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Loomis Sayles Funds Ii

Filed: 7 Dec 20, 10:50am

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

 

 

Loomis Sayles Funds II

(Exact name of Registrant as specified in charter)

 

 

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

(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30

Date of reporting period: September 30, 2020

 

 

 


Item 1. Reports to Stockholders.

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


LOGO

 

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Annual Report

September 30, 2020

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 1-800-633-3330. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/loomissayles.


LOOMIS SAYLES SMALL CAP GROWTH FUND

 

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

 

 

Investment Objective

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

 

 

Market Conditions

The one-year period ending September 30, 2020 was positive for most domestic equity markets, although those positive returns were hard-fought. The robust positive returns in some ways masked the full extent of the challenges that investors faced over the course of this time period. After starting the period strongly, the Russell 2000® Growth Index declined in historic fashion during the first quarter of 2020 but then saw an equally sharp rebound in the second quarter. Further gains in the third quarter of 2020 added to the period’s total return.

Growth, as measured by the Russell 2000® Growth Index, significantly outperformed value, as measured by the Russell 2000® Value Index, over this time period.

Performance Results

For the 12 months ended September 30, 2020, Institutional Class shares of the Loomis Sayles Small Cap Growth Fund returned 17.98% at net asset value. The Fund outperformed its benchmark, the Russell 2000® Growth Index, which returned 15.71%.

Explanation of Fund Performance

Among contributors to overall return, stock selection in the healthcare, financials, and information technology sectors, along with an underweight position in the real estate sector, drove the Fund’s outperformance. By contrast, stock selection in the consumer discretionary sector hurt relative performance.

Among individual stocks, the Fund’s top contributors to performance were medical equipment manufacturer Quidel Corp., contact center software provider Five9 Inc. and pet food maker Freshpet Inc. Quidel performed very well during the period, as its diagnostic tests were among those used for Covid-19 testing, boosting sales. Secular growth trends toward migrating contact-center solutions to the cloud and virtualizing workforces remained in place and supported Five9’s growth. Freshpet issued robust guidance in the belief that it has ample room to grow and to continue to penetrate the dog food market. Sales rose significantly as people began to shelter in place and bought supplies in bulk, and pet adoptions were also up during the pandemic, raising investor sentiment around the stock.

 

1  |


 

Conversely, specialty food distributor The Chefs’ Warehouse Inc., industrial manufacturer Hexcel Corp. and online education provider Laureate Education Inc. were the largest detractors from the Fund’s performance. Chefs’ Warehouse saw its end markets significantly impacted by the Covid-19 crisis, especially among caterers and restaurants. Hexcel encountered disruptions in the Boeing supply chain that weighed on the stock, and the effect of the Covid-19 crisis on the airline industry only exacerbated that impact. Laureate Education reported lackluster results during the period, and guidance was below expectations. Investor concerns about slowing growth in the US market and the ability to continue making divestitures in the current industry environment appeared to weigh on the stock. The Fund sold its positions in all three of these stocks.

Outlook

Despite the pause in September, the markets have been able to deliver spectacular returns, particularly when measured from the market bottom in March of this year. Despite strong returns, however, small-cap stocks underperformed their large-cap peers. The underperformance of small-caps during the third quarter put the rolling three-year differential between large-cap and small-cap performance at its widest level since 1999. The last time large-caps outperformed small-caps by such a wide margin, small-caps subsequently enjoyed a prolonged period of outperformance.

Volatility is likely to increase as we approach the election, and regardless of the outcome, it may continue to be an uncertain time for the markets. However, increasing visibility surrounding a potential vaccine for Covid-19 may provide some stability.

While there is so much that is not known about the pandemic and the continued economic impact, we remain focused on the underlying fundamentals of our companies. These stock-specific fundamentals should have a more significant effect on investment returns as uncertainty surrounding the virus and its economic ramifications fade. We certainly take into account how the world may change as a result of what we are going through and the impact those changes may have on individual companies, but we continue to seek out long-term secular winners that can grow into larger entities and create value for stakeholders.

 

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LOOMIS SAYLES SMALL CAP GROWTH FUND

 

 

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

September 30, 2010 through September 30, 20202

 

LOGO

See notes to chart on page 4.

Top Ten Holdings as of September 30, 2020

 

Security name  % of
assets
 
1  Freshpet, Inc.   2.07
2  Five9, Inc.   1.92 
3  LHC Group, Inc.   1.87 
4  SiteOne Landscape Supply, Inc.   1.85 
5  Generac Holdings, Inc.   1.74 
6  Kinsale Capital Group, Inc.   1.68 
7  Palomar Holdings, Inc.   1.63 
8  Inovalon Holdings, Inc., Class A   1.57 
9  Globant S.A.   1.54 
10  Goosehead Insurance, Inc., Series A   1.52 

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.

 

3  |  


Average Annual Total Returns — September 30, 20202

 

                   Expense Ratios3 
   1 year  5 years  10 years  Life of
Class N
  Gross  Net 
   
Institutional Class
(Inception
12/31/96)
  17.98  13.62  14.02    0.95  0.95
   
Retail Class
(Inception
12/31/96)
  17.67   13.33   13.72      1.20   1.20 
   
Class N
(Inception
2/1/13)
  18.09   13.76      13.27   0.82   0.82 
  
Comparative Performance       
Russell 2000® Growth Index1  15.71   11.42   12.34   11.34         

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

 

1  

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

 

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

 

3  Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

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

 

 

Investment Objective

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

 

 

Market Conditions

The one-year period ending September 30, 2020 included several distinct market phases. The first brought a cyclical-led rally that took domestic equity markets to new all-time highs by early 2020, based on improving leading economic indicators, renewed optimism over a trade deal with China and a supportive US Federal Reserve (the “Fed”) that provided an additional interest rate cut in the fourth quarter of 2019. In late February and March, the equity markets entered a swift and steep correction period as the Covid-19 emerged, causing resulting economic activity and corporate earnings projections to fall sharply. However, with a supportive Fed and many governmental stimulus programs, the market rebounded from its lows in record time as investors began to look beyond the impact of the virus with few attractive investment alternatives to stocks.

Small-cap stocks participated in the equity market recovery, matching the very healthy rebound of larger-cap stocks. The net result for the Russell 2000® Index was a slightly positive total return for the period. However, small-cap value stocks dramatically underperformed small-cap growth stocks by a margin of over 30 percentage points, with the Russell 2000® Growth Index returning +15.7% compared to the Russell 2000® Value Index return of -14.9%.

One of the driving forces behind growth stocks’ domination of market return was an investor preference for higher-visibility sales and earnings that certain sectors and industries provided during a period of increased global economic uncertainty. Record-low interest rates also had an impact on separating leading and lagging economic sectors over the course of the year. With optimism over Covid-19 vaccine development and future production volumes, the healthcare sector was the top performer. Lagging sectors included energy due to falling oil prices and demand, financials on concerns over lending credit problems and defensive sectors such as real estate and utilities.

Performance Review

For the 12 months ended September 30, 2020, Institutional Class shares of the Loomis Sayles Small Cap Value Fund returned -15.31% at net asset value. The Fund underperformed its benchmark, the Russell 2000® Value Index, which returned -14.88%.

 

5  |


 

Explanation of Performance

Global event services provider Viad Corp., hotel meeting and conference company Ryman Hospitality Properties, Inc. and oilfield services company ChampionX Corp. detracted the most from relative performance. Viad’s operations include corporate gatherings, conventions, conferences, trade shows and exhibitions as well as a travel and tourism business that serves destinations in the US, Canada and Iceland. Both business lines were significantly impacted by Covid-19 and the near elimination of large group gatherings and tourism-related travel. Similarly, Ryman Hospitality is a REIT that specializes in group-oriented hotels used for large-scale meetings and conferences. The outbreak of Covid-19 created an immediate and severe disruption to the business that extended throughout the period. ChampionX, formerly known as Apergy Corp., struggled as energy stocks significantly underperformed the market. Investors also had concerns that the announced merger with the oilfield service division of Ecolabs might not close, and even once it did in June, the subsequent rally in the stock failed to offset declines from earlier in the period. The Fund sold its positions in Viad and Ryman Hospitality.

Looking at drivers of the Fund’s performance, very positive sector allocation was offset by lagging stock selection. The Fund started the fiscal year positioned fairly conservatively, residing in the upper portion of the market capitalization range and emphasizing companies with highly durable business models. This served the Fund well throughout the market correction and shortly thereafter, but caused it to lag the benchmark during the cyclical rally of lower quality stocks over the last few months of the fiscal period.

From a sector standpoint, the Fund’s fairly significant underweight positions in energy and financials contributed to performance, as these were the two worst performing sectors of the small-cap value market. An overweight to the industrials and information technology was also a positive to relative performance. Stock selection was favorable in the financials, communication services and healthcare sectors. By contrast, the Fund was negatively affected by its overweight position in the communication services sector and by stock selection particularly within the information technology, consumer discretionary and materials sectors.

Among individual stocks, medical diagnostic test manufacturer Quidel Corp., drug compound contract manufacturer Catalent Inc. and biopharmaceutical vaccine specialist Emergent BioSolutions Inc. had the largest positive contributions to performance for the period. During the last six months of the period, Quidel received emergency use authorization from the FDA to provide Covid-19 tests both to clinical labs and for point of care testing. The company ramped up manufacturing to produce nearly 7 million Covid-19 tests quarterly for healthcare workers, schools, and businesses as the economy reopened. Catalent’s expanding presence in biologics improved top line growth, expanding operating margins, and generating stronger free cash flow, which attracted new investors to the stock. During 2020, Catalent made numerous announcements regarding partnerships to manufacture potential Covid-19 vaccines on behalf of several well-known pharmaceutical

 

  |  6


LOOMIS SAYLES SMALL CAP VALUE FUND

 

developers. Emergent BioSolutions is a specialty biopharmaceutical company providing vaccines and medical countermeasures for biological and chemical threats as well as infectious disease. Given the company’s area of expertise, as well as an established contract manufacturing operation, it recently announced several large contracts providing development and manufacturing services to a number of Covid-19 vaccine organizations. In addition, the company leveraged its own proprietary platform technology to develop Covid-19 therapeutic products.

Outlook

We remain committed to identifying inefficiencies in the small-cap market that result in stock prices and valuations that do not accurately reflect our assessment of the underlying value of the corporate enterprise.

While many forms of inefficiency may exist, we focus on companies that are misunderstood, underfollowed or in the midst of a “special situation” where we believe we can use our strengths in the form of our time horizon, resource deployment or a willingness to solve complex situations. We require fundamentally sound business models, capable management teams and financial stability.

Key to our process are distinct, company-specific catalysts on the horizon to sustain, enhance, or highlight the fundamental outlook. These principles are applied consistently over time, regardless of the current market environment. With a margin of safety and a proper time horizon, our goal is to achieve an attractive total return for our investors, while managing to an appropriate level of risk.

 

 

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

September 30, 2010 through September 30, 20203

 

LOGO

See notes to chart on page 9.

 

7  |  


 

Top Ten Holdings as of September 30, 2020

 

Security name  % of
assets
 
1  Nomad Foods Ltd.   1.75
2  GCI Liberty, Inc., Class A   1.66 
3  NextEra Energy Partners LP   1.49 
4  Arcosa, Inc.   1.33 
5  Churchill Downs, Inc.   1.29 
6  Darling Ingredients, Inc.   1.28 
7  IAA, Inc.   1.27 
8  Rexford Industrial Realty, Inc.   1.25 
9  Vertiv Holdings Co.   1.23 
10  Alamo Group, Inc.   1.17 

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.

 

  |  8


LOOMIS SAYLES SMALL CAP VALUE FUND

 

Average Annual Total Returns — September 30, 20203

 

                   Expense Ratios4 
   1 year  5 years  10 years  

Life of

Class N

  

Gross

  

Net

 
   
Institutional Class
(Inception
5/13/91)
  -15.31  3.80  7.98    0.95  0.92
   
Retail Class
(Inception
12/31/96)
  -15.56   3.54   7.70      1.20   1.17 
   
Admin Class
(Inception
1/2/98)
  -15.74   3.29   7.43      1.45   1.42 
   
Class N
(Inception
2/1/13)
  -15.28   3.87      5.60   0.85   0.85 
  
Comparative Performance       
Russell 2000® Value Index1  -14.88   4.11   7.09   4.86    
Russell 2000® Index2  0.39   8.00   9.85   8.25         

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

 

1  

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

 

2  

Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

 

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

 

4  Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

9  |  


LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

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

 

 

Investment Objective

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

 

 

Market Conditions

The one-year period ending September 30, 2020 was positive for most domestic equity markets, although those positive returns were hard-fought. The robust positive returns in some ways masked the full extent of the challenges that investors faced over the course of this time period. After starting the period strongly, the Russell 2500 Growth Index declined in historic fashion during the first quarter of 2020 but then saw an equally sharp rebound in the second quarter. Further gains in the third quarter of 2020 added to the period’s total return.

Growth, as measured by the Russell 2500 Growth Index, significantly outperformed value, as measured by the Russell 2500 Value Index, over this time period.

Performance Results

For the 12 months ended September 30, 2020, Institutional Class shares of the Loomis Sayles Small/Mid Cap Growth Fund returned 20.38% at net asset value. The Fund underperformed its benchmark, the Russell 2500 Growth Index, which returned 23.37% during the one-year period.

Explanation of Fund Performance

The bulk of the Fund’s underperformance was concentrated in the second quarter of 2020. Stock selection in the information technology and consumer discretionary sectors drove the Fund’s underperformance. An underweight position in the real estate sector, along with stock selection in the consumer staples and financials sectors, contributed positively to relative returns.

Industrial manufacturer Hexcel Corp., online education provider Laureate Education Inc. and payment processing company WEX Inc. were the largest detractors from the Fund’s performance. Hexcel encountered disruptions in the Boeing supply chain that weighed on the stock, and the effect of the Covid-19 crisis on the airline industry only exacerbated that impact. Laureate Education reported lackluster results during the period, and guidance was below expectations. Investor concerns about slowing growth in the US market and the ability to continue making divestitures in the current industry environment appeared to weigh on the stock. Finally, the Covid-19 pandemic had a significant negative impact on WEX’s closed loop fuel card business for fleets of commercial vehicles, given the economic shutdown. The Fund sold its positions in all three of these stocks.

 

  |  10


LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Among individual stocks, the Fund’s top contributors to performance were biotech company Immunomedics Inc., pet food maker Freshpet Inc. and electrical generator specialist Generac Holdings Inc. Immunomedics reported positive phase 3 drug testing data during the year, with the company stopping the trial early and the treatment receiving accelerated approval. Subsequently, industry peer Gilead Sciences announced it would acquire the company, and investors reacted positively. Freshpet issued robust guidance in the belief that it has ample room to grow and to continue to penetrate the dog food market. Sales rose significantly as people began to shelter in place and bought supplies in bulk, and pet adoptions were also up during the pandemic, raising investor sentiment around the stock. Generac benefited from continued national adoption of its home standby generators and continued to see new market development.

Outlook

Despite the pause in September, the markets have been able to deliver spectacular returns, particularly when measured from the market bottom in March of this year. Despite strong returns, however, small-cap stocks underperformed their large-cap peers. The underperformance of small-caps during the third quarter put the rolling three-year differential between large-cap and small-cap performance at its widest level since 1999. The last time large-caps outperformed small-caps by such a wide margin, small-caps subsequently enjoyed a prolonged period of outperformance.

Volatility is likely to increase as we approach the election, and regardless of the outcome, it may continue to be an uncertain time for the markets. However, increasing visibility surrounding a potential vaccine for Covid-19 may provide some stability.

While there is so much that is not known about the pandemic and the continued economic impact, we remain focused on the underlying fundamentals of our companies. These stock-specific fundamentals should have a more significant effect on investment returns as uncertainty surrounding the virus and its economic ramifications fades. We certainly take into account how the world may change as a result of what we are going through and the impact those changes may have on individual companies, but we continue to seek out long-term secular winners that can grow into larger entities and create value for stakeholders.

 

11  |  


 

 

Hypothetical Growth of $100,000 Investment in Institutional Class Shares2

June 30, 2015 (inception) through September 30, 2020

 

LOGO

See notes to chart on page 13.

Top Ten Holdings as of September 30, 2020

 

Security name  % of
assets
 
1  Freshpet, Inc.   2.35
2  EPAM Systems, Inc.   2.15 
3  SiteOne Landscape Supply, Inc.   2.08 
4  Insulet Corp.   2.07 
5  Black Knight, Inc.   1.84 
6  Catalent, Inc.   1.81 
7  LHC Group, Inc.   1.71 
8  Ares Management Corp., Class A   1.70 
9  Generac Holdings, Inc.   1.67 
10  Monolithic Power Systems, Inc.   1.66 

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.

 

  |  12


LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Average Annual Total Returns — September 30, 20202

 

                   Expense Ratios3 
   1 year  5 years  Life of
Class I
  Life of
Class N
  Gross  Net 
   
Institutional Class
(Inception
6/30/15)
  20.38  14.83  11.92    1.30  0.85
   
Class N
(Inception
10/1/19)
           22.08   1.29   0.83 
  
Comparative Performance       
Russell 2500TM Growth Index1  23.37   14.19   10.92   25.41         

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

 

1  

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

 

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

 

3  Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

13  |  


ADDITIONAL INFORMATION

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

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

Additional Index Information

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

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

Proxy Voting Information

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

Quarterly Portfolio Schedules

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

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

UNDERSTANDING YOUR FUND’S EXPENSES

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

 

  |  14


The first line in the table of each Fund shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2020 through September 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

Loomis Sayles Small Cap Growth Fund

 

Institutional Class

  Beginning
Account Value
4/1/2020
   Ending
Account Value
9/30/2020
   Expenses Paid
During Period*
4/1/2020 – 9/30/2020
 

Actual

   $1,000.00    $1,415.60    $5.62 

Hypothetical (5% return before expenses)

   $1,000.00    $1,020.35    $4.70 

Retail Class

         

Actual

   $1,000.00    $1,413.50    $7.12 

Hypothetical (5% return before expenses)

   $1,000.00    $1,019.10    $5.96 

Class N

         

Actual

   $1,000.00    $1,415.70    $4.95 

Hypothetical (5% return before expenses)

   $1,000.00    $1,020.90    $4.14 

*  Expenses are equal to the Fund’s annualized expense ratio: 0.93%, 1.18% and 0.82% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

   

 

15  |  


Loomis Sayles Small Cap Value Fund

 

Institutional Class

 Beginning
Account Value
4/1/2020
  Ending
Account Value
9/30/2020
  Expenses Paid
During Period*
4/1/2020 – 9/30/2020

Actual

 $1,000.00       $1,210.20       $4.97            

Hypothetical (5% return before expenses)

 $1,000.00       $1,020.50       $4.55            

Retail Class

        

Actual

 $1,000.00       $1,208.30       $6.35            

Hypothetical (5% return before expenses)

 $1,000.00       $1,019.25       $5.81            

Admin Class

        

Actual

 $1,000.00       $1,206.90       $7.72            

Hypothetical (5% return before expenses)

 $1,000.00       $1,018.00       $7.06            

Class N

        

Actual

 $1,000.00       $1,210.10       $4.70            

Hypothetical (5% return before expenses)

 $1,000.00       $1,020.75       $4.29            

*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.85% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Small/Mid Cap Growth Fund

 

Institutional Class

 Beginning
Account Value
4/1/2020
  Ending
Account Value
9/30/2020
  Expenses Paid
During Period*
4/1/2020 – 9/30/2020

Actual

 $1,000.00       $1,414.40       $5.07            

Hypothetical (5% return before expenses)

 $1,000.00       $1,020.80       $4.24            

Class N

      

Actual

 $1,000.00       $1,412.70       $5.01            

Hypothetical (5% return before expenses)

 $1,000.00       $1,020.85       $4.19            

*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) 0.84% and 0.83% for Institutional Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

  |  16


BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or

 

17  |  


other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the Covid-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

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

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

The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the

 

  |  18


independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):

 

   One-Year     Three-Year     Five-Year 

Loomis Sayles Small Cap Growth Fund

   55%      29%      30% 

Loomis Sayles Small Cap Value Fund

   42%      80%      57% 

Loomis Sayles Small/Mid Cap Growth Fund

   62%      36%      N/A 

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Loomis Sayles Small Cap Growth Fund’s performance, although lagging in certain periods, was competitive over the long term relative to its category; (3) that the Loomis Sayles Small Cap Growth Fund’s more recent performance had been stronger relative to its category; (4) that the Loomis Sayles Small/Mid Cap Growth Fund’s mid-term performance has been strong relative to its category; and (5) that the Loomis Sayles Small Cap Value Fund’s shorter-term performance has been strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.

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

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

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

 

19  |  


Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Loomis Sayles Small Cap Value Fund and Loomis Sayles Small/Mid Cap Growth Fund have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their respective expense cap agreements. The Trustees also considered that Loomis Sayles Small Cap Growth Fund’s current expenses are below its cap. The Trustees noted that the Funds had total advisory fee rates that were below the medians of their respective peer groups of funds.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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

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

 

  |  20


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

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

 

 

The effect of recent market and economic events, including but not limited to the Covid-19 crisis, on the performance, asset levels and expense ratios of each Fund.

 

 

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

 

 

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

 

 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2021.

 

21  |  


LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through September 30, 2020)

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator which is the adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations during the period.

During the period January 1, 2020 through September 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrator, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator have also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Programs are operating effectively.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

 

  |  22


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Growth Fund

 

    
Shares
  Description Value (†) 
Common Stocks – 95.4% of Net Assets   
   Aerospace & Defense – 2.3%   
 1,155,064  Kratos Defense & Security Solutions, Inc.(a) $22,269,634 
 372,156  Mercury Systems, Inc.(a)  28,827,204 
  

 

 

 
   51,096,838 
  

 

 

 
   Air Freight & Logistics – 1.0%   
 874,105  Air Transport Services Group, Inc.(a)  21,905,071 
  

 

 

 
   Auto Components – 1.7%   
 83,566  Dorman Products, Inc.(a)  7,552,695 
 291,701  Fox Factory Holding Corp.(a)  21,682,135 
 488,815  Stoneridge, Inc.(a)  8,979,532 
  

 

 

 
   38,214,362 
  

 

 

 
   Beverages – 0.5%   
 780,861  Primo Water Corp.  11,088,226 
  

 

 

 
   Biotechnology – 9.4%   
 199,179  Blueprint Medicines Corp.(a)  18,463,893 
 266,067  ChemoCentryx, Inc.(a)  14,580,472 
 589,709  Dicerna Pharmaceuticals, Inc.(a)  10,608,865 
 152,537  Emergent BioSolutions, Inc.(a)  15,761,648 
 805,957  Halozyme Therapeutics, Inc.(a)  21,180,550 
 405,099  Natera, Inc.(a)  29,264,352 
 323,557  PTC Therapeutics, Inc.(a)  15,126,290 
 599,929  Rocket Pharmaceuticals, Inc.(a)  13,714,377 
 324,427  SpringWorks Therapeutics, Inc.(a)  15,465,435 
 597,319  Veracyte, Inc.(a)  19,406,894 
 426,408  Xencor, Inc.(a)  16,540,366 
 439,455  Y-mAbs Therapeutics, Inc.(a)  16,870,678 
  

 

 

 
   206,983,820 
  

 

 

 
   Building Products – 5.6%   
 428,365  AAON, Inc.  25,808,991 
 491,098  Advanced Drainage Systems, Inc.  30,664,159 
 327,400  Patrick Industries, Inc.  18,832,048 
 418,580  Trex Co., Inc.(a)  29,970,328 
 301,378  UFP Industries, Inc.  17,030,871 
  

 

 

 
   122,306,397 
  

 

 

 
   Capital Markets – 3.4%   
 822,483  AssetMark Financial Holdings, Inc.(a)  17,880,780 
 465,405  Focus Financial Partners, Inc., Class A(a)  15,260,630 
 273,871  Hamilton Lane, Inc., Class A  17,689,328 
 411,731  PJT Partners, Inc., Class A  24,955,016 
  

 

 

 
   75,785,754 
  

 

 

 

 

See accompanying notes to financial statements.

 

23  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Growth Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Commercial Services & Supplies – 2.3%   
 516,104  Casella Waste Systems, Inc., Class A(a) $28,824,408 
 348,672  McGrath RentCorp  20,777,365 
  

 

 

 
   49,601,773 
  

 

 

 
   Construction & Engineering – 0.9%   
 1,127,993  WillScot Mobile Mini Holdings Corp.(a)  18,814,923 
  

 

 

 
   Diversified Consumer Services – 1.6%   
 307,575  Arco Platform Ltd., Class A(a)  12,561,363 
 566,986  frontdoor, Inc.(a)  22,061,425 
  

 

 

 
   34,622,788 
  

 

 

 
   Electrical Equipment – 1.7%   
 197,874  Generac Holdings, Inc.(a)  38,316,321 
  

 

 

 
   Electronic Equipment, Instruments & Components – 2.6%   
 251,691  Itron, Inc.(a)  15,287,711 
 532,978  nLight, Inc.(a)  12,514,324 
 271,044  Novanta, Inc.(a)  28,551,775 
  

 

 

 
   56,353,810 
  

 

 

 
   Food Products – 2.8%   
 408,360  Freshpet, Inc.(a)  45,593,394 
 766,817  Simply Good Foods Co. (The)(a)  16,908,315 
  

 

 

 
   62,501,709 
  

 

 

 
   Health Care Equipment & Supplies – 5.5%   
 407,490  AtriCure, Inc.(a)  16,258,851 
 430,322  CryoPort, Inc.(a)  20,397,263 
 136,120  iRhythm Technologies, Inc.(a)  32,411,533 
 236,470  NuVasive, Inc.(a)  11,485,348 
 105,678  Penumbra, Inc.(a)  20,541,690 
 350,629  STAAR Surgical Co.(a)  19,831,576 
  

 

 

 
   120,926,261 
  

 

 

 
   Health Care Providers & Services – 4.8%   
 138,729  Amedisys, Inc.(a)  32,799,697 
 415,753  BioTelemetry, Inc.(a)  18,950,022 
 255,497  HealthEquity, Inc.(a)  13,124,881 
 193,634  LHC Group, Inc.(a)  41,158,843 
  

 

 

 
   106,033,443 
  

 

 

 
   Health Care Technology – 3.7%   
 1,304,123  Inovalon Holdings, Inc., Class A(a)  34,494,053 
 220,379  Inspire Medical Systems, Inc.(a)  28,439,910 
 546,780  Phreesia, Inc.(a)  17,568,042 
  

 

 

 
   80,502,005 
  

 

 

 

 

See accompanying notes to financial statements.

 

  |  24


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Growth Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Hotels, Restaurants & Leisure – 2.2%   
 275,570  Texas Roadhouse, Inc. $16,751,900 
 224,946  Wingstop, Inc.  30,738,871 
  

 

 

 
   47,490,771 
  

 

 

 
   Insurance – 4.8%   
 387,703  Goosehead Insurance, Inc., Series A  33,571,203 
 193,960  Kinsale Capital Group, Inc.  36,887,313 
 343,888  Palomar Holdings, Inc.(a)  35,846,885 
  

 

 

 
   106,305,401 
  

 

 

 
   Internet & Direct Marketing Retail – 0.6%   
 266,400  Shutterstock, Inc.  13,863,456 
  

 

 

 
   IT Services – 4.0%   
 535,314  EVERTEC, Inc.  18,580,749 
 466,095  KBR, Inc.  10,421,884 
 186,676  ManTech International Corp., Class A  12,858,243 
 863,471  NIC, Inc.  17,010,379 
 443,586  WNS Holdings Ltd., ADR(a)  28,371,760 
  

 

 

 
   87,243,015 
  

 

 

 
   Leisure Products – 0.7%   
 309,510  Malibu Boats, Inc., Class A(a)  15,339,316 
  

 

 

 
   Life Sciences Tools & Services – 3.7%   
 697,887  NeoGenomics, Inc.(a)  25,745,051 
 279,851  PRA Health Sciences, Inc.(a)  28,388,086 
 190,481  Repligen Corp.(a)  28,103,567 
  

 

 

 
   82,236,704 
  

 

 

 
   Machinery – 2.9%   
 434,127  Kornit Digital Ltd.(a)  28,161,818 
 146,873  Proto Labs, Inc.(a)  19,020,054 
 136,663  RBC Bearings, Inc.(a)  16,564,922 
  

 

 

 
   63,746,794 
  

 

 

 
   Media – 0.7%   
 333,885  TechTarget, Inc.(a)  14,677,585 
  

 

 

 
   Pharmaceuticals – 3.4%   
 1,073,759  Aerie Pharmaceuticals, Inc.(a)  12,638,144 
 118,398  GW Pharmaceuticals PLC, Sponsored ADR(a)  11,526,045 
 170,802  MyoKardia, Inc.(a)  23,285,437 
 469,027  Pacira BioSciences, Inc.(a)  28,197,903 
  

 

 

 
   75,647,529 
  

 

 

 

 

See accompanying notes to financial statements.

 

25  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Growth Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Professional Services – 0.6%   
 343,344  Huron Consulting Group, Inc.(a) $13,503,719 
  

 

 

 
   Semiconductors & Semiconductor Equipment – 5.0%   
 270,609  Advanced Energy Industries, Inc.(a)  17,032,131 
 822,809  FormFactor, Inc.(a)  20,512,628 
 674,621  MACOM Technology Solutions Holdings, Inc.(a)  22,943,860 
 1,217,036  Rambus, Inc.(a)  16,661,223 
 207,007  Silicon Laboratories, Inc.(a)  20,255,635 
 360,522  Silicon Motion Technology Corp., ADR  13,620,521 
  

 

 

 
   111,025,998 
  

 

 

 
   Software – 12.6%   
 219,184  Blackline, Inc.(a)  19,645,462 
 376,911  Envestnet, Inc.(a)  29,082,453 
 326,057  Five9, Inc.(a)  42,283,072 
 189,176  Globant S.A.(a)  33,904,123 
 484,140  Mimecast Ltd.(a)  22,715,849 
 336,712  Q2 Holdings, Inc.(a)  30,728,337 
 446,739  Rapid7, Inc.(a)  27,358,296 
 356,174  RealPage, Inc.(a)  20,529,869 
 685,058  Tenable Holdings, Inc.(a)  25,860,939 
 226,364  Varonis Systems, Inc.(a)  26,126,933 
  

 

 

 
   278,235,333 
  

 

 

 
   Specialty Retail – 1.2%   
 705,389  National Vision Holdings, Inc.(a)  26,974,075 
  

 

 

 
   Textiles, Apparel & Luxury Goods – 1.3%   
 245,712  Columbia Sportswear Co.  21,372,030 
 414,340  Steven Madden Ltd.  8,079,630 
  

 

 

 
   29,451,660 
  

 

 

 
   Trading Companies & Distributors – 1.9%   
 334,212  SiteOne Landscape Supply, Inc.(a)  40,757,153 
  

 

 

 
   Total Common Stocks
(Identified Cost $1,517,178,654)
 2,101,552,010 
  

 

 

 

 

See accompanying notes to financial statements.

 

  |  26


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Growth Fund – continued

 

Principal
Amount
  Description Value (†) 
 Short-Term Investments – 4.1% 
$89,820,709  Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $89,820,709 on 10/01/2020 collateralized by $91,624,300 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $91,617,154 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $89,820,709)
 $89,820,709 
  

 

 

 
   Total Investments – 99.5%
(Identified Cost $1,606,999,363)
 2,191,372,719 
 

Other assets less liabilities – 0.5%

  10,523,805 
  

 

 

 
 Net Assets – 100.0% $2,201,896,524 
  

 

 

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

 

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

 

Industry Summary at September 30, 2020

 

Software

  12.6

Biotechnology

  9.4 

Building Products

  5.6 

Health Care Equipment & Supplies

  5.5 

Semiconductors & Semiconductor Equipment

  5.0 

Insurance

  4.8 

Health Care Providers & Services

  4.8 

IT Services

  4.0 

Life Sciences Tools & Services

  3.7 

Health Care Technology

  3.7 

Capital Markets

  3.4 

Pharmaceuticals

  3.4 

Machinery

  2.9 

Food Products

  2.8 

Electronic Equipment, Instruments & Components

  2.6 

Aerospace & Defense

  2.3 

Commercial Services & Supplies

  2.3 

Hotels, Restaurants & Leisure

  2.2 

Other Investments, less than 2% each

  14.4 

Short-Term Investments

  4.1 
 

 

 

 

Total Investments

  99.5 

Other assets less liabilities

  0.5 
 

 

 

 

Net Assets

  100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

27  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund

 

    
Shares
  Description Value (†) 
Common Stocks – 98.9% of Net Assets   
   Aerospace & Defense – 1.5%   
 123,384  Aerojet Rocketdyne Holdings, Inc.(a) $4,921,788 
 36,809  BWX Technologies, Inc.  2,072,715 
  

 

 

 
   6,994,503 
  

 

 

 
   Auto Components – 2.8%   
 134,171  Cooper Tire & Rubber Co.  4,253,221 
 288,336  Dana, Inc.  3,552,299 
 20,928  Fox Factory Holding Corp.(a)  1,555,578 
 38,655  LCI Industries  4,108,640 
  

 

 

 
   13,469,738 
  

 

 

 
   Banks – 11.7%   
 158,448  Ameris Bancorp  3,609,445 
 178,809  Atlantic Union Bankshares Corp.  3,821,148 
 183,909  BancorpSouth Bank  3,564,156 
 143,342  Bryn Mawr Bank Corp.  3,564,916 
 129,117  Cathay General Bancorp  2,799,257 
 205,315  CVB Financial Corp.  3,414,388 
 264,872  Home BancShares, Inc.  4,015,460 
 214,326  OceanFirst Financial Corp.  2,934,123 
 89,424  Pinnacle Financial Partners, Inc.  3,182,600 
 132,588  Popular, Inc.  4,808,967 
 86,403  Prosperity Bancshares, Inc.  4,478,267 
 62,945  South State Corp.  3,030,802 
 146,038  TCF Financial Corp.  3,411,448 
 152,089  Triumph Bancorp, Inc.(a)  4,736,051 
 118,577  Wintrust Financial Corp.  4,749,009 
  

 

 

 
   56,120,037 
  

 

 

 
   Beverages – 1.1%   
 384,847  Primo Water Corp.  5,464,827 
  

 

 

 
   Biotechnology – 1.9%   
 49,164  Emergent BioSolutions, Inc.(a)  5,080,116 
 41,704  United Therapeutics Corp.(a)  4,212,104 
  

 

 

 
   9,292,220 
  

 

 

 
   Building Products – 2.4%   
 41,253  American Woodmark Corp.(a)  3,240,011 
 52,093  Armstrong World Industries, Inc.  3,584,519 
 85,538  UFP Industries, Inc.  4,833,752 
  

 

 

 
   11,658,282 
  

 

 

 
   Capital Markets – 1.8%   
 322,542  Donnelley Financial Solutions, Inc.(a)  4,309,161 
 85,801  Stifel Financial Corp.  4,338,099 
  

 

 

 
   8,647,260 
  

 

 

 

 

See accompanying notes to financial statements.

 

  |  28


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Chemicals – 3.4%   
 46,766  Ashland Global Holdings, Inc. $3,316,645 
 86,315  Cabot Corp.  3,109,929 
 48,315  Ingevity Corp.(a)  2,388,694 
 220,616  Valvoline, Inc.  4,200,529 
 75,242  WR Grace & Co.  3,031,500 
  

 

 

 
   16,047,297 
  

 

 

 
   Commercial Services & Supplies – 4.5%   
 55,355  Clean Harbors, Inc.(a)  3,101,541 
 270,322  Harsco Corp.(a)  3,760,179 
 116,763  IAA, Inc.(a)  6,079,849 
 137,373  KAR Auction Services, Inc.  1,978,171 
 220,407  Kimball International, Inc., Class B  2,323,090 
 68,491  McGrath RentCorp  4,081,379 
  

 

 

 
   21,324,209 
  

 

 

 
   Communications Equipment – 0.7%   
 300,248  Viavi Solutions, Inc.(a)  3,521,909 
  

 

 

 
   Construction & Engineering – 2.4%   
 116,522  AECOM(a)  4,875,281 
 144,312  Arcosa, Inc.  6,362,716 
  

 

 

 
   11,237,997 
  

 

 

 
   Distributors – 0.8%   
 132,357  Core-Mark Holding Co., Inc.  3,829,088 
  

 

 

 
   Diversified Consumer Services – 0.7%   
 83,035  frontdoor, Inc.(a)  3,230,892 
  

 

 

 
   Diversified Financial Services – 0.9%   
 110,496  Cannae Holdings, Inc.(a)  4,117,081 
  

 

 

 
   Diversified Telecommunication Services – 2.0%   
 96,973  GCI Liberty, Inc., Class A(a)  7,947,907 
 204,894  Liberty Latin America Ltd., Class C(a)  1,667,837 
  

 

 

 
   9,615,744 
  

 

 

 
   Electric Utilities – 2.1%   
 93,264  ALLETE, Inc.  4,825,479 
 169,437  NRG Energy, Inc.  5,208,494 
  

 

 

 
   10,033,973 
  

 

 

 
   Electrical Equipment – 1.2%   
 339,757  Vertiv Holdings Co.(a)  5,884,591 
  

 

 

 

 

See accompanying notes to financial statements.

 

29  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Electronic Equipment, Instruments & Components – 4.2%   
 65,374  Belden, Inc. $2,034,439 
 126,191  Kimball Electronics, Inc.(a)  1,458,768 
 23,662  Littelfuse, Inc.  4,196,219 
 174,037  Methode Electronics, Inc.  4,960,054 
 27,993  SYNNEX Corp.  3,920,700 
 309,574  TTM Technologies, Inc.(a)  3,532,239 
  

 

 

 
   20,102,419 
  

 

 

 
   Energy Equipment & Services – 1.4%   
 402,714  ChampionX Corp.(a)  3,217,685 
 102,555  DMC Global, Inc.  3,378,162 
  

 

 

 
   6,595,847 
  

 

 

 
   Entertainment – 1.2%   
 139,588  Liberty Media Corp.-Liberty Braves, Class C(a)  2,932,744 
 41,130  Madison Square Garden Entertainment Corp.(a)  2,816,994 
  

 

 

 
   5,749,738 
  

 

 

 
   Food Products – 4.4%   
 169,521  Darling Ingredients, Inc.(a)  6,107,842 
 22,737  J&J Snack Foods Corp.  2,964,677 
 328,895  Nomad Foods Ltd.(a)  8,380,245 
 43,337  Post Holdings, Inc.(a)  3,726,982 
  

 

 

 
   21,179,746 
  

 

 

 
   Health Care Equipment & Supplies – 1.8%   
 26,003  CONMED Corp.  2,045,656 
 54,105  Inmode Ltd.(a)  1,957,519 
 109,619  Lantheus Holdings, Inc.(a)  1,388,873 
 13,717  Quidel Corp.(a)  3,009,235 
  

 

 

 
   8,401,283 
  

 

 

 
   Health Care Providers & Services – 0.6%   
 46,740  AMN Healthcare Services, Inc.(a)  2,732,420 
  

 

 

 
   Hotels, Restaurants & Leisure – 2.6%   
 37,625  Churchill Downs, Inc.  6,163,727 
 18,625  Cracker Barrel Old Country Store, Inc.  2,135,543 
 47,411  Marriott Vacations Worldwide Corp.  4,305,393 
  

 

 

 
   12,604,663 
  

 

 

 
   Household Durables – 1.8%   
 27,664  Helen of Troy Ltd.(a)  5,353,537 
 124,060  Skyline Champion Corp.(a)  3,321,086 
  

 

 

 
   8,674,623 
  

 

 

 

 

See accompanying notes to financial statements.

 

  |  30


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Independent Power & Renewable Electricity Producers – 2.1%   
 119,094  NextEra Energy Partners LP $7,140,876 
 148,639  Vistra Corp.  2,803,332 
  

 

 

 
   9,944,208 
  

 

 

 
   Industrial Conglomerates – 0.5%   
 117,877  Raven Industries, Inc.  2,536,713 
  

 

 

 
   Insurance – 2.3%   
 142,727  Employers Holdings, Inc.  4,317,492 
 101,483  First American Financial Corp.  5,166,499 
 106,969  ProAssurance Corp.  1,672,995 
  

 

 

 
   11,156,986 
  

 

 

 
   Internet & Direct Marketing Retail – 0.3%   
 208,714  Qurate Retail, Inc., Class A  1,498,567 
  

 

 

 
   IT Services – 5.1%   
 101,922  CSG Systems International, Inc.  4,173,706 
 38,552  Euronet Worldwide, Inc.(a)  3,512,087 
 100,602  Genpact Ltd.  3,918,448 
 196,739  Perspecta, Inc.  3,826,574 
 30,944  Science Applications International Corp.  2,426,628 
 252,186  Unisys Corp.(a)  2,690,825 
 29,162  WEX, Inc.(a)  4,052,643 
  

 

 

 
   24,600,911 
  

 

 

 
   Leisure Products – 1.0%   
 80,374  Brunswick Corp.  4,734,832 
  

 

 

 
   Machinery – 5.9%   
 51,785  Alamo Group, Inc.  5,594,334 
 43,413  Albany International Corp., Class A  2,149,378 
 131,281  Altra Industrial Motion Corp.  4,853,459 
 129,874  Columbus McKinnon Corp.  4,298,829 
 28,114  John Bean Technologies Corp.  2,583,395 
 49,294  Kadant, Inc.  5,403,608 
 103,261  Miller Industries, Inc.  3,156,689 
  

 

 

 
   28,039,692 
  

 

 

 
   Marine – 0.5%   
 66,581  Kirby Corp.(a)  2,408,235 
  

 

 

 
   Media – 1.2%   
 257,673  Gray Television, Inc.(a)  3,548,157 
 74,961  John Wiley & Sons, Inc., Class A  2,377,014 
  

 

 

 
   5,925,171 
  

 

 

 

 

See accompanying notes to financial statements.

 

31  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Metals & Mining – 0.0%   
 10,560  Haynes International, Inc. $180,470 
  

 

 

 
   Multi-Utilities – 1.7%   
 180,920  MDU Resources Group, Inc.  4,070,700 
 79,677  NorthWestern Corp.  3,875,489 
  

 

 

 
   7,946,189 
  

 

 

 
   Oil, Gas & Consumable Fuels – 0.3%   
 126,150  Delek U.S. Holdings, Inc.  1,404,049 
  

 

 

 
   Pharmaceuticals – 1.6%   
 55,941  Catalent, Inc.(a)  4,791,906 
 139,461  Supernus Pharmaceuticals, Inc.(a)  2,906,367 
  

 

 

 
   7,698,273 
  

 

 

 
   Professional Services – 2.5%   
 53,558  ASGN, Inc.(a)  3,404,147 
 98,566  Clarivate PLC(a)  3,054,560 
 46,366  Insperity, Inc.  3,036,509 
 77,708  Korn Ferry  2,253,532 
  

 

 

 
   11,748,748 
  

 

 

 
   REITs – Apartments – 0.4%   
 55,561  American Campus Communities, Inc.  1,940,190 
  

 

 

 
   REITs – Shopping Centers – 0.5%   
 236,448  Retail Opportunity Investments Corp.  2,462,606 
  

 

 

 
   REITs – Single Tenant – 0.9%   
 68,298  Agree Realty Corp.  4,346,485 
  

 

 

 
   REITs – Storage – 0.9%   
 134,064  CubeSmart  4,331,608 
  

 

 

 
   REITs – Warehouse/Industrials – 3.7%   
 144,498  Americold Realty Trust  5,165,803 
 42,797  CyrusOne, Inc.  2,997,074 
 130,767  Rexford Industrial Realty, Inc.  5,983,898 
 119,743  STAG Industrial, Inc.  3,650,964 
  

 

 

 
   17,797,739 
  

 

 

 
   Semiconductors & Semiconductor Equipment – 1.9%   
 80,680  Advanced Energy Industries, Inc.(a)  5,077,999 
 209,440  Tower Semiconductor Ltd.(a)  3,815,997 
  

 

 

 
   8,893,996 
  

 

 

 

 

See accompanying notes to financial statements.

 

  |  32


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Software – 1.3%   
 108,958  ACI Worldwide, Inc.(a) $2,847,073 
 67,041  Verint Systems, Inc.(a)  3,230,035 
  

 

 

 
   6,077,108 
  

 

 

 
   Specialty Retail – 1.3%   
 45,881  Aaron’s, Inc.  2,599,159 
 160,771  Urban Outfitters, Inc.(a)  3,345,644 
  

 

 

 
   5,944,803 
  

 

 

 
   Thrifts & Mortgage Finance – 1.2%   
 51,041  Federal Agricultural Mortgage Corp., Class C  3,249,270 
 139,845  Meta Financial Group, Inc.  2,687,821 
  

 

 

 
   5,937,091 
  

 

 

 
   Trading Companies & Distributors – 1.1%   
 187,898  Alta Equipment Group, Inc.(a)  1,471,241 
 96,714  Herc Holdings, Inc.(a)  3,830,842 
  

 

 

 
   5,302,083 
  

 

 

 
   Wireless Telecommunication Services – 0.8%   
 132,811  United States Cellular Corp.(a)  3,921,909 
  

 

 

 
 Total Common Stocks
(Identified Cost $414,919,972)
  473,309,049 
  

 

 

 
 Other Investments – 0.0% 
   Metals & Mining – 0.0%   
 507,316  Ferroglobe R&W Trust(a)(b)(c)(d)
(Identified Cost $0)
   
  

 

 

 
 
Principal
Amount

 
      
 Short-Term Investments – 0.9% 
$4,424,559  Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $4,424,559 on 10/01/2020 collateralized by $4,513,500 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $4,513,148 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $4,424,559)
  4,424,559 
  

 

 

 
 Total Investments – 99.8%
(Identified Cost $419,344,531)
  477,733,608 
 

Other assets less liabilities – 0.2%

  915,727 
  

 

 

 
 Net Assets – 100.0% $478,649,335 
  

 

 

 

 

See accompanying notes to financial statements.

 

33  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small Cap Value Fund – continued

 

 (†)  See Note 2 of Notes to Financial Statements. 
 (a)  Non-income producing security.

 

 (b)  Security subject to restrictions on resale. This security was acquired on November 29, 2016 at a cost of $0. 
 (c)  Illiquid security. (Unaudited) 
 (d)  Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. 
 REITs  Real Estate Investment Trusts 

Industry Summary at September 30, 2020

 

Banks

  11.7

Machinery

  5.9 

IT Services

  5.1 

Commercial Services & Supplies

  4.5 

Food Products

  4.4 

Electronic Equipment, Instruments & Components

  4.2 

REITs – Warehouse/Industrials

  3.7 

Chemicals

  3.4 

Auto Components

  2.8 

Hotels, Restaurants & Leisure

  2.6 

Professional Services

  2.5 

Building Products

  2.4 

Construction & Engineering

  2.4 

Insurance

  2.3 

Electric Utilities

  2.1 

Independent Power & Renewable Electricity Producers

  2.1 

Diversified Telecommunication Services

  2.0 

Other Investments, less than 2% each

  34.8 

Short-Term Investments

  0.9 
 

 

 

 

Total Investments

  99.8 

Other assets less liabilities

  0.2 
 

 

 

 

Net Assets

  100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

  |  34


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small/Mid Cap Growth Fund

 

    
Shares
  Description Value (†) 
Common Stocks – 96.8% of Net Assets   
   Aerospace & Defense – 3.5%   
 6,921  Aerojet Rocketdyne Holdings, Inc.(a) $276,079 
 8,216  Axon Enterprise, Inc.(a)  745,191 
 5,649  HEICO Corp.  591,224 
 5,333  Kaman Corp.  207,827 
  

 

 

 
   1,820,321 
  

 

 

 
   Auto Components – 1.6%   
 4,237  Fox Factory Holding Corp.(a)  314,936 
 4,893  LCI Industries  520,077 
  

 

 

 
   835,013 
  

 

 

 
   Biotechnology – 7.1%   
 28,722  Amicus Therapeutics, Inc.(a)  405,555 
 2,322  Argenx SE, ADR(a)  609,571 
 3,881  Ascendis Pharma A/S, ADR(a)  598,916 
 3,571  Emergent BioSolutions, Inc.(a)  368,991 
 9,213  Immunomedics, Inc.(a)  783,381 
 6,316  Neurocrine Biosciences, Inc.(a)  607,347 
 6,734  PTC Therapeutics, Inc.(a)  314,815 
  

 

 

 
   3,688,576 
  

 

 

 
   Building Products – 1.4%   
 7,123  Advanced Drainage Systems, Inc.  444,760 
 2,932  Masonite International Corp.(a)  288,509 
  

 

 

 
   733,269 
  

 

 

 
   Capital Markets – 4.7%   
 21,882  Ares Management Corp., Class A  884,470 
 5,567  Hamilton Lane, Inc., Class A  359,573 
 1,282  MarketAxess Holdings, Inc.  617,398 
 3,700  Morningstar, Inc.  594,257 
  

 

 

 
   2,455,698 
  

 

 

 
   Commercial Services & Supplies – 2.3%   
 12,694  Ritchie Bros. Auctioneers, Inc.  752,119 
 4,673  Tetra Tech, Inc.  446,272 
  

 

 

 
   1,198,391 
  

 

 

 
   Communications Equipment – 0.7%   
 9,715  Ciena Corp.(a)  385,588 
  

 

 

 
   Distributors – 1.6%   
 2,542  POOL CORP.  850,401 
  

 

 

 
   Diversified Consumer Services – 1.2%   
 9,017  Chegg, Inc.(a)  644,175 
  

 

 

 

 

See accompanying notes to financial statements.

 

35  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Electrical Equipment – 1.7%   
 4,501  Generac Holdings, Inc.(a) $871,574 
  

 

 

 
   Electronic Equipment, Instruments & Components – 2.1%   
 10,486  FLIR Systems, Inc.  375,923 
 14,734  Trimble, Inc.(a)  717,546 
  

 

 

 
   1,093,469 
  

 

 

 
   Food & Staples Retailing – 1.2% 
 3,627  Casey’s General Stores, Inc.  644,337 
  

 

 

 
   Food Products – 4.4%   
 10,966  Freshpet, Inc.(a)  1,224,354 
 27,000  Nomad Foods Ltd.(a)  687,960 
 17,503  Simply Good Foods Co. (The)(a)  385,941 
  

 

 

 
   2,298,255 
  

 

 

 
   Health Care Equipment & Supplies – 5.3% 
 10,966  Globus Medical, Inc., Class A(a)  543,036 
 4,559  Insulet Corp.(a)  1,078,614 
 2,683  Penumbra, Inc.(a)  521,521 
 2,332  West Pharmaceutical Services, Inc.  641,067 
  

 

 

 
   2,784,238 
  

 

 

 
   Health Care Providers & Services – 3.8%   
 1,525  Chemed Corp.  732,534 
 5,322  Encompass Health Corp.  345,823 
 4,198  LHC Group, Inc.(a)  892,327 
  

 

 

 
   1,970,684 
  

 

 

 
   Hotels, Restaurants & Leisure – 2.4%   
 9,819  Texas Roadhouse, Inc.  596,897 
 29,859  Wendy’s Co. (The)  665,706 
  

 

 

 
   1,262,603 
  

 

 

 
   Household Durables – 1.2%   
 3,267  Helen of Troy Ltd.(a)  632,230 
  

 

 

 
   Insurance – 3.0%   
 6,904  Kemper Corp.  461,395 
 4,339  Kinsale Capital Group, Inc.  825,191 
 3,514  RLI Corp.  294,227 
  

 

 

 
   1,580,813 
  

 

 

 
   IT Services – 7.6%   
 11,022  Black Knight, Inc.(a)  959,465 
 9,791  Booz Allen Hamilton Holding Corp.  812,457 
 5,203  Broadridge Financial Solutions, Inc.  686,796 

 

See accompanying notes to financial statements.

 

  |  36


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   IT Services – continued   
 3,470  EPAM Systems, Inc.(a) $1,121,782 
 16,633  KBR, Inc.  371,914 
  

 

 

 
   3,952,414 
  

 

 

 
   Leisure Products – 1.2%   
 10,263  Brunswick Corp.  604,593 
  

 

 

 
   Life Sciences Tools & Services – 5.2%   
 2,293  Bio-Techne Corp.  568,045 
 2,684  Charles River Laboratories International, Inc.(a)  607,792 
 3,108  ICON PLC(a)  593,908 
 5,672  PRA Health Sciences, Inc.(a)  575,367 
 6,658  Syneos Health, Inc.(a)  353,939 
  

 

 

 
   2,699,051 
  

 

 

 
   Machinery – 2.4%   
 6,570  ESCO Technologies, Inc.  529,279 
 19,712  Ingersoll Rand, Inc.(a)  701,747 
  

 

 

 
   1,231,026 
  

 

 

 
   Pharmaceuticals – 3.4%   
 11,006  Catalent, Inc.(a)  942,774 
 10,549  Horizon Therapeutics PLC(a)  819,446 
  

 

 

 
   1,762,220 
  

 

 

 
   Professional Services – 2.0%   
 3,232  FTI Consulting, Inc.(a)  342,495 
 8,237  TransUnion  692,979 
  

 

 

 
   1,035,474 
  

 

 

 
   Semiconductors & Semiconductor Equipment – 6.7%   
 9,435  Advanced Energy Industries, Inc.(a)  593,839 
 5,497  MKS Instruments, Inc.  600,437 
 3,101  Monolithic Power Systems, Inc.  867,071 
 5,311  Nova Measuring Instruments Ltd.(a)  276,915 
 10,506  Semtech Corp.(a)  556,398 
 5,926  Silicon Laboratories, Inc.(a)  579,859 
  

 

 

 
   3,474,519 
  

 

 

 
   Software – 14.0%   
 4,546  Avalara, Inc.(a)  578,888 
 7,130  Blackline, Inc.(a)  639,062 
 6,068  Five9, Inc.(a)  786,898 
 7,316  Guidewire Software, Inc.(a)  762,839 
 5,067  Paylocity Holding Corp.(a)  817,915 
 5,694  Pegasystems, Inc.  689,202 

 

See accompanying notes to financial statements.

 

37  |  


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

    
Shares
  Description Value (†) 
Common Stocks – continued   
   Software – continued   
 8,827  Q2 Holdings, Inc.(a) $805,552 
 9,249  Smartsheet, Inc., Class A(a)  457,086 
 23,093  SVMK, Inc.(a)  510,586 
 17,254  Tenable Holdings, Inc.(a)  651,338 
 1,751  Tyler Technologies, Inc.(a)  610,329 
  

 

 

 
   7,309,695 
  

 

 

 
   Specialty Retail – 1.3%   
 9,361  Floor & Decor Holdings, Inc., Class A(a)  700,203 
  

 

 

 
   Textiles, Apparel & Luxury Goods – 1.7%   
 5,904  Columbia Sportswear Co.  513,530 
 12,358  Skechers U.S.A., Inc., Class A(a)  373,459 
  

 

 

 
   886,989 
  

 

 

 
   Trading Companies & Distributors – 2.1%   
 8,881  SiteOne Landscape Supply, Inc.(a)  1,083,038 
  

 

 

 
 Total Common Stocks
(Identified Cost $40,505,890)
  50,488,857 
  

 

 

 
 
Principal
Amount

 
      
 Short-Term Investments – 3.1% 
$1,648,808  Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $1,648,808 on 10/01/2020 collateralized by $1,682,000 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $1,681,869 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,648,808)  1,648,808 
  

 

 

 
 Total Investments – 99.9%
(Identified Cost $42,154,698)
  52,137,665 
 

Other assets less liabilities – 0.1%

  33,810 
  

 

 

 
 Net Assets – 100.0% $52,171,475 
  

 

 

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

 

 (a)  Non-income producing security.

 

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

 

 

See accompanying notes to financial statements.

 

  |  38


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Industry Summary at September 30, 2020

 

Software

  14.0

IT Services

  7.6 

Biotechnology

  7.1 

Semiconductors & Semiconductor Equipment

  6.7 

Health Care Equipment & Supplies

  5.3 

Life Sciences Tools & Services

  5.2 

Capital Markets

  4.7 

Food Products

  4.4 

Health Care Providers & Services

  3.8 

Aerospace & Defense

  3.5 

Pharmaceuticals

  3.4 

Insurance

  3.0 

Hotels, Restaurants & Leisure

  2.4 

Machinery

  2.4 

Commercial Services & Supplies

  2.3 

Electronic Equipment, Instruments & Components

  2.1 

Trading Companies & Distributors

  2.1 

Professional Services

  2.0 

Other Investments, less than 2% each

  14.8 

Short-Term Investments

  3.1 
 

 

 

 

Total Investments

  99.9 

Other assets less liabilities

  0.1 
 

 

 

 

Net Assets

  100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

39  |  


Statements of Assets and Liabilities

September 30, 2020

 

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

ASSETS

   

Investments at cost

 $1,606,999,363  $419,344,531  $42,154,698 

Net unrealized appreciation

  584,373,356   58,389,077   9,982,967 
 

 

 

  

 

 

  

 

 

 

Investments at value

  2,191,372,719   477,733,608   52,137,665 

Cash

     21,932    

Receivable for Fund shares sold

  14,564,189   232,960   738 

Receivable for securities sold

  1,841,143   818,207   186,910 

Dividends and interest receivable

  132,194   1,045,626   11,198 

Prepaid expenses (Note 7)

  209   70   5 
 

 

 

  

 

 

  

 

 

 

TOTAL ASSETS

  2,207,910,454   479,852,403   52,336,516 
 

 

 

  

 

 

  

 

 

 

LIABILITIES

   

Payable for securities purchased

  2,926,366   193,897   51,118 

Payable for Fund shares redeemed

  1,299,174   342,353   5,867 

Management fees payable (Note 5)

  1,333,211   279,231   23,565 

Deferred Trustees’ fees (Note 5)

  249,236   279,244   31,787 

Administrative fees payable (Note 5)

  77,707   17,595   1,843 

Payable to distributor (Note 5d)

  16,037   4,420   29 

Other accounts payable and accrued expenses

  112,199   86,328   50,832 
 

 

 

  

 

 

  

 

 

 

TOTAL LIABILITIES

  6,013,930   1,203,068   165,041 
 

 

 

  

 

 

  

 

 

 

NET ASSETS

 $2,201,896,524  $478,649,335  $52,171,475 
 

 

 

  

 

 

  

 

 

 

NET ASSETS CONSIST OF:

   

Paid-in capital

 $1,587,610,383  $384,114,548  $42,835,718 

Accumulated earnings

  614,286,141   94,534,787   9,335,757 
 

 

 

  

 

 

  

 

 

 

NET ASSETS

 $2,201,896,524  $478,649,335  $52,171,475 
 

 

 

  

 

 

  

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

   

Institutional Class:

   

Net assets

 $1,037,625,163  $295,006,489  $52,170,254 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

  36,400,149   13,206,714   4,419,204 
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $28.51  $22.34  $11.81 
 

 

 

  

 

 

  

 

 

 

Retail Class:

   

Net assets

 $98,204,643  $83,163,321  $ 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

  3,825,964   3,801,913    
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $25.67  $21.87  $ 
 

 

 

  

 

 

  

 

 

 

Admin Class shares:

   

Net assets

 $  $7,661,829  $ 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

     371,066    
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $  $20.65  $ 
 

 

 

  

 

 

  

 

 

 

Class N shares:

   

Net assets

 $1,066,066,718  $92,817,696  $1,221 
 

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

  37,003,469   4,152,550   103 
 

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

 $28.81  $22.35  $11.81
 

 

 

  

 

 

  

 

 

 

 

*

Net asset value calculations have been determined utilizing fractional share and penny amounts.

 

See accompanying notes to financial statements.

 

  |  40


Statements of Operations

For the Year Ended September 30, 2020

 

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

INVESTMENT INCOME

   

Dividends

 $4,880,817  $7,994,841  $204,514 

Interest

  317,142   39,748   6,143 

Less net foreign taxes withheld

     (34,033  (1,752
 

 

 

  

 

 

  

 

 

 
  5,197,959   8,000,556   208,905 
 

 

 

  

 

 

  

 

 

 

Expenses

   

Management fees (Note 5)

  13,879,951   4,342,299   313,390 

Service and distribution fees (Note 5)

  232,060   313,021    

Administrative fees (Note 5)

  817,150   255,444   18,443 

Trustees’ fees and expenses (Note 5)

  114,088   70,677   21,599 

Transfer agent fees and expenses (Notes 5 and 6)

  1,254,238   481,264   5,581 

Audit and tax services fees

  40,311   40,800   40,281 

Custodian fees and expenses

  61,088   18,999   8,738 

Legal fees (Note 7)

  44,190   13,469   1,317 

Registration fees

  106,742   75,268   65,121 

Shareholder reporting expenses

  84,397   56,629   8,096 

Miscellaneous expenses (Note 7)

  67,012   43,031   25,270 
 

 

 

  

 

 

  

 

 

 

Total expenses

  16,701,227   5,710,901   507,836 

Less waiver and/or expense reimbursement (Note 5)

     (242,252  (156,297
 

 

 

  

 

 

  

 

 

 

Net expenses

  16,701,227   5,468,649   351,539 
 

 

 

  

 

 

  

 

 

 

Net investment income (loss)

  (11,503,268  2,531,907   (142,634
 

 

 

  

 

 

  

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

   

Net realized gain on:

   

Investments

  44,416,635   39,651,898   478,820 

Net change in unrealized appreciation (depreciation) on:

   

Investments

  311,230,363   (146,094,001  7,645,216 
 

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss) on investments

  355,646,998   (106,442,103  8,124,036 
 

 

 

  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

 $344,143,730  $(103,910,196 $7,981,402 
 

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

41  |  


Statements of Changes in Net Assets

 

   Small Cap Growth Fund  Small Cap Value Fund 
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2020
  Year Ended
September 30,
2019
 

FROM OPERATIONS:

 

Net investment income (loss)

 $(11,503,268 $(8,790,650 $2,531,907  $2,471,460 

Net realized gain on investments

  44,416,635   155,991,266   39,651,898   55,538,968 

Net change in unrealized appreciation (depreciation) on investments

  311,230,363   (268,064,056  (146,094,001  (109,251,529
 

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

  344,143,730   (120,863,440  (103,910,196  (51,241,101
 

 

 

  

 

 

  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

    

Institutional Class

  (80,218,616  (74,228,048  (34,882,909  (67,841,584

Retail Class

  (9,162,211  (11,691,827  (10,573,237  (23,416,722

Admin Class

        (1,107,925  (3,000,140

Class N

  (61,460,368  (45,465,070  (11,045,289  (18,276,952
 

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  (150,841,195  (131,384,945  (57,609,360  (112,535,398
 

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)

  374,429,835   305,348,898   (82,803,607  (86,935,502
 

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets

  567,732,370   53,100,513   (244,323,163  (250,712,001

NET ASSETS

    

Beginning of the year

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

 

 

  

 

 

  

 

 

  

 

 

 

End of the year

 $2,201,896,524  $1,634,164,154  $478,649,335  $722,972,498 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

  |  42


Statements of Changes in Net Assets – continued

 

   Small/Mid Cap Growth Fund 
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
 

FROM OPERATIONS:

 

Net investment loss

 $(142,634 $(82,902

Net realized gain on investments

  478,820   707,633 

Net change in unrealized appreciation (depreciation) on investments

  7,645,216   (112,924
 

 

 

  

 

 

 

Net increase in net assets resulting from operations

  7,981,402   511,807 
 

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

  

Institutional Class

  (817,090  (4,717,064

Class N

  (24   
 

 

 

  

 

 

 

Total distributions

  (817,114  (4,717,064
 

 

 

  

 

 

 

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)

  10,695,219   21,017,023 
 

 

 

  

 

 

 

Net increase in net assets

  17,859,507   16,811,766 

NET ASSETS

  

Beginning of the year

  34,311,968   17,500,202 
 

 

 

  

 

 

 

End of the year

 $52,171,475  $34,311,968 
 

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

43  |  


Financial Highlights

For a share outstanding throughout each period.

 

   Small Cap Growth Fund—Institutional Class     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $26.30  $31.55  $27.37  $22.03  $22.22  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

  (0.17  (0.16  (0.16  (0.12  (0.09 

Net realized and unrealized gain (loss)

  4.73   (2.51  7.54   5.46   1.59  
 

 

 

 

Total from Investment Operations

  4.56   (2.67  7.38   5.34   1.50  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net realized capital gains

  (2.35  (2.58  (3.20     (1.69 
 

 

 

 

Net asset value, end of the period

 $28.51  $26.30  $31.55  $27.37  $22.03  
 

 

 

 

Total return

  17.98  (6.88)%   29.77  24.24  6.92 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $1,037,625  $908,616  $926,914  $824,103  $812,383  

Net expenses

  0.94  0.95  0.94  0.95  0.95 

Gross expenses

  0.94  0.95  0.94  0.95  0.95 

Net investment loss

  (0.66)%   (0.62)%   (0.58)%   (0.49)%   (0.41)%  

Portfolio turnover rate

  52  67  41  45  56 

 

 

(a)

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

 

See accompanying notes to financial statements.

 

  |  44


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Growth Fund—Retail Class     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $23.95  $29.09  $25.53  $20.61  $20.93  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

  (0.21  (0.21  (0.22  (0.16  (0.13 

Net realized and unrealized gain (loss)

  4.28   (2.35  6.98   5.08   1.50  
 

 

 

 

Total from Investment Operations

  4.07   (2.56  6.76   4.92   1.37  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net realized capital gains

  (2.35  (2.58  (3.20     (1.69 
 

 

 

 

Net asset value, end of the period

 $25.67  $23.95  $29.09  $25.53  $20.61  
 

 

 

 

Total return

  17.67  (7.11)%(b)   29.45  23.93  6.61 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $98,205  $95,635  $136,415  $107,387  $118,670  

Net expenses

  1.19  1.19%(c)   1.19  1.20  1.20 

Gross expenses

  1.19  1.20  1.19  1.20  1.20 

Net investment loss

  (0.91)%   (0.86)%   (0.82)%   (0.73)%   (0.66)%  

Portfolio turnover rate

  52  67  41  45  56 

 

 

(a)

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

(b)

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

(c)

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

 

See accompanying notes to financial statements.

 

45  |  


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Growth Fund—Class N     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $26.53  $31.76  $27.50  $22.11  $22.27  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

  (0.14  (0.13  (0.12  (0.09  (0.06 

Net realized and unrealized gain (loss)

  4.77   (2.52  7.58   5.48   1.59  
 

 

 

 

Total from Investment Operations

  4.63   (2.65  7.46   5.39   1.53  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net realized capital gains

  (2.35  (2.58  (3.20     (1.69 
 

 

 

 

Net asset value, end of the period

 $28.81  $26.53  $31.76  $27.50  $22.11  
 

 

 

 

Total return

  18.09  (6.76)%   29.93  24.38  7.05 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $1,066,067  $629,914  $517,734  $279,508  $196,733  

Net expenses

  0.82  0.82  0.82  0.82  0.83 

Gross expenses

  0.82  0.82  0.82  0.82  0.83 

Net investment loss

  (0.54)%   (0.49)%   (0.43)%   (0.39)%   (0.29)%  

Portfolio turnover rate

  52  67  41  45  56 

 

 

(a)

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

 

See accompanying notes to financial statements.

 

  |  46


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Institutional Class     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $28.66  $35.27  $37.37  $33.78  $32.19  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.12   0.10   0.09   0.13   0.17  

Net realized and unrealized gain (loss)

  (4.03  (2.49  2.11   6.36   4.82  
 

 

 

 

Total from Investment Operations

  (3.91  (2.39  2.20   6.49   4.99  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.12  (0.08  (0.05  (0.14  (0.22 

Net realized capital gains

  (2.29  (4.14  (4.25  (2.76  (3.18 
 

 

 

 

Total Distributions

  (2.41  (4.22  (4.30  (2.90  (3.40 
 

 

 

 

Net asset value, end of the period

 $22.34  $28.66  $35.27  $37.37  $33.78  
 

 

 

 

Total return(b)

  (15.31)%   (4.11)%   6.21  19.68  16.75 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $295,006  $433,360  $587,198  $665,229  $654,501  

Net expenses(c)

  0.90  0.90  0.90  0.90  0.90 

Gross expenses

  0.95  0.93  0.92  0.93  0.93 

Net investment income

  0.48  0.36  0.26  0.37  0.52 

Portfolio turnover rate

  23  24  19  25  22 

 

(a)

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

(b)

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

(c)

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

 

See accompanying notes to financial statements.

 

47  |  


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Retail Class     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $28.11  $34.66  $36.83  $33.33  $31.78  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.05   0.03   0.00(b)   0.04   0.08  

Net realized and unrealized gain (loss)

  (3.96  (2.44  2.08   6.27   4.77  
 

 

 

 

Total from Investment Operations

  (3.91  (2.41  2.08   6.31   4.85  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.04        (0.05  (0.12 

Net realized capital gains

  (2.29  (4.14  (4.25  (2.76  (3.18 
 

 

 

 

Total Distributions

  (2.33  (4.14  (4.25  (2.81  (3.30 
 

 

 

 

Net asset value, end of the period

 $21.87  $28.11  $34.66  $36.83  $33.33  
 

 

 

 

Total return(c)

  (15.56)%   (4.33)%   5.95  19.38  16.47 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $83,163  $134,434  $208,310  $251,405  $267,936  

Net expenses(d)

  1.15  1.15  1.15  1.15  1.15 

Gross expenses

  1.20  1.18  1.17  1.18  1.18 

Net investment income

  0.23  0.10  0.01  0.12  0.27 

Portfolio turnover rate

  23  24  19  25  22 

 

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

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

 

See accompanying notes to financial statements.

 

  |  48


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Admin Class     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $26.68  $33.25  $35.58  $32.31  $30.88  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

  (0.01  (0.04  (0.08  (0.04  0.01  

Net realized and unrealized gain (loss)

  (3.73  (2.39  2.00   6.07   4.62  
 

 

 

 

Total from Investment Operations

  (3.74  (2.43  1.92   6.03   4.63  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

              (0.02 

Net realized capital gains

  (2.29  (4.14  (4.25  (2.76  (3.18 
 

 

 

 

Total Distributions

  (2.29  (4.14  (4.25  (2.76  (3.20 
 

 

 

 

Net asset value, end of the period

 $20.65  $26.68  $33.25  $35.58  $32.31  
 

 

 

 

Total return(b)

  (15.74)%   (4.60)%   5.68  19.10  16.19 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $7,662  $13,357  $24,530  $30,533  $43,973  

Net expenses(c)

  1.40  1.40  1.40  1.40  1.39%(d)  

Gross expenses

  1.45  1.43  1.42  1.43  1.42%(d)  

Net investment income (loss)

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

Portfolio turnover rate

  23  24  19  25  22 

 

(a)

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

(b)

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

(c)

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

(d)

Includes refund of prior year service fee of 0.01%.

 

See accompanying notes to financial statements.

 

49  |  


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small Cap Value Fund—Class N     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $28.68  $35.31  $37.41  $33.81  $32.22  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income(a)

  0.13   0.12   0.12   0.15   0.19  

Net realized and unrealized gain (loss)

  (4.03  (2.50  2.11   6.37   4.83  
 

 

 

 

Total from Investment Operations

  (3.90  (2.38  2.23   6.52   5.02  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

  (0.14  (0.11  (0.08  (0.16  (0.25 

Net realized capital gains

  (2.29  (4.14  (4.25  (2.76  (3.18 
 

 

 

 

Total Distributions

  (2.43  (4.25  (4.33  (2.92  (3.43 
 

 

 

 

Net asset value, end of the period

 $22.35  $28.68  $35.31  $37.41  $33.81  
 

 

 

 

Total return

  (15.28)%   (4.07)%   6.28  19.78  16.84 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $92,818  $141,821  $153,646  $136,162  $68,332  

Net expenses

  0.85  0.83  0.83  0.83  0.83 

Gross expenses

  0.85  0.83  0.83  0.83  0.83 

Net investment income

  0.53  0.43  0.33  0.44  0.61 

Portfolio turnover rate

  23  24  19  25  22 

 

(a)

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

 

See accompanying notes to financial statements.

 

  |  50


Financial Highlights – continued

For a share outstanding throughout each period.

 

   Small/Mid Cap Growth Fund—Institutional Class     
   Year Ended
September 30,
2020
  Year Ended
September 30,
2019
  Year Ended
September 30,
2018
  Year Ended
September 30,
2017
  Year Ended
September 30,
2016
     

Net asset value, beginning of the period

 $10.03  $15.49  $12.31  $9.73  $9.05  
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

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

Net realized and unrealized gain (loss)

  2.06   (1.55)(c)   3.23   2.60   0.70  
 

 

 

 

Total from Investment Operations

  2.02   (1.59  3.18   2.60   0.68  
 

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

           (0.02    

Net realized capital gains

  (0.24  (3.87          
 

 

 

 

Total Distributions

  (0.24  (3.87     (0.02    
 

 

 

 

Net asset value, end of the period

 $11.81  $10.03  $15.49  $12.31  $9.73  
 

 

 

 

Total return(d)

  20.38  (3.27)%   25.83  26.74  7.51 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

 $52,170  $34,312  $17,500  $14,592  $11,974  

Net expenses(e)

  0.84  0.85  0.85  0.85  0.85 

Gross expenses

  1.21  1.30  1.43  1.57  1.75 

Net investment income (loss)

  (0.34)%   (0.35)%   (0.35)%   0.01  (0.22)%  

Portfolio turnover rate

  60  67  102%(f)   49  53 

 

(a)

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

(b)

Amount rounds to less than $0.01.

(c)

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

(d)

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

(e)

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)

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

 

See accompanying notes to financial statements.

 

51  |  


Financial Highlights – continued

For a share outstanding throughout each period.

 

   

Small/Mid Cap Growth Fund—

Class N

     
       Period Ended
September 30,
2020*
     

Net asset value, beginning of the period

  $9.89  
  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment loss(a)

   (0.04 

Net realized and unrealized gain (loss)

   2.20  
  

 

 

 

Total from Investment Operations

   2.16  
  

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net realized capital gains

   (0.24 
  

 

 

 

Net asset value, end of the period

  $11.81  
  

 

 

 

Total return(b)(c)

   22.08 

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $1  

Net expenses(d)(e)

   0.83 

Gross expenses(e)

   107.49 

Net investment loss(e)

   (0.34)%  

Portfolio turnover rate(f)

   60 

 

 

*

Class operations commenced on October 1, 2019.

(a)

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

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

(f)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2020.

 

See accompanying notes to financial statements.

 

  |  52


Notes to Financial Statements

September 30, 2020

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

Loomis Sayles Funds I:

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

Loomis Sayles Funds II:

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

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

Each Fund is a diversified investment company.

Small Cap Growth Fund offers Institutional Class, Retail Class and Class N shares. Small Cap Value Fund offers Institutional Class, Retail Class, Admin Class and Class N shares. Small/Mid Cap Growth Fund offers Institutional Class and Class N shares (effective October 1, 2019).

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amount for Class N and Institutional Class as outlined in the relevant Fund’s prospectus. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees are borne collectively for Institutional Class, Retail Class and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

 

53  |  


Notes to Financial Statements – continued

September 30, 2020

 

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

a.  Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock

 

  |  54


Notes to Financial Statements – continued

September 30, 2020

 

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

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

c.  Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes

 

55  |  


Notes to Financial Statements – continued

September 30, 2020

 

recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates.

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

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

d.  Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a

 

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Notes to Financial Statements – continued

September 30, 2020

 

Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

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

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2020 and 2019 were as follows:

 

  2020 Distributions Paid From:  2019 Distributions Paid From: 

Fund

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

Small Cap Growth Fund

 $  $150,841,195  $150,841,195  $  $131,384,945  $131,384,945 

Small Cap Value Fund

  2,526,541   55,082,819   57,609,360   1,761,169   110,774,229   112,535,398 

Small/Mid Cap Growth Fund

     817,114   817,114      4,717,064   4,717,064 

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

 

57  |  


Notes to Financial Statements – continued

September 30, 2020

 

As of September 30, 2020, the components of distributable earnings on a tax basis were as follows:

 

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

Undistributed ordinary income

 $  $1,813,776  $ 

Undistributed long-term capital gains

  41,523,437   35,346,868   841 
 

 

 

  

 

 

  

 

 

 

Total undistributed earnings

  41,523,437   37,160,644   841 
 

 

 

  

 

 

  

 

 

 

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

  (8,252,065     (522,399
 

 

 

  

 

 

  

 

 

 

Unrealized appreciation

  581,264,005   57,653,388   9,889,102 
 

 

 

  

 

 

  

 

 

 

Total accumulated earnings

 $614,535,377  $94,814,032  $9,367,544 
 

 

 

  

 

 

  

 

 

 

 

*

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

As of September 30, 2020, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

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

Federal tax cost

 $1,610,108,714  $420,080,220  $42,248,563 
 

 

 

  

 

 

  

 

 

 

Gross tax appreciation

 $627,992,151  $106,990,712  $10,949,590 

Gross tax depreciation

  (46,728,146  (49,337,324  (1,060,488
 

 

 

  

 

 

  

 

 

 

Net tax appreciation

 $581,264,005  $57,653,388  $9,889,102 
 

 

 

  

 

 

  

 

 

 

f.  Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

g.  Securities Lending. Small Cap Growth Fund and Small Cap Value Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as

 

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Notes to Financial Statements – continued

September 30, 2020

 

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

For the year ended September 30, 2020, neither Fund had loaned securities under this agreement.

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

i.  New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. Amended disclosures required and permitted for early adoption by ASU 2018-13 have been incorporated in the Funds’ annual financial statements as of September 30, 2020.

 

59  |  


Notes to Financial Statements – continued

September 30, 2020

 

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

 

  

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

 

  

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

 

  

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

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2020, at value:

Small Cap Growth Fund

Asset Valuation Inputs

 

Description

 Level 1  Level 2  Level 3  Total 

Common Stocks(a)

 $2,101,552,010  $  $  $2,101,552,010 

Short-Term Investments

     89,820,709      89,820,709 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $2,101,552,010  $89,820,709  $      —  $2,191,372,719 
 

 

 

  

 

 

  

 

 

  

 

 

 

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

Small Cap Value Fund

Asset Valuation Inputs

 

Description

 Level 1  Level 2  Level 3  Total 

Common Stocks(a)

 $473,309,049  $  $  $473,309,049 

Other Investments(a)

            

Short-Term Investments

     4,424,559      4,424,559 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $     473,309,049  $  4,424,559  $      —  $     477,733,608 
 

 

 

  

 

 

  

 

 

  

 

 

 

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

 

  |  60


Notes to Financial Statements – continued

September 30, 2020

 

Small/Mid Cap Growth Fund

Asset Valuation Inputs

 

Description

 Level 1  Level 2  Level 3  Total 

Common Stocks(a)

 $50,488,857  $  $  $50,488,857 

Short-Term Investments

     1,648,808      1,648,808 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $50,488,857  $1,648,808  $      —  $52,137,665 
 

 

 

  

 

 

  

 

 

  

 

 

 

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

4.   Purchases and Sales of Securities. For the year ended September 30, 2020, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

 Purchases  Sales 

Small Cap Growth Fund

 $1,091,080,281  $924,279,379 

Small Cap Value Fund

  131,996,209   267,405,033 

Small/Mid Cap Growth Fund

  36,492,481   24,550,298 

5.  Management Fees and Other Transactions with Affiliates.

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

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

 

Fund

 Percentage of
Average  Daily Net Assets
    

Small Cap Growth Fund

  0.75%  

Small Cap Value Fund

  0.75%  

Small/Mid Cap Growth Fund

  0.75%  

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/ reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

 

61  |  


Notes to Financial Statements – continued

September 30, 2020

 

For the year ended September 30, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

  Expense Limit as a Percentage of
Average Daily Net Assets
 

Fund

 Institutional Class  Retail Class  Admin Class  Class N 

Small Cap Growth Fund

  1.00%   1.25%   —       0.95% 

Small Cap Value Fund

  0.90%   1.15%   1.40%   0.85% 

Small/Mid Cap Growth Fund

  0.85%   —       —       0.83% 

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the year ended September 30, 2020, the management fees for each Fund were as follows:

 

  Gross
Management
Fees
  Contractual
Waivers of
Management
Fees1
  Voluntary
Waivers of
Management
Fees2
  Net
Management
Fees
   

Percentage of Average
Daily Net Assets

 

Fund

  Gross   Net 

Small Cap Growth Fund

 $13,879,951  $  $  $13,879,951    0.75%    0.75% 

Small Cap Value Fund

  4,342,299   242,252      4,100,047    0.75%    0.71% 

Small/Mid Cap Growth Fund

  313,390   151,521   3,635   158,234    0.75%    0.38% 

 

1 

Contractual management fee waivers are subject to possible recovery until September 30, 2021.

2

Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above.

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

Pursuant to Rule 12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by Natixis Distribution

 

  |  62


Notes to Financial Statements – continued

September 30, 2020

 

in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

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

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

For the year ended September 30, 2020, the service and distribution fees for each Fund were as follows:

 

  Service Fees  Distribution Fees 

Fund

 Admin Class  Retail Class  Admin Class 

Small Cap Growth Fund

 $  $232,060  $ 

Small Cap Value Fund

  24,910   263,201   24,910 

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

 

63  |  


Notes to Financial Statements – continued

September 30, 2020

 

For the year ended September 30, 2020, the administrative fees for each Fund were as follows:

 

Fund

 Administrative Fees 

Small Cap Growth Fund

 $817,150 

Small Cap Value Fund

  255,444 

Small/Mid Cap Growth Fund

  18,443 

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

For the year ended September 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

 Sub-Transfer
Agent Fees
 

Small Cap Growth Fund

 $1,224,338 

Small Cap Value Fund

  453,300 

Small/Mid Cap Growth Fund

  1,848 

As of September 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

 Reimbursements
of Sub-Transfer
Agent Fees
 

Small Cap Growth Fund

 $16,037 

Small Cap Value Fund

  4,420 

Small/Mid Cap Growth Fund

  29 

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

 

  |  64


Notes to Financial Statements – continued

September 30, 2020

 

e.  Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. All other Trustee fees remained unchanged.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

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

 

65  |  


Notes to Financial Statements – continued

September 30, 2020

 

f.  Affiliated Ownership. As of September 30, 2020, Natixis and affiliates, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Funds’ net assets:

 

Fund

 Natixis  Pension
Plan
  Retirement
Plan
  Total
Affiliated
Ownership
 

Small Cap Growth Fund

     0.13%   1.14%   1.27% 

Small Cap Value Fund

     0.56%   4.46%   5.02% 

Small/Mid Cap Growth Fund

  Less than 1%         Less than 1% 

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

g.  Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Small/Mid Cap Growth Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the year ended September 30, 2020, Natixis Advisors reimbursed Small/Mid Cap Growth Fund $1,141 for transfer agency expenses related to Class N shares.

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

For the year ended September 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

  Transfer Agent Fees and Expenses 

Fund

 Institutional
Class
  Retail
Class
  Admin
Class
  Class N 

Small Cap Growth Fund

 $1,134,392  $112,695  $  $7,151 

Small Cap Value Fund

  360,825   108,240   10,222   1,977 

Small/Mid Cap Growth Fund

  4,440         1,141 

7.  Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar

 

  |  66


Notes to Financial Statements – continued

September 30, 2020

 

quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the year ended September 30, 2020, none of the Funds had borrowings under this agreement.

8.  Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

 Number of 5%
Non- Affiliated
Account Holders
  Percentage
of Non-
Affiliated
Ownership
  Percentage of
Affiliated
Ownership
(Note 5f)
  Total
Percentage of
Ownership
 

Small Cap Value Fund

  2   19.45%   5.02%   24.47% 

Small/Mid Cap Growth Fund

  6   78.17%      78.17% 

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

9.  Risk. Global markets have experienced periods of high volatility triggered by the ongoing public health emergency known as coronavirus (“Covid-19”). As the situation continues, the extent and duration of the impact that the Covid-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the Covid-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

 

67  |  


Notes to Financial Statements – continued

September 30, 2020

 

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

 

  Small Cap Growth Fund 
  Year Ended
September 30, 2020
  Year Ended
September 30, 2019
 
Institutional Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  13,167,719  $318,448,815   11,579,961  $308,840,843 

Issued in connection with the reinvestment of distributions

  2,907,753   77,404,396   3,229,384   71,175,640 

Redeemed

  (14,223,727  (360,653,006  (9,640,609  (255,383,227
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  1,851,745  $35,200,205   5,168,736  $124,633,256 
 

 

 

  

 

 

  

 

 

  

 

 

 
Retail Class 

Issued from the sale of shares

  912,597  $20,495,084   1,457,788  $35,354,241 

Issued in connection with the reinvestment of distributions

  379,550   9,116,785   580,575   11,675,362 

Redeemed

  (1,459,375  (33,506,278  (2,734,300  (66,088,287
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (167,228 $(3,894,409  (695,937 $(19,058,684
 

 

 

  

 

 

  

 

 

  

 

 

 
Class N 

Issued from the sale of shares

  17,628,357  $452,596,699   14,891,081  $407,213,957 

Issued in connection with the reinvestment of distributions

  2,249,879   60,476,756   2,040,644   45,322,697 

Redeemed

  (6,620,566  (169,949,416  (9,488,573  (252,762,328
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  13,257,670  $343,124,039   7,443,152  $199,774,326 
 

 

 

  

 

 

  

 

 

  

 

 

 

Increase from capital share transactions

  14,942,187  $374,429,835   11,915,951  $305,348,898 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

  |  68


Notes to Financial Statements – continued

September 30, 2020

 

10.  Capital Shares – continued

 

  Small Cap Value Fund 
  Year Ended
September 30, 2020
  Year Ended
September 30, 2019
 
Institutional Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  3,070,880  $72,483,944   1,885,997  $52,720,402 

Issued in connection with the reinvestment of distributions

  1,187,726   33,101,927   2,757,754   64,641,757 

Redeemed

  (6,171,314  (143,712,872  (6,172,550  (172,631,075
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (1,912,708 $(38,127,001  (1,528,799 $(55,268,916
 

 

 

  

 

 

  

 

 

  

 

 

 
Retail Class 

Issued from the sale of shares

  209,646  $4,830,652   248,433  $6,930,683 

Issued in connection with the reinvestment of distributions

  385,444   10,541,881   1,013,991   23,352,213 

Redeemed

  (1,576,219  (38,194,968  (2,489,201  (67,155,838
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (981,129 $(22,822,435  (1,226,777 $(36,872,942
 

 

 

  

 

 

  

 

 

  

 

 

 
Admin Class 

Issued from the sale of shares

  89,240  $2,047,167   164,641  $4,244,622 

Issued in connection with the reinvestment of distributions

  33,393   863,879   103,280   2,261,822 

Redeemed

  (252,153  (5,146,329  (505,156  (12,991,234
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (129,520 $(2,235,283  (237,235 $(6,484,790
 

 

 

  

 

 

  

 

 

  

 

 

 
Class N 

Issued from the sale of shares

  606,779  $14,233,156   1,949,203  $53,692,224 

Issued in connection with the reinvestment of distributions

  396,172   11,045,289   779,733   18,276,952 

Redeemed

  (1,794,608  (44,897,333  (2,136,634  (60,278,030
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  (791,657 $(19,618,888  592,302  $11,691,146 
 

 

 

  

 

 

  

 

 

  

 

 

 

Decrease from capital share transactions

  (3,815,014 $(82,803,607  (2,400,509 $(86,935,502
 

 

 

  

 

 

  

 

 

  

 

 

 

 

69  |  


Notes to Financial Statements – continued

September 30, 2020

 

10.  Capital Shares – continued

 

  Small/Mid Cap Growth Fund 
  Year Ended
September 30, 2020
  Year Ended
September 30, 2019
 
Institutional Class Shares  Amount  Shares  Amount 

Issued from the sale of shares

  2,299,458  $24,306,399   2,433,625  $23,898,389 

Issued in connection with the reinvestment of distributions

  74,958   787,810   540,127   4,234,598 

Redeemed

  (844,906  (8,799,784  (681,600  (7,115,964

Redeemed in-kind (Note 11)

  (532,341  (5,600,230      
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  997,169  $10,694,195   2,292,152  $21,017,023 
 

 

 

  

 

 

  

 

 

  

 

 

 
Class N(a) 

Issued from the sale of shares

  101  $1,000     $ 

Issued in connection with the reinvestment of distributions

  2   24       
 

 

 

  

 

 

  

 

 

  

 

 

 

Net change

  103  $1,024     $ 
 

 

 

  

 

 

  

 

 

  

 

 

 

Increase from capital share transactions

  997,272  $10,695,219   2,292,152  $21,017,023 
 

 

 

  

 

 

  

 

 

  

 

 

 

(a) Class operations commenced on October 1, 2019.

11.  Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Small/Mid Cap Growth Fund realized a gain of $779,521 on redemptions in-kind during the year ended September 30, 2020. This amount is included in realized gain (loss) on the Statements of Operations.

 

  |  70


Report of Independent Registered Public Accounting Firm

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

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Small Cap Value Fund (one of the funds constituting Loomis Sayles Funds I), and Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund (two of the funds constituting Loomis Sayles Funds II) (hereafter collectively referred to as the “Funds”) as of September 30, 2020, the related statements of operations for the year ended September 30, 2020, the statements of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

November 20, 2020

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

 

71  |  


2020 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2020, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:

 

Fund

 Qualifying Percentage 

Small Cap Value Fund

  100.00% 

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2020, unless subsequently determined to be different.

 

Fund

 Amount 

Small Cap Growth Fund

 $150,841,195 

Small Cap Value Fund

  55,082,819 

Small/Mid Cap Growth Fund

  817,114 

Qualified Dividend Income. For the fiscal year ended September 30, 2020, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2020, complete information will be reported in conjunction with Form 1099-DIV.

 

Fund

Small Cap Value Fund

 

  |  72


Trustee and Officer Information

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

 

Name and Year of Birth 

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

Term of Office1

 Principal
Occupation(s)
During Past 5 Years
 Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years
 Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES    
Kenneth A. Drucker
(1945)
 

Chairperson of the Board of Trustees since January 2017

Trustee since 2008

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

 Retired 

54

None

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

Trustee since 2013

Chairperson of Governance Committee and Audit Committee Member

 Executive Chairman of Bob’s Discount Furniture (retail) 

54

Director, Burlington Stores, Inc. (retail)

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

Richard A. Goglia

(1951)

 

Trustee since 2015

Contract Review Committee Member and Governance Committee Member

 Retired 

54

Director of Triumph Group (aerospace industry)

 

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

 

73  |  


Trustee and Officer Information – continued

 

Name and Year of Birth 

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

Term of Office1

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

Wendell J. Knox

(1948)

 

Trustee since 2009

Chairperson of Contract Review Committee

 Retired 

54

Director of Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank)

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

Trustee since 2012

Audit Committee Member

 President, University of Massachusetts 

54

None

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

Maureen B. Mitchell

(1951)

 

Trustee since 2017

Contract Review Committee Member and Governance Committee Member

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

54

Director, Sterling Bancorp (bank)

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

 

  |  74


Trustee and Officer Information – continued

 

Name and Year of Birth 

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

Term of Office1

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

James P. Palermo

(1955)

 

Trustee since 2016

Contract Review Committee Member

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

54

Director, FutureFuel.io (chemicals and biofuels)

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

Erik R. Sirri

(1958)

 

Trustee since 2009

Audit Committee Member

 Professor of Finance at Babson College 

54

None

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

Peter J. Smail

(1952)

 

Trustee since 2009

Audit Committee Member and Governance Committee Member

 Retired 

54

None

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

Kirk A. Sykes

(1958)

 

Trustee since 2019

Contract Review Committee Member

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

54

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

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

 

75  |  


Trustee and Officer Information – continued

 

Name and Year of Birth 

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

Term of Office1

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

Cynthia L. Walker

(1956)

 

Trustee since 2005

Chairperson of the Audit Committee and Governance Committee Member

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

54

None

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

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

 

Trustee since 2015

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

 President, Chief Executive Officer and Chairman of the Board of Directors 

54

None

 Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.
David L. Giunta4
(1965)
 

Trustee since 2011

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

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

54

None

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

 

1 

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

 

2 

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

 

3 

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

 

4 

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

 

  |  76


Trustee and Officer Information – continued

 

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

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

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

Russell L. Kane

(1969)

 

Secretary, Clerk and Chief Legal Officer

 

Chief Compliance Officer and Anti-Money Laundering Officer

 

Since 2016

 

 

Since 2020

 Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Michael C. Kardok

(1959)

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

 

1 

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

 

2 

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

 

77  |  


LOGO

 

LOGO

 

Annual Report

September 30, 2020

Loomis Sayles Credit Income Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

 

Table of Contents

Portfolio Review  1 
Portfolio of Investments  25 
Financial Statements  67 
Notes to Financial Statements  84 

 

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.


LOOMIS SAYLES CREDIT INCOME FUND

 

Managers Symbols
Matthew J. Eagan, CFA® Class A    LOCAX
Elaine M. Stokes Class C    LOCCX

Brain P. Kennedy

 Class N    LOCNX
 Class Y    LOCYX
Loomis, Sayles & Company, L.P.

 

 

Investment Goal

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

 

 

Market Conditions

The financial markets experienced significant volatility in the past year, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing sell-off, while demand for lower-risk investments surged. Markets snapped back after the first quarter of 2020 amidst unprecedented central bank actions, lifting of lockdowns and promising news of a potential vaccine.

Performance Results

The Loomis Sayles Credit Income Fund was launched on September 29, 2020. For the period ending September 30, 2020, Class Y shares of the Fund returned -0.30% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Credit Index, which returned -0.19%.

Explanation of Fund Performance

The trading costs to launch and transition the portfolio from cash to full investment were the largest detractor from Fund performance. Allocation to cash detracted from performance. Due to the newness of the Fund, cash levels were higher than we would typically expect.

The Fund’s allocations to investment grade and high yield corporate credit were the main contributors to performance, aided by exposure to the consumer non-cyclical sector.

Outlook

While economic and financial market conditions have continued to show encouraging signs of improvement, the outlook remains uncertain. The Federal Reserve has provided forward guidance that helps ensure monetary policy can remain accommodative for the foreseeable future, which appears to be boosting business and consumer confidence and keeping investor risk appetite strong going into the final quarter of the year. We also believe it is still possible for a limited agreement to be reached that extends the fiscal stimulus package and provides further support to the economy, though ongoing debate by lawmakers on the size and scale of the package has been causing increased anxiety among

 

1  |  


investors as we get closer to the US election. We continue to assess the immediate and longer-term impacts of the pandemic on the economy, but currently expect a slow and uneven pace of recovery.

Valuations in the corporate bond sectors have been less compelling following the strong credit rally that has unfolded since the end of March. However, we believe the low global interest rate environment will likely continue to drive the search for yield and help provide a positive technical backdrop for both investment grade and high yield corporate debt. Also, we have been active and selective in new issues throughout the year, and will continue to look for opportunities in the primary market.

 

  |  2


LOOMIS SAYLES CREDIT INCOME FUND

 

Total Returns — September 30, 20203

 

       Expense Ratios4 
   Life of Fund  Gross  Net 
   
Class Y (Inception 9/29/20)    
NAV  -0.30  1.11  0.57
   
Class A (Inception 9/29/20)    
NAV  -0.30   1.36   0.82 
With 4.25% Maximum Sales Charge  -4.50    
   
Class C (Inception 9/29/20)    
NAV  -0.30   2.11   1.57 
With CDSC1  -1.30    
   
Class N (Inception 9/29/20)    
NAV  -0.30   1.42   0.52 
  
Comparative Performance    
Bloomberg Barclays U.S. Credit Index2  -0.19         

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. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The U.S. Credit Index was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The U.S. Credit Index is a subset of the U.S. Government/Credit Index and U.S. Aggregate Index. Indexes are unmanaged. It is not possible to invest directly in an index.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/22. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

3  |  


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

The financial markets experienced significant volatility over the 12-month period, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing selloff, while demand for lower-risk investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting the fed funds rate to zero and reinstituting quantitative easing through the purchases of Treasuries and mortgage-backed securities. The Fed also revived lending facilities last used in 2008, such as the TALF, which is a funding backstop for the asset-backed securities (ABS) market. The central bank even established facilities never used before, such as the Corporate Credit Facilities which allowed the Fed to purchase corporate bond assets for the first time in its history. In conjunction with a $2.2 trillion stimulus package passed by the US Congress, the Fed’s response fueled an impressive recovery in higher-risk assets from late March onward.

The uncertain environment worked to the benefit of US Treasuries due to their status as a relative “safe haven.” Longer duration bonds delivered particularly robust gains. The yield on the 10-year Treasury note fell to an all-time low in March and remained close to that level thereafter on expectations that the Fed would pursue its low-rate policy indefinitely. (Prices and yields move in opposite directions.)

Investment grade corporates were notable beneficiaries of rising risk appetite and investors’ demand for high-quality alternatives to low-yielding government debt. Despite their downturn in the February-March selloff, corporates outperformed the broader fixed income market for the full 12-month period.

Securitized assets, including ABS, mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS), lagged Treasuries and investment grade corporates, but nonetheless posted a solid total return as they rallied in the second half of the period.

 

  |  4


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Performance Results

For the 12 months ended September 30, 2020, Class Y shares of the Loomis Sayles Intermediate Duration Bond Fund returned 7.33% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 6.32%.

Explanation of Fund Performance

The Fund’s positioning to risk assets like corporate bonds and underweight US Treasuries proved beneficial to performance relative to the benchmark as the sector underperformed risk assets during the period.

Corporate bond exposure and selection within the asset class was a large positive contributor to relative performance over the period as corporates outperformed US Treasuries of comparable duration (and corresponding interest rate sensitivity). Positive contributions within the Fund’s allocation to corporates were led by an overweight to financials, particularly within the banking segment. Additionally, security selection within industrial segments such as technology and electric companies contributed to performance.

Our underweight positioning and selection within the government-related sector also proved to be beneficial over the twelve months.

On the downside, select names within agency securitized assets detracted from performance over the period year. Security selection within non-agency securitized credit slightly detracted as well. Within corporates, selection within energy names proved to be a drag on performance.

Outlook

We expect the Fed’s benchmark fed funds rate to remain unchanged at the zero lower bound and the front end of the Treasury yield curve to remain anchored for the foreseeable future. We do not anticipate the Fed bringing rates into negative territory on the view that negative policy rates are broadly disruptive to a nation’s financial system. We believe US Treasury yields will trade in a fairly tight range through the US presidential election, but may respond more acutely in the days following depending on the result and whether the result is contested. Once the results are determined, however, we see more potential for yields to rise as we move through 2021. In particular, improving prospects for a vaccine rollout could be a catalyst for rising intermediate and longer maturity Treasury yields, while the front end remains anchored. With the demand side of the equation improving, we believe there will likely be pockets of inflation as supply remains disrupted and we continue to see ultra-accommodative monetary policy and ample fiscal support.

Our base case expectation is that we are in the credit repair phase of the credit cycle1 and are starting to push towards recovery in some segments of the US economy. Credit sector valuations have trended toward levels observed prior to the first quarter of 2020, but still present a potential opportunity to obtain an attractive yield advantage over duration-matched government bonds. We believe corporate credit spreads may continue to tighten, albeit much more gradually than what we saw in the second quarter of 2020. Despite the weakened fundamental picture in the post-Covid environment, we believe corporate credit

 

5  |  


remains supported by a strong technical backdrop headlined by committed central bank support and strong investor demand for incremental yield.

We continue to follow our process in building diversified exposures by asset class, industry and issuer. We are favoring sectors offering higher yield potential than Treasuries and remain underweight government bonds given the low yield environment. Corporate bond risk in the Fund was elevated during the early part of the third quarter of 2020 as we found continued opportunities in the primary market through new issues with favorable concessions. As valuations became less attractive during the recent quarter, corporate bond risk was modestly reduced in those issues and industries that appeared to be trading at levels closer to what we consider fair value. We continue to hold select high yield corporate names which we view as inexpensive.

We remain overweight both agency and non-agency CMBS, particularly senior parts of the capital stack. While residential MBS valuations have improved somewhat, we remain focused on securities with limited prepayment risk. We believe the high-quality ABS sector remains attractive relative to government bonds, and favor auto loans and credit card receivables within the sector.

 

1 

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

 

 

Hypothetical Growth of $100,000 Investment in Class Y Shares1,4

September 30, 2010 through September 30, 2020

 

LOGO

See notes to chart on page 7.

 

  |  6


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Average Annual Total Returns — September 30, 20204

 

      
            Life of  Expense Ratios5 
   1 Year  5 Years  10 Years  Class N  Gross  Net 
   
Class Y (Inception 1/28/98)1       
NAV  7.33  3.88  3.43    0.48  0.40
   
Class A (Inception 5/28/10)1       
NAV  7.06   3.62   3.16      0.72   0.65 
With 4.25% Maximum Sales Charge  2.48   2.73   2.71       
   
Class C (Inception 8/31/16)1       
NAV  6.27   2.85   2.33      1.48   1.40 
With CDSC2  5.27   2.85   2.33       
   
Class N (Inception 2/01/19)       
NAV  7.39         8.23   0.42   0.35 
  
Comparative Performance       

Bloomberg Barclays U.S. Intermediate

Government/Credit Bond Index3

  6.32   3.39   2.91   7.26         

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

 

1

As of August 31, 2016, the Fund’s Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares.

 

2

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

 

3

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

 

4

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

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

7  |  


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

The financial markets experienced significant volatility in the past year, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing selloff, while demand for lower-risk investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting the fed funds rate to zero and reinstituting quantitative easing through the purchases of Treasuries and mortgage-backed securities. The Fed revived lending facilities last used in 2008, such as the TALF, which is a funding backdrop for the asset-backed securities (ABS) market. The central bank even established facilities never used before, such as the Corporate Credit Facilities which allowed the Fed to purchase corporate bond assets for the first time in its history. In conjunction with a $2.2 trillion stimulus package passed by the US Congress, the Fed’s response fueled an impressive recovery in higher-risk assets from late March onward.

The uncertain environment worked to the benefit of US Treasuries due to their status as a relative “safe haven.” Longer duration bonds delivered particularly robust gains. The yield on the 10-year note fell to an all-time low in March and remained close to that level thereafter on expectations that the Fed would pursue its low-rate policy indefinitely. (Prices and yields move in opposite directions.)

Securitized assets, including ABS, mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS), lagged Treasuries and investment grade corporates, but nonetheless posted a solid total return as they rallied in the second half of the period.

Performance Review

For the 12 months ended September 30, 2020, Class Y shares of the Loomis Sayles Limited Term Government and Agency Fund returned 3.35%, at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. 1-5 Year Government Bond Index, which returned 4.68%.

 

  |  8


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Explanation of Fund Performance

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) was the main detractor from relative return. The portfolio’s slightly shorter-than-benchmark stance with respect to duration (a gauge of interest rate sensitivity) also weighed on results, as Treasury yields fell over the period. Bond selection within non-agency CMBS weighed on performance during the period. Within agency mortgage-backed securities, exposure to both pass-through securities and collateralized mortgage obligations detracted from relative performance.

The Fund’s security selection within securitized agency sectors was a positive source of relative performance during the period. Security selection within US Treasuries also aided performance during the period. Within securitized agency assets, the Fund’s allocation to commercial mortgage-backed securities (CMBS) was a positive source of relative performance. Within non-agency securitized assets, the Fund’s allocation to asset-backed securities, such as those backed by auto loans, contributed positively.

Outlook

Agency mortgage-backed security (MBS) spreads (the difference in yield between agency MBS and Treasuries of similar maturity) have become more attractive with valuations near longer-term averages. Mortgages issued in recent years are relatively high quality compared with those issued in prior years. However, these securities are valued with premiums and have prepayment risk as borrowers refinance to lower rate mortgages. Therefore, we prefer MBS sectors less likely to face refinancing and extension risk, such as low loan balance mortgages and home equity conversion mortgages.

Within the commercial real estate sector, we have focused on agency commercial mortgage-backed security (CMBS) opportunities, adding to those exposures during the quarter.

Non-agency issued securitized exposures remain steady, but we have marginally adjusted exposures to asset-backed securities (ABS) versus CMBS. The ABS market has recovered faster than CMBS, and we continue to find opportunities which offer strong credit quality and enhanced yield.

 

9  |  


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

September 30, 2010 through September 30, 2020

 

LOGO

See notes to chart on page 11.

 

  |  10


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Average Annual Total Returns — September 30, 20203

 

      
            Life of  Expense Ratios4 
   1 Year  5 Years  10 Years  Class N  Gross  Net 
   
Class Y (Inception 3/31/94)       
NAV  3.35  1.89  1.83    0.50  0.50
   
Class A (Inception 1/3/89)       
NAV  3.19   1.65   1.57      0.75   0.75 
With 2.25% Maximum Sales Charge  0.88   1.18   1.34       
   
Class C (Inception 12/30/94)       
NAV  2.34   0.88   0.81      1.50   1.50 
With CDSC1  1.34   0.88   0.81       
   
Class N (Inception 2/1/17)       
NAV  3.53         2.58   0.43   0.41 
  
Comparative Performance       
Bloomberg Barclays U.S. 1-5 Year Government Bond Index2  4.68   2.21   1.72   2.88         

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

 

1

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

 

2

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

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/22. 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.

 

11  |  


ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

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

 

  |  12


UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2020 through September 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

 

13  |  


LOOMIS SAYLES CREDIT INCOME FUND BEGINNING
ACCOUNT VALUE
4/1/20201
  ENDING
ACCOUNT VALUE
9/30/2020
  EXPENSES PAID
DURING PERIOD
4/1/20201 – 9/30/2020
 
Class A    
Actual  $1,000.00   $997.00   $0.021 
Hypothetical (5% return before expenses)  $1,000.00   $1,020.90   $4.14
Class C    
Actual  $1,000.00   $997.00   $0.041 
Hypothetical (5% return before expenses)  $1,000.00   $1,017.15   $7.92
Class N    
Actual  $1,000.00   $997.00   $0.011 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.40   $2.63
Class Y    
Actual  $1,000.00   $997.00   $0.021 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.15   $2.88

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.82%, 1.57%, 0.52% and 0.57% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

1

Fund commenced operations on September 29, 2020. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.82%, 1.57%, 0.52% and 0.57% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (1), divided by 366 (to reflect the partial period).

 

LOOMIS SAYLES INTERMEDIATE
DURATION BOND FUND
 BEGINNING
ACCOUNT VALUE
4/1/2020
  ENDING
ACCOUNT VALUE
9/30/2020
  EXPENSES PAID
DURING PERIOD*
4/1/2020 – 9/30/2020
 
Class A    
Actual  $1,000.00   $1,062.30   $3.35 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.75   $3.29 
Class C    
Actual  $1,000.00   $1,058.20   $7.20 
Hypothetical (5% return before expenses)  $1,000.00   $1,018.00   $7.06 
Class N    
Actual  $1,000.00   $1,063.90   $1.81 
Hypothetical (5% return before expenses)  $1,000.00   $1,023.25   $1.77 
Class Y    
Actual  $1,000.00   $1,063.60   $2.06 
Hypothetical (5% return before expenses)  $1,000.00   $1,023.00   $2.02 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

  |  14


LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND
 BEGINNING
ACCOUNT VALUE
4/1/2020
  ENDING
ACCOUNT VALUE
9/30/2020
  EXPENSES PAID
DURING PERIOD*
4/1/2020 – 9/30/2020
 
Class A    
Actual  $1,000.00   $1,008.50   $3.82 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.20   $3.84 
Class C    
Actual  $1,000.00   $1,003.90   $7.61 
Hypothetical (5% return before expenses)  $1,000.00   $1,017.40   $7.67 
Class N    
Actual  $1,000.00   $1,009.30   $2.16 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.85   $2.17 
Class Y    
Actual  $1,000.00   $1,008.80   $2.61 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.40   $2.63 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.76%, 1.52%, 0.43% and 0.52% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

15  |  


BOARD APPROVAL OF THE INITIAL ADVISORY AGREEMENT FOR LOOMIS SAYLES CREDIT INCOME FUND

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust (the “Board”) and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve any new investment advisory agreements for a registered investment company, including a newly formed fund such as the Loomis Sayles Credit Income Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved, for an initial two-year term, the proposed investment advisory agreement (the “Agreement”) for the Fund at a meeting held on September 10, 2020.

In connection with this review, Fund management and other representatives of the Fund’s adviser, Loomis, Sayles & Company, L.P. (the “Adviser”), distributed to the Trustees materials including, among other items, information regarding (i) the Fund’s investment objective, strategies and risks, (ii) the proposed advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups and categories of funds and information on fees charged to other funds and accounts advised by the Adviser and the proposed expense cap, (iii) the size, education and experience of the Adviser’s investment staff and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution of the Fund’s shares, (v) information about the Adviser’s performance, and (vi) the general economic outlook with particular emphasis on the mutual fund industry.

The Trustees also considered the fact that they oversee other funds advised by the Adviser as well as information about the Adviser they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser.

In considering whether to initially approve the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

The nature, extent and quality of the services to be provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services to be provided by the Adviser and its affiliates to the Fund and the resources to be dedicated to the Fund by the Adviser and its affiliates. The Trustees considered their experience with other funds advised by the Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the same family of mutual funds. In this regard, the Trustees considered not only the advisory services proposed to be provided by the Adviser to the Fund, but also the

 

  |  16


monitoring and oversight services proposed to be provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services proposed to be provided by Natixis Advisors and its affiliates to the Fund.

The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the scope of the services to be provided to the Fund under the Agreement seemed consistent with the Fund’s operational requirements, and that the Adviser had the capabilities, resources and personnel necessary to provide the advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreement supported approval of the Agreement.

Investment performance of the Fund and the Adviser. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Adviser.

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that these relevant factors supported approval of the Agreement.

The costs of the services to be provided by the Adviser and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreement, the Trustees reviewed information comparing the proposed advisory fees and estimated total expenses of the Fund’s share classes with the fees and expenses of comparable share classes of comparable funds identified by the Adviser, including information about how those funds were selected and information about differences in such fees. In evaluating the Fund’s proposed advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund. The Trustees also noted that the Fund would have an expense limitation in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by the Fund to the Adviser’s affiliates.

Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense limitation.

 

17  |  


After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee and expenses proposed to be charged to the Fund were fair and reasonable, and supported the approval of the Agreement.

Economies of scale. The Trustees considered the extent to which the Adviser may realize economies of scale in the provision of services by the Adviser, and whether those economies could be shared with the Fund through breakpoints in its investment advisory fee or other means, such as expense limitations. The Trustees noted that the Fund will be subject to an expense limitation. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreement.

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

 

· 

The compliance-related resources the Adviser and its affiliates would provide to the Fund.

 

· 

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

 

· 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the Agreement should be approved.

 

  |  18


Loomis Sayles Intermediate Duration Bond Fund and Loomis Sayles Limited Term Government and Agency Fund

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

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

 

19  |  


funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the COVID-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In the case of Loomis Sayles Limited Term Government and Agency Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective on July 1, 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

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

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

 

  |  20


The Board noted that through December 31, 2019, each Fund’s one-, three- and five-year performance, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):

 

   

One-Year

  

Three-Year

  

Five-Year

 

Loomis Sayles Intermediate Duration Bond Fund

   71  77  67

Loomis Sayles Limited Term Government and Agency Fund

   43  20  20

In the case of a Intermediate Duration Bond Fund that had performance that lagged that of a relevant category group median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreement, including: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies and (2) that the Fund had outperformed its relevant performance benchmark for all periods. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.

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

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had

 

21  |  


made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that both of the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for Loomis Sayles Intermediate Duration Bond Fund under its expense limitation agreement. The Trustees also considered that Loomis Sayles Limited Term Government and Agency Fund’s current expenses are below its limitation. They further noted that management had proposed to reduce the expense limitation for Loomis Sayles Limited Term Government and Agency Fund on all share classes, effective as of July 1, 2020. The Trustees noted that the total advisory fee rates for the Funds were below the medians of their respective peer group of funds. They further noted that management had proposed to reduce the advisory fee rate for Loomis Sayles Limited Term Government and Agency Fund.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that Loomis Sayles Limited Term Government and Agency Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Limited Term Government and Agency Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.

 

  |  22


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

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

 

· 

The effect of recent market and economic events, including but not limited to the COVID-19 crisis, on the performance, asset levels and expense ratios of each Fund.

 

· 

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

 

· 

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

 

· 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, with the reduction of the advisory fee for Loomis Sayles Limited Term Government and Agency Fund, should be continued through June 30, 2021.

 

23  |  


LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through September 30, 2020)

Effective December 1, 2018, (September 29, 2020 for Credit Income Fund), the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator which is the adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Intermediate Duration Bond Fund has established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.

During the period January 1, 2020 through September 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.    

Annual Program Assessment and Conclusion

In the opinion of the Program Administrator, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

 

  |  24


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 93.9% of Net Assets 
 Non-Convertible Bonds — 91.8% 
    Aerospace & Defense — 2.9% 
$20,000   Boeing Co. (The), 2.250%, 6/15/2026  $19,467 
 20,000   Boeing Co. (The), 2.950%, 2/01/2030   19,356 
 5,000   Boeing Co. (The), 3.100%, 5/01/2026   4,988 
 10,000   Boeing Co. (The), 3.200%, 3/01/2029   9,848 
 5,000   Boeing Co. (The), 3.250%, 2/01/2035   4,700 
 5,000   Boeing Co. (The), 3.375%, 6/15/2046   4,285 
 5,000   Boeing Co. (The), 3.500%, 3/01/2039   4,542 
 15,000   Boeing Co. (The), 3.550%, 3/01/2038   13,664 
 5,000   Boeing Co. (The), 3.625%, 3/01/2048   4,394 
 35,000   Boeing Co. (The), 3.750%, 2/01/2050   31,938 
 10,000   Boeing Co. (The), 3.850%, 11/01/2048   9,163 
 20,000   Boeing Co. (The), 3.950%, 8/01/2059   18,105 
 70,000   Boeing Co. (The), 5.150%, 5/01/2030   78,681 
 70,000   Boeing Co. (The), 5.805%, 5/01/2050   84,685 
 30,000   Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025, 144A   32,964 
 20,000   Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A   22,956 
 125,000   Raytheon Technologies Corp., 2.800%, 3/15/2022, 144A   128,880 
 5,000   Spirit AeroSystems, Inc., 4.600%, 6/15/2028   4,103 
 30,000   Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A   30,412 
 125,000   Textron, Inc., 3.000%, 6/01/2030   131,657 
 60,000   TransDigm, Inc., 6.250%, 3/15/2026, 144A   62,658 
    

 

 

 
     721,446 
    

 

 

 
    Automotive — 2.3% 
 30,000   Ford Motor Co., 8.500%, 4/21/2023   32,700 
 40,000   Ford Motor Co., 9.000%, 4/22/2025   45,861 
 5,000   Ford Motor Co., 9.625%, 4/22/2030   6,456 
 170,000   General Motors Co., 5.200%, 4/01/2045   183,118 
 255,000   General Motors Co., 6.250%, 10/02/2043   302,191 
    

 

 

 
     570,326 
    

 

 

 
    Banking — 12.3% 
 165,000   Ally Financial, Inc., 5.125%, 9/30/2024   183,892 
 110,000   Ally Financial, Inc., 5.750%, 11/20/2025   123,330 
 270,000   Bank of America Corp., MTN, 4.250%, 10/22/2026   312,641 
 200,000   Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035   197,648 
 215,000   Citigroup, Inc., 4.450%, 9/29/2027   249,313 
 250,000   Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A   274,220 
 150,000   Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031   151,566 
 210,000   Goldman Sachs Group, Inc. (The), 4.250%, 10/21/2025   238,917 
 155,000   JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031   189,153 
 390,000   Morgan Stanley, 3.625%, 1/20/2027  ��441,971 

 

25  | See accompanying notes to financial statements. 


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Banking — continued 
$115,000   Santander Holdings USA, Inc., 3.244%, 10/05/2026  $123,059 
 30,000   Santander Holdings USA, Inc., 3.500%, 6/07/2024   32,178 
 200,000   Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A   201,229 
 200,000   Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A   230,216 
 115,000   Synchrony Financial, 4.375%, 3/19/2024   124,435 
    

 

 

 
     3,073,768 
    

 

 

 
    Brokerage — 1.0% 
 15,000   Jefferies Group LLC, 6.250%, 1/15/2036   18,589 
 180,000   Jefferies Group LLC, 6.500%, 1/20/2043   226,428 
    

 

 

 
     245,017 
    

 

 

 
    Building Materials — 1.5% 
 45,000   Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A   48,206 
 200,000   Cemex SAB de CV, 7.750%, 4/16/2026, 144A   210,750 
 55,000   JELD-WEN, Inc., 4.875%, 12/15/2027, 144A   56,048 
 45,000   Standard Industries, Inc., 4.375%, 7/15/2030, 144A   46,137 
 20,000   Vulcan Materials Co., 3.500%, 6/01/2030   22,398 
    

 

 

 
     383,539 
    

 

 

 
    Cable Satellite — 4.5% 
 120,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A   124,033 
 120,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A   126,005 
 220,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050   250,169 
 110,000   Cox Communications, Inc., 4.800%, 2/01/2035, 144A   138,347 
 5,000   Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A   5,172 
 30,000   Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A   31,275 
 10,000   Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A   10,407 
 5,000   Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A   5,363 
 200,000   Time Warner Cable LLC, 4.500%, 9/15/2042   217,253 
 200,000   Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A   208,500 
    

 

 

 
     1,116,524 
    

 

 

 
    Chemicals — 0.9% 
 70,000   CF Industries, Inc., 4.500%, 12/01/2026, 144A   81,229 
 15,000   FMC Corp., 3.450%, 10/01/2029   16,705 
 5,000   FMC Corp., 4.500%, 10/01/2049   6,216 
 60,000   Hercules LLC, 6.500%, 6/30/2029   60,164 
 35,000   LYB International Finance III LLC, 4.200%, 10/15/2049   38,546 
 30,000   Westlake Chemical Corp., 3.600%, 8/15/2026   32,955 
    

 

 

 
     235,815 
    

 

 

 
    Construction Machinery — 0.5% 
 60,000   United Rentals North America, Inc., 5.250%, 1/15/2030   65,475 
 60,000   United Rentals North America, Inc., 5.500%, 5/15/2027   63,675 
    

 

 

 
     129,150 
    

 

 

 

 

 See accompanying notes to financial statements. |  26


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Consumer Cyclical Services — 4.4% 
$245,000   Amazon.com, Inc., 2.500%, 6/03/2050  $249,905 
 155,000   Booking Holdings, Inc., 4.625%, 4/13/2030   186,216 
 55,000   eBay, Inc., 4.000%, 7/15/2042   61,468 
 300,000   Expedia Group, Inc., 3.250%, 2/15/2030   289,053 
 55,000   IHS Markit Ltd., 4.250%, 5/01/2029   63,804 
 115,000   Uber Technologies, Inc., 7.500%, 5/15/2025, 144A   122,543 
 115,000   Uber Technologies, Inc., 8.000%, 11/01/2026, 144A   122,566 
    

 

 

 
     1,095,555 
    

 

 

 
    Diversified Manufacturing — 0.5% 
 70,000   Carrier Global Corp., 2.722%, 2/15/2030, 144A   73,223 
 45,000   Carrier Global Corp., 3.577%, 4/05/2050, 144A   47,805 
    

 

 

 
     121,028 
    

 

 

 
    Electric — 3.6% 
 5,000   AES Corp. (The), 3.950%, 7/15/2030, 144A   5,525 
 70,000   AES Corp. (The), 5.125%, 9/01/2027   74,557 
 40,000   Calpine Corp., 5.125%, 3/15/2028, 144A   41,400 
 210,000   FirstEnergy Corp., Series C, 3.400%, 3/01/2050   203,716 
 20,000   IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A   22,629 
 35,000   NRG Energy, Inc., 4.450%, 6/15/2029, 144A   38,565 
 35,000   NRG Energy, Inc., 5.250%, 6/15/2029, 144A   38,062 
 140,000   Pacific Gas & Electric Co., 3.500%, 8/01/2050   126,227 
 125,000   Southern California Edison Co., 3.650%, 2/01/2050   129,167 
 90,000   Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A   94,650 
 115,000   Vistra Operations Co. LLC, 4.300%, 7/15/2029, 144A   125,525 
    

 

 

 
     900,023 
    

 

 

 
    Finance Companies — 4.0% 
 150,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028   138,259 
 205,000   Air Lease Corp., MTN, 3.000%, 2/01/2030   190,905 
 125,000   Aircastle Ltd., 4.125%, 5/01/2024   123,201 
 200,000   GE Capital Funding LLC, 4.400%, 5/15/2030, 144A   214,782 
 80,000   Navient Corp., 5.000%, 3/15/2027   75,122 
 85,000   OneMain Finance Corp., 5.375%, 11/15/2029   88,400 
 35,000   OneMain Finance Corp., 7.125%, 3/15/2026   39,102 
 130,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   128,375 
    

 

 

 
     998,146 
    

 

 

 
    Financial Other — 0.5% 
 115,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027   119,807 
    

 

 

 
    Food & Beverage — 4.8% 
 205,000   Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050   245,704 
 240,000   Coca-Cola Co. (The), 1.750%, 9/06/2024   250,822 
 150,000   Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050   159,564 
 145,000   Kraft Heinz Foods Co., 4.375%, 6/01/2046   148,780 
 95,000   Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A   100,255 
 35,000   Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A   37,800 

 

27  | See accompanying notes to financial statements. 


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Food & Beverage — continued 
$50,000   Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A  $51,625 
 190,000   Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A   190,410 
    

 

 

 
     1,184,960 
    

 

 

 
    Health Insurance — 0.0% 
 5,000   Centene Corp., 4.625%, 12/15/2029   5,393 
    

 

 

 
    Healthcare — 4.0% 
 75,000   Cigna Corp., 4.375%, 10/15/2028   89,217 
 55,000   CVS Health Corp., 3.250%, 8/15/2029   60,500 
 5,000   Encompass Health Corp., 4.750%, 2/01/2030   5,073 
 165,000   HCA, Inc., 4.125%, 6/15/2029   186,623 
 100,000   HCA, Inc., 5.250%, 6/15/2049   122,414 
 270,000   HCA, Inc., MTN, 7.750%, 7/15/2036   344,250 
 90,000   Hologic, Inc., 3.250%, 2/15/2029, 144A   90,563 
 25,000   Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A   25,360 
 40,000   Tenet Healthcare Corp., 5.125%, 5/01/2025   40,372 
 30,000   Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A   29,175 
    

 

 

 
     993,547 
    

 

 

 
    Home Construction — 0.8% 
 90,000   Lennar Corp., 4.750%, 11/29/2027   102,758 
 70,000   PulteGroup, Inc., 6.000%, 2/15/2035   86,450 
    

 

 

 
     189,208 
    

 

 

 
    Independent Energy — 1.9% 
 150,000   Aker BP ASA, 4.000%, 1/15/2031, 144A   147,521 
 10,000   Cimarex Energy Co., 4.375%, 6/01/2024   10,733 
 95,000   Continental Resources, Inc., 3.800%, 6/01/2024   87,638 
 55,000   Hess Corp., 4.300%, 4/01/2027   57,446 
 60,000   Hess Corp., 5.600%, 2/15/2041   64,757 
 45,000   Newfield Exploration Co., 5.375%, 1/01/2026   42,261 
 20,000   Newfield Exploration Co., 5.625%, 7/01/2024   19,401 
 5,000   Occidental Petroleum Corp., 2.700%, 8/15/2022   4,672 
 15,000   Occidental Petroleum Corp., 2.900%, 8/15/2024   12,727 
 10,000   Occidental Petroleum Corp., 3.500%, 6/15/2025   8,300 
 30,000   Occidental Petroleum Corp., 5.550%, 3/15/2026   27,177 
    

 

 

 
     482,633 
    

 

 

 
    Industrial Other — 0.1% 
 30,000   CBRE Services, Inc., 4.875%, 3/01/2026   35,123 
    

 

 

 
    Life Insurance — 0.6% 
 115,000   American International Group, Inc., 3.400%, 6/30/2030   127,347 
 30,000   CNO Financial Group, Inc., 5.250%, 5/30/2029   34,694 
    

 

 

 
     162,041 
    

 

 

 
    Lodging — 0.6% 
 5,000   Hyatt Hotels Corp., 5.375%, 4/23/2025   5,383 
 15,000   Hyatt Hotels Corp., 5.750%, 4/23/2030   17,224 
 20,000   Marriott International, Inc., Series EE, 5.750%, 5/01/2025   22,320 

 

 See accompanying notes to financial statements. |  28


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Lodging — continued 
$25,000   Marriott International, Inc., 4.625%, 6/15/2030  $26,774 
 70,000   Wyndham Destinations, Inc., 4.625%, 3/01/2030, 144A   67,550 
    

 

 

 
     139,251 
    

 

 

 
    Media Entertainment — 2.4% 
 60,000   Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A   57,615 
 30,000   Discovery Communications LLC, 3.950%, 3/20/2028   34,128 
 80,000   Discovery Communications LLC, 5.000%, 9/20/2037   95,355 
 65,000   iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A   63,375 
 35,000   iHeartCommunications, Inc., 8.375%, 5/01/2027   34,475 
 25,000   Lamar Media Corp., 3.750%, 2/15/2028, 144A   24,875 
 30,000   Lamar Media Corp., 4.000%, 2/15/2030, 144A   30,000 
 5,000   Lamar Media Corp., 5.750%, 2/01/2026   5,162 
 110,000   Netflix, Inc., 4.875%, 6/15/2030, 144A   125,400 
 115,000   ViacomCBS, Inc., 4.375%, 3/15/2043   122,248 
    

 

 

 
     592,633 
    

 

 

 
    Metals & Mining — 3.8% 
 45,000   Allegheny Technologies, Inc., 5.875%, 12/01/2027   43,243 
 200,000   Anglo American Capital PLC, 4.500%, 3/15/2028, 144A   228,790 
 50,000   ArcelorMittal S.A., 7.250%, 10/15/2039   63,107 
 200,000   First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A   192,750 
 60,000   Freeport-McMoRan, Inc., 4.625%, 8/01/2030   63,087 
 135,000   Glencore Funding LLC, 3.875%, 10/27/2027, 144A   147,460 
 20,000   Glencore Funding LLC, 4.000%, 3/27/2027, 144A   21,840 
 45,000   Glencore Funding LLC, 4.125%, 3/12/2024, 144A   48,762 
 115,000   Glencore Funding LLC, 4.625%, 4/29/2024, 144A   126,690 
    

 

 

 
     935,729 
    

 

 

 
    Midstream — 2.8% 
 115,000   Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027   128,011 
 55,000   Energy Transfer Operating LP, 5.000%, 5/15/2050   50,925 
 185,000   EnLink Midstream Partners LP, 5.450%, 6/01/2047   116,550 
 65,000   EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028   65,458 
 50,000   Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A   50,937 
 20,000   NGPL PipeCo LLC, 4.375%, 8/15/2022, 144A   20,761 
 80,000   NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A   86,812 
 120,000   Sunoco Logistics Partners Operations LP, 4.000%, 10/01/2027   122,627 
 60,000   Valero Energy Partners LP, 4.500%, 3/15/2028   67,205 
    

 

 

 
     709,286 
    

 

 

 
    Paper — 0.4% 
 70,000   Weyerhaeuser Co., 4.000%, 4/15/2030   82,765 
 20,000   WRKCo, Inc., 3.000%, 6/15/2033   21,756 
    

 

 

 
     104,521 
    

 

 

 
    Pharmaceuticals — 5.5% 
 50,000   Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A   51,428 
 230,000   GlaxoSmithKline Capital PLC, 3.000%, 6/01/2024   248,729 
 245,000   Merck & Co., Inc., 2.350%, 2/10/2022   252,282 

 

29  | See accompanying notes to financial statements. 


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Pharmaceuticals — continued 
$155,000   Merck & Co., Inc., 2.450%, 6/24/2050  $155,588 
 120,000   Mylan NV, 5.250%, 6/15/2046   148,932 
 200,000   Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030   206,514 
 70,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   61,755 
 220,000   Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046   182,974 
 55,000   Upjohn, Inc., 4.000%, 6/22/2050, 144A   58,701 
    

 

 

 
     1,366,903 
    

 

 

 
    Property & Casualty Insurance — 0.7% 
 175,000   Fidelity National Financial, Inc., 2.450%, 3/15/2031   173,575 
    

 

 

 
    REITs – Health Care — 0.5% 
 110,000   Welltower, Inc., 4.250%, 4/01/2026   126,009 
    

 

 

 
    REITs – Hotels — 0.5% 
 130,000   Host Hotels & Resorts LP, Series E, 4.000%, 6/15/2025   134,962 
    

 

 

 
    REITs – Mortgage — 1.0% 
 115,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A   99,475 
 70,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A   68,621 
 80,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A   74,100 
    

 

 

 
     242,196 
    

 

 

 
    REITs – Shopping Centers — 0.8% 
 115,000   Brixmor Operating Partnership LP, 4.050%, 7/01/2030   123,003 
 75,000   SITE Centers Corp., 3.625%, 2/01/2025   76,637 
    

 

 

 
     199,640 
    

 

 

 
    Restaurants — 0.8% 
 65,000   1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A   66,287 
 55,000   McDonald’s Corp., MTN, 3.625%, 9/01/2049   61,757 
 60,000   Yum! Brands, Inc., 4.750%, 1/15/2030, 144A   64,800 
    

 

 

 
     192,844 
    

 

 

 
    Retailers — 1.5% 
 45,000   AutoZone, Inc., 3.625%, 4/15/2025   50,179 
 70,000   AutoZone, Inc., 4.000%, 4/15/2030   83,023 
 55,000   Carvana Co., 5.625%, 10/01/2025, 144A   54,261 
 96,911   CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A   101,684 
 55,000   Dollar General Corp., 3.500%, 4/03/2030   62,599 
 10,000   Lithia Motors, Inc., 4.375%, 1/15/2031, 144A   10,000 
    

 

 

 
     361,746 
    

 

 

 
    Technology — 9.6% 
 260,000   Alphabet, Inc., 1.900%, 8/15/2040   250,137 
 85,000   Avnet, Inc., 4.625%, 4/15/2026   95,072 
 375,000   Broadcom, Inc., 4.300%, 11/15/2032   428,397 
 35,000   CDW LLC/CDW Finance Corp., 4.125%, 5/01/2025   36,138 
 130,000   CommScope Technologies LLC, 5.000%, 3/15/2027, 144A   124,800 

 

 See accompanying notes to financial statements. |  30


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Technology — continued 
$60,000   CommScope, Inc., 6.000%, 3/01/2026, 144A  $62,550 
 40,000   Equifax, Inc., 3.100%, 5/15/2030   43,578 
 185,000   Equinix, Inc., 2.150%, 7/15/2030   187,289 
 60,000   Iron Mountain, Inc., 5.250%, 7/15/2030, 144A   62,550 
 20,000   Keysight Technologies, Inc., 3.000%, 10/30/2029   21,863 
 145,000   Microchip Technology, Inc., 4.333%, 6/01/2023   156,051 
 265,000   Micron Technology, Inc., 4.663%, 2/15/2030   311,218 
 240,000   Microsoft Corp., 2.525%, 6/01/2050   250,997 
 215,000   Oracle Corp., 3.600%, 4/01/2050   242,341 
 40,000   Qorvo, Inc., 3.375%, 4/01/2031, 144A   40,650 
 10,000   Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A   11,006 
 35,000   SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A   37,195 
 35,000   Verisk Analytics, Inc., 4.125%, 3/15/2029   41,275 
    

 

 

 
     2,403,107 
    

 

 

 
    Transportation Services — 0.7% 
 5,000   FedEx Corp., 4.050%, 2/15/2048   5,742 
 15,000   FedEx Corp., 4.100%, 2/01/2045   17,166 
 20,000   FedEx Corp., 5.250%, 5/15/2050   27,021 
 115,000   United Parcel Service, Inc., 2.500%, 4/01/2023   120,812 
    

 

 

 
   170,741 
    

 

 

 
    Treasuries — 3.5% 
 135,000   U.S. Treasury Bond, 1.125%, 8/15/2040   132,743 
 95,000   U.S. Treasury Bond, 2.000%, 2/15/2050   107,780 
 620,000   U.S. Treasury Note, 0.125%, 9/30/2022   619,976 
    

 

 

 
   860,499 
    

 

 

 
    Wireless — 2.6% 
 55,000   American Tower Corp., 2.100%, 6/15/2030   55,356 
 230,000   Crown Castle International Corp., 3.300%, 7/01/2030   251,522 
 30,000   Sprint Capital Corp., 6.875%, 11/15/2028   37,500 
 265,000   T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A   300,674 
    

 

 

 
   645,052 
    

 

 

 
    Wirelines — 3.0% 
 550,000   AT&T, Inc., 3.650%, 6/01/2051   554,758 
 150,000   Telefonica Emisiones S.A., 5.520%, 3/01/2049   186,942 
    

 

 

 
   741,700 
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $22,943,104)
   22,863,443 
    

 

 

 
    
 Convertible Bonds — 2.1% 
    Cable Satellite — 1.0% 
 270,000   DISH Network Corp., 3.375%, 8/15/2026   247,859 
    

 

 

 
    Electric — 0.0% 
 10,000   NRG Energy, Inc., 2.750%, 6/01/2048   10,357 
    

 

 

 

 

31  | See accompanying notes to financial statements. 


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
    Industrial Other — 0.1% 
$15,000   Chegg, Inc., Zero Coupon, 9/01/2026, 144A  $14,948 
    

 

 

 
    Pharmaceuticals — 0.9% 
 230,000   BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A   224,938 
    

 

 

 
    Technology — 0.1% 
 35,000   Palo Alto Networks, Inc., 0.375%, 6/01/2025, 144A   37,057 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $537,270)
   535,159 
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $23,480,374)
   23,398,602 
    

 

 

 
    
Shares          
 Preferred Stocks — 1.3% 
    Banking — 0.5% 
 40   Bank of America Corp., Series L, 7.250%   59,520 
 50   Wells Fargo & Co., Class A, Series L, 7.500%   67,102 
    

 

 

 
   126,622 
    

 

 

 
    Food & Beverage — 0.8% 
 1,950   Bunge Ltd., 4.875%   186,764 
    

 

 

 
  Total Preferred Stocks
(Identified Cost $316,708)
   313,386 
    

 

 

 
    
  Total Investments — 95.2%
(Identified Cost $23,797,082)
   23,711,988 
  Other assets less liabilities — 4.8%   1,206,292 
    

 

 

 
  Net Assets — 100.0%  $24,918,280 
    

 

 

 
    
 (†)   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 September 30, 2020, the value of Rule 144A holdings amounted to $6,682,708 or 26.8% of net assets.

 

    
 MTN   Medium Term Note

 

 REITs   Real Estate Investment Trusts  

 

 See accompanying notes to financial statements. |  32


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Credit Income Fund – (continued)

 

Industry Summary at September 30, 2020

 

Banking

   12.8

Technology

   9.7 

Pharmaceuticals

   6.4 

Food & Beverage

   5.6 

Cable Satellite

   5.5 

Consumer Cyclical Services

   4.4 

Finance Companies

   4.0 

Healthcare

   4.0 

Metals & Mining

   3.8 

Electric

   3.6 

Treasuries

   3.5 

Wirelines

   3.0 

Aerospace & Defense

   2.9 

Midstream

   2.8 

Wireless

   2.6 

Media Entertainment

   2.4 

Automotive

   2.3 

Other Investments, less than 2% each

   15.9 
  

 

 

 

Total Investments

   95.2 

Other assets less liabilities

   4.8 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

33  | See accompanying notes to financial statements. 


Portfolio of Investments – as of September 30, 2020

Loomis Sayles Intermediate Duration Bond Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 98.3% of Net Assets  
    ABS Car Loan — 10.5% 
$90,000   American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A  $92,565 
 845,000   American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A   864,180 
 135,000   American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A   135,420 
 53,520   AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022   53,642 
 510,000   AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024   531,070 
 480,000   AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024   494,393 
 695,000   AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024   709,461 
 385,000   AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024   389,006 
 110,000   AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024   110,365 
 265,000