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Loomis Sayles Funds Ii

Filed: 2 Mar 20, 12:19pm
Table of Contents

 

 

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: December 31

Date of reporting period: December 31, 2019

 

 

 


Table of Contents

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

 

LOGO

 

Annual Report

December 31, 2019

Loomis Sayles High Income Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Multi-Asset Income Fund

 

 

Table of Contents

Portfolio Review  1 
Portfolio of Investments  17 
Financial Statements  57 
Notes to Financial Statements  76 

 

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 at www.icsdelivery.com/natixisfunds.


Table of Contents

LOOMIS SAYLES HIGH INCOME FUND

 

Managers Symbols
Matthew J. Eagan, CFA® Class A    NEFHX
Brian P. Kennedy Class C    NEHCX
Elaine M. Stokes Class N    LSHNX
Todd P. Vandam, CFA® Class Y    NEHYX
Loomis, Sayles & Company, L.P. 

 

 

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

 

 

Market Conditions

The fixed income markets produced robust returns in 2019, reflecting global central banks’ shift to more accommodative policies. A backdrop of moderate economic growth and low inflation provided the US Federal Reserve (the “Fed”) with the latitude to lower interest rates by a quarter point on three occasions in the span from July to October. While the Fed subsequently made it clear that it was unlikely to enact any further cuts in the near future barring a meaningful slowdown in growth, investors remained confident that it would keep rates steady throughout 2020. A number of other world central banks followed the Fed’s move toward easier policy, highlighted by the European Central Bank’s pledge to restart its stimulative quantitative easing program.

US Treasuries performed well in this environment, with falling yields (and rising prices) for bonds of all maturities. The yield on the bellwether 10-year note fell from 2.69% to 1.92% in 2019, while the two-year issue moved from 2.48% to 1.58%. As a result, the yield curve steepened compared to its level of December 31, 2018. The Treasury market reached its peak in late August, at which point yields began to tick higher as investors factored in improving economic data and the apparently low likelihood of further cuts in the coming year.

High-grade corporate bonds performed very well and finished the year as one of the best performing areas of the bond market. In addition to benefiting from the decline in Treasury yields, the asset class was helped by continued spread compression and elevated demand for high quality investments.

Lower-quality corporate debt also rallied in 2019 as the search for yield continued. The category was boosted by broad strength across higher-risk assets, an accommodative Fed and a benign economic outlook for 2020.

Domestic inflation remained tame, mirroring a trend that was in place across the globe. After flirting with the 2% level in late 2018, US core personal consumption expenditure inflation (which excludes food and energy) settled into a range between 1.5% and 1.7% from February onward. Low inflation was one of the key factors providing the Fed and foreign central banks with the ability to loosen policy in order to address slowing growth.

 

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Performance Results

For the 12 months ended December 31, 2019, Class Y shares of the Loomis Sayles High Income Fund returned 12.52% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 14.32%.

Explanation of Fund Performance

Security selection was the primary source of underperformance for the year. Within convertibles, selected energy holdings weighed on returns. Allocations to securitized issues and defensive reserve-like positions were also detractors as they underperformed higher-yielding securities during the period.

The Fund’s longer-than-benchmark positioning with respect to duration (and corresponding interest rate sensitivity) aided relative performance as yields declined over the period. Emerging market credit exposure positively contributed to performance as well, led by basic industry, consumer non-cyclical and government-related names. Finally, security selection within investment grade credit positively impacted performance during the year, most notably holdings of electric, banking and technology issues.

Outlook

We continue to believe we are late in the credit cycle1 rather than at the end of it. Probabilities of a shift to a downturn in the cycle declined over the fourth quarter as the Fed provided additional rate cuts, a phase one deal with China became increasingly likely and odds of a no-deal Brexit declined. We do not see the US economy sliding into recession in 2020. These developments fueled further support for corporate bonds and risk assets, driving valuations up and delivering a strong year for fixed income assets in 2019.

Our macro outlook remains benign and the market backdrop has largely remained supportive. We believe that Fed rate cuts and relatively good news on trade and Brexit will allow the United States to emerge from a third “mini cycle” slow down within this long running late cycle phase without a recession. We expect global manufacturing to continue to improve into 2020 as uncertainty regarding global trade declines. We anticipate that slow, but positive, global growth will continue and that this will help support mid-single digit corporate profit growth and allow for reasonably strong corporate credit metrics in 2020.

We expect the US Fed to remain on hold for most, if not all, of 2020. Inflation remains well contained. Overall yield levels in the United States should remain within current established ranges, although there could be some modest upward pressure on yields should the global macro environment firm more quickly on better-than-expected news on the trade front. From a duration perspective, we remain modestly short relative to the broad market. Nonetheless, global developed market yields will likely remain low and relatively high US yields should be a supportive technical factor for US bonds.

The double-barreled market rally of lower yields and tighter spreads has pushed valuations on corporate bonds higher. High yield and investment grade corporate bond risk premiums declined over the course of 2019. While we believe that the global demand for yield and a continued late cycle environment can support spreads at current levels, we expect returns to be

 

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LOOMIS SAYLES HIGH INCOME FUND

 

based more on carry in 2020. We believe corporate credit quality will continue to marginally decline but not enough to cause a dramatic move wider in spreads or a large uptick in corporate defaults. That said, we retain a cautious and “up in quality” bias. By historic standards we have less exposure to high yield bonds than usual, while retaining relatively high liquidity which can be deployed should opportunities develop within the sector.

We continue to strive for positive issue selection through our credit research efforts. Our portfolios are dominated by credits we believe are attractively priced relative to the credit quality we assign them. Communications and cable and media issues account for the bulk of this exposure, along with select areas within consumer cyclical. We believe that opportunities for positive carry in emerging market corporate bonds could expand should global growth strengthen. While we have pulled back some of our energy exposure, we believe sentiment regarding the sector has become too negative relative to the actual fundamentals. Accordingly, we believe there is upside potential for some of our best picks in this sector.

We also remain comfortable with the securitized sector, which largely lagged the bigger moves in other fixed income sectors in 2019. We still like the defensive nature of the sector based on good carry for higher quality.

Overall, we believe that the large rally seen in 2019 presents a challenge to fixed income return potential in 2020. However, some of those same market drivers could provide support as we enter a new year. These include global demand for yield, reduced uncertainty on global trade and Brexit, and positive global growth. The late cycle environment is likely to continue. We remain focused on maintaining favorable carry/yield, seeking to identify attractively priced bonds and retaining the liquidity and flexibility to adapt should the benign market conditions deteriorate.

 

1 

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

 

 

Hypothetical Growth of $100,000 Investment in Class Y Shares3

December 31, 2009 through December 31, 2019

 

LOGO

 

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Average Annual Total Returns — December 31, 20193

 

                   Expense Ratios4 
   1 Year  5 Years  10 Years  Life of
Class N
  Gross  

Net

 
   
Class Y (Inception 2/29/08)       
NAV  12.52  4.84  6.56    1.02  0.75
   
Class A (Inception 2/22/84)       
NAV  11.94   4.51   6.25      1.27   1.00 
With 4.25% Maximum Sales Charge  7.11   3.61   5.79       
   
Class C (Inception 3/2/98)       
NAV  11.32   3.76   5.46      2.02   1.75 
With CDSC1  10.32   3.76   5.46       
   
Class N (Inception 11/30/16)       
NAV  12.28         5.86   0.89   0.70 
  
Comparative Performance       
Bloomberg Barclays U.S.Corporate High-Yield Bond Index2  14.32   6.13   7.57   6.80         

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit 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. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices.

 

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 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

Managers    Symbols  
Matthew J. Eagan, CFA®    Class A  LIGRX
Brian P. Kennedy    Class C  LGBCX
Elaine M. Stokes    Class N  LGBNX
Loomis, Sayles & Company, L.P.    Class Y  LSIIX
    Admin Class  LIGAX

 

 

Investment Goal

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

 

 

Market Conditions

The fixed income markets produced robust returns in 2019, reflecting global central banks’ shift to more accommodative policies. A backdrop of moderate economic growth and low inflation provided the US Federal Reserve (the “Fed”) with the latitude to lower interest rates by a quarter point on three occasions in the span from July to October. While the Fed subsequently made it clear that it was unlikely to enact any further cuts in the near future barring a meaningful slowdown in growth, investors remained confident that it would keep rates steady throughout 2020. A number of other world central banks followed the Fed’s move toward easier policy, highlighted by the European Central Bank’s pledge to restart its stimulative quantitative easing program.

US Treasuries performed well in this environment, with falling yields (and rising prices) for bonds of all maturities. The yield on the bellwether 10-year note fell from 2.69% to 1.92% in 2019, while the two-year issue moved from 2.48% to 1.58%. As a result, the yield curve steepened compared to its level of December 31, 2018. The Treasury market reached its peak in late August, at which point yields began to tick higher as investors factored in improving economic data and the apparently low likelihood of further cuts in the coming year.

High-grade corporate bonds performed very well and finished the year as one of the best performing areas of the bond market. In addition to benefiting from the decline in Treasury yields, the asset class was helped by continued spread compression and elevated demand for high quality investments.

Lower-quality corporate debt also rallied in 2019 as the search for yield continued. The category was boosted by broad strength across higher-risk assets, an accommodative Fed and a benign economic outlook for 2020.

Domestic inflation remained tame, mirroring a trend that was in place across the globe. After flirting with the 2% level in late 2018, US core personal consumption expenditure inflation (which excludes food and energy) settled into a range between 1.5% and 1.7% from February onward. Low inflation was one of the key factors providing the Fed and foreign central banks with the ability to loosen policy in order to address slowing growth.

 

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Performance Results

For the 12 months ended December 31, 2019, Class Y shares of the Loomis Sayles Investment Grade Bond Fund returned 9.04% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 9.71%.

Explanation of Fund Performance

The Fund’s overall shorter-than-benchmark positioning with respect to duration weighed on return as interest rates declined over the period. Exposure to securitized issues had the largest negative impact on relative performance as the sector lagged both corporate credit and Treasuries. Additionally, holdings of defensive reserve-like positions detracted as these underperformed higher-yielding issues during the period.

A significant underweight to US Treasuries bolstered relative performance. An allocation to high yield corporate credit positively impacted performance during the year, aided by consumer non-cyclical, energy and banking names. Emerging market credit exposure also generated positive relative return, with metals & mining and government-related issues as top performers.

Outlook

We continue to believe we are late in the credit cycle1 rather than at the end of it. Probabilities of a shift to a downturn in the cycle declined over the fourth quarter as the Fed provided additional rate cuts, a phase one deal with China became increasingly likely and odds of a no-deal Brexit declined. We do not see the US economy sliding into recession in 2020. These developments fueled further support for corporate bonds and risk assets, driving valuations up and delivering a strong year for fixed income assets in 2019.

Our macro outlook remains benign and the market backdrop has largely remained supportive. We believe that Fed rate cuts and relatively good news on trade and Brexit will allow the US to emerge from a third “mini cycle” slow down within this long running late cycle phase without a recession. We expect global manufacturing to continue to improve into 2020 as uncertainty regarding global trade declines. We anticipate that slow, but positive, global growth will continue and that this will help support mid-single digit corporate profit growth and allow for reasonably strong corporate credit metrics in 2020.

We expect the Fed to remain on hold for most, if not all, of 2020. Inflation remains well contained. Overall yield levels in the United States should remain within current established ranges, although there could be some modest upward pressure on yields should the global macro environment firm more quickly on better-than-expected news on the trade front. From a duration perspective, we remain modestly short relative to the broad market. Nonetheless, global developed market yields will likely remain low and relatively high US yields should be a supportive technical factor for US bonds.

The double-barreled market rally of lower yields and tighter spreads has pushed valuations on corporate bonds higher. High yield and investment grade corporate bond risk premiums declined over the course of 2019. While we believe that the global demand for yield and a continued late cycle environment can support spreads at current levels, we expect returns to be

 

|  6


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LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

based more on carry in 2020. We believe corporate credit quality will continue to marginally decline but not enough to cause a dramatic move wider in spreads or a large uptick in corporate defaults. That said, we retain a cautious and “up in quality” bias. By historic standards we have less exposure to high yield bonds than usual, while retaining relatively high liquidity which can be deployed should opportunities develop within the sector.

We continue to strive for positive issue selection through our credit research efforts. Our portfolios are dominated by credits we believe are attractively priced relative to the credit quality we assign them. Communications and cable and media issues account for the bulk of this exposure, along with select areas within consumer cyclical. We believe that opportunities for positive carry in emerging market corporate bonds could expand should global growth strengthen. While we have pulled back some of our energy exposure, we believe sentiment regarding the sector has become too negative relative to the actual fundamentals. Accordingly, we believe there is upside potential for some of our best picks in this sector.

We also remain comfortable with the securitized sector, which largely lagged the bigger moves in other fixed income sectors in 2019. We still like the defensive nature of the sector based on good carry for higher quality.

Overall, we believe that the large rally seen in 2019 presents a challenge to fixed income return potential in 2020. However, some of those same market drivers could provide support as we enter a new year. These include global demand for yield, reduced uncertainty on global trade and Brexit, and positive global growth. The late cycle environment is likely to continue. We remain focused on maintaining favorable carry/yield, seeking to identify attractively priced bonds and retaining the liquidity and flexibility to adapt should the benign market conditions deteriorate.

 

1 

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

 

 

Hypothetical Growth of $100,000 Investment in Class Y Shares4

December 31, 2009 through December 31, 2019

 

LOGO

 

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Average Annual Total Returns — December 31, 20194

 

                   Expense Ratios5 
   1 Year  5 Years  10 Years  Life of
Class N
  Gross  Net 
   
Class Y (Inception 12/31/96)       
NAV  9.04  3.16  5.06    0.57  0.51
   
Class A (Inception 12/31/96)       
NAV  8.78   2.90   4.79      0.82   0.76 
With 4.25% Maximum Sales Charge  4.14   2.01   4.33       
   
Class C (Inception 9/12/03)       
NAV  7.94   2.12   4.01      1.57   1.51 
With CDSC2  6.94   2.12   4.01       
   
Class N (Inception 2/1/13)       
NAV  9.11   3.25      3.20   0.48   0.46 
   
Admin Class (Inception 2/1/10)1       
NAV  8.43   2.67   4.54      1.07   1.01 
  
Comparative Performance       
Bloomberg Barclays U.S. Government/Credit Bond Index3  9.71   3.23   3.96   2.97         

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

Prior to the inception of Admin Class shares (2/1/10), performance is that of Class A shares, restated to reflect the higher net expenses of Admin Class shares.

 

2

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

 

3

The Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg Barclays U.S. Aggregate Index.

 

4

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

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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LOOMIS SAYLES MULTI-ASSET INCOME FUND

 

Managers    Symbols  
Thomas Fahey    Class A  IIDPX
Kevin Kearns    Class C  CIDPX
Maura Murphy, CFA®    Class N  LMINX
Loomis, Sayles & Company, L.P.    Class Y  YIDPX

 

 

 

Investment Goal

The Fund seeks current income with a secondary objective of capital appreciation.

 

 

Market Conditions

Subdued inflation has allowed central banks to maintain largely accommodative policies, which have supported risk assets. The US Federal Reserve’s (the “Fed”) indication that it will pause has given way to the expectation of yields to be tightly range bound.

Despite persistently soft data, some signs have been seen to indicate that the manufacturing slowdown may be bottoming out. Easy monetary policy has largely been used to counteract anemic global growth encumbered by the manufacturing slowdown.

Risk assets have been supported by the macro risk landscape softening in several regards since the end of the previous year. Central banks have shown a willingness to continue economic stimulus through monetary policy. The likelihood of a no deal Brexit appears to have diminished with negotiations spanning multiple Brexit deadlines. Trade negotiations between China and the US seem to have taken on a less tenuous tone; suggesting a lower probability of escalation and higher probability of a “phase one” agreement being reached.

Performance Results

For the 12 months ended December 31, 2019, Class Y shares of the Loomis Sayles Multi-Asset Income Fund returned 15.80% at net asset value. The Fund outperformed its primary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 8.72%.

Explanation of Fund Performance

Our allocation to US dividend-paying equities provided the largest positive contribution to performance for the year. During the period, markets remained focused on the direction of the US/China trade negotiations, the state of the Chinese economy and central bank policy in response to anemic growth and soft manufacturing data. Equity markets were assisted by a Fed that remained largely supportive throughout the year.

Our allocation to preferred stock benefited from a strong equity market and accommodative central bank policy throughout the period. In addition, the Fund’s focus on financial issues within preferreds added to the performance.

Exposure to emerging market fixed income assets aided performance despite a strong dollar. The perceived softening of Chinese trade-related macro risks buoyed the asset class. There remains a concern that a protracted trade conflict between the United States and

 

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China could exacerbate the global growth slowdown and increase pressure on export-driven economies. The focus within emerging markets remains on China regarding both its trade relations with the US and its pace of growth. Within the portfolio, the most significant contributions came from our Brazilian, Qatari and South African exposures.

An allocation to bank loan assets was the largest detractor during the year. The accommodative tack taken by the Fed throughout the year created headwinds for floating rate instruments. Within the portfolio, energy issues had the largest negative impact on performance.

Outlook

While near-term downside risks remain present, we expect to exit the manufacturing slowdown without an economy-wide recession. This view hinges on the idea that the Fed will remain supportive and continue accommodative monetary policy. We project the Fed to remain on hold for the next twelve months. Chair Powell has indicated that a rate cut is unlikely in the near term, barring any significant, unexpected increase in inflation acceleration.

We maintain our cautious outlook on risk sentiment. While the Fed appears likely to continue to maintain an accommodative monetary policy, China’s economic recovery is faltering and risk related to the United States/China trade war remains despite an increased likelihood of a phase one agreement. Markets will remain focused on Chinese stimulus as a potential catalyst for global growth. So far, however, Chinese policy makers have been reluctant to utilize all options available, instead favoring an incremental approach that emphasizes leverage stabilization.

Despite some volatility, the US dollar has essentially traded within a range. We expect a continuation of this theme, which should be supportive for risk assets in general. While there was some dollar weakening during October, we haven’t seen much of a breakout in either direction since. The perception of softening risks related to United States/China trade has caused the dollar’s recent bid as a safe-haven to largely evaporate. Volatility shocks and weakening risk appetite are factors that could prove constructive for the dollar.

The fund closed as of February 3, 2020, and as it closed, primary consideration was given to clients and their interests. There was no unusual market action that affected our trading of the portfolio during liquidation. All fund assets were subsequently redeemed or distributed to fund shareholders.

 

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LOOMIS SAYLES MULTI-ASSET INCOME FUND

 

Hypothetical Growth of $100,000 Investment in Class Y Shares1,5,6

December 31, 2009 through December 31, 2019

 

LOGO

Top Ten Holdings as of December 31, 2019

 

    Security Name  % of
Assets
 
1  Alerian MLP ETF   5.06
2  Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020   2.41 
3  Standard Chartered PLC, (fixed rate to 4/02/2023, variable rate thereafter), 7.750%   2.30 
4  Apple, Inc.   1.98 
5  HSBC Holdings PLC, (fixed rate to 3/23/2023, variable rate thereafter), 6.250%   1.92 
6  Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2025, variable rate thereafter), 8.000%   1.87 
7  Banco BTG Pactual SA, (fixed rate to 2/15/2024, variable rate thereafter), 7.750%, 2/15/2029   1.86 
8  Credit Agricole S.A., (fixed rate to 1/23/2024, variable rate thereafter), 7.875%   1.85 
9  Microsoft Corp.   1.76 
10  Banco Bilbao Vizcaya Argentaria S.A., (fixed rate to 11/16/2027, variable rate thereafter), 6.125%   1.43 

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 — December 31, 20195,6

 

      
            

Life of

  

Expense Ratios7

 
   1 Year  5 Years  10 Years  Class N  Gross  Net 
   
Class Y (Inception 12/3/12)1        
NAV  15.80  5.18  8.13    0.89  0.75
   
Class A (Inception 11/17/05)        
NAV  15.39   4.92   7.98      1.14   1.00 
With 4.25% Maximum Sales Charge  10.51   4.00   7.52       
   
Class C (Inception 11/17/05)        
NAV  14.59   4.14   7.18      1.89   1.75 
With CDSC2  13.59   4.14   7.18       
   
Class N (Inception 8/31/15)        
NAV  15.86         6.98   1.38   0.70 
  
Comparative Performance       
Bloomberg Barclays U.S. Aggregate Bond Index3  8.72   3.05   3.75   3.40    
S&P 500® Index4  31.49   11.70   13.56   14.32         

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit 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

Prior to the inception of Class Y shares (12/3/2012), performance is that of Class A shares and reflects the higher net expenses of that share class.

 

2

Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

3

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

4

S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors.

 

5

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

 

6

Prior to the stock market close August 31, 2015, the Fund had multiple subadvisers. The performance results shown above for the periods prior to the stock market close August 31, 2015 reflect results achieved by those subadvisers using different investment strategies.

 

7

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 4/30/20. 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.

 

|  12


Table of Contents

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’s”) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms 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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Table of Contents

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’ prospectuses. 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 July 1, 2019 through December 31, 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.

 

|  14


Table of Contents
LOOMIS SAYLES HIGH INCOME FUND BEGINNING
ACCOUNT VALUE
7/1/2019
  ENDING
ACCOUNT VALUE
12/31/2019
  EXPENSES PAID
DURING PERIOD*
7/1/2019 – 12/31/2019
 
Class A    
Actual  $1,000.00   $1,022.20   $5.10 
Hypothetical (5% return before expenses)  $1,000.00   $1,020.16   $5.09 
Class C    
Actual  $1,000.00   $1,020.50   $8.91 
Hypothetical (5% return before expenses)  $1,000.00   $1,016.38   $8.89 
Class N    
Actual  $1,000.00   $1,023.80   $3.57 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.68   $3.57 
Class Y    
Actual  $1,000.00   $1,026.00   $3.83 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.43   $3.82 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% 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 (184), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES INVESTMENT GRADE
BOND FUND
 BEGINNING
ACCOUNT VALUE
7/1/2019
  ENDING
ACCOUNT VALUE
12/31/2019
  EXPENSES PAID
DURING PERIOD*
7/1/2019 – 12/31/2019
 
Class A    
Actual  $1,000.00   $1,024.40   $3.88 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.37   $3.87 
Class C    
Actual  $1,000.00   $1,020.60   $7.69 
Hypothetical (5% return before expenses)  $1,000.00   $1,017.59   $7.68 
Class N    
Actual  $1,000.00   $1,026.00   $2.35 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.89   $2.35 
Class Y    
Actual  $1,000.00   $1,025.70   $2.60 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.64   $2.60 
Admin Class    
Actual  $1,000.00   $1,023.20   $5.15 
Hypothetical (5% return before expenses)  $1,000.00   $1,020.11   $5.14 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.76%, 1.51%, 0.46%, 0.51% and 1.01% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

 

15  |


Table of Contents
LOOMIS SAYLES MULTI-ASSET INCOME
FUND
 BEGINNING
ACCOUNT VALUE
7/1/2019
  ENDING
ACCOUNT VALUE
12/31/2019
  EXPENSES PAID
DURING PERIOD*
7/1/2019 – 12/31/2019
 
Class A    
Actual  $1,000.00   $1,055.70   $4.92 
Hypothetical (5% return before expenses)  $1,000.00   $1,020.42   $4.84 
Class C    
Actual  $1,000.00   $1,052.60   $8.80 
Hypothetical (5% return before expenses)  $1,000.00   $1,016.64   $8.64 
Class N    
Actual  $1,000.00   $1,057.70   $3.37 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.93   $3.31 
Class Y    
Actual  $1,000.00   $1,057.50   $3.63 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.68   $3.57 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.65% and 0.70% 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 (184), divided by 365 (to reflect the half-year period).

 

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Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 93.6% of Net Assets 
 Non-Convertible Bonds — 87.8% 
    ABS Home Equity — 0.2% 
$70,254   Banc of America Alternative Loan Trust, Series2003-8, Class 1CB1, 5.500%, 10/25/2033  $73,692 
 53,688   Banc of America Funding Trust, Series2007-4, Class 5A1, 5.500%, 11/25/2034   53,667 
 159,769   DSLA Mortgage Loan Trust, Series2005-AR5, Class 2A1A,1-month LIBOR + 0.330%, 2.094%, 9/19/2045(a)   130,510 
    

 

 

 
     257,869 
    

 

 

 
    Aerospace & Defense — 2.4% 
 740,000   Bombardier, Inc., 6.000%, 10/15/2022, 144A   739,778 
 638,000   Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A   700,218 
 383,000   Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A   475,839 
 60,000   Moog, Inc., 4.250%, 12/15/2027, 144A   61,056 
 365,000   Signature Aviation U.S. Holdings, Inc., 4.000%, 3/01/2028, 144A   359,999 
 1,155,000   TransDigm, Inc., 6.250%, 3/15/2026, 144A   1,250,415 
    

 

 

 
     3,587,305 
    

 

 

 
    Airlines — 0.5% 
 535,000   Latam Finance Ltd., 6.875%, 4/11/2024, 144A   565,233 
 200,000   Latam Finance Ltd., 7.000%, 3/01/2026, 144A   216,502 
    

 

 

 
     781,735 
    

 

 

 
    Automotive — 1.2% 
 195,000   Allison Transmission, Inc., 5.000%, 10/01/2024, 144A   199,631 
 510,000   Allison Transmission, Inc., 5.875%, 6/01/2029, 144A   558,450 
 285,000   Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A   297,825 
 255,000   Delphi Technologies PLC, 5.000%, 10/01/2025, 144A   235,875 
 115,000   Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026   119,600 
 420,000   Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A   383,250 
    

 

 

 
     1,794,631 
    

 

 

 
    Banking — 3.0% 
 700,000   Ally Financial, Inc., 3.875%, 5/21/2024   733,250 
 1,730,000   Ally Financial, Inc., 4.625%, 3/30/2025   1,872,725 
 485,000   Ally Financial, Inc., 5.750%, 11/20/2025   542,594 
 120,000   CIT Group, Inc., 4.125%, 3/09/2021   122,263 
 425,000   Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032   400,563 
 470,000   Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A   493,864 
 265,000   Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A   286,848 
    

 

 

 
     4,452,107 
    

 

 

 
    Building Materials — 2.2% 
 280,000   American Builders & Contractors Supply Co., Inc., 4.000%, 1/15/2028, 144A   284,200 
 230,000   Cemex SAB de CV, 5.700%, 1/11/2025, 144A   236,327 
 350,000   Cemex SAB de CV, 7.750%, 4/16/2026, 144A   380,625 
 420,000   James Hardie International Finance Ltd., 4.750%, 1/15/2025, 144A   435,750 

 

See accompanying notes to financial statements.

 

17  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Building Materials — continued 
$445,000   James Hardie International Finance Ltd., 5.000%, 1/15/2028, 144A  $467,250 
 360,000   JELD-WEN, Inc., 4.625%, 12/15/2025, 144A   370,620 
 160,000   JELD-WEN, Inc., 4.875%, 12/15/2027, 144A   163,600 
 110,000   Summit Materials LLC/Summit Materials Finance Corp., 6.125%, 7/15/2023   111,788 
 685,000   U.S. Concrete, Inc., 6.375%, 6/01/2024   714,969 
    

 

 

 
     3,165,129 
    

 

 

 
    Cable Satellite — 9.2% 
 2,700,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A   2,748,681 
 450,000   CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A   464,625 
 405,000   CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A   433,350 
 865,000   CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A   912,592 
 1,360,000   CSC Holdings LLC, 5.500%, 4/15/2027, 144A   1,460,436 
 390,000   CSC Holdings LLC, 6.500%, 2/01/2029, 144A   434,850 
 415,000   DISH DBS Corp., 7.750%, 7/01/2026   439,647 
 70,000   Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023   60,133 
 195,000   Intelsat Jackson Holdings S.A., 8.500%, 10/15/2024, 144A   177,612 
 430,000   Intelsat Jackson Holdings S.A., 9.750%, 7/15/2025, 144A   397,750 
 355,000   Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A   374,525 
 1,400,000   Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A   1,498,518 
 265,000   Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A   272,950 
 1,070,000   Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A   1,132,862 
 2,570,000   Ziggo BV, 5.500%, 1/15/2027, 144A   2,730,625 
    

 

 

 
     13,539,156 
    

 

 

 
    Chemicals — 1.3% 
 1,510,000   Hercules LLC, 6.500%, 6/30/2029   1,593,050 
 245,000   SASOL Financing USA LLC, 5.875%, 3/27/2024   265,301 
    

 

 

 
     1,858,351 
    

 

 

 
    Construction Machinery — 0.8% 
 615,000   United Rentals North America, Inc., 4.625%, 10/15/2025   632,282 
 15,000   United Rentals North America, Inc., 5.500%, 5/15/2027   16,069 
 235,000   United Rentals North America, Inc., 5.875%, 9/15/2026   252,096 
 195,000   United Rentals North America, Inc., 6.500%, 12/15/2026   214,317 
    

 

 

 
     1,114,764 
    

 

 

 
    Consumer Cyclical Services — 1.2% 
 350,000   ServiceMaster Co. LLC (The), 7.450%, 8/15/2027   395,500 
 180,000   Staples, Inc., 7.500%, 4/15/2026, 144A   186,750 
 680,000   Uber Technologies, Inc., 7.500%, 11/01/2023, 144A   710,600 
 345,000   Uber Technologies, Inc., 7.500%, 9/15/2027, 144A   353,949 
 150,000   Uber Technologies, Inc., 8.000%, 11/01/2026, 144A   156,375 
    

 

 

 
     1,803,174 
    

 

 

 
    Consumer Products — 0.2% 
 115,000   Mattel, Inc., 5.875%, 12/15/2027, 144A   121,181 
 175,000   Prestige Brands, Inc., 5.125%, 1/15/2028, 144A   183,313 
    

 

 

 
     304,494 
    

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Electric — 3.2% 
$125,000   AES Corp. (The), 5.125%, 9/01/2027  $133,438 
 479,000   AES Corp. (The), 5.500%, 4/15/2025   495,262 
 150,000   AES Corp. (The), 6.000%, 5/15/2026   159,750 
 1,105,000   Calpine Corp., 5.125%, 3/15/2028, 144A   1,127,874 
 1,502,000   Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A   1,762,972 
 1,055,000   Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A   1,048,319 
    

 

 

 
     4,727,615 
    

 

 

 
    Finance Companies — 3.2% 
 820,000   Navient Corp., 6.500%, 6/15/2022   888,675 
 315,000   Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A   308,700 
 1,305,000   Quicken Loans, Inc., 5.250%, 1/15/2028, 144A   1,350,675 
 710,000   Quicken Loans, Inc., 5.750%, 5/01/2025, 144A   733,962 
 185,000   Springleaf Finance Corp., 6.875%, 3/15/2025   210,438 
 700,000   Springleaf Finance Corp., 7.125%, 3/15/2026   809,340 
 405,000   Unifin Financiera SAB de CV, 7.250%, 9/27/2023, 144A   421,795 
    

 

 

 
     4,723,585 
    

 

 

 
    Financial Other — 1.5% 
 745,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024, 144A   765,487 
 635,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027, 144A   649,370 
 465,000   Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023, 144A   492,212 
 330,000   Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A   365,475 
    

 

 

 
     2,272,544 
    

 

 

 
    Food & Beverage — 2.2% 
 245,000   BRF S.A., 4.875%, 1/24/2030, 144A   252,659 
 330,000   JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A   341,550 
 285,000   JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A   306,118 
 385,000   Marfrig Holdings Europe BV, Class B, 8.000%, 6/08/2023, 144A   401,081 
 250,000   NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A   270,753 
 225,000   Performance Food Group, Inc., 5.500%, 10/15/2027, 144A   240,469 
 280,000   Pilgrim’s Pride Corp., 5.750%, 3/15/2025, 144A   289,416 
 540,000   Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A   583,875 
 550,000   Post Holdings, Inc., 5.750%, 3/01/2027, 144A   589,875 
    

 

 

 
     3,275,796 
    

 

 

 
    Gaming — 1.8% 
 375,000   Boyd Gaming Corp., 4.750%, 12/01/2027, 144A   389,531 
 175,000   Boyd Gaming Corp., 6.375%, 4/01/2026   188,289 
 200,000   Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A   205,187 
 210,000   MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., 4.500%, 1/15/2028   218,925 
 345,000   MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., 5.750%, 2/01/2027, 144A   384,675 
 380,000   MGM Resorts International, 7.750%, 3/15/2022   425,125 
 155,000   Scientific Games International, Inc., 7.000%, 5/15/2028, 144A   166,238 

 

See accompanying notes to financial statements.

 

19  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Gaming — continued 
$160,000   Scientific Games International, Inc., 7.250%, 11/15/2029, 144A  $173,600 
 250,000   Wynn Macau Ltd., 5.125%, 12/15/2029, 144A   255,127 
 215,000   Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A   230,588 
    

 

 

 
     2,637,285 
    

 

 

 
    Government Owned – No Guarantee — 1.0% 
 550,000   Petrobras Global Finance BV, 5.750%, 2/01/2029   620,400 
 225,000   Petrobras Global Finance BV, 6.900%, 3/19/2049   263,925 
 710,000   YPF S.A., 6.950%, 7/21/2027, 144A   631,900 
    

 

 

 
     1,516,225 
    

 

 

 
    Health Insurance — 0.8% 
 630,000   Centene Corp., 4.250%, 12/15/2027, 144A   648,112 
 290,000   Centene Corp., 4.625%, 12/15/2029, 144A   304,892 
 210,000   Centene Corp., 4.750%, 1/15/2025, 144A   218,133 
    

 

 

 
     1,171,137 
    

 

 

 
    Healthcare — 6.0% 
 590,000   CHS/Community Health Systems, Inc., 6.250%, 3/31/2023   598,850 
 160,000   CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A   164,800 
 350,000   Encompass Health Corp., 4.500%, 2/01/2028   362,688 
 365,000   Encompass Health Corp., 4.750%, 2/01/2030   378,688 
 170,000   HCA, Inc., 7.050%, 12/01/2027   201,450 
 655,000   HCA, Inc., 7.500%, 12/15/2023   741,787 
 145,000   HCA, Inc., 7.500%, 11/06/2033   182,700 
 590,000   HCA, Inc., 7.690%, 6/15/2025   710,950 
 480,000   HCA, Inc., 8.360%, 4/15/2024   583,200 
 820,000   HCA, Inc., MTN, 7.580%, 9/15/2025   979,900 
 515,000   HCA, Inc., MTN, 7.750%, 7/15/2036   612,850 
 95,000   Hill Rom Holdings, Inc., 4.375%, 9/15/2027, 144A   97,731 
 275,000   Hologic, Inc., 4.375%, 10/15/2025, 144A   283,938 
 140,000   Hologic, Inc., 4.625%, 2/01/2028, 144A   148,400 
 200,000   IQVIA, Inc., 5.000%, 10/15/2026, 144A   211,000 
 715,000   MPH Acquisition Holdings LLC, 7.125%, 6/01/2024, 144A   691,762 
 850,000   Polaris Intermediate Corp., 9.250% PIK or 8.500% Cash, 12/01/2022, 144A(b)   791,562 
 725,000   Tenet Healthcare Corp., 4.625%, 7/15/2024   742,219 
 390,000   Tenet Healthcare Corp., 5.125%, 5/01/2025   401,700 
    

 

 

 
     8,886,175 
    

 

 

 
    Home Construction — 1.7% 
 1,200,000   Corporacion GEO SAB de CV, 8.875%, 2/27/2022, 144A(e)(f)(h)    
 230,000   KB Home, 4.800%, 11/15/2029   235,175 
 800,000   Lennar Corp., 4.750%, 5/30/2025   860,000 
 1,130,000   PulteGroup, Inc., 5.500%, 3/01/2026   1,262,775 
 185,000   Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A   201,650 
    

 

 

 
     2,559,600 
    

 

 

 
    Independent Energy — 4.8% 
 460,000   Aker BP ASA, 5.875%, 3/31/2025, 144A   488,750 
 685,000   Baytex Energy Corp., 5.625%, 6/01/2024, 144A   623,350 

 

See accompanying notes to financial statements.

 

|  20


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Independent Energy — continued 
$1,025,000   Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A  $667,336 
 90,000   California Resources Corp., 5.500%, 9/15/2021(c)(d)   42,300 
 41,000   California Resources Corp., 6.000%, 11/15/2024(c)(d)   12,300 
 950,000   California Resources Corp., 8.000%, 12/15/2022, 144A(c)(d)   424,717 
 425,000   Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A   442,000 
 195,000   Denbury Resources, Inc., 7.750%, 2/15/2024, 144A   172,575 
 375,000   Gulfport Energy Corp., 6.000%, 10/15/2024   266,250 
 595,000   Gulfport Energy Corp., 6.375%, 5/15/2025   377,825 
 365,000   Gulfport Energy Corp., 6.375%, 1/15/2026   226,300 
 690,000   Montage Resources Corp., 8.875%, 7/15/2023   636,525 
 302,000   Oasis Petroleum, Inc., 6.875%, 3/15/2022   290,675 
 685,000   Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A   688,425 
 175,000   Seven Generations Energy Ltd., 6.875%, 6/30/2023, 144A   180,031 
 320,000   SM Energy Co., 5.000%, 1/15/2024   304,800 
 425,000   Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A   212,500 
 50,000   Viper Energy Partners LP, 5.375%, 11/01/2027, 144A   52,000 
 405,000   Whiting Petroleum Corp., 5.750%, 3/15/2021   383,130 
 50,000   Whiting Petroleum Corp., 6.250%, 4/01/2023   42,085 
 805,000   Whiting Petroleum Corp., 6.625%, 1/15/2026   548,591 
    

 

 

 
     7,082,465 
    

 

 

 
    Industrial Other — 0.1% 
 130,000   Installed Building Products, Inc., 5.750%, 2/01/2028, 144A   138,938 
    

 

 

 
    Integrated Energy — 0.1% 
 200,000   Geopark Ltd., 6.500%, 9/21/2024, 144A   208,404 
    

 

 

 
    Leisure — 0.4% 
 330,000   Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A   341,550 
 300,000   Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A   304,125 
    

 

 

 
     645,675 
    

 

 

 
    Life Insurance — 0.3% 
 340,000   CNO Financial Group, Inc., 5.250%, 5/30/2025   376,550 
    

 

 

 
    Local Authorities — 0.2% 
 325,000   Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A   134,875 
 270,000   Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A   114,750 
    

 

 

 
     249,625 
    

 

 

 
    Lodging — 1.2% 
 150,000   Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024   152,813 
 755,000   Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025   775,762 
 565,000   Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028, 144A   578,419 
 60,000   Marriott Ownership Resorts, Inc./ILG LLC, 6.500%, 9/15/2026   65,325 
 255,000   Wyndham Destinations, Inc., 4.625%, 3/01/2030, 144A   255,637 
    

 

 

 
     1,827,956 
    

 

 

 

 

See accompanying notes to financial statements.

 

21  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Media Entertainment — 3.5% 
$735,000   AMC Networks, Inc., 4.750%, 8/01/2025  $737,756 
 720,000   Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A   728,317 
 120,000   Gray Television, Inc., 5.125%, 10/15/2024, 144A   124,500 
 275,000   iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A   281,875 
 99,931   iHeartCommunications, Inc., 6.375%, 5/01/2026   108,425 
 346,125   iHeartCommunications, Inc., 8.375%, 5/01/2027   382,468 
 395,000   Meredith Corp., 6.875%, 2/01/2026   410,682 
 740,000   Netflix, Inc., 4.875%, 4/15/2028   768,638 
 390,000   Netflix, Inc., 5.375%, 11/15/2029, 144A   415,342 
 105,000   Nexstar Broadcasting, Inc., 5.625%, 7/15/2027, 144A   110,649 
 805,000   Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 4/15/2022, 144A   808,019 
 120,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A   122,100 
 170,000   Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A   179,775 
    

 

 

 
     5,178,546 
    

 

 

 
    Metals & Mining — 2.7% 
 60,000   Allegheny Technologies, Inc., 5.875%, 12/01/2027   63,000 
 190,000   Commercial Metals Co., 4.875%, 5/15/2023   197,600 
 665,000   First Quantum Minerals Ltd., 6.500%, 3/01/2024, 144A   666,663 
 835,000   First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A   845,437 
 200,000   First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A   207,056 
 210,000   First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A   214,725 
 840,000   FMG Resources (August 2006) Pty Ltd., 4.750%, 5/15/2022, 144A   867,300 
 370,000   FMG Resources (August 2006) Pty Ltd., 5.125%, 5/15/2024, 144A   393,125 
 435,000   Mineral Resources Ltd., 8.125%, 5/01/2027, 144A   477,413 
    

 

 

 
     3,932,319 
    

 

 

 
    Midstream — 3.7% 
 385,000   EnLink Midstream Partners LP, 5.050%, 4/01/2045   304,150 
 205,000   EnLink Midstream Partners LP, 5.450%, 6/01/2047   165,537 
 435,000   EnLink Midstream Partners LP, 5.600%, 4/01/2044   352,350 
 1,265,000   Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A   1,321,723 
 145,000   NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025   136,663 
 350,000   NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023   350,000 
 165,000   NGPL PipeCo LLC, 4.375%, 8/15/2022, 144A   171,391 
 700,000   NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A   744,056 
 935,000   Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022   832,150 
 95,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023   95,950 
 640,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023   646,400 
 255,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030, 144A   262,012 
    

 

 

 
     5,382,382 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  22


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Non-Agency Commercial Mortgage-Backed Securities — 1.4% 
$100,000   CG-CCRE Commercial Mortgage Trust, Series2014-FL2, Class COL1,1-month LIBOR + 3.500%, 5.240%, 11/15/2031, 144A(a)(c)(d)  $99,782 
 225,000   CG-CCRE Commercial Mortgage Trust, Series2014-FL2, Class COL2,1-month LIBOR + 4.500%, 6.240%, 11/15/2031, 144A(a)(c)(d)   224,270 
 1,020,000   Credit Suisse Mortgage Trust, Series2014-USA, Class E, 4.373%, 9/15/2037, 144A   959,114 
 380,000   Starwood Retail Property Trust, Series 2014-STAR, Class D,1-month LIBOR + 3.500%, 5.240%, 11/15/2027, 144A(a)(c)(d)   322,911 
 420,000   Starwood Retail Property Trust, Series 2014-STAR, Class E,1-month LIBOR + 4.400%, 6.140%, 11/15/2027, 144A(a)(c)(e)(f)   325,435 
 125,000   WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, 4.813%, 6/15/2045, 144A(g)   107,207 
    

 

 

 
     2,038,719 
    

 

 

 
    Oil Field Services — 1.8% 
 935,000   McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.625%, 5/01/2024, 144A(c)(d)(h)   79,475 
 160,000   Noble Holding International Ltd., 5.250%, 3/15/2042   57,970 
 1,145,000   Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A   1,090,612 
 360,450   Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A   368,560 
 22,250   Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A   22,806 
 196,000   Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A   201,880 
 695,000   Transocean Sentry Ltd., 5.375%, 5/15/2023, 144A   707,162 
 175,000   Transocean, Inc., 7.500%, 1/15/2026, 144A   172,813 
    

 

 

 
     2,701,278 
    

 

 

 
    Packaging — 0.3% 
 370,000   ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(b)   382,562 
    

 

 

 
    Pharmaceuticals — 3.9% 
 400,000   Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A   410,556 
 395,000   Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A   409,615 
 53,000   Bausch Health Cos., Inc., 5.500%, 3/01/2023, 144A   53,265 
 36,000   Bausch Health Cos., Inc., 5.875%, 5/15/2023, 144A   36,315 
 220,000   Bausch Health Cos., Inc., 6.125%, 4/15/2025, 144A   227,311 
 170,000   Bausch Health Cos., Inc., 9.000%, 12/15/2025, 144A   193,324 
 280,000   Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026, 144A   289,800 
 600,000   Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 2/01/2025, 144A   404,628 
 445,000   Mylan NV, 5.250%, 6/15/2046   500,519 
 75,000   Mylan, Inc., 5.200%, 4/15/2048   83,973 
 150,000   Mylan, Inc., 5.400%, 11/29/2043   166,238 
 1,065,000   Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023   986,020 
 65,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   54,112 
 2,155,000   Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046   1,551,600 
 405,000   Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025, 144A   416,016 
    

 

 

 
     5,783,292 
    

 

 

 
    Property & Casualty Insurance — 0.6% 
 45,000   AmWINS Group, Inc., 7.750%, 7/01/2026, 144A   49,731 
 780,000   Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A   774,150 
    

 

 

 
     823,881 
    

 

 

 

 

See accompanying notes to financial statements.

 

23  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Refining — 0.8% 
$405,000   Parkland Fuel Corp., 5.875%, 7/15/2027, 144A  $435,521 
 635,000   Parkland Fuel Corp., 6.000%, 4/01/2026, 144A   670,750 
    

 

 

 
     1,106,271 
    

 

 

 
    REITs – Diversified — 0.3% 
 395,000   iStar, Inc., 5.250%, 9/15/2022   405,369 
    

 

 

 
    REITs – Hotels — 0.7% 
 350,000   Service Properties Trust, 4.750%, 10/01/2026   359,056 
 715,000   Service Properties Trust, 4.350%, 10/01/2024   734,794 
    

 

 

 
     1,093,850 
    

 

 

 
    REITs – Mortgage — 0.7% 
 720,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A   747,000 
 255,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A   258,506 
    

 

 

 
     1,005,506 
    

 

 

 
    REITs – Regional Malls — 0.5% 
 695,000   Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.750%, 5/15/2026, 144A   733,225 
    

 

 

 
    Restaurants — 1.0% 
 400,000   1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A   401,000 
 890,000   1011778 B.C. ULC/New Red Finance, Inc., 5.000%, 10/15/2025, 144A   918,925 
 110,000   Yum Brands, Inc., 4.750%, 1/15/2030, 144A   115,225 
    

 

 

 
     1,435,150 
    

 

 

 
    Retailers — 2.2% 
 830,000   Asbury Automotive Group, Inc., 6.000%, 12/15/2024   856,975 
 820,000   Group 1 Automotive, Inc., 5.000%, 6/01/2022   831,275 
 480,000   Hanesbrands, Inc., 4.875%, 5/15/2026, 144A   508,200 
 505,000   J.C. Penney Corp., Inc., 5.875%, 7/01/2023, 144A   433,038 
 105,000   Murphy Oil USA, Inc., 4.750%, 9/15/2029   110,887 
 385,000   PetSmart, Inc., 7.125%, 3/15/2023, 144A   377,300 
 125,000   William Carter Co. (The), 5.625%, 3/15/2027, 144A   134,375 
    

 

 

 
     3,252,050 
    

 

 

 
    Technology — 5.4% 
 335,000   Camelot Finance S.A., 4.500%, 11/01/2026, 144A   344,213 
 120,000   CDK Global, Inc., 5.250%, 5/15/2029, 144A   128,700 
 595,000   CDW LLC/CDM Finance Corp., 4.250%, 4/01/2028   624,006 
 825,000   CommScope Technologies LLC, 5.000%, 3/15/2027, 144A   775,500 
 100,000   CommScope Technologies LLC, 6.000%, 6/15/2025, 144A   100,113 
 1,455,000   CommScope, Inc., 5.500%, 3/01/2024, 144A   1,516,837 
 620,000   Dun & Bradstreet Corp. (The), 6.875%, 8/15/2026, 144A   684,325 
 690,000   Iron Mountain, Inc., 4.875%, 9/15/2029, 144A   700,902 
 140,000   MSCI, Inc., 4.000%, 11/15/2029, 144A   141,925 
 865,000   Nokia Oyj, 4.375%, 6/12/2027   901,762 
 190,000   Open Text Corp., 5.875%, 6/01/2026, 144A   203,300 

 

See accompanying notes to financial statements.

 

|  24


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Technology — continued 
$275,000   Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A  $282,219 
 590,000   SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A   629,825 
 900,000   Western Digital Corp., 4.750%, 2/15/2026   938,250 
    

 

 

 
     7,971,877 
    

 

 

 
    Transportation Services — 0.2% 
 275,000   APL Ltd., 8.000%, 1/15/2024(c)(d)   244,778 
    

 

 

 
    Treasuries — 0.5% 
 715,000   U.S. Treasury Note, 2.125%, 5/31/2021   720,167 
    

 

 

 
    Wireless — 4.2% 
 1,000,000   Altice Luxembourg S.A., 10.500%, 5/15/2027, 144A   1,140,050 
 200,000   Bharti Airtel Ltd., 4.375%, 6/10/2025   203,682 
 345,000   Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A   358,862 
 200,000   Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A   209,702 
 200,000   Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A   220,658 
 810,000   Sprint Capital Corp., 6.875%, 11/15/2028   872,775 
 20,000   Sprint Capital Corp., 8.750%, 3/15/2032   24,275 
 890,000   Sprint Corp., 7.125%, 6/15/2024   960,087 
 650,000   Sprint Corp., 7.250%, 9/15/2021   687,375 
 1,085,000   Sprint Corp., 7.875%, 9/15/2023   1,197,113 
 315,000   T-Mobile USA, Inc., 4.500%, 2/01/2026   322,875 
    

 

 

 
     6,197,454 
    

 

 

 
    Wirelines — 2.7% 
 130,000   Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028   133,457 
 555,000   Frontier Communications Corp., 8.000%, 4/01/2027, 144A   579,975 
 725,000   Frontier Communications Corp., 8.500%, 4/01/2026, 144A   734,062 
 755,000   Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A   772,969 
 120,000   Telecom Italia Capital S.A., 7.200%, 7/18/2036   142,176 
 1,485,000   Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/2025, 144A   1,425,600 
 505,000   Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A(h)   196,950 
    

 

 

 
     3,985,189 
    

 

 

 
  TotalNon-Convertible Bonds
(Identified Cost $127,159,786)
   129,332,155 
    

 

 

 
    
 Convertible Bonds — 5.8% 
    Cable Satellite — 1.3% 
 1,515,000   DISH Network Corp., 2.375%, 3/15/2024   1,383,346 
 580,000   DISH Network Corp., 3.375%, 8/15/2026   557,902 
    

 

 

 
     1,941,248 
    

 

 

 
    Diversified Manufacturing — 0.5% 
 755,000   Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024   728,818 
    

 

 

 
    Independent Energy — 0.4% 
 645,000   Chesapeake Energy Corp., 5.500%, 9/15/2026   307,267 
 325,000   PDC Energy, Inc., 1.125%, 9/15/2021   305,156 
 31,000   Whiting Petroleum Corp., 1.250%, 4/01/2020   30,259 
    

 

 

 
     642,682 
    

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Oil Field Services — 0.5% 
$510,000   Nabors Industries, Inc., 0.750%, 1/15/2024  $382,184 
 395,000   Oil States International, Inc., 1.500%, 2/15/2023   354,552 
    

 

 

 
     736,736 
    

 

 

 
    Pharmaceuticals — 1.9% 
 1,530,000   BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024   1,616,443 
 220,000   Dermira, Inc., 3.000%, 5/15/2022   202,586 
 230,000   Flexion Therapeutics, Inc., 3.375%, 5/01/2024   245,390 
 275,000   Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023   277,292 
 330,000   PTC Therapeutics, Inc., 3.000%, 8/15/2022   380,682 
    

 

 

 
     2,722,393 
    

 

 

 
    Technology — 1.2% 
 625,000   Avaya Holdings Corp., 2.250%, 6/15/2023   550,856 
 655,000   CalAmp Corp., 2.000%, 8/01/2025   544,403 
 245,000   Palo Alto Networks, Inc., 0.750%, 7/01/2023   270,233 
 340,000   Pure Storage, Inc., 0.125%, 4/15/2023   337,162 
    

 

 

 
     1,702,654 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $8,963,204)
   8,474,531 
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $136,122,990)
   137,806,686 
    

 

 

 
    
 Senior Loans — 1.4% 
    Media Entertainment — 0.1% 
 215,643   iHeartCommunications, Inc., Exit Term Loan,1-month LIBOR + 4.000%, 5.691%, 5/01/2026(a)   217,170 
    

 

 

 
    Retailers — 0.6% 
 921,922   J.C. Penney Corp., Inc., 2016 Term Loan B,3-month LIBOR + 4.250%, 6.159%, 6/23/2023(a)   810,425 
    

 

 

 
    Transportation Services — 0.7% 
 1,026,589   Uber Technologies, Inc., 2018 Term Loan,1-month LIBOR + 4.000%, 5.745%, 4/04/2025(a)   1,023,653 
    

 

 

 
  Total Senior Loans
(Identified Cost $2,127,859)
   2,051,248 
    

 

 

 
    
 Loan Participations — 0.3% 
    ABS Other — 0.3% 
 397,714   Harbour Aircraft Investments Ltd., Series2017-1, Class C,
8.000%, 11/15/2037
(Identified Cost $396,837)
   398,373 
    

 

 

 
    
Shares          
 Preferred Stocks — 1.6% 
    Food & Beverage — 1.5% 
 21,381   Bunge Ltd., 4.875%   2,201,691 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Midstream — 0.1% 
 988   Chesapeake Energy Corp., 5.750%(c)(d)(f)  $169,412 
 20   Chesapeake Energy Corp., 5.750%, 144A(c)(d)(f)   3,430 
 137   Chesapeake Energy Corp., 5.750%(c)(d)(f)   23,508 
    

 

 

 
     196,350 
    

 

 

 
  Total Preferred Stocks
(Identified Cost $2,900,221)
   2,398,041 
    

 

 

 
    
 Other Investments — 0.6% 
    Aircraft ABS — 0.6% 
 100   ECAF I Blocker Ltd.(c)(e)(f)(i)
(Identified Cost $1,000,000)
   864,000 
    

 

 

 
    
 Common Stocks — 0.4% 
    Chemicals — 0.1% 
 12,177   Hexion Holdings Corp., Class B(j)   155,257 
    

 

 

 
    Media — 0.3% 
 41,970   Clear Channel Outdoor Holdings, Inc.(j)   120,034 
 17,670   iHeartMedia, Inc., Class A(j)   298,623 
    

 

 

 
     418,657 
    

 

 

 
    Oil, Gas & Consumable Fuels — 0.0% 
 3,650   Halcon Resources Corp.(c)(e)(f)(j)   52,304 
    

 

 

 
  Total Common Stocks
(Identified Cost $1,412,096)
   626,218 
    

 

 

 
    
Principal
Amount
          
 Short-Term Investments — 0.6% 
$924,835   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $924,882 on 1/02/2020 collateralized by $900,000 U.S. Treasury Note, 2.875% due 10/31/2023 valued at $945,191 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $924,835)   924,835 
    

 

 

 
    
  Total Investments — 98.5%
(Identified Cost $144,884,838)
   145,069,401 
  Other assets less liabilities — 1.5%   2,257,583 
    

 

 

 
  Net Assets — 100.0%  $147,326,984 
    

 

 

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

 

 (a)   Variable rate security. Rate as of December 31, 2019 is disclosed.

 

 (b)   Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2019, interest payments were made in cash.

 

 (c)   Illiquid security. (Unaudited)

 

 (d)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $1,646,883 or 1.1% of net assets. See Note 2 of Notes to Financial Statements.

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of December 31, 2019

Loomis Sayles High Income Fund – (continued)

 

    
 (e)   Fair valued by the Fund’s adviser. At December 31, 2019, the value of these securities amounted to $1,241,739 or 0.8% of net assets. See Note 2 of Notes to Financial Statements.

 

 (f)   Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

 (g)   Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2019 is disclosed.

 

 (h)   The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

 

 (i)   Securities subject to restriction on resale. At December 31, 2019, the restricted securities held by the Fund are as follows:

 

    
  Acquisition
Date
  Acquisition
Cost
  Value  % of
Net Assets
 
ECAF I Blocker Ltd.  12/20/2016  $1,000,000  $864,000   0.6% 
    
 (j)   Non-income producing security.

 

    
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the value of Rule 144A holdings amounted to $82,598,504 or 56.1% of net assets.

 

 ABS   Asset-Backed Securities

 

 LIBOR   London Interbank Offered Rate

 

 MTN   Medium Term Note

 

 PIK   Payment-in-Kind

 

 REITs   Real Estate Investment Trusts

 

Industry Summary at December 31, 2019

 

Cable Satellite

   10.5

Technology

   6.6 

Healthcare

   6.0 

Pharmaceuticals

   5.8 

Independent Energy

   5.2 

Wireless

   4.2 

Midstream

   3.8 

Food & Beverage

   3.7 

Media Entertainment

   3.6 

Electric

   3.2 

Finance Companies

   3.2 

Banking

   3.0 

Retailers

   2.8 

Wirelines

   2.7 

Metals & Mining

   2.7 

Aerospace & Defense

   2.4 

Oil Field Services

   2.3 

Building Materials

   2.2 

Other Investments, less than 2% each

   24.0 

Short-Term Investments

   0.6 
  

 

 

 

Total Investments

   98.5 

Other assets less liabilities

   1.5 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  28


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund

 

Principal
Amount (‡)
   Description  Value (†) 
 Bonds and Notes — 94.7% of Net Assets 
 Non-Convertible Bonds — 93.9% 
    ABS Car Loan — 7.6% 
$6,688,850   Ally Auto Receivables Trust, Series2017-3, Class A3, 1.740%, 9/15/2021  $6,684,620 
 16,590,000   Ally Auto Receivables Trust, Series2019-1, Class A3, 2.910%, 9/15/2023   16,794,882 
 13,085,000   Ally Auto Receivables Trust, Series2019-4, Class A3, 1.840%, 6/17/2024   13,060,610 
 7,865,000   American Credit Acceptance Receivables Trust, Series2019-3, Class D, 2.890%, 9/12/2025, 144A   7,850,543 
 1,965,000   AmeriCredit Automobile Receivables Trust, Series2018-2, Class D, 4.010%, 7/18/2024   2,046,347 
 10,515,000   AmeriCredit Automobile Receivables Trust, Series2018-3, Class D, 4.040%, 11/18/2024   10,981,783 
 25,880,000   AmeriCredit Automobile Receivables Trust, Series2019-1, Class D, 3.620%, 3/18/2025   26,584,971 
 12,340,000   AmeriCredit Automobile Receivables Trust, Series2019-2, Class D, 2.990%, 6/18/2025   12,475,541 
 3,650,000   CarMax Auto Owner Trust, Series2018-3, Class D, 3.910%, 1/15/2025   3,757,921 
 13,585,000   CarMax Auto Owner Trust, Series2019-1, Class D, 4.040%, 8/15/2025(a)(b)   14,117,199 
 5,811,000   CarMax Auto Owner Trust, Series2019-2, Class D, 3.410%, 10/15/2025   5,915,195 
 2,315,000   CarMax Auto Owner Trust, Series2019-3, Class D, 2.850%, 1/15/2026   2,318,994 
 5,122,000   CPS Auto Receivables Trust , Series2019-D, Class D, 2.720%, 9/15/2025, 144A   5,100,904 
 13,965,000   CPS Auto Receivables Trust, Series2019-A, Class D, 4.350%, 12/16/2024, 144A   14,424,842 
 1,800,000   Credit Acceptance Auto Loan Trust, Series2017-3A, Class C, 3.480%, 10/15/2026, 144A   1,825,684 
 23,320,000   Credit Acceptance Auto Loan Trust, Series2019-1A, Class C, 3.940%, 6/15/2028, 144A(a)(b)   24,091,624 
 6,555,000   Drive Auto Receivables Trust, Series2018-5, Class D, 4.300%, 4/15/2026   6,769,307 
 16,395,000   Drive Auto Receivables Trust, Series2019-1, Class D, 4.090%, 6/15/2026   16,880,684 
 3,700,000   Drive Auto Receivables Trust, Series2019-2, Class D, 3.690%, 8/17/2026   3,787,872 
 10,760,000   DT Auto Owner Trust, Series2019-1A, Class D, 3.870%, 11/15/2024, 144A   10,990,159 
 3,950,000   DT Auto Owner Trust, Series2019-2A, Class D, 3.480%, 2/18/2025, 144A   4,005,320 
 3,400,000   DT Auto Owner Trust, Series2019-3A, Class D, 2.960%, 4/15/2025, 144A   3,401,958 
 3,790,000   First Investors Auto Owner Trust, Series2019-1A, Class D, 3.550%, 4/15/2025, 144A   3,860,700 
 4,610,000   Flagship Credit Auto Trust, Series2019-3, Class D, 2.860%, 12/15/2025, 144A   4,576,674 
 1,549,198   Ford Credit Auto Owner Trust, Series2017-B, Class A3, 1.690%, 11/15/2021   1,547,673 
 15,246,806   Ford Credit Auto Owner Trust, Series2018-A, Class A3, 3.030%, 11/15/2022   15,372,022 
 8,555,000   GLS Auto Receivables Trust, Series2019-A, Class C, 3.540%, 2/18/2025, 144A   8,697,608 
 3,218,000   GM Financial Consumer Automobile Receivables Trust, Series2018-2, Class A3, 2.810%, 12/16/2022   3,244,805 
 2,000,000   GM Financial Consumer Automobile Receivables Trust, Series2018-3, Class A3, 3.020%, 5/16/2023   2,024,540 
 15,645,000   GM Financial Consumer Automobile Receivables Trust, Series2019-1, Class A3, 2.970%, 11/16/2023   15,859,937 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    ABS Car Loan — continued 
$810,236   Honda Auto Receivables Owner Trust, Series2016-4, Class A3, 1.210%, 12/18/2020  $809,602 
 857,354   Honda Auto Receivables Owner Trust, Series2017-2, Class A3, 1.680%, 8/16/2021   856,558 
 3,925,000   Honda Auto Receivables Owner Trust, Series2017-2, Class A4, 1.870%, 9/15/2023   3,919,858 
 28,000,000   Honda Auto Receivables Owner Trust, Series2018-4, Class A3, 3.160%, 1/17/2023   28,459,970 
 5,925,000   Honda Auto Receivables Owner Trust, Series2019-1, Class A3, 2.830%, 3/20/2023   6,015,848 
 6,655,000   Nissan Auto Receivables Owner Trust, Series2019-C, Class A3, 1.930%, 7/15/2024   6,657,644 
 2,685,000   Nissan Auto Receivables Owner Trust, Series2016-C, Class A3, 1.180%, 1/15/2021   2,683,427 
 27,665,000   Santander Drive Auto Receivables Trust, Series2019-1, Class D, 3.650%, 4/15/2025   28,338,048 
 6,995,000   Santander Drive Auto Receivables Trust, Series2019-2, Class D, 3.220%, 7/15/2025   7,130,455 
 8,455,000   Santander Drive Auto Receivables Trust, Series2019-H13, Class D, 2.680%, 10/15/2025   8,423,722 
 4,936,517   Toyota Auto Receivables Owner Trust, Series2017-B, Class A3, 1.760%, 7/15/2021   4,933,575 
 12,473,250   Toyota Auto Receivables Owner Trust, Series2017-D, Class A3, 1.930%, 1/18/2022   12,471,431 
 25,405,559   Toyota Auto Receivables Owner Trust, Series2018-A, Class A3, 2.350%, 5/16/2022   25,471,977 
 1,981,871   Toyota Auto Receivables Owner Trust, Series2018-C, Class A2A, 2.770%, 8/16/2021   1,986,058 
 15,495,000   Westlake Automobile Receivables Trust, Series2019-1A, Class D, 3.670%, 3/15/2024, 144A   15,792,079 
    

 

 

 
     423,001,171 
    

 

 

 
    ABS Credit Card — 1.7% 
 14,559,000   American Express Credit Account Master Trust, Series2017-1, Class A, 1.930%, 9/15/2022   14,558,339 
 10,434,000   American Express Credit Account Master Trust, Series2017-6, Class A, 2.040%, 5/15/2023   10,449,952 
 3,000,000   American Express Credit Account Master Trust, Series2018-1, Class A, 2.670%, 10/17/2022   3,004,616 
 8,000,000   American Express Credit Account Master Trust, Series2019-1, Class A, 2.870%, 10/15/2024   8,173,779 
 25,135,000   Capital One Multi-Asset Execution Trust, Series2015-A2, Class A2, 2.080%, 3/15/2023   25,152,127 
 6,170,000   Capital One Multi-Asset Execution Trust, Series2017-A4, Class A4, 1.990%, 7/17/2023   6,176,529 
 11,730,000   Capital One Multi-Asset Execution Trust, Series2019-A1, Class A1, 2.840%, 12/15/2024   11,967,846 
 7,915,000   Chase Issuance Trust, Series2015-A4, Class A4, 1.840%, 4/15/2022   7,913,172 

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    ABS Credit Card — continued 
$10,366,000   Citibank Credit Card Issuance Trust, Series2017-A3, Class A3, 1.920%, 4/07/2022  $10,365,443 
    

 

 

 
     97,761,803 
    

 

 

 
    ABS Home Equity — 4.7% 
 15,451,000   American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A   16,634,191 
 12,875,000   AMSR Trust, Series 2019-SFR1, Class A, 2.774%, 1/19/2039, 144A   12,869,361 
 6,077,236   Bayview Opportunity Master Fund IVb Trust, Series2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(c)   6,063,651 
 1,579,142   Bayview Opportunity Master Fund Trust, Series2019-RN1, Class A1, 4.090%, 2/28/2034, 144A(c)   1,576,799 
 1,401,782   Bayview Opportunity Master Fund Trust, Series2019-RN2, Class A1, 3.967%, 3/28/2034, 144A(c)   1,403,222 
 6,075,000   Brass PLC, Series 8A,Class A1, 3-month LIBOR + 0.700%, 2.806%, 11/16/2066, 144A(d)   6,076,567 
 5,466,450   Citigroup Mortgage Loan Trust, Series2019-B, Class A1, 3.258%, 4/25/2066, 144A(c)   5,472,867 
 7,838,772   Citigroup Mortgage Loan Trust, Series2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(c)   8,003,802 
 5,513,144   Colony American Finance Ltd., Series2019-3, Class A, 2.705%, 10/15/2052, 144A   5,510,491 
 2,929,000   Colony American Finance Ltd., Series2019-3, Class B, 3.163%, 10/15/2052, 144A   2,911,078 
 2,434,000   CoreVest American Finance Trust, Series2019-1, Class D, 4.818%, 3/15/2052, 144A   2,612,904 
 7,702,256   GCAT Trust, Series2019-3, Class A1, 3.352%, 10/25/2049, 144A(c)   7,693,564 
 9,039,363   GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(c)   9,028,412 
 948,753   Gosforth Funding PLC, Series2018-1A,Class A1, 3-month LIBOR + 0.450%, 2.360%, 8/25/2060, 144A(d)   947,210 
 1,835,670   Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A   1,812,163 
 1,630,371   Holmes Master Issuer PLC, Series2018-1A,Class A2, 3-month LIBOR + 0.360%, 2.361%, 10/15/2054, 144A(d)   1,629,309 
 2,902,375   Home Partners of America Trust, Series2019-1, Class D, 3.406%, 9/17/2039, 144A   2,865,615 
 2,628,289   Home Partners of America Trust, Series2019-2, Class D, 3.121%, 10/19/2039, 144A   2,575,723 
 3,050,000   Invitation Homes Trust, Series 2018-SFR4,Class D, 1-month LIBOR + 1.650%, 3.387%, 1/17/2038, 144A(d)   3,061,402 
 4,008,333   Lanark Master Issuer PLC, Series2019-1A,Class 1A1, 3-month LIBOR + 0.770%, 2.669%, 12/22/2069, 144A(d)   4,019,208 
 7,020,000   Lanark Master Issuer PLC, Series2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(c)   7,047,961 
 9,486,722   Legacy Mortgage Asset Trust, Series2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(c)   9,493,732 
 4,116,300   Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(c)   4,149,776 

 

See accompanying notes to financial statements.

 

31  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    ABS Home Equity — continued 
$12,061,613   Mill City Mortgage Loan Trust, Series2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(c)  $12,122,192 
 5,005,300   Mill City Mortgage Trust, Series2019-1, Class A1, 3.250%, 10/25/2069, 144A(c)   5,097,741 
 6,695,495   Onslow Bay Financial LLC , Series 2019-EXP3, Class 1A8, 3.500%, 10/25/2059, 144A(c)   6,742,656 
 3,327,372   Preston Ridge Partners Mortgage LLC, Series2019-3A, Class A1, 3.351%, 7/25/2024, 144A(c)   3,332,005 
 3,708,000   Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A   3,728,872 
 1,332,000   Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A   1,361,294 
 2,830,000   Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A   2,890,678 
 4,732,000   Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A   4,803,748 
 3,860,000   Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A   3,836,015 
 5,506,820   PRPM LLC, Series2019-4A, Class A1, 3.351%, 11/25/2024, 144A(c)   5,506,759 
 5,709,291   RCO V Mortgage LLC, Series2019-1, Class A1, 3.721%, 5/24/2024, 144A(c)   5,715,345 
 3,143,539   Sequoia Mortgage Trust, Series2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(c)   3,248,122 
 6,864,056   Sequoia Mortgage Trust, Series2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(c)   6,963,957 
 5,000,475   Silverstone Master Issuer PLC, Series2019-1A,Class 1A, 3-month LIBOR + 0.570%, 2.536%, 1/21/2070, 144A(d)   5,002,275 
 4,930,000   Towd Point Mortgage Trust, Series2017-4, Class M2, 3.250%, 6/25/2057, 144A(c)   4,925,840 
 4,207,213   Towd Point Mortgage Trust, Series2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(c)   4,196,295 
 1,443,284   Towd Point Mortgage Trust, Series2016-1, Class A1B, 2.750%, 2/25/2055, 144A(c)   1,443,959 
 10,959,121   Towd Point Mortgage Trust, Series2019-4, Class A1, 2.900%, 10/25/2059, 144A(c)   11,022,139 
 2,575,000   Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A   2,559,706 
 13,259,594   Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1A, 3.278%, 11/25/2049, 144A(c)   13,227,526 
 8,358,268   Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, 3.967%, 3/25/2049, 144A(c)   8,401,162 
 12,652,190   Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(c)   12,646,578 
 1,407,847   VOLT LXXII LLC, Series 2018-NPL8, Class A1A, 4.213%, 10/26/2048, 144A(c)   1,406,428 
 5,318,288   VOLT LXXV LLC, Series 2019-NPL1, Class A1A, 4.336%, 1/25/2049, 144A(c)   5,349,987 
 4,934,679   VOLT LXXXIII LLC, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(c)   4,932,247 
    

 

 

 
     263,922,534 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  32


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    ABS Other — 3.5% 
$39,262,848   FAN Engine Securitization Ltd., Series2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(a)(b)  $39,261,741 
 12,372,896   Horizon Aircraft Finance I Ltd., Series2018-1, Class A, 4.458%, 12/15/2038, 144A   12,702,154 
 2,923,205   Horizon Aircraft Finance II Ltd., Series2019-1, Class A, 3.721%, 7/15/2039, 144A   2,919,606 
 1,975,000   HPEFS Equipment Trust, Series2019-1A, Class C, 2.490%, 9/20/2029, 144A   1,974,637 
 8,041,680   Kestrel Aircraft Funding Ltd., Series2018-1A, Class A, 4.250%, 12/15/2038, 144A   8,172,861 
 14,088,288   MAPS Ltd., Series2018-1A, Class A, 4.212%, 5/15/2043, 144A   14,340,492 
 4,096,091   MAPS Ltd., Series2019-1A, Class A, 4.458%, 3/15/2044, 144A   4,216,395 
 13,610,000   Mariner Finance Issuance Trust, Series2018-AA, Class A, 4.200%, 11/20/2030, 144A   13,882,847 
 5,222,850   Marlette Funding Trust, Series2019-4A, Class A, 2.390%, 12/17/2029, 144A   5,226,606 
 2,406,243   Marlette Funding Trust, Series2019-1A, Class A, 3.440%, 4/16/2029, 144A   2,423,702 
 8,040,000   OneMain Financial Issuance Trust, Series2019-1A, Class D, 4.220%, 2/14/2031, 144A   8,322,842 
 15,600,403   S-Jets Ltd., Series2017-1, Class A, 3.967%, 8/15/2042, 144A   15,612,523 
 940,000   SLM Private Credit Student Loan Trust, Series2003-C,Class A3, 28-day ARS, 5.080%, 9/15/2032(d)   938,892 
 1,495,000   SLM Private Credit Student Loan Trust, Series2003-C,Class A4, 28-day ARS, 5.080%, 9/15/2032(d)   1,492,476 
 13,765,000   SoFi Consumer Loan Program Trust, Series2019-1, Class C, 3.730%, 2/25/2028, 144A   14,077,175 
 3,459,000   SoFi Consumer Loan Program Trust, Series2018-1, Class B, 3.650%, 2/25/2027, 144A   3,525,296 
 6,720,000   SoFi Consumer Loan Program Trust, Series2018-4, Class C, 4.170%, 11/26/2027, 144A   6,943,605 
 6,805,000   SoFi Consumer Loan Program Trust, Series2019-2, Class C, 3.460%, 4/25/2028, 144A   6,921,100 
 12,755,000   SoFi Consumer Loan Program Trust, Series2019-3, Class C, 3.350%, 5/25/2028, 144A   12,956,024 
 7,370,000   SoFi Consumer Loan Program Trust, Series2019-4, Class C, 2.840%, 8/25/2028, 144A   7,350,316 
 13,234,382   SpringCastle Funding Asset-Backed Notes, Series2019-AA, Class A, 3.200%, 5/27/2036, 144A   13,283,534 
    

 

 

 
     196,544,824 
    

 

 

 
    ABS Student Loan — 1.6% 
 11,813,199   ELFI Graduate Loan Program LLC, Series2019-A, Class A, 2.540%, 3/25/2044, 144A   11,662,331 
 14,080,000   Navient Private Education Refi Loan Trust, Series2019-FA, Class A2, 2.600%, 8/15/2068, 144A   14,054,456 
 4,020,000   Navient Private Education Refi Loan Trust, Series2019-CA, Class A2, 3.130%, 2/15/2068, 144A   4,040,302 
 6,910,000   Navient Student Loan Trust, Series2018-EA, Class A2, 4.000%, 12/15/2059, 144A   7,155,941 

 

See accompanying notes to financial statements.

 

33  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    ABS Student Loan — continued 
$796,000   SLM Private Credit Student Loan Trust, Series2003-A,Class A3, 28-day ARS, 5.040%, 6/15/2032(d)  $794,917 
 575,000   SLM Private Credit Student Loan Trust, Series2003-A,Class A4, 28-day ARS, 4.440%, 6/15/2032(d)   575,081 
 1,150,000   SLM Private Credit Student Loan Trust, Series2003-B,Class A3, 28-day ARS, 5.040%, 3/15/2033(d)   1,147,862 
 786,000   SLM Private Credit Student Loan Trust, Series2003-B,Class A4, 28-day ARS, 4.590%, 3/15/2033(d)   785,546 
 2,500,000   SMB Private Education Loan Trust, Series2015-C, Class B, 3.500%, 9/15/2043, 144A   2,538,399 
 565,000   SMB Private Education Loan Trust, Series2018-B, Class B, 4.000%, 7/15/2042, 144A   584,884 
 1,525,000   SMB Private Education Loan Trust, Series2018-C, Class B, 4.000%, 11/17/2042, 144A   1,568,676 
 10,385,000   SMB Private Education Loan Trust, Series2019-A, Class A2A, 3.440%, 7/15/2036, 144A   10,546,403 
 16,265,000   SMB Private Education Loan Trust, Series2019-B, Class A2A, 2.840%, 6/15/2037, 144A   16,328,643 
 9,075,000   SoFi Professional Loan Program LLC, Series2019-A, Class A2FX, 3.690%, 6/15/2048, 144A   9,376,797 
 8,217,000   SoFi Professional Loan Program LLC, Series2019-C, Class A2FX, 2.370%, 11/16/2048, 144A   8,061,895 
    

 

 

 
     89,222,133 
    

 

 

 
    ABS Whole Business — 2.0% 
 10,278,610   Adams Outdoor Advertising LP, Series2018-1, Class A, 4.810%, 11/15/2048, 144A   10,665,474 
 3,595,000   Adams Outdoor Advertising LP, Series2018-1, Class B, 5.653%, 11/15/2048, 144A   3,714,392 
 27,202,500   Coinstar Funding LLC, Series2017-1A, Class A2, 5.216%, 4/25/2047, 144A   27,908,233 
 7,260,515   DB Master Finance LLC, Series2019-1A, Class A23, 4.352%, 5/20/2049, 144A   7,522,111 
 2,383,360   Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A23, 4.118%, 7/25/2047, 144A   2,468,780 
 133,313   Domino’s Pizza Master Issuer LLC, Series2018-1A, Class A2I, 4.116%, 7/25/2048, 144A   137,101 
 5,244,613   Domino’s Pizza Master Issuer LLC, Series2018-1A, Class A2II, 4.328%, 7/25/2048, 144A   5,462,002 
 4,035,000   Domino’s Pizza Master Issuer LLC, Series2019-1A, Class A2, 3.668%, 10/25/2049, 144A   4,035,686 
 2,285,200   Driven Brands Funding LLC, Series2018-1A, Class A2, 4.739%, 4/20/2048, 144A   2,369,204 
 5,046,863   Driven Brands Funding LLC, Series2019-1A, Class A2, 4.641%, 4/20/2049, 144A   5,218,002 
 4,962,500   Five Guys Funding LLC, Series2017-1A, Class A2, 4.600%, 7/25/2047, 144A   5,148,779 
 17,582,250   Stack Infrastructure Issuer LLC, Series2019-1A, Class A2, 4.540%, 2/25/2044, 144A   18,408,863 

 

See accompanying notes to financial statements.

 

|  34


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    ABS Whole Business — continued 
$13,459,050   Taco Bell Funding LLC, Series2018-1A, Class A2I, 4.318%, 11/25/2048, 144A  $13,771,031 
 3,672,250   Wingstop Funding LLC, Series2018-1, Class A2, 4.970%, 12/05/2048, 144A   3,779,994 
    

 

 

 
     110,609,652 
    

 

 

 
    Aerospace & Defense — 1.5% 
 650,000   Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039   807,560 
 78,795,000   Textron, Inc., 5.950%, 9/21/2021   83,206,395 
    

 

 

 
     84,013,955 
    

 

 

 
    Airlines — 1.8% 
 2,811,133   Air Canada Pass Through Trust, Series2013-1, Class B, 5.375%, 11/15/2022, 144A   2,890,127 
 1,687,628   American Airlines Pass Through Certificates, Series2016-3, Class B, 3.750%, 4/15/2027   1,706,646 
 3,782,751   American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027   3,823,925 
 8,007,826   American Airlines Pass Through Trust, Series2016-1, Class B, 5.250%, 7/15/2025   8,470,516 
 2,014,937   American Airlines Pass Through Trust, Series2015-2, Class B, 4.400%, 3/22/2025   2,087,379 
 23,269,000   American Airlines Pass Through Trust, Series2019-1, Class B, 3.850%, 8/15/2029   23,634,789 
 6,855,000   British Airways Pass Through Trust, Series2019-1, Class A, 3.350%, 12/15/2030, 144A   6,970,781 
 1,045,800   Continental Airlines Pass Through Certificates, Series2012-1, Class B, 6.250%, 10/11/2021   1,055,275 
 324,173   Continental Airlines Pass Through Trust, Series2001-1,Class A-1, 6.703%, 12/15/2022   341,549 
 1,039,170   Delta Air Lines Pass Through Trust, Series2007-1, Class A, 6.821%, 2/10/2024   1,128,160 
 4,926,025   Delta Air Lines Pass Through Trust, Series2007-1, Class B, 8.021%, 2/10/2024   5,388,385 
 835,182   Latam Airlines Pass Through Trust, Series2015-1, Class B, 4.500%, 8/15/2025   836,218 
 13,000,876   UAL Pass Through Trust, Series2007-1, Class A, 6.636%, 1/02/2024   13,733,865 
 24,981,273   United Airlines Pass Through Trust, Series2016-2, Class B, 3.650%, 4/07/2027   25,127,913 
 2,724,967   United Airlines Pass Through Trust, Series2018-1, Class A, 3.700%, 9/01/2031   2,796,037 
    

 

 

 
     99,991,565 
    

 

 

 
    Automotive — 2.1% 
 18,836,000   Cummins, Inc., 5.650%, 3/01/2098   23,942,816 
 5,274,000   Cummins, Inc., 6.750%, 2/15/2027   6,509,068 
 14,000,000   Toyota Motor Credit Corp., 1.950%, 4/17/2020   13,999,712 
 10,000,000   Toyota Motor Credit Corp., MTN, 2.150%, 3/12/2020   10,002,611 
 38,060,000   Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022   38,739,333 
 4,750,000   Volkswagen Group of America Finance LLC, 2.500%, 9/24/2021, 144A   4,791,431 

 

See accompanying notes to financial statements.

 

35  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Automotive — continued 
$12,005,000   Volkswagen Group of America Finance LLC, 2.700%, 9/26/2022, 144A  $12,142,182 
 7,565,000   ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A   7,959,864 
    

 

 

 
     118,087,017 
    

 

 

 
    Banking — 7.9% 
 39,613,000   Ally Financial, Inc., 4.625%, 3/30/2025   42,881,072 
 1,468,000   Ally Financial, Inc., 8.000%, 11/01/2031   2,011,681 
 49,304,000   Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028   51,776,288 
 100,000   Bank of America Corp., MTN, 4.250%, 10/22/2026   109,081 
 25,627,000   Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027   27,791,119 
 22,500,000   BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A   24,303,449 
 460,000   Capital One Financial Corp., 4.200%, 10/29/2025   496,563 
 17,000,000   Citigroup, Inc., 3.500%, 5/15/2023   17,694,194 
 1,230,000   Citigroup, Inc., 4.125%, 7/25/2028   1,342,261 
 1,660,000   Citigroup, Inc., 4.500%, 1/14/2022   1,740,490 
 7,155,000   Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A   7,549,455 
 17,940,000   Danske Bank A/S, 5.000%, 1/12/2022, 144A   18,844,044 
 14,200,000   Danske Bank A/S, 5.375%, 1/12/2024, 144A   15,543,803 
 3,390,000   Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A   3,431,010 
 13,075,000   Danske Bank A/S, (fixed rate to 9/20/2021, variable rate thereafter), 3.001%, 9/20/2022, 144A   13,190,898 
 20,999,000   Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032   19,791,558 
 6,645,000   Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020   6,690,024 
 70,245,000   JPMorgan Chase & Co., 4.125%, 12/15/2026   76,956,398 
 100,000   KeyBank NA, 6.950%, 2/01/2028   126,434 
 5,900,000   Morgan Stanley, 5.750%, 1/25/2021   6,127,564 
 1,845,000   Morgan Stanley, GMTN, 4.350%, 9/08/2026   2,018,216 
 20,695,000   Morgan Stanley, MTN, 4.100%, 5/22/2023   21,853,083 
 15,160,000   Santander Holdings USA, Inc., 3.244%, 10/05/2026, 144A   15,327,930 
 20,295,000   Societe Generale S.A., 4.250%, 4/14/2025, 144A   21,208,275 
 21,340,000   Standard Chartered PLC,3-month LIBOR + 1.150%, 3.116%, 1/20/2023, 144A(d)   21,478,497 
 5,900,000   Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A   6,110,984 
 7,580,000   Synchrony Financial, 2.850%, 7/25/2022   7,673,669 
 3,865,000   Synchrony Financial, 4.375%, 3/19/2024   4,123,986 
    

 

 

 
     438,192,026 
    

 

 

 
    Brokerage — 1.6% 
 50,270,000   Jefferies Group LLC, 5.125%, 1/20/2023   54,290,526 
 19,498,000   Jefferies Group LLC, 6.250%, 1/15/2036   23,294,876 
 8,760,000   Jefferies Group LLC, 6.450%, 6/08/2027   10,276,571 
    

 

 

 
     87,861,973 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  36


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Building Materials — 0.5% 
$925,000   Masco Corp., 6.500%, 8/15/2032  $1,135,631 
 23,975,000   Owens Corning, 7.000%, 12/01/2036   29,869,531 
    

 

 

 
     31,005,162 
    

 

 

 
    Cable Satellite — 1.5% 
 15,215,000   Charter Communication Operating LLC/Charter Communication Operating Capital Corp., 4.800%, 3/01/2050   16,044,284 
 6,695,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048   7,819,254 
 10,320,000   Cox Communications, Inc., 4.500%, 6/30/2043, 144A   10,750,045 
 5,820,000   Cox Communications, Inc., 4.700%, 12/15/2042, 144A   6,310,272 
 13,630,000   Time Warner Cable LLC, 4.125%, 2/15/2021   13,850,621 
 9,055,000   Time Warner Cable LLC, 4.500%, 9/15/2042   9,257,638 
 15,815,000   Time Warner Cable LLC, 5.500%, 9/01/2041   17,667,049 
    

 

 

 
     81,699,163 
    

 

 

 
    Chemicals — 0.8% 
 27,205,000   CF Industries, Inc., 4.500%, 12/01/2026, 144A   29,608,549 
 3,740,000   FMC Corp., 3.450%, 10/01/2029   3,867,088 
 2,075,000   FMC Corp., 4.500%, 10/01/2049   2,264,229 
 8,145,000   LYB International Finance III LLC, 4.200%, 10/15/2049   8,501,263 
    

 

 

 
     44,241,129 
    

 

 

 
    Consumer Products — 0.2% 
 7,458,000   Hasbro, Inc., 6.600%, 7/15/2028   8,895,400 
    

 

 

 
    Diversified Manufacturing — 0.1% 
 5,305,000   General Electric Co., Series A, MTN,3-month LIBOR + 0.300%, 2.301%, 5/13/2024(d)   5,102,002 
    

 

 

 
    Electric — 2.2% 
 20,316,424   Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A   22,661,634 
 30,430,000   EDP Finance BV, 4.125%, 1/15/2020, 144A   30,397,014 
 13,025,000   Enel Finance International NV, 6.000%, 10/07/2039, 144A   16,411,808 
 9,007,000   Enel Finance International NV, 6.800%, 9/15/2037, 144A   11,991,613 
 39,280,000   Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A   39,031,256 
    

 

 

 
     120,493,325 
    

 

 

 
    Finance Companies — 1.5% 
 12,430,000   Aircastle Ltd., 4.125%, 5/01/2024   13,060,361 
 20,595,000   Aircastle Ltd., 4.400%, 9/25/2023   21,776,176 
 8,160,000   Aircastle Ltd., 5.000%, 4/01/2023   8,727,782 
 6,700,000   Antares Holdings LP, 6.000%, 8/15/2023, 144A   7,049,272 
 18,830,000   International Lease Finance Corp., 4.625%, 4/15/2021   19,418,448 
 7,805,000   Quicken Loans, Inc., 5.250%, 1/15/2028, 144A   8,078,175 
 6,392,000   Quicken Loans, Inc., 5.750%, 5/01/2025, 144A   6,607,730 
    

 

 

 
     84,717,944 
    

 

 

 
    Food & Beverage — 2.1% 
 8,980,000   BRF S.A., 4.875%, 1/24/2030, 144A   9,260,715 
 13,750,000   General Mills, Inc., 2.600%, 10/12/2022   13,960,789 

 

See accompanying notes to financial statements.

 

37  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Food & Beverage — continued 
$8,595,000   JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A  $8,895,825 
 4,910,000   JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A   5,425,599 
 10,660,000   JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A   11,449,906 
 10,465,000   NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A   11,333,700 
 9,535,000   PepsiCo, Inc., 1.700%, 10/06/2021   9,539,187 
 45,980,000   PepsiCo, Inc., 2.000%, 4/15/2021   46,111,181 
    

 

 

 
     115,976,902 
    

 

 

 
    Government Guaranteed — 1.0% 
 55,000,000   Kreditanstalt fuer Wiederaufbau, 1.500%, 4/20/2020   54,963,095 
    

 

 

 
    Government Owned – No Guarantee — 0.6% 
 21,545,000   Petrobras Global Finance BV, 5.750%, 2/01/2029   24,302,760 
 6,130,000   Petrobras Global Finance BV, 6.900%, 3/19/2049   7,190,490 
    

 

 

 
     31,493,250 
    

 

 

 
    Health Insurance — 0.5% 
 27,570,000   Anthem, Inc., 2.500%, 11/21/2020   27,692,669 
 3,040,000   Centene Corp., 6.125%, 2/15/2024   3,154,000 
    

 

 

 
     30,846,669 
    

 

 

 
    Healthcare — 2.3% 
 19,420,000   Cigna Corp., 4.375%, 10/15/2028   21,515,185 
 1,261,000   Cigna Corp., 7.875%, 5/15/2027, 144A   1,636,465 
 13,765,000   CVS Health Corp., 4.100%, 3/25/2025   14,778,987 
 23,120,000   HCA, Inc., 4.500%, 2/15/2027   24,934,707 
 24,240,000   HCA, Inc., 5.250%, 4/15/2025   27,122,373 
 4,580,000   HCA, Inc., 5.250%, 6/15/2026   5,131,121 
 17,055,000   HCA, Inc., 5.250%, 6/15/2049   19,066,276 
 4,806,000   HCA, Inc., 7.050%, 12/01/2027   5,695,110 
 1,592,000   HCA, Inc., 7.500%, 11/06/2033   2,005,920 
 1,295,000   HCA, Inc., 7.690%, 6/15/2025   1,560,475 
 2,480,000   HCA, Inc., MTN, 7.580%, 9/15/2025   2,963,600 
 3,068,000   HCA, Inc., MTN, 7.750%, 7/15/2036   3,650,920 
    

 

 

 
     130,061,139 
    

 

 

 
    Independent Energy — 2.4% 
 30,195,000   Continental Resources, Inc., 3.800%, 6/01/2024   31,230,311 
 10,525,000   Continental Resources, Inc., 4.375%, 1/15/2028   11,192,075 
 20,900,000   Diamondback Energy, Inc., 3.500%, 12/01/2029   21,267,840 
 10,475,000   Hess Corp., 4.300%, 4/01/2027   11,170,788 
 21,000,000   Newfield Exploration Co., 5.625%, 7/01/2024   23,076,580 
 6,090,000   Occidental Petroleum Corp., 5.550%, 3/15/2026   6,906,736 
 26,185,000   Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A   26,315,925 
 1,885,000   Viper Energy Partners LP, 5.375%, 11/01/2027, 144A   1,960,400 
 60,000   Whiting Petroleum Corp., 6.250%, 4/01/2023   50,501 
    

 

 

 
     133,171,156 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  38


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Integrated Energy — 1.9% 
$55,470,000   Chevron Corp., 2.100%, 5/16/2021  $55,820,295 
 52,303,000   Shell International Finance BV, 1.875%, 5/10/2021   52,364,230 
    

 

 

 
     108,184,525 
    

 

 

 
    Life Insurance — 2.9% 
 5,653,000   American International Group, Inc., 4.200%, 4/01/2028   6,222,858 
 1,475,000   American International Group, Inc., 4.875%, 6/01/2022   1,574,744 
 8,255,000   CNO Financial Group, Inc., 5.250%, 5/30/2029   9,214,644 
 15,000,000   Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A   16,032,411 
 5,895,000   Metropolitan Life Global Funding I,3-month LIBOR + 0.230%, 2.257%, 1/08/2021, 144A(d)   5,896,889 
 30,030,000   Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A   30,874,969 
 9,063,000   Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A   11,839,927 
 26,914,000   National Life Insurance Co., 10.500%, 9/15/2039, 144A(a)(b)   44,419,441 
 6,440,000   NLV Financial Corp., 7.500%, 8/15/2033, 144A(a)(b)   8,686,031 
 2,872,000   Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A   3,695,130 
 14,489,000   Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A   20,845,306 
    

 

 

 
     159,302,350 
    

 

 

 
    Metals & Mining — 3.5% 
 34,334,000   Anglo American Capital PLC, 4.500%, 3/15/2028, 144A   36,798,080 
 8,785,000   Anglo American Capital PLC, 4.750%, 4/10/2027, 144A   9,609,741 
 47,920,000   ArcelorMittal S.A., 6.750%, 3/01/2041   57,080,018 
 19,365,000   ArcelorMittal S.A., 7.000%, 10/15/2039   23,604,524 
 7,688,000   Glencore Funding LLC, 3.875%, 10/27/2027, 144A   7,963,615 
 39,092,000   Glencore Funding LLC, 4.000%, 3/27/2027, 144A   40,632,231 
 11,700,000   Glencore Funding LLC, 4.125%, 3/12/2024, 144A   12,254,535 
 7,375,000   Minera Mexico S.A. de CV, 4.500%, 1/26/2050, 144A   7,493,737 
    

 

 

 
     195,436,481 
    

 

 

 
    Midstream — 4.3% 
 22,495,000   Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029, 144A   22,972,276 
 650,000   DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A   682,500 
 7,000,000   Energy Transfer Operating LP, 4.950%, 6/15/2028   7,670,707 
 36,405,000   Energy Transfer Operating LP, 5.250%, 4/15/2029   40,908,672 
 3,115,000   EnLink Midstream Partners LP, 5.050%, 4/01/2045   2,460,850 
 35,850,000   EnLink Midstream Partners LP, 5.450%, 6/01/2047   28,948,875 
 7,695,000   EnLink Midstream Partners LP, 5.600%, 4/01/2044   6,232,950 
 26,650,000   EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028   26,195,171 
 14,300,000   IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A   14,951,661 
 14,660,000   Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023   15,193,563 
 3,105,000   Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020   3,175,567 
 7,461,000   Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021   7,767,080 
 14,040,000   MPLX LP, 4.250%, 12/01/2027, 144A   14,784,260 
 85,000   NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A   109,751 
 225,000   Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023   227,246 
 40,610,000   Sunoco Logistics Partners Operations LP, 4.000%, 10/01/2027   42,017,038 
 8,405,000   Williams Cos., Inc., 3.350%, 8/15/2022   8,612,025 
    

 

 

 
     242,910,192 
    

 

 

 

 

See accompanying notes to financial statements.

 

39  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Mortgage Related — 0.0% 
$1,531   FNMA, 6.000%, 7/01/2029  $1,714 
    

 

 

 
    Non-Agency Commercial Mortgage-Backed Securities — 0.8% 
 405,000   Commercial Mortgage Trust, Series2012-LC4, Class C, 5.537%, 12/10/2044(c)   420,541 
 3,205,000   Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D,1-month LIBOR + 3.600%, 5.340%, 1/15/2034, 144A(d)   3,221,000 
 12,790,000   Credit Suisse Mortgage Trust, Series2014-USA, Class D, 4.373%, 9/15/2037, 144A   12,565,772 
 5,095,000   DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(c)   5,168,617 
 9,406,000   GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(c)   8,168,264 
 3,456,000   Morgan Stanley Capital I Trust, Series2011-C2, Class E, 5.488%, 6/15/2044, 144A(c)   3,359,799 
 6,706,000   UBS-Barclays Commercial Mortgage Trust, Series2012-C2, Class E, 4.890%, 5/10/2063, 144A(a)(b)(c)   5,600,395 
 3,557,000   WFRBS Commercial Mortgage Trust, Series2011-C2, Class D, 5.652%, 2/15/2044, 144A(c)   3,621,132 
 2,125,000   WFRBS Commercial Mortgage Trust, Series2011-C3, Class D, 5.683%, 3/15/2044, 144A(c)   1,624,085 
 1,746,000   WFRBS Commercial Mortgage Trust, Series2012-C7, Class C, 4.813%, 6/15/2045(c)   1,782,563 
 865,000   WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, 4.813%, 6/15/2045, 144A(c)   741,872 
    

 

 

 
     46,274,040 
    

 

 

 
    Paper — 0.1% 
 2,910,000   WestRock MWV LLC, 7.550%, 3/01/2047(a)(b)   4,003,917 
    

 

 

 
    Pharmaceuticals — 1.3% 
 27,550,000   Gilead Science, Inc., 2.550%, 9/01/2020   27,667,397 
 10,312,000   Mylan NV, 5.250%, 6/15/2046   11,598,532 
 2,459,000   Mylan, Inc., 5.200%, 4/15/2048   2,753,192 
 2,764,000   Mylan, Inc., 5.400%, 11/29/2043   3,063,221 
 17,010,000   Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023   15,748,539 
 8,000,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   6,660,000 
 5,500,000   Teva Pharmaceutical Finance Netherlands III BV, 6.000%, 4/15/2024   5,572,820 
    

 

 

 
     73,063,701 
    

 

 

 
    Property & Casualty Insurance — 0.1% 
 2,740,000   Fidelity National Financial, Inc., 5.500%, 9/01/2022   2,950,234 
    

 

 

 
    REITs – Health Care — 0.1% 
 5,972,000   Welltower, Inc., 6.500%, 3/15/2041   8,093,807 
    

 

 

 
    REITs – Mortgage — 0.2% 
 8,565,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A   8,896,894 
    

 

 

 
    REITs – Single Tenant — 0.2% 
 8,690,000   Realty Income Corp., 5.750%, 1/15/2021   8,939,740 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Retailers — 0.5% 
$391,381   CVS Pass Through Trust, 5.773%, 1/10/2033, 144A  $440,687 
 430,009   CVS Pass Through Trust, 6.036%, 12/10/2028   478,846 
 11,637,350   CVS Pass Through Trust, Series 2013, 4.704%, 1/10/2036, 144A   12,463,253 
 1,220,180   CVS Pass Through Trust, Series 2014, 4.163%, 8/11/2036, 144A   1,265,376 
 1,255,000   Group 1 Automotive, Inc., 5.000%, 6/01/2022   1,272,256 
 8,064,000   Marks & Spencer PLC, 7.125%, 12/01/2037, 144A   9,108,965 
 3,755,000   PVH Corp., 7.750%, 11/15/2023   4,412,876 
    

 

 

 
     29,442,259 
    

 

 

 
    Supermarkets — 0.0% 
 325,000   Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040   401,319 
    

 

 

 
    Technology — 4.0% 
 27,985,000   Avnet, Inc., 4.625%, 4/15/2026   29,615,642 
 26,185,000   Broadcom Corp./Broadcom Cayman Finance Ltd., 3.000%, 1/15/2022   26,572,385 
 27,405,000   Broadcom, Inc., 4.750%, 4/15/2029, 144A   29,966,901 
 27,558,000   Cisco Systems, Inc., 1.850%, 9/20/2021   27,576,871 
 22,066,000   Cisco Systems, Inc., 2.200%, 2/28/2021   22,195,159 
 13,560,000   Equifax, Inc., 3.600%, 8/15/2021   13,873,934 
 17,195,000   Equinix, Inc., 3.200%, 11/18/2029   17,258,965 
 7,440,000   Jabil, Inc., 4.700%, 9/15/2022   7,884,816 
 16,735,000   KLA Corp., 5.650%, 11/01/2034   20,059,106 
 10,768,000   Micron technology, Inc., 4.663%, 2/15/2030   11,864,116 
 1,857,000   Micron Technology, Inc., 5.327%, 2/06/2029   2,130,327 
 5,000,000   Oracle Corp., 2.800%, 7/08/2021   5,076,442 
 9,135,000   Verisk Analytics, Inc., 4.125%, 3/15/2029   10,032,340 
    

 

 

 
     224,107,004 
    

 

 

 
    Treasuries — 19.6% 
 210,910,000   U.S. Treasury Bond, 3.000%, 8/15/2048   238,138,810 
 111,500,000   U.S. Treasury Bond, 3.000%, 2/15/2049   126,116,953 
 55,260,000   U.S. Treasury Note, 1.500%, 8/31/2021   55,173,656 
 88,910,000   U.S. Treasury Note, 1.625%, 8/15/2029   86,683,777 
 30,000,000   U.S. Treasury Note, 1.500%, 4/15/2020   29,991,797 
 166,145,000   U.S. Treasury Note, 1.500%, 10/31/2021   165,917,848 
 67,000,000   U.S. Treasury Note, 1.500%, 11/30/2021   66,911,016 
 28,000,000   U.S. Treasury Note, 2.375%, 4/30/2020   28,067,813 
 284,065,000   U.S. Treasury Note, 2.375%, 5/15/2029   295,460,890 
    

 

 

 
     1,092,462,560 
    

 

 

 
    Wireless — 0.6% 
 22,660,000   Crown Castle International Corp., 3.650%, 9/01/2027   23,981,445 
 6,615,000   Crown Castle International Corp., 4.000%, 3/01/2027   7,143,059 
    

 

 

 
     31,124,504 
    

 

 

 
    Wirelines — 2.1% 
 61,415,000   AT&T, Inc., 4.300%, 2/15/2030   68,243,795 
 435,000   AT&T, Inc., 4.350%, 6/15/2045   469,631 
 3,105,000   AT&T, Inc., 4.500%, 3/09/2048   3,430,398 
 7,980,000   AT&T, Inc., 4.850%, 3/01/2039   9,204,291 
 27,220,000   Telefonica Emisiones S.A., 5.520%, 3/01/2049   34,149,463 
    

 

 

 
     115,497,578 
    

 

 

 
  TotalNon-Convertible Bonds
(Identified Cost $4,909,449,415)
   5,232,967,808 
    

 

 

 

 

See accompanying notes to financial statements.

 

41  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
 Convertible Bonds — 0.7% 
    Cable Satellite — 0.2% 
$9,050,000   DISH Network Corp., 2.375%, 3/15/2024  $8,263,555 
 6,190,000   DISH Network Corp., 3.375%, 8/15/2026   5,954,161 
    

 

 

 
     14,217,716 
    

 

 

 
    Diversified Manufacturing — 0.1% 
 5,165,000   Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024   4,985,885 
    

 

 

 
    Independent Energy — 0.1% 
 6,390,000   Chesapeake Energy Corp., 5.500%, 9/15/2026   3,044,094 
    

 

 

 
    Pharmaceuticals — 0.3% 
 14,075,000   BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024   14,870,220 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $40,552,831)
   37,117,915 
    

 

 

 
    
 Municipals — 0.1% 
    Michigan — 0.0% 
 1,575,000   Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034   1,630,141 
    

 

 

 
    Virginia — 0.1% 
 7,595,000   Tobacco Settlement Financing Corp., SeriesA-1, 6.706%, 6/01/2046   7,315,124 
    

 

 

 
  Total Municipals
(Identified Cost $8,905,434)
   8,945,265 
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $4,958,907,680)
   5,279,030,988 
    

 

 

 
    
 Collateralized Loan Obligations — 2.0% 
 2,905,000   Atrium XII, Series 12A,Class AR, 3-month LIBOR + 0.830%, 2.783%, 4/22/2027, 144A(d)   2,901,318 
 9,918,973   CVP Cascade CLO Ltd., Series2014-2A,Class A1R, 3-month LIBOR + 1.200%, 3.203%, 7/18/2026, 144A(d)   9,918,489 
 8,702,094   Elevation CLO Ltd., Series2015-4A,Class AR, 3-month LIBOR + 0.990%, 2.993%, 4/18/2027, 144A(d)   8,701,466 
 1,785,164   Flatiron CLO Ltd., Series2015-1A,Class AR, 3-month LIBOR + 0.890%, 2.891%, 4/15/2027, 144A(d)   1,783,831 
 5,490,000   Halcyon Loan Advisors Funding, Series2014-3A,Class B1R, 3-month LIBOR + 1.700%, 3.653%, 10/22/2025, 144A(d)   5,502,457 
 6,696,544   Halcyon Loan Advisors Funding Ltd., Series2014-2A, Class A1BR,3-month LIBOR + 1.180%, 3.116%, 4/28/2025, 144A(d)   6,696,410 
 11,630,006   Jamestown CLO VII Ltd., Series2015-7A,Class A1R, 3-month LIBOR + 0.830%, 2.770%, 7/25/2027, 144A(d)   11,626,822 
 966,464   Limerock CLO III LLC, Series2014-3A,Class A1R, 3-month LIBOR + 1.200%, 3.166%, 10/20/2026, 144A(d)   965,735 
 13,685,000   Mountain View CLO X Ltd., Series2015-10A,Class AR, 3-month LIBOR + 0.820%, 2.821%, 10/13/2027, 144A(d)   13,636,346 
 11,250,000   OCP CLO Ltd, Series2015-10A,Class A1R, 3-month LIBOR + 0.820%, 2.756%, 10/26/2027, 144A(d)   11,246,469 

 

See accompanying notes to financial statements.

 

|  42


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
 Collateralized Loan Obligations — (continued) 
$3,115,383   OFSI Fund VII Ltd., Series2014-7A,Class AR, 3-month LIBOR + 0.900%, 2.903%, 10/18/2026, 144A(d)  $3,115,245 
 13,210,000   Parallel Ltd., Series2015-1A,Class AR, 3-month LIBOR + 0.850%, 2.816%, 7/20/2027, 144A(d)   13,186,096 
 6,012,067   Staniford Street CLO Ltd., Series2014-1A,Class AR, 3-month LIBOR + 1.180%, 3.074%, 6/15/2025, 144A(d)   6,010,854 
 4,471,640   Venture VII CDO Ltd., Series2006-7A,Class B, 3-month LIBOR + 0.380%, 2.346%, 1/20/2022, 144A(d)   4,470,318 
 5,960,386   Venture XII CLO Ltd., Series2012-12A,Class ARR, 3-month LIBOR + 0.800%, 2.714%, 2/28/2026, 144A(d)   5,950,385 
 8,219,760   West CLO Ltd., Series2014-1A,Class A1R, 3-month LIBOR + 0.920%, 2.923%, 7/18/2026, 144A(d)   8,212,081 
    

 

 

 
  Total Collateralized Loan Obligations
(Identified Cost $114,044,833)
   113,924,322 
    

 

 

 
    
Shares          
 Preferred Stocks — 0.3% 
    Food & Beverage — 0.3% 
 138,889   Bunge Ltd., 4.875%   14,301,982 
    

 

 

 
    Independent Energy — 0.0% 
 40,860   Chesapeake Energy Corp., 5.000%(a)(b)(e)   721,179 
    

 

 

 
  Total Preferred Stocks
(Identified Cost $17,780,899)
   15,023,161 
    

 

 

 
    
Principal
Amount (‡)
          
 Short-Term Investments — 2.3% 
 2,690,358,211   Central Bank of Iceland, 0.000%, (ISK)(a)(b)(d)(f)   22,221,510 
 104,719,265   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $104,724,501 on 1/02/2020 collateralized by $105,170,000 U.S. Treasury Note, 2.000% due 5/31/2024 valued at $106,815,385 including accrued interest (Note 2 of Notes to Financial Statements)   104,719,265 
    

 

 

 
  Total Short-Term Investments
(Identified Cost $126,617,021)
   126,940,775 
    

 

 

 
    
  Total Investments — 99.3%
(Identified Cost $5,217,350,433)
   5,534,919,246 
  Other assets less liabilities — 0.7%   39,076,851 
    

 

 

 
  Net Assets — 100.0%  $5,573,996,097 
    

 

 

 
    
 (‡)   Principal Amount stated in U.S. dollars unless otherwise noted.  
 (†)   See Note 2 of Notes to Financial Statements.

 

 (a)   Illiquid security. (Unaudited)

 

 

See accompanying notes to financial statements.

 

43  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Investment Grade Bond Fund – (continued)

 

    
 (b)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $163,123,037 or 2.9% of net assets. See Note 2 of Notes to Financial Statements.

 

 (c)   Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2019 is disclosed.

 

 (d)   Variable rate security. Rate as of December 31, 2019 is disclosed.

 

 (e)   Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

 (f)   Security callable by issuer at any time. No specified maturity date.

 

    
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the value of Rule 144A holdings amounted to $1,736,780,922 or 31.2% of net assets.

 

 ABS   Asset-Backed Securities

 

 ARS   Auction Rate Security

 

 FNMA   Federal National Mortgage Association

 

 GMTN   Global Medium Term Note

 

 LIBOR   London Interbank Offered Rate

 

 MTN   Medium Term Note

 

 REITs   Real Estate Investment Trusts

 

 SLM   Sallie Mae

 

  
 ISK   Icelandic Krona

 

Industry Summary at December 31, 2019

 

Treasuries

   19.6

Banking

   7.9 

ABS Car Loan

   7.6 

ABS Home Equity

   4.7 

Midstream

   4.3 

Technology

   4.0 

ABS Other

   3.5 

Metals & Mining

   3.5 

Life Insurance

   2.9 

Independent Energy

   2.5 

Food & Beverage

   2.4 

Healthcare

   2.3 

Electric

   2.2 

Automotive

   2.1 

Wirelines

   2.1 

ABS Whole Business

   2.0 

Other Investments, less than 2% each

   21.4 

Short-Term Investments

   2.3 

Collateralized Loan Obligations

   2.0 
  

 

 

 

Total Investments

   99.3 

Other assets less liabilities

   0.7 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  44


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund

 

    
Shares
   Description  Value (†) 
 Common Stocks — 44.0% of Net Assets 
    Aerospace & Defense — 0.9% 
 693   Boeing Co. (The)  $225,752 
 463   General Dynamics Corp.   81,650 
 443   HEICO Corp.   50,568 
 263   Huntington Ingalls Industries, Inc.   65,981 
 456   L3Harris Technologies, Inc.   90,229 
 677   Spirit AeroSystems Holdings, Inc., Class A   49,340 
 1,195   United Technologies Corp.   178,963 
    

 

 

 
     742,483 
    

 

 

 
    Air Freight & Logistics — 0.2% 
 441   FedEx Corp.   66,684 
 984   United Parcel Service, Inc., Class B   115,187 
    

 

 

 
     181,871 
    

 

 

 
    Airlines — 0.1% 
 100   Delta Air Lines, Inc.   5,848 
 2,900   Japan Airlines Co. Ltd.   90,294 
    

 

 

 
     96,142 
    

 

 

 
    Auto Components — 0.3% 
 5,224   Faurecia SE   283,599 
    

 

 

 
    Automobiles — 0.1% 
 6,257   Ford Motor Co.   58,190 
 1,788   General Motors Co.   65,441 
    

 

 

 
     123,631 
    

 

 

 
    Banks — 6.5% 
 10,749   Bank of America Corp.   378,580 
 122,722   Barclays PLC   292,627 
 10,973   BNP Paribas S.A.   652,214 
 89,017   CaixaBank S.A.   280,320 
 200   Canadian Imperial Bank of Commerce   16,643 
 2,621   Citigroup, Inc.   209,392 
 1,590   Citizens Financial Group, Inc.   64,570 
 21,427   Credit Agricole S.A.   311,791 
 45,081   DNB ASA   843,596 
 2,059   Fifth Third Bancorp   63,294 
 3,983   Huntington Bancshares, Inc.   60,064 
 4,132   JPMorgan Chase & Co.   576,001 
 3,203   KeyCorp   64,829 
 330,303   Lloyds Banking Group PLC   273,630 
 569   PNC Financial Services Group, Inc. (The)   90,829 
 3,588   Regions Financial Corp.   61,570 
 28,051   Societe Generale S.A.   978,923 
 1,099   Truist Financial Corp.   61,896 
 934   U.S. Bancorp   55,377 
 4,927   Wells Fargo & Co.   265,072 
    

 

 

 
     5,601,218 
    

 

 

 

 

See accompanying notes to financial statements.

 

45  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Beverages — 0.8% 
 1,800   Asahi Group Holdings Ltd.  $82,117 
 5,510   Coca-Cola Co. (The)   304,978 
 282   Constellation Brands, Inc., Class A   53,510 
 321   Molson Coors Brewing Co., Class B   17,302 
 1,896   PepsiCo, Inc.   259,126 
    

 

 

 
     717,033 
    

 

 

 
    Biotechnology — 0.8% 
 2,788   AbbVie, Inc.   246,849 
 1,083   Amgen, Inc.   261,079 
 3,105   Gilead Sciences, Inc.   201,763 
    

 

 

 
     709,691 
    

 

 

 
    Building Products — 0.1% 
 1,376   Johnson Controls International PLC   56,017 
    

 

 

 
    Capital Markets — 1.3% 
 1,261   Bank of New York Mellon Corp. (The)   63,466 
 145   BlackRock, Inc.   72,892 
 1,754   Charles Schwab Corp. (The)   83,420 
 271   CME Group, Inc.   54,395 
 1,334   Cohen & Steers, Inc.   83,722 
 1,211   Federated Investors, Inc., Class B   39,466 
 505   Goldman Sachs Group, Inc. (The)   116,115 
 591   Intercontinental Exchange, Inc.   54,697 
 267   Moody’s Corp.   63,388 
 1,934   Morgan Stanley   98,866 
 246   MSCI, Inc.   63,512 
 229   Northern Trust Corp.   24,329 
 356   S&P Global, Inc.   97,206 
 13,500   Singapore Exchange Ltd.   88,913 
 453   State Street Corp.   35,832 
 496   T. Rowe Price Group, Inc.   60,433 
    

 

 

 
     1,100,652 
    

 

 

 
    Chemicals — 0.8% 
 262   Air Products & Chemicals, Inc.   61,567 
 467   Celanese Corp.   57,497 
 1,208   Dow, Inc.   66,114 
 1,086   DuPont de Nemours, Inc.   69,721 
 347   Ecolab, Inc.   66,967 
 674   Linde PLC   143,495 
 660   LyondellBasell Industries NV, Class A   62,357 
 497   PPG Industries, Inc.   66,345 
 119   Sherwin-Williams Co. (The)   69,441 
    

 

 

 
     663,504 
    

 

 

 
    Commercial Services & Supplies — 0.4% 
 232   Cintas Corp.   62,427 
 3,100   Dai Nippon Printing Co. Ltd.   83,847 

 

See accompanying notes to financial statements.

 

|  46


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Commercial Services & Supplies — continued 
 1,013   Republic Services, Inc.  $90,795 
 1,324   Waste Management, Inc.   150,883 
    

 

 

 
     387,952 
    

 

 

 
    Communications Equipment — 0.4% 
 5,934   Cisco Systems, Inc.   284,595 
 346   Motorola Solutions, Inc.   55,754 
    

 

 

 
     340,349 
    

 

 

 
    Construction & Engineering — 0.5% 
 2,264   ACS Actividades de Construccion y Servicios S.A.   90,818 
 2,348   Eiffage S.A.   269,379 
 615   Jacobs Engineering Group, Inc.   55,245 
    

 

 

 
     415,442 
    

 

 

 
    Consumer Finance — 0.3% 
 613   American Express Co.   76,313 
 697   Capital One Financial Corp.   71,728 
 693   Discover Financial Services   58,780 
 634   Synchrony Financial   22,830 
    

 

 

 
     229,651 
    

 

 

 
    Containers & Packaging — 0.1% 
 1,021   Ball Corp.   66,028 
 1,376   International Paper Co.   63,365 
    

 

 

 
     129,393 
    

 

 

 
    Diversified Telecommunication Services — 1.1% 
 12,367   AT&T, Inc.   483,302 
 51,000   HKT Trust & HKT Ltd.   71,874 
 6,265   Verizon Communications, Inc.   384,671 
    

 

 

 
     939,847 
    

 

 

 
    Electric Utilities — 1.0% 
 8,074   Contact Energy Ltd.   38,784 
 863   Duke Energy Corp.   78,714 
 795   Edison International   59,951 
 1,375   Evergy, Inc.   89,499 
 1,376   Exelon Corp.   62,732 
 1,203   FirstEnergy Corp.   58,466 
 2,128   Fortum OYJ   52,526 
 1,564   Pinnacle West Capital Corp.   140,651 
 4,430   PPL Corp.   158,948 
 1,466   Southern Co. (The)   93,384 
    

 

 

 
     833,655 
    

 

 

 
    Electrical Equipment — 0.3% 
 636   AMETEK, Inc.   63,435 
 675   Eaton Corp. PLC   63,936 
 891   Emerson Electric Co.   67,948 
 356   Rockwell Automation, Inc.   72,150 
    

 

 

 
     267,469 
    

 

 

 

 

See accompanying notes to financial statements.

 

47  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

  
Shares
   Description  Value (†) 
    Electronic Equipment, Instruments & Components — 0.2% 
 609   Amphenol Corp., Class A  $65,912 
 2,059   Corning, Inc.   59,938 
 617   TE Connectivity Ltd.   59,133 
    

 

 

 
     184,983 
    

 

 

 
    Energy Equipment & Services — 0.1% 
 1,910   Schlumberger Ltd.   76,782 
    

 

 

 
    Entertainment — 0.5% 
 1,205   Activision Blizzard, Inc.   71,601 
 2,519   Walt Disney Co. (The)   364,323 
    

 

 

 
     435,924 
    

 

 

 
    Food & Staples Retailing — 0.8% 
 415   Costco Wholesale Corp.   121,977 
 2,225   Kroger Co. (The)   64,503 
 1,900   Seven & I Holdings Co. Ltd.   69,645 
 1,448   Sysco Corp.   123,862 
 1,140   Walgreens Boots Alliance, Inc.   67,214 
 1,943   Walmart, Inc.   230,906 
    

 

 

 
     678,107 
    

 

 

 
    Food Products — 0.7% 
 1,370   Archer-Daniels-Midland Co.   63,499 
 2,913   General Mills, Inc.   156,020 
 566   Hershey Co. (The)   83,191 
 2,023   Kraft Heinz Co. (The)   64,999 
 1,815   Mondelez International, Inc., Class A   99,970 
 9,385   Tate & Lyle PLC   94,562 
 647   Tyson Foods, Inc., Class A   58,903 
    

 

 

 
     621,144 
    

 

 

 
    Health Care Equipment & Supplies — 1.2% 
 2,255   Abbott Laboratories   195,869 
 776   Baxter International, Inc.   64,889 
 403   Becton Dickinson & Co.   109,604 
 895   Danaher Corp.   137,365 
 2,666   Medtronic PLC   302,458 
 432   ResMed, Inc.   66,947 
 494   Stryker Corp.   103,710 
 414   Zimmer Biomet Holdings, Inc.   61,968 
    

 

 

 
     1,042,810 
    

 

 

 
    Health Care Providers & Services — 1.1% 
 1,017   AmerisourceBergen Corp.   86,465 
 355   Anthem, Inc.   107,221 
 569   Cigna Corp.   116,355 
 1,903   CVS Health Corp.   141,374 
 455   HCA Healthcare, Inc.   67,253 
 215   Humana, Inc.   78,802 
 397   McKesson Corp.   54,913 

 

See accompanying notes to financial statements.

 

|  48


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Health Care Providers & Services — continued 
 1,185   UnitedHealth Group, Inc.  $348,366 
    

 

 

 
     1,000,749 
    

 

 

 
    Health Care Technology — 0.1% 
 850   Cerner Corp.   62,382 
    

 

 

 
    Hotels, Restaurants & Leisure — 0.8% 
 605   Hilton Worldwide Holdings, Inc.   67,100 
 565   Las Vegas Sands Corp.   39,008 
 518   Marriott International, Inc., Class A   78,441 
 956   McDonald’s Corp.   188,915 
 2,842   Starbucks Corp.   249,869 
 655   Yum! Brands, Inc.   65,978 
    

 

 

 
     689,311 
    

 

 

 
    Household Durables — 0.1% 
 1,165   DR Horton, Inc.   61,454 
 500   Sekisui House Ltd.   10,677 
 388   Whirlpool Corp.   57,242 
    

 

 

 
     129,373 
    

 

 

 
    Household Products — 0.8% 
 472   Clorox Co. (The)   72,471 
 1,075   Colgate-Palmolive Co.   74,003 
 718   Kimberly-Clark Corp.   98,761 
 3,749   Procter & Gamble Co. (The)   468,250 
    

 

 

 
     713,485 
    

 

 

 
    Independent Power & Renewable Electricity Producers — 0.2% 
 3,615   AES Corp. (The)   71,939 
 4,400   Northland Power, Inc.   92,164 
    

 

 

 
     164,103 
    

 

 

 
    Industrial Conglomerates — 0.5% 
 800   3M Co.   141,136 
 5,585   General Electric Co.   62,328 
 855   Honeywell International, Inc.   151,335 
 160   Roper Technologies, Inc.   56,677 
    

 

 

 
     411,476 
    

 

 

 
    Insurance — 2.3% 
 1,323   Aflac, Inc.   69,987 
 1,447   American International Group, Inc.   74,274 
 352   Aon PLC   73,318 
 98,694   Aviva PLC   547,806 
 20,772   AXA S.A.   586,939 
 584   Chubb Ltd.   90,905 
 1,853   Fidelity National Financial, Inc.   84,034 
 1,129   Loews Corp.   59,261 
 677   Marsh & McLennan Cos., Inc.   75,425 
 1,265   MetLife, Inc.   64,477 

 

See accompanying notes to financial statements.

 

49  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Insurance — continued 
 1,016   Principal Financial Group, Inc.  $55,880 
 864   Progressive Corp. (The)   62,545 
 714   Prudential Financial, Inc.   66,930 
 494   Travelers Cos., Inc. (The)   67,653 
 293   Willis Towers Watson PLC   59,168 
    

 

 

 
     2,038,602 
    

 

 

 
    Internet & Direct Marketing Retail — 0.1% 
 1,439   eBay, Inc.   51,962 
    

 

 

 
    IT Services — 2.3% 
 841   Accenture PLC, Class A   177,090 
 1,273   Amdocs Ltd.   91,898 
 1,114   Automatic Data Processing, Inc.   189,937 
 909   Cognizant Technology Solutions Corp., Class A   56,376 
 937   Fidelity National Information Services, Inc.   130,327 
 347   Global Payments, Inc.   63,348 
 1,096   International Business Machines Corp.   146,908 
 980   Leidos Holdings, Inc.   95,932 
 1,161   MasterCard, Inc., Class A   346,663 
 1,600   Nihon Unisys Ltd.   50,190 
 1,779   Paychex, Inc.   151,322 
 2,433   Visa, Inc., Class A   457,161 
    

 

 

 
     1,957,152 
    

 

 

 
    Leisure Products — 0.1% 
 2,500   Sankyo Co. Ltd.   83,032 
    

 

 

 
    Life Sciences Tools & Services — 0.3% 
 751   Agilent Technologies, Inc.   64,068 
 565   Thermo Fisher Scientific, Inc.   183,551 
    

 

 

 
     247,619 
    

 

 

 
    Machinery — 0.9% 
 776   Caterpillar, Inc.   114,599 
 352   Cummins, Inc.   62,994 
 461   Deere & Co.   79,873 
 836   Fortive Corp.   63,862 
 508   Illinois Tool Works, Inc.   91,252 
 465   Ingersoll-Rand PLC   61,808 
 1,900   Mitsubishi Heavy Industries Ltd.   73,676 
 1,397   PACCAR, Inc.   110,503 
 327   Parker-Hannifin Corp.   67,303 
 147   Stanley Black & Decker, Inc.   24,364 
    

 

 

 
     750,234 
    

 

 

 
    Marine — 0.1% 
 78,000   SITC International Holdings Co. Ltd.   95,189 
    

 

 

 
    Media — 0.7% 
 1,000   Cogeco Communications, Inc.   87,174 
 8,266   Comcast Corp., Class A   371,722 

 

See accompanying notes to financial statements.

 

|  50


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Media — continued 
 1,119   Omnicom Group, Inc.  $90,662 
 657   ViacomCBS, Inc., Class B   27,574 
    

 

 

 
     577,132 
    

 

 

 
    Metals & Mining — 0.1% 
 1,105   Nucor Corp.   62,189 
    

 

 

 
    Multi-Utilities — 0.7% 
 6,429   AGL Energy Ltd.   92,536 
 1,800   Canadian Utilities Ltd., Class A   54,296 
 2,487   CenterPoint Energy, Inc.   67,821 
 800   Consolidated Edison, Inc.   72,376 
 943   Dominion Energy, Inc.   78,099 
 554   DTE Energy Co.   71,948 
 2,496   NiSource, Inc.   69,489 
 940   Public Service Enterprise Group, Inc.   55,507 
 402   Sempra Energy   60,895 
    

 

 

 
     622,967 
    

 

 

 
    Multiline Retail — 0.3% 
 424   Dollar General Corp.   66,136 
 1,363   Target Corp.   174,750 
    

 

 

 
     240,886 
    

 

 

 
    Oil, Gas & Consumable Fuels — 1.7% 
 2,522   Chevron Corp.   303,926 
 1,482   ConocoPhillips   96,374 
 1,370   CVR Energy, Inc.   55,389 
 2,467   Devon Energy Corp.   64,068 
 855   EOG Resources, Inc.   71,615 
 5,587   Exxon Mobil Corp.   389,861 
 2,807   Kinder Morgan, Inc.   59,424 
 1,093   Marathon Petroleum Corp.   65,853 
 1,036   Occidental Petroleum Corp.   42,694 
 957   ONEOK, Inc.   72,416 
 556   Phillips 66   61,944 
 523   Pioneer Natural Resources Co.   79,166 
 681   Valero Energy Corp.   63,776 
 2,948   Williams Cos., Inc. (The)   69,927 
    

 

 

 
     1,496,433 
    

 

 

 
    Personal Products — 0.2% 
 327   Estee Lauder Cos., Inc. (The), Class A   67,539 
 1,402   Unilever PLC   80,254 
    

 

 

 
     147,793 
    

 

 

 
    Pharmaceuticals — 2.3% 
 3,863   Bristol-Myers Squibb Co.   247,966 
 1,652   Eli Lilly & Co.   217,122 
 3,960   Johnson & Johnson   577,645 
 4,522   Merck & Co., Inc.   411,276 

 

See accompanying notes to financial statements.

 

51  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Pharmaceuticals — continued 
 8,034   Pfizer, Inc.  $314,772 
 290   Roche Holding AG   94,251 
 814   Zoetis, Inc.   107,733 
    

 

 

 
     1,970,765 
    

 

 

 
    Professional Services — 0.2% 
 408   Equifax, Inc.   57,169 
 710   TransUnion   60,783 
 460   Verisk Analytics, Inc.   68,697 
    

 

 

 
     186,649 
    

 

 

 
    Road & Rail — 0.5% 
 1,132   CSX Corp.   81,912 
 438   Kansas City Southern   67,084 
 424   Norfolk Southern Corp.   82,311 
 890   Union Pacific Corp.   160,903 
 900   West Japan Railway Co.   77,844 
    

 

 

 
     470,054 
    

 

 

 
    Semiconductors & Semiconductor Equipment — 1.5% 
 501   Analog Devices, Inc.   59,539 
 1,138   Applied Materials, Inc.   69,463 
 724   ASM International NV   81,720 
 475   Broadcom, Inc.   150,109 
 5,708   Intel Corp.   341,624 
 376   KLA Corp.   66,992 
 245   Lam Research Corp.   71,638 
 557   NVIDIA Corp.   131,062 
 1,708   QUALCOMM, Inc.   150,697 
 1,227   Texas Instruments, Inc.   157,412 
 555   Xilinx, Inc.   54,262 
    

 

 

 
     1,334,518 
    

 

 

 
    Software — 2.2% 
 394   Intuit, Inc.   103,200 
 646   j2 Global, Inc.   60,537 
 9,674   Microsoft Corp.   1,525,590 
 4,335   Oracle Corp.   229,668 
    

 

 

 
     1,918,995 
    

 

 

 
    Specialty Retail — 0.9% 
 1,300   ABC-Mart, Inc.   88,740 
 1,571   Home Depot, Inc. (The)   343,075 
 1,158   Lowe’s Cos., Inc.   138,682 
 599   Ross Stores, Inc.   69,736 
 1,837   TJX Cos., Inc. (The)   112,167 
    

 

 

 
     752,400 
    

 

 

 
    Technology Hardware, Storage & Peripherals — 2.1% 
 5,826   Apple, Inc.   1,710,805 

 

See accompanying notes to financial statements.

 

|  52


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
    Technology Hardware, Storage & Peripherals — continued 
 1,329   Hewlett Packard Enterprise Co.  $21,078 
 3,068   HP, Inc.   63,047 
    

 

 

 
     1,794,930 
    

 

 

 
    Textiles, Apparel & Luxury Goods — 0.3% 
 1,845   NIKE, Inc., Class B   186,917 
 659   VF Corp.   65,676 
    

 

 

 
     252,593 
    

 

 

 
    Tobacco — 0.8% 
 4,567   Altria Group, Inc.   227,939 
 2,341   British American Tobacco PLC   99,497 
 3,377   Imperial Brands PLC   83,548 
 3,079   Philip Morris International, Inc.   261,992 
    

 

 

 
     672,976 
    

 

 

 
    Trading Companies & Distributors — 0.1% 
 1,748   Fastenal Co.   64,589 
 1,400   ITOCHU Corp.   32,447 
 1,200   Sumitomo Corp.   17,824 
    

 

 

 
     114,860 
    

 

 

 
    Transportation Infrastructure — 0.1% 
 9,401   Enav SpA, 144A   56,105 
    

 

 

 
    Wireless Telecommunication Services — 0.1% 
 2,900   KDDI Corp.   86,525 
    

 

 

 
  Total Common Stocks
(Identified Cost $35,187,434)
   38,012,788 
    

 

 

 
    
Principal
Amount (‡)
          
 Bonds and Notes — 38.6% 
    Banking — 16.3% 
$1,200,000   Banco Bilbao Vizcaya Argentaria S.A., (fixed rate to 11/16/2027, variable rate thereafter), 6.125%(a)   1,234,500 
 1,520,000   Banco BTG Pactual SA, (fixed rate to 2/15/2024, variable rate thereafter), 7.750%, 2/15/2029, 144A   1,609,315 
 985,000   Barclays PLC, (fixed rate to 6/15/2024, variable rate thereafter), 8.000%(a)   1,101,969 
 495,000   Barclays PLC, (fixed rate to 9/15/2023, variable rate thereafter), 7.750%(a)   540,788 
 400,000   CaixaBank S.A., (fixed rate to 3/23/2026, variable rate thereafter), 5.250%, (EUR)(a)   457,990 
 1,400,000   Credit Agricole S.A., (fixed rate to 1/23/2024, variable rate thereafter), 7.875%, 144A(a)   1,595,720 
 1,100,000   Credit Suisse Group AG, (fixed rate to 9/12/2025, variable rate thereafter), 7.250%, 144A(a)   1,227,875 
 1,560,000   HSBC Holdings PLC, (fixed rate to 3/23/2023, variable rate thereafter), 6.250%(a)   1,655,550 
 600,000   Lloyds Banking Group PLC, (fixed rate to 9/27/2025, variable rate thereafter), 7.500%(a)   672,750 

 

See accompanying notes to financial statements.

 

53  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Banking — continued 
$1,405,000   Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2025, variable rate thereafter), 8.000%(a)  $1,617,267 
 1,800,000   Standard Chartered PLC, (fixed rate to 4/02/2023, variable rate thereafter), 7.750%, 144A(a)   1,991,250 
 310,000   UniCredit SpA, (fixed rate to 6/03/2023, variable rate thereafter), 6.625%, (EUR)(a)   375,980 
    

 

 

 
     14,080,954 
    

 

 

 
    Cable Satellite — 0.4% 
 325,000   DISH DBS Corp., 7.750%, 7/01/2026   344,302 
    

 

 

 
    Chemicals — 1.6% 
 335,000   Alpek SAB de CV, 4.250%, 9/18/2029, 144A   341,700 
 985,000   SASOL Financing USA LLC, 5.875%, 3/27/2024   1,066,617 
    

 

 

 
     1,408,317 
    

 

 

 
    Finance Companies — 1.6% 
 565,000   Quicken Loans, Inc., 5.250%, 1/15/2028, 144A   584,775 
 795,000   Unifin Financiera SAB de CV, 8.375%, 1/27/2028, 144A   813,881 
    

 

 

 
     1,398,656 
    

 

 

 
    Financial Other — 0.6% 
 490,000   Kuwait Projects Co. SPC Ltd., EMTN, 4.500%, 2/23/2027   512,148 
    

 

 

 
    Food & Beverage — 1.2% 
 495,000   JBS Investments II GmbH, 7.000%, 1/15/2026, 144A   538,476 
 470,000   NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A   509,015 
    

 

 

 
     1,047,491 
    

 

 

 
    Government Owned – No Guarantee — 2.8% 
 515,000   DP World Crescent Ltd., 4.848%, 9/26/2028, 144A   565,387 
 415,000   OCP S.A., 6.875%, 4/25/2044, 144A   527,457 
 240,000   Oztel Holdings SPC Ltd., 5.625%, 10/24/2023, 144A   255,900 
 480,000   Perusahaan Listrik Negara PT, 4.125%, 5/15/2027, 144A   505,800 
 480,000   Petrobras Global Finance BV, 5.750%, 2/01/2029   541,440 
    

 

 

 
     2,395,984 
    

 

 

 
    Independent Energy — 2.0% 
 540,000   MEG Energy Corp., 6.375%, 1/30/2023, 144A   541,350 
 1,165,000   MEG Energy Corp., 7.000%, 3/31/2024, 144A   1,172,281 
    

 

 

 
     1,713,631 
    

 

 

 
    Industrial Other — 0.6% 
 475,000   GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026, 144A   499,938 
    

 

 

 
    Media Entertainment — 0.6% 
 515,000   Prosus NV, 4.850%, 7/06/2027, 144A   561,268 
    

 

 

 
    Metals & Mining — 1.8% 
 625,000   First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A   639,062 
 820,000   Gold Fields Orogen Holdings BVI Ltd., 6.125%, 5/15/2029, 144A   910,200 
    

 

 

 
     1,549,262 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  54


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
    Midstream — 0.5% 
$380,000   Delek & Avner Tamar Bond Ltd., 5.412%, 12/30/2025, 144A  $400,734 
    

 

 

 
    Oil Field Services — 0.7% 
 600,000   Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A   636,000 
    

 

 

 
    Property & Casualty Insurance — 0.8% 
 510,000   Ardonagh Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP)   671,371 
    

 

 

 
    Sovereigns — 1.7% 
 530,000   Oman Government International Bond, 6.000%, 8/01/2029, 144A   554,327 
 355,000   Qatar Government International Bond, 4.000%, 3/14/2029, 144A   396,181 
 405,000   Saudi Government International Bond, 5.250%, 1/16/2050   503,229 
    

 

 

 
     1,453,737 
    

 

 

 
    Supranational — 1.0% 
 830,000   African Export-Import Bank (The), 3.994%, 9/21/2029, 144A   842,243 
    

 

 

 
    Technology — 1.0% 
 290,000   Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A   399,602 
 455,000   MTN Mauritius Investments Ltd., 6.500%, 10/13/2026, 144A   502,775 
    

 

 

 
     902,377 
    

 

 

 
    Treasuries — 0.6% 
 6,514,000,000   Indonesia Treasury Bond, 8.250%, 5/15/2029, (IDR)   505,823 
    

 

 

 
    Utility Other — 0.3% 
 260,000   Acwa Power Management And Investments One Ltd., 5.950%, 12/15/2039, 144A   276,487 
    

 

 

 
    Wireless — 2.5% 
 900,000   GTH Finance BV, 7.250%, 4/26/2023, 144A   1,013,886 
 505,000   Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A   557,161 
 565,000   Sprint Corp., 7.625%, 3/01/2026   623,082 
    

 

 

 
     2,194,129 
    

 

 

 
  Total Bonds and Notes
(Identified Cost $31,652,905)
   33,394,852 
    

 

 

 
    
Shares          
 Exchange-Traded Funds — 5.1% 
 514,600   Alerian MLP ETF
(Identified Cost $4,707,757)
   4,374,100 
    

 

 

 
    
Principal
Amount (‡)
          
 Senior Loans — 2.4% 
    Airlines — 2.4% 
$2,063,636   

Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020(b)(c)

(Identified Cost $2,061,137)

   2,084,272 
    

 

 

 
    
Shares          
 Preferred Stocks — 0.7% 
    Technology — 0.7% 
 515   Broadcom, Inc., Series A, 8.000%
(Identified Cost $523,250)
   606,655 
    

 

 

 

 

See accompanying notes to financial statements.

 

55  |


Table of Contents

Portfolio of Investments – as of December 31, 2019

Loomis Sayles Multi-Asset Income Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
 Short-Term Investments — 9.0% 
$7,827,130   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $7,827,521 on 1/02/2020 collateralized by $7,105,000 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2022 valued at $7,983,952 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,827,130)  $7,827,130 
    

 

 

 
    
  Total Investments — 99.8%
(Identified Cost $81,959,613)
   86,299,797 
  Other assets less liabilities — 0.2%   140,350 
    

 

 

 
  Net Assets — 100.0%  $86,440,147 
    

 

 

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

 

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

 

 (a)   Perpetual bond with no specified maturity date.

 

 (b)   Illiquid security. (Unaudited)

 

 (c)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $2,084,272 or 2.4% of net assets. See Note 2 of Notes to Financial Statements.

 

  
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the value of Rule 144A holdings amounted to $21,697,522 or 25.1% of net assets.

 

 EMTN   Euro Medium Term Note

 

 ETF   Exchange-Traded Fund

 

  
 EUR   Euro

 

 GBP   British Pound

 

 IDR   Indonesian Rupiah

 

Industry Summary at December 31, 2019

 

Banking

   16.3

Banks

   6.5 

Government Owned – No Guarantee

   2.8 

Wireless

   2.5 

Airlines

   2.5 

Chemicals

   2.4 

Insurance

   2.3 

Pharmaceuticals

   2.3 

IT Services

   2.3 

Software

   2.2 

Technology Hardware, Storage & Peripherals

   2.1 

Independent Energy

   2.0 

Other Investments, less than 2% each

   39.5 

Short-Term Investments

   9.0 

Exchange-Traded Funds

   5.1 
  

 

 

 

Total Investments

   99.8 

Other assets less liabilities

   0.2 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  56


Table of Contents

Statements of Assets and Liabilities

 

December 31, 2019

 

   High Income
Fund
  Investment
Grade Bond
Fund
   Multi-Asset
Income Fund
 

ASSETS

 

Investments at cost

  $144,884,838  $5,217,350,433   $81,959,613 

Net unrealized appreciation

   184,563   317,568,813    4,340,184 
  

 

 

  

 

 

   

 

 

 

Investments at value

   145,069,401   5,534,919,246    86,299,797 

Cash

   19,643   482    30,757 

Due from broker

   103,848        

Foreign currency at value (identified cost $0, $34,356 and $9,422, respectively)

      34,864    9,462 

Receivable for Fund shares sold

   288,823   9,988,794    16,822 

Receivable for securities sold

   261,814   104,000     

Dividends and interest receivable

   1,949,048   40,239,831    640,699 

Tax reclaims receivable

      479    24,292 

Prepaid expenses (Note 8)

   6   226    4 
  

 

 

  

 

 

   

 

 

 

TOTAL ASSETS

   147,692,583   5,585,287,922    87,021,833 
  

 

 

  

 

 

   

 

 

 

LIABILITIES

     

Payable for Fund shares redeemed

   30,991   8,011,293    372,762 

Management fees payable (Note 6)

   61,121   1,729,877    33,618 

Deferred Trustees’ fees (Note 6)

   179,116   925,935    94,834 

Administrative fees payable (Note 6)

   5,058   207,086    3,315 

Payable to distributor (Note 6d)

   1,772   41,954    583 

Other accounts payable and accrued expenses

   87,541   375,680    76,574 
  

 

 

  

 

 

   

 

 

 

TOTAL LIABILITIES

   365,599   11,291,825    581,686 
  

 

 

  

 

 

   

 

 

 

NET ASSETS

  $147,326,984  $5,573,996,097   $86,440,147 
  

 

 

  

 

 

   

 

 

 

NET ASSETS CONSIST OF:

     

Paid-in capital

  $152,974,132  $5,229,586,800   $87,066,139 

Accumulated earnings (loss)

   (5,647,148  344,409,297    (625,992
  

 

 

  

 

 

   

 

 

 

NET ASSETS

  $147,326,984  $5,573,996,097   $86,440,147 
  

 

 

  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

57  |


Table of Contents

Statements of Assets and Liabilities (continued)

 

December 31, 2019

 

   High Income
Fund
   Investment
Grade Bond
Fund
   Multi-Asset
Income Fund
 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

      

Class A shares:

      

Net assets

  $23,199,445   $772,485,362   $28,845,182 
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   5,454,982    68,180,197    2,199,442 
  

 

 

   

 

 

   

 

 

 

Net asset value and redemption price per share

  $4.25   $11.33   $13.11 
  

 

 

   

 

 

   

 

 

 

Offering price per share (100/95.75 of net asset value) (Note 1)

  $4.44   $11.83   $13.69 
  

 

 

   

 

 

   

 

 

 

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

      

Net assets

  $3,835,901   $204,394,573   $16,737,912 
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   898,802    18,249,265    1,282,081 
  

 

 

   

 

 

   

 

 

 

Net asset value and offering price per share

  $4.27   $11.20   $13.06 
  

 

 

   

 

 

   

 

 

 

Class N shares:

      

Net assets

  $11,976,561   $1,367,171,989   $198,001 
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   2,814,782    120,656,644    15,196 
  

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $4.25   $11.33   $13.03 
  

 

 

   

 

 

   

 

 

 

Class Y shares:

      

Net assets

  $108,315,077   $3,118,505,157   $40,659,052 
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

   25,504,177    275,056,548    3,120,428 
  

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $4.25   $11.34   $13.03 
  

 

 

   

 

 

   

 

 

 

Admin Class shares:

      

Net assets

  $   $111,439,016   $ 
  

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

       9,861,865     
  

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $   $11.30   $ 
  

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  58


Table of Contents

Statements of Operations

 

For the Year Ended December 31, 2019

 

   High Income
Fund
  Investment
Grade Bond
Fund
  Multi-Asset
Income Fund
 

INVESTMENT INCOME

 

Interest

  $8,398,038  $213,518,155  $3,324,106 

Dividends

   201,777   857,168   1,370,894 

Less net foreign taxes withheld

   (732  (17,886  (17,196
  

 

 

  

 

 

  

 

 

 
   8,599,083   214,357,437   4,677,804 
  

 

 

  

 

 

  

 

 

 

Expenses

 

Management fees (Note 6)

   881,481   22,174,684   595,472 

Service and distribution fees (Note 6)

   104,123   5,236,025   314,220 

Administrative fees (Note 6)

   64,514   2,440,159   47,707 

Trustees’ fees and expenses (Note 6)

   37,018   278,420   27,552 

Transfer agent fees and expenses (Notes 6 and 7)

   161,197   3,672,993   75,793 

Audit and tax services fees

   54,952   64,267   48,212 

Custodian fees and expenses

   12,794   134,406   43,164 

Legal fees (Note 8)

   4,232   170,820   3,084 

Registration fees

   77,677   206,502   66,381 

Shareholder reporting expenses

   34,722   440,542   8,553 

Miscellaneous expenses (Note 8)

   28,698   174,794   33,389 
  

 

 

  

 

 

  

 

 

 

Total expenses

   1,461,408   34,993,612   1,263,527 

Less waiver and/or expense reimbursement (Note 6)

   (224,533  (1,590,978  (190,284
  

 

 

  

 

 

  

 

 

 

Net expenses

   1,236,875   33,402,634   1,073,243 
  

 

 

  

 

 

  

 

 

 

Net investment income

   7,362,208   180,954,803   3,604,561 
  

 

 

  

 

 

  

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

    

Net realized gain (loss) on:

 

Investments

   (386,388  73,163,029   (1,281,468

Forward foreign currency contracts (Note 2d)

   (44,094  (670,701  (5,147

Foreign currency transactions (Note 2c)

      2,368,603   (78,839

Net change in unrealized appreciation (depreciation) on:

 

Investments

   9,712,862   217,944,856   13,596,978 

Forward foreign currency contracts (Note 2d)

   44,094   670,701    

Foreign currency translations (Note 2c)

   17   (2,229,110  1,859 
  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain on investments, forward foreign currency contracts and foreign currency transactions

   9,326,491   291,247,378   12,233,383 
  

 

 

  

 

 

  

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $16,688,699  $472,202,181  $15,837,944 
  

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

59  |


Table of Contents

Statements of Changes in Net Assets

 

   High Income Fund 
   Year Ended
December 31,
2019
  Period Ended
December 31,
2018(a)
  Year Ended
September 30,
2018
 

FROM OPERATIONS:

    

Net investment income

  $7,362,208  $2,214,373  $8,475,372 

Net realized gain (loss) on investments and forward foreign currency contracts

   (430,482  (6,387,716  1,205,344 

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

   9,756,973   (3,483,546  (7,029,759
  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   16,688,699   (7,656,889  2,650,957 
  

 

 

  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

    

Class A

   (1,135,803  (410,882  (1,227,019

Class C

   (194,240  (81,814  (311,547

Class N

   (609,528  (178,711  (259,688

Class Y

   (5,638,962  (2,141,392  (5,752,686
  

 

 

  

 

 

  

 

 

 

Total distributions

   (7,578,533  (2,812,799  (7,550,940
  

 

 

  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

   1,738,584   (23,511,576  (3,848,432
  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets

   10,848,750   (33,981,264  (8,748,415

NET ASSETS

    

Beginning of the year

   136,478,234   170,459,498   179,207,913 
  

 

 

  

 

 

  

 

 

 

End of the year

  $147,326,984  $136,478,234  $170,459,498 
  

 

 

  

 

 

  

 

 

 

 

(a)

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  60


Table of Contents

Statements of Changes in Net Assets (continued)

 

   Investment Grade Bond Fund 
   Year Ended
December 31,
2019
  Period Ended
December 31,
2018(a)
  Year Ended
September 30,
2018
 

FROM OPERATIONS:

 

Net investment income

  $180,954,803  $44,450,885  $171,956,415 

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

   74,860,931   (228,459,921  (68,790,141

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

   216,386,447   150,673,092   (88,370,511
  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   472,202,181   (33,335,944  14,795,763 
  

 

 

  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

   (25,364,474  (9,439,602  (26,935,957

Class C

   (6,942,862  (4,075,458  (15,654,049

Class N

   (47,788,079  (16,768,000  (41,987,053

Class Y

   (111,238,434  (39,150,105  (111,284,265

Admin Class

   (3,581,152  (1,369,684  (778,851
  

 

 

  

 

 

  

 

 

 

Total distributions

   (194,915,001  (70,802,849  (196,640,175
  

 

 

  

 

 

  

 

 

 

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

   (31,559,822  (126,167,759  (534,159,760
  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets

   245,727,358   (230,306,552  (716,004,172

NET ASSETS

 

Beginning of the year

   5,328,268,739   5,558,575,291   6,274,579,463 
  

 

 

  

 

 

  

 

 

 

End of the year

  $5,573,996,097  $5,328,268,739  $5,558,575,291 
  

 

 

  

 

 

  

 

 

 

 

(a)

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

61  |


Table of Contents

Statements of Changes in Net Assets (continued)

 

   Multi-Asset Income Fund 
   Year Ended
December 31,
2019
  Year Ended
December 31,
2018
 

FROM OPERATIONS:

 

Net investment income

  $3,604,561  $5,207,147 

Net realized loss on investments, forward foreign currency contracts and foreign currency transactions

   (1,365,454  (1,541,137

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

   13,598,837   (16,770,929
  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   15,837,944   (13,104,919
  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Accumulated earnings

   

Class A

   (1,407,776  (3,689,139

Class C

   (591,756  (1,796,319

Class N

   (2,159  (2,353

Class Y

   (1,679,151  (3,691,567

Paid-in capital

   

Class A

   (72,102   

Class C

   (28,844   

Class N

   (532   

Class Y

   (109,510   
  

 

 

  

 

 

 

Total distributions

   (3,891,830  (9,179,378
  

 

 

  

 

 

 

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

   (44,926,409  (2,836,090
  

 

 

  

 

 

 

Net decrease in net assets

   (32,980,295  (25,120,387

NET ASSETS

 

Beginning of the year

   119,420,442   144,540,829 
  

 

 

  

 

 

 

End of the year

  $86,440,147  $119,420,442 
  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

|  62


Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

  High Income Fund—Class A 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $3.99  $4.25  $4.37  $4.23  $3.99  $4.49 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.20   0.05   0.20   0.22   0.20   0.19 

Net realized and unrealized gain (loss)

  0.27   (0.24  (0.14  0.12   0.21   (0.39
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.47   (0.19  0.06   0.34   0.41   (0.20
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.21  (0.06  (0.18  (0.20  (0.16  (0.19

Net realized capital gains

     (0.01        (0.01  (0.11
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.21  (0.07  (0.18  (0.20  (0.17  (0.30
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $4.25  $3.99  $4.25  $4.37  $4.23  $3.99 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)(c)

  11.94  (4.54)%(d)   1.41  8.17  10.66  (4.78)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $23,199  $23,125  $26,175  $34,039  $34,820  $37,870 

Net expenses(e)

  1.03%(f)   1.05%(g)   1.05  1.09%(h)   1.10  1.11%(i) 

Gross expenses

  1.18  1.27%(g)   1.16  1.15  1.14  1.13

Net investment income

  4.84  5.13%(g)   4.73  5.03  5.16  4.41

Portfolio turnover rate

  48  17  55  46  38  69

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%. See Note 6 of Notes to Financial Statements.

(g)

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

(h)

Effective July 1, 2017, the expense limit decreased to 1.05%.

(i)

Effective July 1, 2015, the expense limit decreased to 1.10%.

 

See accompanying notes to financial statements.

 

63  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  High Income Fund—Class C 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $4.00  $4.27  $4.38  $4.24  $4.00  $4.50 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.17   0.05   0.17   0.18   0.18   0.16 

Net realized and unrealized gain (loss)

  0.28   (0.26  (0.13  0.12   0.20   (0.39
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.45   (0.21  0.04   0.30   0.38   (0.23
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.18  (0.05  (0.15  (0.16  (0.13  (0.16

Net realized capital gains

     (0.01        (0.01  (0.11
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.18  (0.06  (0.15  (0.16  (0.14  (0.27
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $4.27  $4.00  $4.27  $4.38  $4.24  $4.00 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)(c)

  11.32  (4.95)%(d)   0.86  7.33  9.81  (5.48)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $3,836  $5,351  $6,248  $11,227  $12,288  $12,609 

Net expenses(e)

  1.78%(f)   1.80%(g)   1.80  1.84%(h)   1.85  1.86%(i) 

Gross expenses

  1.93  2.02%(g)   1.91  1.90  1.89  1.88

Net investment income

  4.11  4.38%(g)   3.99  4.29  4.43  3.68

Portfolio turnover rate

  48  17  55  46  38  69

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%. See Note 6 of Notes to Financial Statements.

(g)

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

(h)

Effective July 1, 2017, the expense limit decreased to 1.80%.

(i)

Effective July 1, 2015, the expense limit decreased to 1.85%.

 

See accompanying notes to financial statements.

 

|  64


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  High Income Fund—Class N 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  Year Ended
September 30,
2018
  Period Ended
September 30,
2017**
 

Net asset value, beginning of the period

 $3.99  $4.25  $4.36  $4.16 
 

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

    

Net investment income(a)

  0.22   0.06   0.20   0.19 

Net realized and unrealized gain (loss)

  0.26   (0.25  (0.12  0.18 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.48   (0.19  0.08   0.37 
 

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

  (0.22  (0.06  (0.19  (0.17

Net realized capital gains

     (0.01      
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.22  (0.07  (0.19  (0.17
 

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $4.25  $3.99  $4.25  $4.36 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  12.28  (4.47)%(c)   1.96  8.99%(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

 $11,977  $10,417  $10,338  $1 

Net expenses(d)

  0.72%(e)   0.75%(f)   0.75  0.75%(f)(g) 

Gross expenses

  0.82  0.89%(f)   0.79  31.73%(f) 

Net investment income

  5.13  5.45%(f)   4.65  5.19%(f) 

Portfolio turnover rate

  48  17  55  46%(h) 

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

**

From commencement of Class operations on November 30, 2016 through September 30, 2017.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%. See Note 6 of Notes to Financial Statements.

(f)

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

(g)

Effective July 1, 2017, the expense limit decreased to 0.75%.

(h)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

 

See accompanying notes to financial statements.

 

65  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  High Income Fund—Class Y 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $3.98  $4.24  $4.36  $4.22  $3.98  $4.48 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.21   0.06   0.21   0.23   0.21   0.20 

Net realized and unrealized gain (loss)

  0.28   (0.25  (0.14  0.12   0.21   (0.39
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.49   (0.19  0.07   0.35   0.42   (0.19
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.22  (0.06  (0.19  (0.21  (0.17  (0.20

Net realized capital gains

     (0.01        (0.01  (0.11
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.22  (0.07  (0.19  (0.21  (0.18  (0.31
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $4.25  $3.98  $4.24  $4.36  $4.22  $3.98 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  12.52  (4.49)%(c)   1.68  8.47  10.98  (4.54)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $108,315  $97,585  $127,699  $133,940  $129,169  $116,837 

Net expenses(d)

  0.77%(e)   0.80%(f)   0.80  0.84%(g)   0.85  0.86%(h) 

Gross expenses

  0.93  1.02%(f)   0.91  0.90  0.89  0.88

Net investment income

  5.07  5.39%(f)   4.98  5.28  5.43  4.67

Portfolio turnover rate

  48  17  55  46  38  69

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%. See Note 6 of Notes to Financial Statements.

(f)

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

(g)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(h)

Effective July 1, 2015, the expense limit decreased to 0.85%.

 

See accompanying notes to financial statements.

 

|  66


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Investment Grade Bond Fund—Class A 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $10.77  $10.98  $11.30  $11.59  $11.10  $12.11 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.35   0.08   0.30   0.36   0.39   0.40 

Net realized and unrealized gain (loss)

  0.58   (0.16  (0.28  0.05   0.48   (0.95
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.93   (0.08  0.02   0.41   0.87   (0.55
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.36  (0.08  (0.21  (0.26  (0.23  (0.34

Net realized capital gains

  (0.01  (0.05  (0.13  (0.44  (0.15  (0.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.37  (0.13  (0.34  (0.70  (0.38  (0.46
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.33  $10.77  $10.98  $11.30  $11.59  $11.10 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  8.78%(c)   (0.66)%(c)(d)   0.19%(c)   3.88  8.06  (4.72)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $772,485  $721,110  $777,391  $902,955  $1,130,260  $1,628,216 

Net expenses

  0.77%(e)(f)   0.78%(e)(g)   0.80%(e)(h)   0.82%(i)   0.85  0.83

Gross expenses

  0.81  0.82%(g)   0.82  0.82  0.85  0.83

Net investment income

  3.10  3.09%(g)   2.73  3.23  3.49  3.38

Portfolio turnover rate

  44%(j)   39%(j)   3  10  11  23

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%. See Note 6 of Notes to Financial Statements.

(g)

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

(h)

Effective July 1, 2018, the expense limit decreased to 0.78%.

(i)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(j)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to a changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

67  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Investment Grade Bond Fund—Class C 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $10.65  $10.86  $11.19  $11.48  $11.00  $12.00 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.26   0.06   0.22   0.27   0.30   0.31 

Net realized and unrealized gain (loss)

  0.58   (0.16  (0.28  0.06   0.47   (0.94
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.84   (0.10  (0.06  0.33   0.77   (0.63
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.28  (0.06  (0.14  (0.18  (0.14  (0.25

Net realized capital gains

  (0.01  (0.05  (0.13  (0.44  (0.15  (0.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.29  (0.11  (0.27  (0.62  (0.29  (0.37
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.20  $10.65  $10.86  $11.19  $11.48  $11.00 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  7.94%(c)   (0.86)%(c)(d)   (0.53)%(c)   3.12  7.18  (5.40)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $204,395  $366,068  $412,788  $689,798  $1,001,522  $1,219,687 

Net expenses

  1.52%(e)(f)   1.53%(e)(g)   1.55%(e)(h)   1.57%(i)   1.60  1.58

Gross expenses

  1.56  1.57%(g)   1.57  1.57  1.60  1.58

Net investment income

  2.35  2.34%(g)   1.96  2.49  2.74  2.63

Portfolio turnover rate

  44%(j)   39%(j)   3  10  11  23

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%. See Note 6 of Notes to Financial Statements.

(g)

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

(h)

Effective July 1, 2018, the expense limit decreased to 1.53%.

(i)

Effective July 1, 2017, the expense limit decreased to 1.55%.

(j)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to a changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

|  68


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Investment Grade Bond Fund—Class N 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $10.78  $10.98  $11.30  $11.58  $11.11  $12.11 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.38   0.09   0.34   0.39   0.43   0.44 

Net realized and unrealized gain (loss)

  0.58   (0.15  (0.28  0.07   0.47   (0.93
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.96   (0.06  0.06   0.46   0.90   (0.49
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.40  (0.09  (0.25  (0.30  (0.28  (0.39

Net realized capital gains

  (0.01  (0.05  (0.13  (0.44  (0.15  (0.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.41  (0.14  (0.38  (0.74  (0.43  (0.51
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.33  $10.78  $10.98  $11.30  $11.58  $11.11 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  9.11  (0.58)%(b)   0.50  4.34  8.31  (4.28)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $1,367,172  $1,216,690  $1,251,189  $1,203,169  $47,343  $21,851 

Net expenses

  0.47%(c)   0.48%(d)   0.47%(e)   0.48%(f)   0.47  0.47

Gross expenses

  0.47  0.48%(d)   0.47  0.48  0.47  0.47

Net investment income

  3.40  3.40%(d)   3.05  3.51  3.88  3.78

Portfolio turnover rate

  44%(g)   39%(g)   3  10  11  23

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%. See Note 6 of Notes to Financial Statements.

(d)

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

(e)

Effective July 1, 2018, the expense limit decreased to 0.48%.

(f)

Effective July 1, 2017, the expense limit decreased to 0.50%.

(g)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to a changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

69  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Investment Grade Bond Fund—Class Y 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $10.78  $10.99  $11.31  $11.59  $11.11  $12.12 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.37   0.09   0.33   0.39   0.42   0.43 

Net realized and unrealized gain (loss)

  0.59   (0.16  (0.28  0.06   0.47   (0.95
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.96   (0.07  0.05   0.45   0.89   (0.52
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.39  (0.09  (0.24  (0.29  (0.26  (0.37

Net realized capital gains

  (0.01  (0.05  (0.13  (0.44  (0.15  (0.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.40  (0.14  (0.37  (0.73  (0.41  (0.49
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.34  $10.78  $10.99  $11.31  $11.59  $11.11 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  9.04%(b)   (0.59)%(b)(c)   0.43%(b)   4.24  8.25  (4.47)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $3,118,505  $2,912,537  $3,001,906  $3,453,137  $4,571,167  $6,081,536 

Net expenses

  0.52%(d)(e)   0.53%(d)(f)   0.55%(d)(g)   0.57%(h)   0.60  0.58

Gross expenses

  0.56  0.57%(f)   0.57  0.57  0.60  0.58

Net investment income

  3.35  3.35%(f)   2.98  3.48  3.74  3.63

Portfolio turnover rate

  44%(i)   39%(i)   3  10  11  23

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%. See Note 6 of Notes to Financial Statements.

(f)

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

(g)

Effective July 1, 2018, the expense limit decreased to 0.53%.

(h)

Effective July 1, 2017, the expense limit decreased to 0.55%.

(i)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to a changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

|  70


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Investment Grade Bond Fund—Admin Class 
  Year Ended
December 31,
2019
  Period Ended
December 31,
2018*
  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

 $10.75  $10.95  $11.28  $11.56  $11.08  $12.09 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.32   0.08   0.28   0.34   0.37   0.37 

Net realized and unrealized gain (loss)

  0.58   (0.15  (0.28  0.06   0.47   (0.95
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  0.90   (0.07  0.00(b)   0.40   0.84   (0.58
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.34  (0.08  (0.20  (0.24  (0.21  (0.31

Net realized capital gains

  (0.01  (0.05  (0.13  (0.44  (0.15  (0.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.35  (0.13  (0.33  (0.68  (0.36  (0.43
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $11.30  $10.75  $10.95  $11.28  $11.56  $11.08 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

  8.43%(c)   (0.63)%(c)(d)   (0.07)%(c)   3.76%(c)   7.73  (4.95)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $111,439  $111,864  $115,301  $25,521  $35,294  $37,355 

Net expenses

  1.02%(e)(f)   1.03%(e)(g)   1.02%(e)(h)(i)   1.02%(e)(j)(k)   1.07%(l)   1.08

Gross expenses

  1.06  1.07%(g)   1.05%(h)   1.03%(j)   1.07%(l)   1.08

Net investment income

  2.85  2.85%(g)   2.56  3.03  3.27  3.14

Portfolio turnover rate

  44%(m)   39%(m)   3  10  11  23

 

*

For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements.

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%. See Note 6 of Notes to Financial Statements.

(g)

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

(h)

Includes refund of prior year service fee of 0.02%.

(i)

Effective July 1, 2018, the expense limit decreased to 1.03%.

(j)

Includes refund of prior year service fee of 0.05%.

(k)

Effective July 1, 2017, the expense limit decreased to 1.05%.

(l)

Includes refund of prior year service fee of 0.03%.

(m)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to a change in the investment strategy and management structure of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

See accompanying notes to financial statements.

 

71  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Multi-Asset Income Fund—Class A 
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
  Year Ended
December 31,
2015
 

Net asset value, beginning of the period

 $11.78  $13.87  $13.24  $12.85  $13.45 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.42   0.48   0.47   0.49   0.32 

Net realized and unrealized gain (loss)

  1.36   (1.71  1.15   0.80   (0.58
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.78   (1.23  1.62   1.29   (0.26
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.42  (0.42  (0.45  (0.40  (0.34

Net realized capital gains

     (0.44  (0.54  (0.50   

Paid-in capital

  (0.03            
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.45  (0.86  (0.99  (0.90  (0.34
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $13.11  $11.78  $13.87  $13.24  $12.85 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)(c)

  15.39  (9.24)%   12.41  10.14  (1.96)% 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $28,845  $51,028  $54,754  $57,320  $63,254 

Net expenses(d)

  0.95  0.95  0.95  0.95  1.04%(e) 

Gross expenses

  1.13  1.11  1.13  1.09  1.11

Net investment income

  3.37  3.63  3.37  3.70  2.40

Portfolio turnover rate

  277  282  221  341%(f)   93

 

(a)

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

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

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

(d)

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

(e)

Effective September 1, 2015, the expense limit decreased from 1.25% to 0.95%.

(f)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

 

See accompanying notes to financial statements.

 

|  72


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Multi-Asset Income Fund—Class C 
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
  Year Ended
December 31,
2015
 

Net asset value, beginning of the period

 $11.73  $13.82  $13.18  $12.80  $13.41 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.33   0.38   0.36   0.39   0.24 

Net realized and unrealized gain (loss)

  1.36   (1.71  1.16   0.79   (0.60
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.69   (1.33  1.52   1.18   (0.36
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.34  (0.32  (0.34  (0.30  (0.25

Net realized capital gains

     (0.44  (0.54  (0.50   

Paid-in capital

  (0.02            
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.36  (0.76  (0.88  (0.80  (0.25
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $13.06  $11.73  $13.82  $13.18  $12.80 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)(c)

  14.59  (9.96)%   11.70  9.27  (2.73)% 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $16,738  $24,058  $36,814  $46,351  $47,791 

Net expenses(d)

  1.70  1.70  1.70  1.70  1.80%(e) 

Gross expenses

  1.88  1.86  1.88  1.84  1.87

Net investment income

  2.62  2.83  2.65  2.96  1.78

Portfolio turnover rate

  277  282  221  341%(f)   93

 

(a)

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

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

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

(d)

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

(e)

Effective September 1, 2015, the expense limit decreased from 2.00% to 1.70%.

(f)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

 

See accompanying notes to financial statements.

 

73  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Multi-Asset Income Fund—Class N 
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
  Period Ended
December 31,
2015*
 

Net asset value, beginning of the period

 $11.70  $13.79  $13.16  $12.77  $12.70 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

  0.45   0.52   0.51   0.53   0.14 

Net realized and unrealized gain (loss)

  1.37   (1.71  1.15   0.80   0.10 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

  1.82   (1.19  1.66   1.33   0.24 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

  (0.46  (0.46  (0.49  (0.44  (0.17

Net realized capital gains

     (0.44  (0.54  (0.50   

Paid-in capital

  (0.03            
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Distributions

  (0.49  (0.90  (1.03  (0.94  (0.17
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

 $13.03  $11.70  $13.79  $13.16  $12.77 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

  15.86  (9.02)%   12.83  10.53  1.91%(c) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

 $198  $32  $35  $1  $1 

Net expenses(d)

  0.65  0.65  0.65  0.65  0.65%(e) 

Gross expenses

  1.96  1.35  1.35  13.53  13.66%(e) 

Net investment income

  3.57  3.93  3.71  4.02  3.22%(e) 

Portfolio turnover rate

  277  282  221  341%(f)   93

 

*

From commencement of Class operations on August 31, 2015 through December 31, 2015.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

(f)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015.

 

See accompanying notes to financial statements.

 

|  74


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

  Multi-Asset Income Fund—Class Y 
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
  Year Ended
December 31,
2015
 

Net asset value, beginning of the period

 $11.70  $13.80  $13.17  $12.79  $13.39