967
 

 

 

  

 

 

  

 

 

  

 

 

 
Admin Class 

Issued from the sale of shares

  164,641  $4,244,622   189,958  $6,328,263 

Issued in connection with the reinvestment of distributions

  103,280   2,261,822   78,301   2,544,008 

Redeemed

  (505,156  (12,991,234  (388,643  (12,936,046
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (237,235 $(6,484,790  (120,384 $(4,063,775
 

 

 

  

 

 

  

 

 

  

 

 

 
Class N 

Issued from the sale of shares

  1,949,203  $53,692,224   829,306  $29,863,505 

Issued in connection with the reinvestment of distributions

  779,733   18,276,952   479,347   16,470,360 

Redeemed

  (2,136,634  (60,278,030  (596,844  (21,132,571
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  592,302  $11,691,146   711,809  $25,201,294 
 

 

 

  

 

 

  

 

 

  

 

 

 

Decrease from capital share transactions

  (2,400,509 $(86,935,502  (1,376,946 $(50,857,393
 

 

 

  

 

 

  

 

 

  

 

 

 
  Small/Mid Cap Growth Fund 
  Year Ended
September 30, 2019
  Year Ended
September 30, 2018
 
Institutional Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  2,433,625  $23,898,389   925,420  $12,965,329 

Issued in connection with the reinvestment of distributions

  540,127   4,234,598       

Redeemed

  (681,600  (7,115,964  (981,019  (14,098,148
 

 

 

  

 

 

  

 

 

  

 

 

 

Increase (decrease) from capital share transactions

  2,292,152  $21,017,023   (55,599 $(1,132,819
 

 

 

  

 

 

  

 

 

  

 

 

 

 

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Notes to Financial Statements – continued

September 30, 2019

 

10.  Subsequent Event. Effective October 1, 2019, Small/Mid Cap Growth Fund will begin offering Class N shares to investors. Class N shares will be offered with an initial minimum investment of $1,000,000. There will be no initial minimum investment for certain retirement plans and funds of funds that are distributed by Natixis Distribution. Also effective October 1, 2019, Institutional Class shares of Small/Mid Cap Growth Fund will be subject to a minimum initial investment of $100,000.

 

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds I and Loomis Sayles Funds II and Shareholders of Loomis Sayles Small Cap Value Fund, Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund:

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Small Cap Value Fund (one of the funds constituting Loomis Sayles Funds I), and Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund (two of the funds constituting Loomis Sayles Funds II) (hereafter collectively referred to as the “Funds”) as of September 30, 2019, the related statements of operations for the year ended September 30, 2019, the statements of changes in net assets for each of the two years in the period ended September 30, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2019 by

 

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Report of Independent Registered Public Accounting Firm

 

correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2019

We have served as the auditor of one or more investment companies in the Natixis Investment Company Complex since at least 1995. We have not determined the specific year we began serving as auditor.

 

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2019 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2019, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:

 

Fund

 Qualifying Percentage 

Small Cap Value

  100.00% 

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2019, unless subsequently determined to be different.

 

Fund

 Amount 

Small Cap Growth

 $131,384,945 

Small Cap Value

  110,962,781 

Small/Mid Cap Growth

  4,717,064 

Qualified Dividend Income. For the fiscal year ended September 30, 2019, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2019, complete information will be reported in conjunction with Form1099-DIV.

 

Fund

Small Cap Value

 

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Trustee and Officer Information

 

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trusts and is available by calling Loomis Sayles Funds at800-633-3330.

 

Name and Year of Birth 

Position(s) Held
with the Trusts,
Length of Time
Served and

Term of Office1

 Principal
Occupation(s)
During Past 5 Years
 Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years
 Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES  

Kenneth A. Drucker

(1945)

 

Chairperson of the Board of Trustees since January 2017

Trustee since 2008

Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee

 Retired 

52

None

 Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953) 

Trustee since 2013

Audit Committee Member and Governance Committee Member

 Executive Chairman of Bob’s Discount Furniture (retail) 

52

Director, Burlington Stores, Inc. (retail)

 Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia

(1951)

 

Trustee since 2015

Contract Review Committee Member and Governance Committee Member

 Retired; formerly Vice President and Treasurer of Raytheon Company (defense) 

52

None

 Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

 

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Trustee and Officer Information – continued

 

Name and Year of Birth 

Position(s) Held
with the Trusts,
Length of Time
Served and

Term of Office1

 Principal
Occupation(s)
During Past 5 Years
 Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years
 Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES– continued  

Wendell J. Knox

(1948)

 

Trustee since 2009

Chairperson of Contract Review Committee

 Director of Abt Associates Inc. (research and consulting) 

52

Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank)

 Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)
Martin T. Meehan(1956) 

Trustee since 2012

Audit Committee Member

 President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell 

52

None

 Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell

(1951)

 

Trustee since 2017

Contract Review Committee Member and Governance Committee Member

 Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services) 

52

Director, Sterling Bancorp (Bank)

 Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

 

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Trustee and Officer Information – continued

 

Name and Year of Birth 

Position(s) Held
with the Trusts,
Length of Time
Served and

Term of Office1

 Principal
Occupation(s)
During Past 5 Years
 Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years
 Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES– continued  

James P. Palermo

(1955)

 

Trustee since 2016

Contract Review Committee Member

 Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) 

52

Director, FutureFuel.io (Chemicals and Biofuels)

 Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri

(1958)

 

Trustee since 2009

Chairperson of the Audit Committee

 Professor of Finance at Babson College 

52

None

 Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail

(1952)

 

Trustee since 2009

Audit Committee Member

and Governance Committee Member

 Retired 

52

None

 Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

 

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Trustee and Officer Information – continued

 

Name and Year of Birth 

Position(s) Held
with the Trusts,
Length of Time
Served and

Term of Office1

 Principal
Occupation(s)
During Past 5 Years
 Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years
 Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES– continued  

Kirk A. Sykes

(1958)

 

Trustee since 2019

Contract Review Committee Member

 Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance); formerly, President of Urban Strategy America Fund (real estate fund manager) 

52

Trustee, Eastern Bank (bank); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust)

 Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks)

Cynthia L. Walker

(1956)

 

Trustee since 2005

Chairperson of the Governance Committee and Audit Committee Member

 Deputy Dean for Finance and Administration, Yale University School of Medicine 

52

None

 Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)
INTERESTED TRUSTEES   

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

 

Trustee since 2015

President and Chief Executive Officer of Loomis Sayles Funds I since 2015

 President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. 

52

None

 Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

 

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Trustee and Officer Information – continued

 

Name and Year of Birth 

Position(s) Held
with the Trusts,
Length of Time
Served and

Term of Office1

 Principal
Occupation(s)
During Past 5 Years
 Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years
 Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INTERESTED TRUSTEES– continued  

David L. Giunta4

(1965)

 

Trustee since 2011

President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015

 President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation 

52

None

 Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

 

1 

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Mr. Drucker was appointed to serve an additional one year term as the Chairperson of the Board on June 12, 2019.

 

2 

The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Trusts, Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Natixis ETF Trust (collectively, the “Fund Complex”).

 

3 

Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

 

4 

Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.

 

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Trustee and Officer Information – continued

 

 

Name and Year of Birth Position(s) Held
with the Trusts
 Term of Office1  and
Length of Time Served
 Principal
Occupation(s)
During Past 5 Years2
OFFICERS OF THE TRUSTS   

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

 Executive Vice President Since 2003 Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane

(1969)

 Secretary, Clerk and Chief Legal Officer Since 2016 Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Michael C. Kardok

(1959)

 Treasurer, Principal Financial and Accounting Officer Since 2004 Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Kirk D. Johnson

(1981)

 Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer Since 2018 Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Associate General Counsel, Natixis Distribution, L.P.; Vice President and Counsel, Natixis Investment Managers, L.P.

 

1 

Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ currentby-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

 

2 

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, L.P., Natixis Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity.

 

|  78


Table of Contents

LOGO

 

LOGO

 

Annual Report

September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

 

Table of Contents

Portfolio Review  1 
Portfolio of Investments  17 
Financial Statements  43 
Notes to Financial Statements  55 

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.


Table of Contents

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Managers Symbols
Daniel Conklin, CFA®* Class A    LSDRX
Christopher T. Harms Class C    LSCDX
Clifton V. Rowe, CFA® Class N    LSDNX
Kurt L. Wagner, CFA®, CIC Class Y    LSDIX
Loomis Sayles & Company, L.P.

 

*

Daniel Conklin was named Associate Portfolio Manager effective October 1, 2019.

 

 

Investment Goal

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

 

 

Market Conditions

Global fixed income markets delivered healthy gains over the12-month period, reflecting the combination of slowing economic growth, persistently low inflation and the US Federal Reserve’s (Fed’s) shift toward an increasingly accommodative monetary policy. As recently as the fourth quarter of 2018, the markets generally anticipated that the Fed would continue to raise interest rates for at least another 12 months. As growth slowed in late 2018, however, the Fed indicated that its next move would likely be to reduce interest rates. The Fed indeed cut rates by a quarter point on both August 1 and September 19, 2019, bringing its benchmark federal funds target rate to a range of 1.75% to 2.00%. In addition, the markets appeared to be pricing in the likelihood of further reductions bymid-2020. The dramatic change in the outlook for Fed policy was the leading factor in the strong, broad-based rally in bonds.

These circumstances helped fuel gains for US Treasuries, with longer-term issues registering the largest advance. The yield on the benchmark10-year Treasury note, after reaching a peak of 3.23% in October 2018, fell to 1.47% in early September — near its lowest level of the past decade. (Prices and yields move in opposite directions.)

Investment grade corporates generated robust returns and finished the period as the top performing major fixed income category. In addition to benefiting from the rally in rate-sensitive assets, investment grade corporates were boosted by both positive earnings trends and healthy investor risk appetites.

Securitized assets generated strong absolute returns, but their lower interest rate sensitivity caused them to lag Treasuries and investment grade corporates. Commercial mortgage backed securities (CMBS) delivered the largest gains, followed by mortgage-backed-securities (MBS) and asset-backed securities (ABS), respectively.

Performance Results

For the 12 months ended September 30, 2019, Class Y shares of the Loomis Sayles Intermediate Duration Bond Fund returned 8.38% at net asset value. The Fund

 

1  |


Table of Contents

outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 8.17%.

Explanation of Fund Performance

A meaningful underweight to US Treasuries proved beneficial as the sector underperformed risk assets during the period. Corporate bond exposure was a strong source of positive performance over the period as corporates outperformed US Treasuries of comparable duration (and corresponding interest rate sensitivity). Positive contributions within the Fund’s allocation to corporates were driven by an overweight to financial issuers, most notably within banking and insurance. Additionally, security selection within industrial-related segments such as communications, basic industry and consumer cyclical also contributed to performance. Finally,out-of-benchmark positioning in securitized credit was advantageous over the 12 months, most notably issuer choices withinnon-agency CMBS and car loan receivables within ABS.

On the downside, exposure to agency-backed securitized assets marginally detracted from performance. Security selection within student loan names was also a slight constraint on relative performance during the period. Finally, the Fund’s allocation to government- related sectors weighed modestly on return.

Outlook

We believe that the Fed will cut rates at least one more time in 2019 depending on the progress of trade talks and economic indicators. In our opinion, the cuts should help ameliorate yield curve inversion, stimulate activity and ease concerns about the end of the credit cycle.1 We believe these cuts represent a“mid-cycle adjustment” and we do not expect a US recession to take hold over the next twelve months.

Corporate fundamentals remain consistent with a credit cycle in late expansion mode. Top line revenues have plateaued, margins have started to deteriorate, leverage is elevated, and businesses are concerned with the economic environment, particularly given the ongoing discussions around trade. Primary cycle risks continue to include the pace of global growth, US trade policy, strong dollar, global central bank policy accommodation and the potential for further escalation of Middle East tensions.

We continue to favor sectors offering higher yield potential than Treasuries and therefore remain underweight government bonds given low yields.

Additionally, we continue to be overweight credit. We are focused on security selection opportunities, buying new issues with favorable concessions and secondary market bonds that offer potentially favorable risk/return profiles. We remain overweight both agency andnon-agency CMBS, particularly senior parts of the capital stack.

Within MBS, we are focused on securities with limited prepayment risk. The high-quality ABS sector remains attractive relative to government bonds. Consumer fundamentals continue to be healthy and we still favor auto loans and credit card receivables within ABS.

 

|  2


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LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

We have been maintaining a higher yield and exposure to more credit-sensitive sectors relative to the benchmark. We continue to monitor the portfolio and diversify our holdings with an eye toward minimizing undue exposure to macroeconomic risk and/or issuer-specific events.

 

1 

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

 

 

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

September 30, 2009 through September 30, 20191,4,5

 

LOGO

 

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Table of Contents

Average Annual Total Returns — September 30, 20194,5

 

      
            Life of  Expense Ratios6 
   1 Year  5 Years  10 Years  Class N  Gross  Net 
   
Class Y (Inception 1/28/98)1       
NAV  8.38  2.91  3.75    0.45  0.40
   
Class A (Inception 5/28/10)1       
NAV  8.11   2.65   3.50      0.70   0.65 
With 4.25% Maximum Sales Charge  3.54   1.77   3.05       
   
Class C (Inception 8/31/16)1       
NAV  7.28   1.86   2.64      1.45   1.40 
With CDSC2  6.28   1.86   2.64       
   
Class N (Inception 2/01/19)       

NAV

           6.19   0.40   0.35 
  
Comparative Performance       

Bloomberg Barclays U.S. Intermediate

Government/Credit Bond Index3

  8.17   2.68   3.05   5.70         

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

 

1

As of August 31, 2016, the Fund’s Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Retail Class shares (May 28, 2010), performance is that of Institutional Class shares, restated to reflect the higher net expenses and sales loads of Class A shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares.

 

2

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

3

The Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range within the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.

 

4

The Fund revised its investment strategy on May 28, 2010; performance may have been different had the current investment strategy been in place for all periods shown.

 

5

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

 

6

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Managers Symbols
Daniel Conklin, CFA®* Class A    NEFLX
Christopher T. Harms Class C    NECLX
Clifton V. Rowe, CFA® Class N    LGANX
Kurt L. Wagner, CFA®, CIC Class Y    NELYX
Loomis, Sayles & Company, L.P. 

 

*

Daniel Conklin was named Associate Portfolio Manager effective October 1, 2019.

 

 

Investment Goal

The Fund seeks high current return consistent with preservation of capital.

 

 

Market Conditions

Global fixed income markets delivered healthy gains over the12-month period, reflecting the combination of slowing economic growth, persistently low inflation and the US Federal Reserve’s (Fed’s) shift toward an increasingly accommodative monetary policy. As recently as the fourth quarter of 2018, the markets generally anticipated that the Fed would continue to raise interest rates for at least another 12 months. As growth slowed in late 2018, however, the Fed indicated that its next move would likely be to reduce interest rates.

The Fed indeed cut rates by a quarter point on both August 1 and September 19, 2019, bringing its benchmark federal funds target rate to a range of 1.75% to 2.00%. In addition, the markets appeared to be pricing in the likelihood of further reductions bymid-2020. The dramatic change in the outlook for Fed policy was the leading factor in the strong, broad-based rally in bonds.

These circumstances helped fuel gains for US Treasuries, with longer-term issues registering the largest advance. The yield on the benchmark10-year Treasury note, after reaching a peak of 3.23% in October 2018, fell to 1.47% in early September — near its lowest level of the past decade. (Prices and yields move in opposite directions.)

Securitized assets generated strong absolute returns, but their lower interest rate sensitivity caused them to lag Treasuries and investment grade corporates. Commercial mortgage-backed securities (CMBS) delivered the largest gains, followed by mortgage-backed securities (MBS) and asset-backed securities (ABS), respectively.

Performance Results

For the 12 months ended September 30, 2019, Class Y shares of the Loomis Sayles Limited Term Government and Agency Fund returned 4.67% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S.1-5 Year Government Bond Index, which returned 5.69%.

 

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Explanation of Fund Performance

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) was the main detractor from relative return. The portfolio’s slightly shorter-than-benchmark stance with respect to duration (and corresponding sensitivity to changes in interest rates) weighed on results as yields fell. An underweight allocation to US Agency bonds acted as a constraint on performance as the sector outperformed comparable-duration Treasuries over the period. Finally, the Fund’s cash position detracted from relative return.

The Fund’s selection within securitized assets aided performance relative to the benchmark for the12-month period. On the agency-backed side of securitized assets, holdings of CMBS led positive contributions, while auto receivables within ABS contributed positively on thenon-agency side.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) are more attractive with valuations near longer-term averages. Mortgages issued in recent years are relatively high quality compared with those issued in prior years. Therefore, we favor an underweight to recently issued30-year MBS and prefer MBS sectors less likely to face refinancing and extension risk, such as low loan balance mortgages and home equity conversion mortgages.

Within the commercial real estate sector,top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment grade CMBS remain attractive.

We believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. Within the sector we favor higher-yielding securities and bonds of less frequent issuers within ABS. Our analysis indicates the credit risk of these securities is inefficiently priced and they offer potentially attractive opportunities for additional yield.

 

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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

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

September 30, 2009 through September 30, 20193

 

LOGO

 

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Average Annual Total Returns — September 30, 20193

 

      
            Life of  Expense Ratios4 
   1 Year  5 Years  10 Years  Class N  Gross  Net 
   
Class Y (Inception 3/31/94)       
NAV  4.67  1.52  2.11    0.55  0.55
   
Class A (Inception 1/3/89)       
NAV  4.42   1.27   1.85      0.80   0.80 
With 2.25% Maximum Sales Charge  2.03   0.80   1.62       
   
Class C (Inception 12/30/94)       
NAV  3.64   0.51   1.09      1.55   1.55 
With CDSC1  2.64   0.51   1.09       
   
Class N (Inception 2/1/17)       
NAV  4.77         2.23   0.48   0.46 
  
Comparative Performance       

Bloomberg Barclays U.S.1-5 Year

Government Bond Index2

  5.69   1.69   1.68   2.23         

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

 

1

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2

The Bloomberg Barclays U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg Barclays U.S. Government Index, which is composed of the Bloomberg Barclays U.S. Treasury and U.S. Agency Indices. The Bloomberg Barclays U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg Barclays U.S. Government Index is a component of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Aggregate Bond Index.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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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 Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities 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 as an exhibit on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

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

 

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2019 through September 30, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of 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.

 

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LOOMIS SAYLES INTERMEDIATE
DURATION BOND FUND
 BEGINNING
ACCOUNT VALUE
4/1/2019
  ENDING
ACCOUNT VALUE
9/30/2019
  EXPENSES PAID
DURING PERIOD*
4/1/2019 – 9/30/2019
 
Class A    
Actual  $1,000.00   $1,039.80   $3.32 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.81   $3.29 
Class C    
Actual  $1,000.00   $1,037.00   $7.15 
Hypothetical (5% return before expenses)  $1,000.00   $1,018.05   $7.08 
Class N    
Actual  $1,000.00   $1,041.40   $1.79 
Hypothetical (5% return before expenses)  $1,000.00   $1,023.31   $1.78 
Class Y    
Actual  $1,000.00   $1,042.10   $2.05 
Hypothetical (5% return before expenses)  $1,000.00   $1,023.06   $2.03 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND
 BEGINNING
ACCOUNT VALUE
4/1/2019
  ENDING
ACCOUNT VALUE
9/30/2019
  EXPENSES PAID
DURING PERIOD*
4/1/2019 – 9/30/2019
 
Class A    
Actual  $1,000.00   $1,020.90   $4.05 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.06   $4.05 
Class C    
Actual  $1,000.00   $1,017.10   $7.84 
Hypothetical (5% return before expenses)  $1,000.00   $1,017.30   $7.84 
Class N    
Actual  $1,000.00   $1,022.70   $2.33 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.76   $2.33 
Class Y    
Actual  $1,000.00   $1,023.10   $2.79 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.31   $2.79 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55%, 0.46% and 0.55% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

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

 

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Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, 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 for aone-year period at its meeting held in June 2019. 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 Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis 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 reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that through December 31, 2018, each Fund’sone-, three- and five-year performance, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):

 

  

One-Year

  

Three-Year

  

Five-Year

 

Loomis Sayles Intermediate Duration Bond Fund

  17  76  83

Loomis Sayles Limited Term Government and Agency Fund

  29  15  22

 

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In the case of a Fund that had performance that lagged that of a relevant category group median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreement, including: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance had shown improvement relative to its category;(3) the Fund had outperformed its relevant performance benchmark; and (4) that the Fund had recently been assigned to a different category by the independent third-party data provider, which is expected to result in more relevant performance comparisons.

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

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets 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, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had 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 both of the Funds have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for the Funds under their caps. The Trustees noted that the total advisory fee rates for the Funds were below the medians of their respective peer group of funds.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its

 

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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 Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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

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 caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that the Loomis Sayles Limited Term Government and Agency Fund had breakpoints in its advisory fee and that all of the Funds were subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.

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

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

 

· 

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

 

· 

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

 

· 

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the

 

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Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

· 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, should be continued through June 30, 2020.

 

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Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 97.5% of Net Assets 
    ABS Car Loan — 9.0% 
$22,037   ACC Trust,Series 2018-1, Class A, 3.700%, 12/21/2020, 144A  $22,064 
 70,164   AmeriCredit Automobile Receivables Trust,Series 2016-2, Class C, 2.870%, 11/08/2021   70,323 
 160,000   AmeriCredit Automobile Receivables Trust,Series 2016-3, Class C, 2.240%, 4/08/2022   159,940 
 555,000   AmeriCredit Automobile Receivables Trust,Series 2016-4, Class B, 1.830%, 12/08/2021(a)   554,335 
 110,000   AmeriCredit Automobile Receivables Trust,Series 2017-1, Class B, 2.300%, 2/18/2022   109,990 
 510,000   AmeriCredit Automobile Receivables Trust,Series 2018-3, Class B, 3.580%, 10/18/2024   526,963 
 480,000   AmeriCredit Automobile Receivables Trust,Series 2019-2, Class B, 2.540%, 7/18/2024   483,707 
 695,000   AmeriCredit Automobile Receivables Trust,Series 2019-3, Class A3, 2.060%, 4/18/2024   695,536 
 360,000   Avis Budget Rental Car Funding AESOP LLC,Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A(a)   363,898 
 100,000   Avis Budget Rental Car Funding AESOP LLC,Series 2019-1, Class A, 3.450%, 3/20/2023, 144A   102,714 
 640,000   Avis Budget Rental Car Funding AESOP LLC,Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A   665,998 
 261,072   Bank of the West Auto Trust,Series 2017-1, Class A3, 2.110%, 1/15/2023, 144A   260,875 
 450,000   Bank of the West Auto Trust,Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A   453,441 
 461,067   California Republic Auto Receivables Trust,Series 2017-1, Class A4, 2.280%, 6/15/2022(a)   461,121 
 87,552   Capital Auto Receivables Asset Trust,Series 2017-1, Class A3, 2.020%, 8/20/2021, 144A   87,500 
 565,000   Capital One Prime Auto Receivables Trust,Series 2019-2, Class A3, 1.920%, 5/15/2024   565,352 
 624,827   CarMax Auto Owner Trust,Series 2017-2, Class A3, 1.930%, 3/15/2022(a)   624,158 
 660,000   Carvana Auto Receivables Trust,Series 2019-3A, Class A3, 2.340%, 6/15/2023, 144A(b)(c)   660,000 
 10,742   Chrysler Capital Auto Receivables Trust,Series 2016-BA, Class A3, 1.640%, 7/15/2021, 144A   10,740 
 25,558   CIG Auto Receivables Trust,Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A   25,584 
 27,454   CPS Auto Receivables Trust,Series 2017-C, Class B, 2.300%, 7/15/2021, 144A   27,453 
 775,000   CPS Auto Receivables Trust,Series 2018-D, Class B, 3.610%, 11/15/2022, 144A   784,893 
 1,005,000   Drive Auto Receivables Trust,Series 2018-5, Class B, 3.680%, 7/15/2023   1,019,949 
 215,000   Drive Auto Receivables Trust,Series 2019-3, Class B, 2.650%, 2/15/2024   217,034 
 153,564   DT Auto Owner Trust,Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A   153,711 
 170,881   DT Auto Owner Trust,Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A   172,767 
 3,715   DT Auto Owner Trust,Series 2017-1A, Class C, 2.700%, 11/15/2022, 144A   3,716 
 60,000   DT Auto Owner Trust,Series 2018-2A, Class C, 3.670%, 3/15/2024, 144A   60,777 
 285,000   DT Auto Owner Trust,Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A   290,586 
 270,000   DT Auto Owner Trust,Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A   274,000 

 

See accompanying notes to financial statements.

 

17  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    ABS Car Loan — continued 
$184,397   Exeter Automobile Receivables Trust,Series 2017-2A, Class B, 2.820%, 5/16/2022, 144A  $184,701 
 111,732   Exeter Automobile Receivables Trust,Series 2018-1A, Class B, 2.750%, 4/15/2022, 144A   111,809 
 368,667   Exeter Automobile Receivables Trust,Series 2018-2A, Class B, 3.270%, 5/16/2022, 144A   369,620 
 150,000   Exeter Automobile Receivables Trust,Series 2019-2A, Class B, 3.060%, 5/15/2023, 144A   151,561 
 123,173   First Investors Auto Owner Trust,Series 2017-1A, Class A2, 2.200%, 3/15/2022, 144A   123,147 
 269,841   First Investors Auto Owner Trust,Series 2017-2A, Class A2, 2.270%, 7/15/2022, 144A   269,732 
 270,465   First Investors Auto Owner Trust,Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A   271,724 
 183,065   Flagship Credit Auto Trust,Series 2016-2, Class B, 3.840%, 9/15/2022, 144A   183,877 
 4,893   Flagship Credit Auto Trust,Series 2016-3, Class B, 2.430%, 6/15/2021, 144A   4,893 
 64,560   Flagship Credit Auto Trust,Series 2016-4, Class B, 2.410%, 10/15/2021, 144A   64,547 
 800,000   Flagship Credit Auto Trust,Series 2018-4, Class B, 3.880%, 10/16/2023, 144A   824,530 
 230,000   Ford Credit Auto Owner Trust,Series 2014-2, Class A, 2.310%, 4/15/2026, 144A   230,002 
 705,000   Ford Credit Auto Owner Trust,Series 2016-2, Class A, 2.030%, 12/15/2027, 144A(a)   704,581 
 595,000   Ford Credit Auto Owner Trust,Series 2018-1, Class A, 3.190%, 7/15/2031, 144A(a)   619,703 
 635,000   Ford Credit Floorplan Master Owner Trust,Series 2019-1, Class A, 2.840%, 3/15/2024   646,926 
 265,000   GLS Auto Receivables Trust,Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A   269,622 
 631,525   GLS Auto Receivables Trust,Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A   635,377 
 133,460   GM Financial Consumer Automobile Receivables Trust,Series 2017-1A, Class A3, 1.780%, 10/18/2021, 144A   133,235 
 416,056   GM Financial Consumer Automobile Receivables Trust,Series 2017-3A, Class A3, 1.970%, 5/16/2022, 144A(a)   416,009 
 450,000   GM Financial Consumer Automobile Receivables Trust,Series 2019-3, Class A3, 2.180%, 4/16/2024   452,683 
 510,000   NextGear Floorplan Master Owner Trust,Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A(a)   510,451 
 150,000   NextGear Floorplan Master Owner Trust,Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A   150,601 
 125,000   NextGear Floorplan Master Owner Trust,Series 2018-1A, Class A2, 3.220%, 2/15/2023, 144A   126,656 
 310,000   NextGear Floorplan Master Owner Trust,Series 2018-2A, Class A2, 3.690%, 10/15/2023, 144A   319,164 
 1,045,000   Prestige Auto Receivables Trust,Series 2019-1A, Class A3, 2.450%, 5/15/2023, 144A   1,048,406 
 370,000   Santander Drive Auto Receivables Trust,Series 2019-2, Class C, 2.900%, 10/15/2024   375,959 
 460,000   Santander Drive Auto Receivables Trust,Series 2018-5, Class C, 3.810%, 12/16/2024   468,424 

 

See accompanying notes to financial statements.

 

|  18


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    ABS Car Loan — continued 
$655,000   Santander Drive Auto Receivables Trust,Series 2019-3, Class A3, 2.160%, 11/15/2022  $655,112 
 129,353   Westlake Automobile Receivables Trust,Series 2018-1A, Class B, 2.670%, 5/17/2021, 144A   129,418 
 515,000   Westlake Automobile Receivables Trust,Series 2019-1A, Class B, 3.260%, 10/17/2022, 144A   520,073 
 830,000   Westlake Automobile Receivables Trust,Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A   834,281 
 105,227   World Omni Auto Receivables Trust,Series 2017-B, Class A3, 1.950%, 2/15/2023   105,187 
    

 

 

 
     21,821,136 
    

 

 

 
    ABS Credit Card — 1.9% 
 620,000   American Express Credit Account Master Trust,Series 2019-1, Class A, 2.870%, 10/15/2024   635,223 
 925,000   Barclays Dryrock Issuance Trust,Series 2019-1, Class A, 1.960%, 5/15/2025   926,745 
 805,000   Capital One Multi-Asset Execution Trust,Series 2017-A4, Class A4, 1.990%, 7/17/2023(a)   805,186 
 260,000   Citibank Credit Card Issuance Trust,Series 2014-A1, Class A1, 2.880%, 1/23/2023   263,155 
 555,000   World Financial Network Credit Card Master Trust,Series 2016-C, Class A, 1.720%, 8/15/2023(a)   554,888 
 730,000   World Financial Network Credit Card Master Trust,Series 2017-A, Class A, 2.120%, 3/15/2024(a)   729,410 
 585,000   World Financial Network Credit Card Master Trust,Series 2019-C, Class A, 2.210%, 7/15/2026   584,609 
    

 

 

 
     4,499,216 
    

 

 

 
    ABS Home Equity — 0.4% 
 244,830   Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A   250,106 
 55,315   Colony American Finance Ltd.,Series 2015-1, Class A, 2.896%, 10/15/2047, 144A   55,233 
 139,800   CoreVest American Finance Trust,Series 2017-1, Class A, 2.968%, 10/15/2049, 144A   140,484 
 11,866   Countrywide Alternative Loan Trust,Series 2006-J5, Class 4A1, 4.924%, 7/25/2021(b)(c)(d)   11,336 
 5,332   Countrywide Asset-Backed Certificates,Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)(d)   5,273 
 279,300   Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2,1-month LIBOR + 1.850%, 3.868%, 10/25/2027(a)(e)   281,117 
 92,911   Mill City Mortgage Loan Trust,Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(d)   93,053 
 79,350   Towd Point Mortgage Trust,Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(d)   79,441 
 35,025   Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 4.968%, 5/01/2035(d)   36,463 
    

 

 

 
     952,506 
    

 

 

 

 

See accompanying notes to financial statements.

 

19  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    ABS Other — 2.8% 
$195,765   Diamond Resorts Owner Trust,Series 2018-1, Class A, 3.700%, 1/21/2031, 144A  $199,656 
 176,558   John Deere Owner Trust,Series 2017-B, Class A3, 1.820%, 10/15/2021   176,284 
 520,000   Mariner Finance Issuance Trust,Series 2017-BA, Class A, 2.920%, 12/20/2029, 144A   521,249 
 194,829   Merlin Aviation Holdings DAC,Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(d)   198,638 
 113,635   OneMain Financial Issuance Trust,Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A   114,028 
 555,000   OneMain Financial Issuance Trust,Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A(a)   564,780 
 285,618   S-Jets Ltd.,Series 2017-1, Class A, 3.967%, 8/15/2042, 144A   294,198 
 338,894   SCF Equipment Leasing LLC,Series 2018-1A, Class A2, 3.630%, 10/20/2024, 144A(a)   341,636 
 64,021   Sierra Timeshare Conduit Receivables Funding LLC,Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A   64,599 
 730,000   SoFi Consumer Loan Program Trust,Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A   736,198 
 789,382   SoFi Consumer Loan Program Trust,Series 2018-4, Class A, 3.540%, 11/26/2027, 144A   797,440 
 121,458   TAL Advantage V LLC,Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A   121,312 
 48,889   TAL Advantage V LLC,Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A   48,873 
 129,167   TAL Advantage V LLC,Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A   129,476 
 2,180,000   Verizon Owner Trust,Series 2019-B, Class A1A, 2.330%, 12/20/2023   2,197,250 
 345,000   Wheels SPV 2 LLC,Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A   345,700 
    

 

 

 
     6,851,317 
    

 

 

 
    ABS Student Loan — 0.4% 
 89,546   Earnest Student Loan Program LLC,Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A   89,819 
 318,534   Massachusetts Educational Financing Authority,Series 2018-A, Class A, 3.850%, 5/25/2033   326,367 
 123,988   North Carolina State Education Assistance Authority,Series 2011-2, Class A2,3-month LIBOR + 0.800%, 3.076%, 7/25/2025(e)   124,020 
 34,516   SoFi Professional Loan Program LLC,Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A   34,517 
 174,816   SoFi Professional Loan Program LLC,Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A   176,262 
 180,000   SoFi Professional Loan Program LLC,Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A   183,352 
 77,479   South Carolina Student Loan Corp.,Series 2010-1, Class A2,3-month LIBOR + 1.000%, 3.276%, 7/25/2025(e)   77,540 
    

 

 

 
     1,011,877 
    

 

 

 
    ABS Whole Business — 0.2% 
 529,650   Planet Fitness Master Issuer LLC,Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A   554,983 
    

 

 

 
    Aerospace & Defense — 0.2% 
 450,000   Rolls-Royce PLC, 2.375%, 10/14/2020, 144A   450,414 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  20


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Agency Commercial Mortgage-Backed Securities — 0.8% 
$648,018   FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(a)(d)  $661,141 
 509,476   FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a)   530,657 
 701,647   FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024(a)   723,635 
    

 

 

 
     1,915,433 
    

 

 

 
    Airlines — 0.0% 
 34,207   Delta Air Lines Pass Through Trust,Series 2009-1, Class A, 7.750%, 6/17/2021   34,548 
    

 

 

 
    Automotive — 5.0% 
 425,000   American Honda Finance Corp., MTN, 2.000%, 2/14/2020   424,958 
 925,000   American Honda Finance Corp., MTN, 2.150%, 9/10/2024   921,052 
 1,095,000   American Honda Finance Corp., MTN, 2.200%, 6/27/2022   1,099,041 
 245,000   American Honda Finance Corp., MTN, 3.625%, 10/10/2023   259,450 
 290,000   BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A   288,680 
 1,100,000   Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A   1,129,528 
 670,000   Ford Motor Credit Co. LLC, 2.979%, 8/03/2022   664,488 
 200,000   Ford Motor Credit Co. LLC, 3.810%, 1/09/2024   199,286 
 535,000   Ford Motor Credit Co. LLC, 4.542%, 8/01/2026   534,504 
 360,000   General Motors Financial Co., Inc., 4.150%, 6/19/2023   374,155 
 315,000   Harley-Davidson Financial Services, Inc., 3.350%, 2/15/2023, 144A   321,177 
 220,000   Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A   226,904 
 585,000   Hyundai Capital America, 2.750%, 9/18/2020, 144A   586,142 
 1,175,000   Hyundai Capital America, 3.000%, 6/20/2022, 144A   1,183,904 
 175,000   Hyundai Capital America, 3.450%, 3/12/2021, 144A   177,200 
 1,065,000   Nissan Motor Acceptance Corp., 2.150%, 7/13/2020, 144A   1,063,841 
 730,000   Nissan Motor Acceptance Corp., 3.450%, 3/15/2023, 144A   749,472 
 870,000   Toyota Motor Credit Corp., MTN, 2.150%, 9/08/2022   875,233 
 255,000   Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A   256,986 
 615,000   Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A   655,224 
    

 

 

 
     11,991,225 
    

 

 

 
    Banking — 17.3% 
 315,000   American Express Co., 2.200%, 10/30/2020   315,470 
 495,000   American Express Co., 3.700%, 8/03/2023   521,514 
 915,000   ANZ New Zealand International Ltd., 2.200%, 7/17/2020, 144A   916,469 
 395,000   Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A   413,587 
 545,000   Bank of Montreal, MTN, 2.500%, 6/28/2024   550,784 
 950,000   Bank of Nova Scotia (The), 2.150%, 7/14/2020   951,239 
 450,000   Banque Federative du Credit Mutuel S.A., 2.200%, 7/20/2020, 144A   450,551 
 460,000   Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A   466,048 
 485,000   Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A   510,389 
 1,110,000   Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024   1,160,136 
 770,000   Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030   802,874 
 720,000   BB&T Corp., MTN, 2.500%, 8/01/2024   725,777 

 

See accompanying notes to financial statements.

 

21  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Banking — continued 
$1,015,000   BB&T Corp., MTN, 3.050%, 6/20/2022  $1,039,842 
 490,000   BNZ International Funding Ltd., 2.400%, 2/21/2020, 144A   490,558 
 160,000   Capital One Financial Corp., 3.750%, 3/09/2027   167,951 
 545,000   Capital One NA, 2.150%, 9/06/2022   544,466 
 215,000   Citigroup, Inc., 2.900%, 12/08/2021   218,172 
 1,000,000   Citigroup, Inc., (fixed rate to 1/24/2022, variable rate thereafter), 3.142%, 1/24/2023   1,018,220 
 310,000   Citizens Bank NA, 2.250%, 3/02/2020   310,097 
 250,000   Comerica Bank, 2.500%, 6/02/2020   250,659 
 225,000   Comerica, Inc., 3.700%, 7/31/2023   236,239 
 660,000   Cooperatieve Rabobank U.A. (NY), 2.750%, 1/10/2023   671,687 
 925,000   Credit Agricole S.A., 3.750%, 4/24/2023, 144A   966,749 
 940,000   Danske Bank A/S, 3.875%, 9/12/2023, 144A   974,541 
 215,000   Deutsche Bank AG, 3.150%, 1/22/2021   214,851 
 795,000   Discover Bank, 2.450%, 9/12/2024   793,132 
 240,000   Discover Financial Services, 4.500%, 1/30/2026   260,764 
 520,000   Goldman Sachs Group, Inc. (The), (fixed rate to 10/31/2021, variable rate thereafter), 2.876%, 10/31/2022   525,934 
 520,000   HSBC Holdings PLC, (fixed rate to 9/12/2025, variable rate thereafter), 4.292%, 9/12/2026   557,603 
 185,000   HSBC USA, Inc., 2.375%, 11/13/2019   185,041 
 350,000   ING Groep NV, 4.625%, 1/06/2026, 144A   387,534 
 695,000   JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030   690,118 
 535,000   JPMorgan Chase & Co., (fixed rate to 4/1/2022, variable rate thereafter), 3.207%, 4/01/2023   548,037 
 790,000   KeyCorp, MTN, 2.550%, 10/01/2029   772,737 
 665,000   Lloyds Bank PLC, 2.250%, 8/14/2022   663,357 
 495,000   Lloyds Banking Group PLC, 4.050%, 8/16/2023   519,027 
 560,000   Mitsubishi UFJ Financial Group, Inc., 3.195%, 7/18/2029   578,645 
 790,000   Mizuho Financial Group, Inc., (fixed rate to 9/13/2029, variable rate thereafter), 2.869%, 9/13/2030   786,689 
 930,000   National Australia Bank Ltd., 3.700%, 11/04/2021   960,230 
 1,135,000   National Bank of Canada, 2.200%, 11/02/2020   1,137,497 
 620,000   Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A   636,653 
 1,020,000   NatWest Markets PLC, 3.625%, 9/29/2022, 144A   1,047,147 
 1,055,000   Nordea Bank Abp, 2.125%, 5/29/2020, 144A   1,054,895 
 315,000   Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032   323,275 
 820,000   PNC Financial Services Group, Inc. (The), 2.600%, 7/23/2026   830,252 
 1,125,000   Royal Bank of Canada, GMTN, 2.550%, 7/16/2024   1,140,237 
 690,000   Santander Holdings USA, Inc., 3.500%, 6/07/2024   707,877 
 635,000   Santander Holdings USA, Inc., 3.700%, 3/28/2022   652,831 
 235,000   Santander Holdings USA, Inc., 4.450%, 12/03/2021   245,450 
 350,000   Santander UK PLC, 2.125%, 11/03/2020   349,659 
 715,000   Santander UK PLC, 2.500%, 1/05/2021   715,903 

 

See accompanying notes to financial statements.

 

|  22


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Banking — continued 
$580,000   Santander UK PLC, 2.875%, 6/18/2024  $588,648 
 530,000   Standard Chartered PLC, (fixed rate to 5/21/2024, variable rate thereafter), 3.785%, 5/21/2025, 144A   547,117 
 305,000   State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023   309,961 
 545,000   Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024   551,081 
 235,000   Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022   238,401 
 440,000   Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029   450,067 
 515,000   Svenska Handelsbanken AB, 3.900%, 11/20/2023   550,324 
 1,140,000   Synchrony Bank, 3.650%, 5/24/2021   1,161,902 
 150,000   Synchrony Financial, 3.700%, 8/04/2026   153,095 
 75,000   Synchrony Financial, 4.250%, 8/15/2024   79,056 
 1,065,000   Toronto Dominion Bank (The), MTN, 3.250%, 6/11/2021   1,087,382 
 840,000   U.S. Bank NA, 2.000%, 1/24/2020   840,062 
 1,150,000   UBS AG, 2.200%, 6/08/2020, 144A   1,151,081 
 665,000   UniCredit SpA, 3.750%, 4/12/2022, 144A   680,007 
 1,030,000   Wells Fargo Bank NA, 3.625%, 10/22/2021   1,059,831 
 195,000   Westpac Banking Corp., 2.800%, 1/11/2022   198,361 
    

 

 

 
     41,605,770 
    

 

 

 
    Brokerage — 0.2% 
 415,000   Ameriprise Financial, Inc., 3.000%, 3/22/2022   422,695 
    

 

 

 
    Building Materials — 0.3% 
 107,000   Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020   107,385 
 600,000   Martin Marietta Materials, Inc.,3-month LIBOR + 0.650%, 2.800%, 5/22/2020(e)   600,824 
 40,000   Masco Corp., 3.500%, 4/01/2021   40,549 
 4,000   Masco Corp., 7.125%, 3/15/2020   4,079 
    

 

 

 
     752,837 
    

 

 

 
    Cable Satellite — 0.1% 
 320,000   Cox Communications, Inc., 3.150%, 8/15/2024, 144A   327,713 
    

 

 

 
    Chemicals — 0.7% 
 205,000   Alpek SAB de CV, 4.250%, 9/18/2029, 144A   206,743 
 480,000   Cabot Corp., 4.000%, 7/01/2029   502,768 
 255,000   DuPont de Nemours, Inc., 3.766%, 11/15/2020   259,694 
 9,000   Eastman Chemical Co., 4.500%, 1/15/2021   9,185 
 45,000   Methanex Corp., 3.250%, 12/15/2019   45,089 
 740,000   Methanex Corp., 5.250%, 12/15/2029   742,989 
    

 

 

 
     1,766,468 
    

 

 

 
    Collateralized Mortgage Obligations — 3.5% 
 672,484   Government National Mortgage Association,Series 2010-H02, Class FA,1-month LIBOR + 0.680%, 2.820%, 2/20/2060(e)   675,080 
 328,151   Government National Mortgage Association,Series 2010-H03, Class FA,1-month LIBOR + 0.550%, 2.690%, 3/20/2060(e)   328,645 
 173,905   Government National Mortgage Association,Series 2014-H14, Class FA,1-month LIBOR + 0.500%, 2.880%, 7/20/2064(e)   173,990 

 

See accompanying notes to financial statements.

 

23  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Collateralized Mortgage Obligations — continued 
$123,467   Government National Mortgage Association,Series 2014-H15, Class FA,1-month LIBOR + 0.500%, 2.729%, 7/20/2064(e)  $123,529 
 23,619   Government National Mortgage Association,Series 2015-H09, Class HA, 1.750%, 3/20/2065   23,495 
 315,609   Government National Mortgage Association,Series 2015-H10, Class JA, 2.250%, 4/20/2065(a)   311,593 
 511,053   Government National Mortgage Association,Series 2016-H06, Class FC,1-month LIBOR + 0.920%, 3.149%, 2/20/2066(a)(e)   516,423 
 571,230   Government National Mortgage Association,Series 2016-H10, Class FJ,1-month LIBOR + 0.600%, 2.829%, 4/20/2066(a)(e)   571,946 
 2,193,853   Government National Mortgage Association,Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)(d)   2,372,724 
 429,135   Government National Mortgage Association,Series 2019-H01, Class FL,1-month LIBOR + 0.450%, 2.679%, 12/20/2068(e)   428,704 
 1,497,078   Government National Mortgage Association,Series 2019-H01, Class FT,1-month LIBOR + 0.400%, 2.629%, 10/20/2068(a)(e)   1,494,981 
 1,304,620   Government National Mortgage Association,Series 2019-H10, Class FM,1-month LIBOR + 0.400%, 2.629%, 5/20/2069(e)   1,303,830 
    

 

 

 
     8,324,940 
    

 

 

 
    Construction Machinery — 0.6% 
 265,000   Caterpillar Financial Services Corp., 2.650%, 5/17/2021   267,880 
 300,000   Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021   306,206 
 500,000   Caterpillar Financial Services Corp., MTN, 3.650%, 12/07/2023   530,837 
 110,000   John Deere Capital Corp., MTN, 2.600%, 3/07/2024   112,242 
 174,000   John Deere Capital Corp., Series 0014, MTN, 2.450%, 9/11/2020   174,761 
    

 

 

 
     1,391,926 
    

 

 

 
    Consumer Cyclical Services — 0.7% 
 790,000   Expedia Group, Inc., 3.250%, 2/15/2030, 144A   787,747 
 285,000   Experian Finance PLC, 4.250%, 2/01/2029, 144A   320,116 
 495,000   Western Union Co. (The), 4.250%, 6/09/2023   520,323 
    

 

 

 
     1,628,186 
    

 

 

 
    Diversified Manufacturing — 0.8% 
 455,000   Kennametal, Inc., 4.625%, 6/15/2028   483,965 
 265,000   Timken Co. (The), 4.500%, 12/15/2028   284,250 
 860,000   United Technologies Corp., 3.650%, 8/16/2023   910,079 
 175,000   Wabtec Corp.,3-month LIBOR + 1.300%, 3.419%, 9/15/2021(e)   175,005 
 155,000   Wabtec Corp., 4.950%, 9/15/2028   170,916 
    

 

 

 
     2,024,215 
    

 

 

 
    Electric — 5.2% 
 720,000   Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A   772,882 
 225,000   Ameren Corp., 2.500%, 9/15/2024   226,117 
 120,000   Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026   123,009 
 1,035,000   Consolidated Edison, Inc., Series A, 2.000%, 3/15/2020   1,034,434 
 225,000   Dominion Energy, Inc., 3.071%, 8/15/2024   230,480 
 590,000   DTE Energy Co., Series C, 2.529%, 10/01/2024   591,757 

 

See accompanying notes to financial statements.

 

|  24


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Electric — continued 
$1,135,000   Duke Energy Carolinas LLC, 3.050%, 3/15/2023  $1,174,325 
 575,000   Evergy, Inc., 2.900%, 9/15/2029   572,092 
 451,000   Exelon Corp., 2.450%, 4/15/2021   452,010 
 179,000   Exelon Generation Co. LLC, 2.950%, 1/15/2020   179,244 
 116,000   Exelon Generation Co. LLC, 4.250%, 6/15/2022   121,464 
 605,000   Fortis, Inc., 2.100%, 10/04/2021   603,007 
 188,000   National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043   191,491 
 690,000   National Rural Utilities Cooperative Finance Corp., MTN, 1.500%, 11/01/2019   688,129 
 830,000   Nextera Energy Capital Holding, Inc., 2.403%, 9/01/2021   835,121 
 1,115,000   PNM Resources, Inc., 3.250%, 3/09/2021   1,125,529 
 370,000   PSEG Power LLC, 3.850%, 6/01/2023   390,836 
 235,000   Public Service Enterprise Group, Inc., 2.875%, 6/15/2024   241,112 
 273,000   Southern Co. (The), 2.750%, 6/15/2020   273,997 
 720,000   Southern Power Co., Series E, 2.500%, 12/15/2021   721,234 
 815,000   Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A   820,409 
 1,030,000   Wisconsin Public Service Corp., 3.350%, 11/21/2021   1,058,795 
    

 

 

 
     12,427,474 
    

 

 

 
    Finance Companies — 1.3% 
 790,000   Air Lease Corp., 3.250%, 10/01/2029   778,882 
 275,000   Air Lease Corp., 3.875%, 7/03/2023   286,975 
 210,000   Aircastle Ltd., 4.125%, 5/01/2024   218,785 
 1,005,000   Ares Capital Corp., 4.200%, 6/10/2024   1,030,130 
 305,000   Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A   315,403 
 225,000   Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A   236,935 
 375,000   Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A   380,063 
    

 

 

 
     3,247,173 
    

 

 

 
    Financial Other — 0.2% 
 410,000   Mitsubishi UFJ Lease & Finance Co. Ltd., 2.652%, 9/19/2022, 144A   411,275 
 185,000   ORIX Corp., 3.250%, 12/04/2024   191,764 
    

 

 

 
     603,039 
    

 

 

 
    Food & Beverage — 2.8% 
 835,000   Bacardi Ltd., 4.700%, 5/15/2028, 144A   911,961 
 120,000   Brown-Forman Corp., 3.500%, 4/15/2025   127,695 
 525,000   Bunge Ltd. Finance Corp., 4.350%, 3/15/2024   552,998 
 565,000   Coca-Cola Co. (The), 1.750%, 9/06/2024   559,702 
 785,000   Diageo Capital PLC, 2.375%, 10/24/2029   777,904 
 1,095,000   General Mills, Inc., 2.600%, 10/12/2022   1,107,033 
 90,000   Kraft Heinz Foods Co., 3.000%, 6/01/2026   89,045 
 555,000   Kraft Heinz Foods Co., 3.750%, 4/01/2030, 144A   560,182 
 845,000   Molson Coors Brewing Co., 2.250%, 3/15/2020   844,484 
 795,000   Mondelez International Holdings Netherlands BV, 2.250%, 9/19/2024, 144A   791,163 
 140,000   Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A   140,417 
 320,000   Sysco Corp., 3.550%, 3/15/2025   339,023 
    

 

 

 
     6,801,607 
    

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Government Owned – No Guarantee — 0.1% 
$155,000   Petroleos Mexicanos, 6.875%, 8/04/2026  $166,644 
    

 

 

 
    Health Insurance — 0.1% 
 310,000   Humana, Inc., 2.500%, 12/15/2020   310,707 
    

 

 

 
    Healthcare — 0.8% 
 630,000   Cigna Corp., 3.750%, 7/15/2023   659,721 
 95,000   Express Scripts Holding Co., 4.500%, 2/25/2026   103,750 
 65,000   Express Scripts Holding Co., 4.750%, 11/15/2021   68,311 
 190,000   Fresenius Med Care III Co., 3.750%, 6/15/2029, 144A   191,116 
 195,000   HCA, Inc., 4.125%, 6/15/2029   204,494 
 183,000   Life Technologies Corp., 6.000%, 3/01/2020   185,802 
 310,000   MEDNAX, Inc., 6.250%, 1/15/2027, 144A   307,653 
 94,000   Quest Diagnostics, Inc., 4.750%, 1/30/2020   94,712 
    

 

 

 
     1,815,559 
    

 

 

 
    Hybrid ARMs — 0.1% 
 40,677   FHLMC,1-year CMT + 2.255%, 4.586%, 1/01/2035(e)   42,965 
 90,563   FHLMC,1-year CMT + 2.500%, 4.992%, 5/01/2036(e)   96,063 
    

 

 

 
     139,028 
    

 

 

 
    Life Insurance — 2.3% 
 85,000   AIG Global Funding, 2.150%, 7/02/2020, 144A   85,059 
 380,000   Athene Global Funding, 2.750%, 4/20/2020, 144A   381,323 
 330,000   Brighthouse Financial, Inc., Series WI, 3.700%, 6/22/2027   325,879 
 405,000   Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A   404,312 
 155,000   Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A   166,711 
 505,000   Metropolitan Life Global Funding I, 2.400%, 6/17/2022, 144A   509,248 
 1,070,000   New York Life Global Funding, 2.875%, 4/10/2024, 144A   1,103,395 
 915,000   New York Life Global Funding, 2.950%, 1/28/2021, 144A   926,612 
 615,000   Protective Life Corp., 3.400%, 1/15/2030, 144A   625,236 
 720,000   Reliance Standard Life Global Funding, 3.850%, 9/19/2023, 144A   756,564 
 170,000   Unum Group, 4.000%, 6/15/2029   176,706 
 63,000   Unum Group, 5.625%, 9/15/2020   65,005 
    

 

 

 
     5,526,050 
    

 

 

 
    Lodging — 0.2% 
 350,000   Marriott International, Inc., Series Z, 4.150%, 12/01/2023   372,518 
    

 

 

 
    Media Entertainment — 0.3% 
 95,000   Activision Blizzard, Inc., 2.300%, 9/15/2021   95,244 
 425,000   CBS Corp., 2.900%, 6/01/2023   430,875 
 130,000   Interpublic Group of Cos., Inc. (The), 3.500%, 10/01/2020   131,527 
 112,000   S&P Global, Inc., 3.300%, 8/14/2020   113,072 
    

 

 

 
     770,718 
    

 

 

 
    Metals & Mining — 0.3% 
 585,000   ArcelorMittal, 3.600%, 7/16/2024   590,957 
 155,000   Glencore Funding LLC, 4.125%, 3/12/2024, 144A   162,588 
    

 

 

 
     753,545 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Midstream — 0.7% 
$25,000   Energy Transfer Operating LP, 4.250%, 3/15/2023  $26,119 
 440,000   Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A   451,357 
 1,130,000   MPLX LP,3-month LIBOR + 0.900%, 3.002%, 9/09/2021(e)   1,133,751 
 195,000   ONEOK, Inc., 3.400%, 9/01/2029   193,715 
    

 

 

 
     1,804,942 
    

 

 

 
    Mortgage Related — 2.2% 
 2,672   FHLMC, 3.000%, 10/01/2026   2,746 
 237   FHLMC, 6.500%, 1/01/2024   264 
 54   FHLMC, 8.000%, 7/01/2025   58 
 54   FNMA, 6.000%, 9/01/2021   54 
 176,347   GNMA, 4.200%, 2/20/2063(a)(d)   177,907 
 164,811   GNMA, 4.217%, 2/20/2063(d)   166,772 
 44,154   GNMA, 4.224%, 5/20/2062(d)   44,482 
 38,217   GNMA, 4.307%, 5/20/2062(d)   38,811 
 73,356   GNMA, 4.360%, 10/20/2062(d)   74,299 
 106,192   GNMA, 4.395%, 4/20/2063(d)   107,635 
 60,484   GNMA, 4.404%, 6/20/2066(d)   65,708 
 222,178   GNMA, 4.431%, 10/20/2066(d)   244,143 
 104,102   GNMA, 4.436%, 9/20/2066(d)   113,815 
 99,405   GNMA, 4.442%, 11/20/2064(d)   100,815 
 59,657   GNMA, 4.443%, 11/20/2066(d)   64,952 
 68,599   GNMA, 4.465%, 8/20/2066(d)   74,706 
 110,346   GNMA, 4.499%, 11/20/2066(d)   120,920 
 215,877   GNMA, 4.504%, 4/20/2063(a)(d)   218,963 
 123,511   GNMA, 4.524%, 10/20/2066(d)   135,341 
 192,292   GNMA, 4.529%, 9/20/2066(d)   212,262 
 1,037,337   GNMA, 4.530%, 4/20/2067(a)(d)   1,148,890 
 89,322   GNMA, 4.532%, 10/20/2066(d)   98,678 
 92,821   GNMA, 4.545%, 3/20/2063(d)   93,872 
 458,596   GNMA, 4.549%, 7/20/2067(a)(d)   511,488 
 89,240   GNMA, 4.551%, 2/20/2063(d)   90,143 
 874,764   GNMA, 4.590%, 1/20/2067(a)(d)   973,267 
 12,291   GNMA, 4.622%, 7/20/2062(d)   12,493 
 415,378   GNMA, 4.686%, 5/20/2064(a)(d)   447,618 
 674   GNMA, 4.700%, 8/20/2061(d)   732 
 793   GNMA, 6.500%, 12/15/2023   878 
    

 

 

 
     5,342,712 
    

 

 

 
    Natural Gas — 0.5% 
 250,000   Atmos Energy Corp., 2.625%, 9/15/2029   252,826 
 965,000   Sempra Energy, 1.625%, 10/07/2019   964,909 
    

 

 

 
     1,217,735 
    

 

 

 
    Non-Agency Commercial Mortgage-Backed Securities — 5.4% 
 565,000   Barclays Commercial Mortgage Securities Trust,Series 2017-C1, Class A2, 3.189%, 2/15/2050(a)   577,387 
 491,600   CFCRE Commercial Mortgage Trust,Series 2016-C3, Class A3, 3.865%, 1/10/2048(a)   532,613 

 

See accompanying notes to financial statements.

 

27  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Non-Agency Commercial Mortgage-Backed Securities — continued 
$361,996   CFCRE Commercial Mortgage Trust,Series 2016-C4, Class A4, 3.283%, 5/10/2058  $381,352 
 992,138   Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049(a)   1,049,631 
 263,676   Commercial Mortgage Pass Through Certificates,Series 2013-CR8, Class A5, 3.612%, 6/10/2046(d) �� 276,015 
 535,000   Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a)   543,528 
 28,635   Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047   28,627 
 68,558   Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047   68,545 
 189,792   Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047   195,515 
 478,193   Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047(a)   493,071 
 280,000   Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047   297,521 
 280,000   Commercial Mortgage Pass Through Certificates,Series 2015-DC1, Class A5, 3.350%, 2/10/2048   293,931 
 520,299   Commercial Mortgage Pass Through Certificates,Series 2016-DC2, Class A5, 3.765%, 2/10/2049(a)   561,830 
 640,000   Credit Suisse Mortgage Capital Certificates,Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a)   685,232 
 84,913   CSAIL Commercial Mortgage Trust,Series 2015-C4, Class ASB, 3.617%, 11/15/2048   89,026 
 340,000   GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(d)   354,634 
 330,000   GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047   354,437 
 180,000   Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A   188,534 
 355,000   Hudsons Bay Simon JV Trust,Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A   362,582 
 102,657   JPMorgan Chase Commercial Mortgage Securities Trust,Series 2014-C19, Class ASB, 3.584%, 4/15/2047   105,556 
 166,200   JPMorgan Chase Commercial Mortgage Securities Trust,Series 2017-JP5, Class A1, 2.086%, 3/15/2050   165,854 
 1,100,000   JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052   1,182,152 
 240,000   Morgan Stanley Bank of America Merrill Lynch Trust,Series 2013-C10, Class A4, 4.218%, 7/15/2046(d)   255,948 
 181,889   Morgan Stanley Bank of America Merrill Lynch Trust,Series 2014-C14, Class A3, 3.669%, 2/15/2047   184,768 
 129,604   Morgan Stanley Bank of America Merrill Lynch Trust,Series 2015-C22, Class A4, 3.306%, 4/15/2048   136,292 
 195,456   Starwood Retail Property Trust, Inc., Series 2014-STAR, Class A,1-month LIBOR + 1.220%, 3.248%, 11/15/2027, 144A(e)   195,200 

 

See accompanying notes to financial statements.

 

|  28


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Non-Agency Commercial Mortgage-Backed Securities — continued 
$505,000   UBS-Barclays Commercial Mortgage Trust,Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)  $504,682 
 565,000   UBS-Barclays Commercial Mortgage Trust,Series 2013-C6, Class A4, 3.244%, 4/10/2046(a)   582,733 
 201,109   Wells Fargo Commercial Mortgage Trust,Series 2016-C33, Class A4, 3.426%, 3/15/2059   213,652 
 1,295,000   Wells Fargo Commercial Mortgage Trust,Series 2017-RC1, Class A2, 3.118%, 1/15/2060(a)   1,319,365 
 152,101   WFRBS Commercial Mortgage Trust,Series 2014-C19, Class A3, 3.660%, 3/15/2047   154,462 
 325,000   WFRBS Commercial Mortgage Trust,Series 2014-C19, Class A5, 4.101%, 3/15/2047   349,872 
 325,752   WFRBS Commercial Mortgage Trust,Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a)   336,026 
    

 

 

 
     13,020,573 
    

 

 

 
    Oil Field Services — 0.4% 
 980,000   Baker Hughes a GE Co. LLC/Baker HughesCo-Obligor, Inc., 2.773%, 12/15/2022   996,313 
    

 

 

 
    Pharmaceuticals — 0.5% 
 305,000   AbbVie, Inc., 3.600%, 5/14/2025   317,226 
 235,000   Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A   240,365 
 525,000   Pfizer, Inc., 3.200%, 9/15/2023   549,833 
    

 

 

 
     1,107,424 
    

 

 

 
    Property & Casualty Insurance — 0.9% 
 645,000   American Financial Group, Inc., 3.500%, 8/15/2026   662,474 
 180,000   Assurant, Inc., 4.200%, 9/27/2023   188,274 
 145,000   AXIS Specialty Finance LLC, 3.900%, 7/15/2029   151,656��
 275,000   Enstar Group Ltd., 4.950%, 6/01/2029   290,333 
 690,000   PartnerRe Finance B LLC, 3.700%, 7/02/2029   718,978 
 270,000   Willis North America, Inc., 2.950%, 9/15/2029   265,744 
    

 

 

 
     2,277,459 
    

 

 

 
    Railroads — 0.2% 
 206,000   CSX Corp., 3.700%, 10/30/2020   208,522 
 215,000   Union Pacific Corp., 3.646%, 2/15/2024   227,472 
    

 

 

 
     435,994 
    

 

 

 
    REITs – Apartments — 0.1% 
 270,000   UDR, Inc., 3.000%, 8/15/2031   270,275 
    

 

 

 
    REITs – Diversified — 0.2% 
 565,000   EPR Properties, 3.750%, 8/15/2029   564,811 
    

 

 

 
    REITs – Health Care — 0.4% 
 615,000   Omega Healthcare Investors, Inc., 4.500%, 1/15/2025   648,251 
 190,000   Sabra Health Care LP/Sabra Capital Corp., 4.800%, 6/01/2024   200,490 
    

 

 

 
     848,741 
    

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    REITs – Hotels — 0.6% 
$695,000   Host Hotels & Resorts LP, Series H, 3.375%, 12/15/2029  $693,960 
 785,000   Service Properties Trust, 4.950%, 10/01/2029   778,239 
    

 

 

 
     1,472,199 
    

 

 

 
    REITs – Office Property — 0.3% 
 140,000   Alexandria Real Estate Equities, Inc., 2.750%, 12/15/2029   137,973 
 185,000   Kilroy Realty LP, 3.050%, 2/15/2030   181,219 
 290,000   Office Properties Income Trust, 4.250%, 5/15/2024   296,441 
    

 

 

 
     615,633 
    

 

 

 
    REITs – Regional Malls — 0.3% 
 735,000   Simon Property Group LP, 2.000%, 9/13/2024   727,850 
    

 

 

 
    REITs – Shopping Centers — 0.3% 
 565,000   Brixmor Operating Partnership LP, 3.650%, 6/15/2024   587,646 
 120,000   Regency Centers LP, 2.950%, 9/15/2029   119,678 
    

 

 

 
     707,324 
    

 

 

 
    REITs – Single Tenant — 0.2% 
 525,000   Spirit Realty LP, 3.400%, 1/15/2030   521,140 
    

 

 

 
    Restaurants — 0.7% 
 1,280,000   McDonald’s Corp., MTN, 2.625%, 1/15/2022   1,299,475 
 420,000   McDonald’s Corp., MTN, 3.350%, 4/01/2023   438,337 
    

 

 

 
     1,737,812 
    

 

 

 
    Retailers — 0.8% 
 345,000   AutoNation, Inc., 3.500%, 11/15/2024   351,580 
 290,000   AutoNation, Inc., 4.500%, 10/01/2025   308,169 
 415,000   Best Buy Co., Inc., 4.450%, 10/01/2028   450,759 
 55,000   Ralph Lauren Corp., 3.750%, 9/15/2025   59,023 
 850,000   Seven & i Holdings Co. Ltd., 3.350%, 9/17/2021, 144A   867,609 
    

 

 

 
     2,037,140 
    

 

 

 
    Sovereigns — 0.4% 
 930,000   Abu Dhabi Government International Bond, 2.500%, 9/30/2029, 144A   923,471 
    

 

 

 
    Technology — 2.6% 
 560,000   Amphenol Corp., 2.800%, 2/15/2030   544,485 
 915,000   Flex Ltd., 4.875%, 6/15/2029   960,508 
 450,000   Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022   456,819 
 565,000   Global Payments, Inc., 2.650%, 2/15/2025   567,616 
 610,000   Hewlett Packard Enterprise Co., 2.100%, 10/04/2019, 144A   609,992 
 1,145,000   Hewlett Packard Enterprise Co.,3-month LIBOR + 0.680%, 2.807%, 3/12/2021(e)   1,147,246 
 530,000   International Business Machines Corp., 2.850%, 5/13/2022   541,143 
 89,000   Jabil, Inc., 5.625%, 12/15/2020   92,175 
 175,000   Marvell Technology Group Ltd., 4.200%, 6/22/2023   183,423 
 140,000   Microchip Technologies, Inc., 3.922%, 6/01/2021   142,993 
 565,000   Panasonic Corp., 2.536%, 7/19/2022, 144A   568,422 
 205,000   Seagate HDD Cayman, 4.875%, 3/01/2024   215,331 
 130,000   Texas Instruments, Inc., 2.250%, 9/04/2029   127,983 
    

 

 

 
     6,158,136 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Portfolio of Investments – as of September 30, 2019

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Tobacco — 0.3% 
$565,000   BAT Capital Corp., 3.215%, 9/06/2026  $557,879 
 215,000   Imperial Brands Finance PLC, 3.500%, 7/26/2026, 144A   214,994 
    

 

 

 
     772,873 
    

 

 

 
    Transportation Services — 1.0% 
 410,000   FedEx Corp., 3.100%, 8/05/2029   406,392 
 695,000   Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A   735,478 
 135,000   Penske Truck Leasing Co. LP/PTL Finance Corp., 4.450%, 1/29/2026, 144A   145,783 
 320,000   Ryder System, Inc., MTN, 3.750%, 6/09/2023   335,722 
 275,000   Ryder System, Inc., MTN, 3.875%, 12/01/2023   291,675 
 430,000   TTX Co., 2.600%, 6/15/2020, 144A   430,994 
    

 

 

 
     2,346,044 
    

 

 

 
    Treasuries — 19.6% 
 6,585,000   U.S. Treasury Note, 1.125%, 2/28/2021   6,527,124 
 21,825,000   U.S. Treasury Note, 1.250%, 8/31/2024   21,518,939 
 2,395,000   U.S. Treasury Note, 1.500%, 9/15/2022   2,390,509 
 9,330,000   U.S. Treasury Note, 1.750%, 6/30/2024   9,409,086 
 7,015,000   U.S. Treasury Note, 2.375%, 5/15/2029   7,449,601 
    

 

 

 
     47,295,259 
    

 

 

 
    Wireless — 0.1% 
 200,000   SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A   208,655 
    

 

 

 
    Wirelines — 0.2% 
 205,000   British Telecommunications PLC, 4.500%, 12/04/2023   220,471 
 144,000   Verizon Communications, Inc., 3.376%, 2/15/2025   151,901 
    

 

 

 
     372,372 
    

 

 

 
  Total Bonds and Notes
(Identified Cost $231,408,623)
   235,044,354 
    

 

 

 
    
 Short-Term Investments — 3.6% 
 8,791,292   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $8,791,560 on 10/01/2019 collateralized by $8,420,000 U.S. Treasury Note, 2.625% due 1/31/2026 valued at $8,970,474 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,791,292)   8,791,292 
    

 

 

 
    
  Total Investments — 101.1%
(Identified Cost $240,199,915)
   243,835,646 
  Other assets less liabilities — (1.1)%