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Loomis Sayles Funds Ii

Filed: 4 Mar 21, 2:42pm

 

 

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: December 31

Date of reporting period: December 31, 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

 

LOGO

 

Annual Report

December 31, 2020

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Municipal Bond Fund

Loomis Sayles International Growth Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

 

Table of Contents

Portfolio Review  1 
Portfolio of Investments  25 
Financial Statements  70 
Notes to Financial Statements  105 

 

LOGO


LOOMIS SAYLES HIGH INCOME FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

The financial markets experienced significant volatility in 2020, as investors grappled with the persistent 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 “safe-haven” investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting short-term interest rates to zero, reestablishing traditional quantitative easing (QE) through asset purchases in the Treasury and mortgage-backed securities markets, and establishing lending facilities which either have only been used during the Great Financial Crisis or were created for the first time in Fed history, such as the Corporate Credit facility. Aided by the $2.2 trillion stimulus package passed by the US Congress in late March, the Fed’s response fueled an impressive recovery in higher-risk assets from early spring onward. After pausing in the lead-up to the US elections, the rally gained steam in November thanks to the long-awaited headline that coronavirus vaccines would soon become available to the public. The markets took this as an indication that economic conditions could gradually return to normal in 2021, boosting sentiment into year-end.

US Treasurys were the primary beneficiaries of the first-quarter “flight to quality” and the Fed’s subsequent commitment to maintain its low-rate monetary policy indefinitely. Twelve-month returns were progressively higher along the yield curve (a curve that shows the relationship among bond yields across the maturity spectrum), with 30-year issues generating the largest gain.

Although investment-grade corporate bonds suffered a sharp downturn in the February-March selloff, the category finished as the top performing major segment of the fixed income market for the full, 12-month period. Corporates benefited from the gradual improvement in the credit outlook throughout the course of the year, together with rising demand for high-quality alternatives to low-yielding government debt.

High-yield bonds also delivered positive returns, although they were unable to keep pace with investment-grade corporates. The category was supported by hopes for an economic recovery and reduced investor risk aversion. Lower-quality debt was generally harder hit in the February-March downturn due low market liquidity, tempering its return for the full year. Nevertheless, yield spreads — the difference between yields on below investment-grade debt and Treasurys of similar maturities — finished the year close to where they stood in February prior to the selloff associated with Covid-19.

Securitized assets — including mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted positive total returns but failed to keep pace with the broader US bond market. CMBS was the strongest performer in this segment despite concerns about the outlook for commercial real estate in the wake of the pandemic.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of the Loomis Sayles High Income Fund returned 8.19% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 7.11%.

Explanation of Fund Performance

The remarkable events of 2020 were dominated by the volatility created by the Covid-19 global pandemic. Fueled by extraordinary monetary and fiscal stimulus, markets came roaring back after a sharp selloff during the first quarter of the year, and continued to reach new highs as lockdowns eased and vaccine development progressed. This positive momentum was maintained throughout the final quarter of 2020 as a Covid vaccine was approved and distribution began. Security selection was the primary source of the Fund’s outperformance for the 12-month period. High yield and investment grade corporate credit positions were the largest positive contributors to relative return, aided by consumer cyclical and energy holdings. Exposures to the communications sector within high yield and capital goods sector within investment grade credit were also beneficial for performance.

An allocation to securitized assets detracted as this sector did not keep pace with high yield credit. Within convertible securities, selected energy and consumer non-cyclical holdings weighed on return.

 

 

1  |


 

Outlook

Looking ahead to the upcoming year, there are a number of structural economic factors in place that pose risks to our market outlook, including the ongoing impact of the pandemic, further delay in reaching a fiscal package and any resurgence of trade tensions between the US and China. That said, we are optimistic that economic conditions could continue to show improvement over the next year. This view is reflected in current market prices and appears to be shared by the consensus.

While the recent rise in coronavirus cases has led to renewed containment measures across the US, the likelihood of a vaccine has been priced into markets along with expectations for a fiscal package to arrive in the first quarter of the year. These measures help give us some confidence that the economic recovery could continue to show steady, if uneven, progress. GDP growth rebounded from the steep declines last year and we expect this trend to continue into 2021.

We anticipate limited changes in monetary policy, with the Fed likely maintaining its zero interest rate policy until at least 2023. The Fed has also indicated that full employment and longer-term inflation averages are additional factors in considering any future rate hikes. This accommodative stance should continue to boost investor confidence and demand for yield in a low global rate environment. In addition, we believe the overall health of the consumer, strong housing market and expected inventory rebuilding provide support to our outlook.

The credit markets have been progressing through the cycle,1 and we believe there are increasing signs of a shift towards recovery with corporate profits rebounding, easy monetary policy, balance sheet improvement and potential for large-scale vaccine distribution.

We have been maintaining a balance of liquidity, diversification and risk exposure in our portfolios. Within our credit allocation, we continue to focus on areas where we still see value based on our fundamental research. We are specifically focused on some of the sectors that were hardest hit by the pandemic including the transportation, recreational and hospitality industries. These areas of the economy include credits that have been cheap for their rating, have been able to access the capital markets for liquidity and are likely in a good position to benefit from the recovery.

Despite the higher valuations, we believe there are still selective opportunities in both the investment grade and high yield corporate sectors. Spreads have compressed but can potentially tighten further on improving fundamentals. We are selectively adding corporate credit, particularly in areas of the market that have lagged the recovery.

Our emerging market allocation largely represents US dollar-pay exposure to high quality securities with strong balance sheets and currently attractive real yields. We are holding little foreign currency but continue to evaluate opportunities in markets outside the US as we look for clarity on the outlook for global growth.

Market conditions in the past year have highlighted the notion that investors tend to overreact. The speed and severity of the recession and subsequent sharp rebound were unexpected, but also presented some favorable investment opportunities. These developments have served to reinforce our investment philosophy that markets are highly inefficient in the short term. We believe that we were able to capitalize on these developments in 2020 and that our portfolios are well-positioned to benefit from the expected economic growth and recovery in the new year.

 

1 

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

 

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LOOMIS SAYLES HIGH INCOME FUND

 

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

December 31, 2010 through December 31, 2020

 

LOGO

Average Annual Total Returns — December 31, 20203

 

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

Net

 
   
Class Y (Inception 2/29/08)              
NAV   8.19   7.88   6.00      0.93   0.75
   
Class A (Inception 2/22/84)              
NAV   8.16    7.59    5.72        1.18    1.00 
With 4.25% Maximum Sales Charge   3.53    6.65    5.27          
   
Class C (Inception 3/2/98)              
NAV   7.30    6.80    4.96        1.93    1.75 
With CDSC1   6.30    6.80    4.96          
   
Class N (Inception 11/30/16)              
NAV   8.485             6.49    0.82    0.70 
  
Comparative Performance             
Bloomberg Barclays U.S. Corporate High-Yield Bond Index2   7.11    8.59    6.80    6.86           

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. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

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

 

2

The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices.

 

3

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

 

4

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

 

5

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

 

3  |


LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND

 

Managers Symbols
Dawn Mangerson Class A    MIMAX
James Grabovac, CFA® Class C    MIMCX
Lawrence Jones Class Y    MIMYX
Loomis, Sayles & Company, L.P. 

 

 

Investment Goal

The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.

 

 

Market Conditions

Capital markets concluded a tumultuous year producing positive returns across most asset classes. High-grade municipal yields declined between 70 and 90 basis points, with the largest declines occurring on the shorter end of the yield curve. The pandemic-induced market panic that occurred in March proved short-lived as a rapid and massive easing of monetary policy, combined with multiple rounds of fiscal relief, provided the medicine markets required to gain a foothold from the liquidity panic. Markets subsequently began their climb higher as the year progressed. Lower quality sectors of the municipal market underperformed higher quality, as participants weighed the continued impact of a deep recession caused by the necessity of shutting down large segments of the US and global economies. Recent economic improvement coincident with the approval and rollout of vaccines has increased optimism that the recession will end in 2021 and the path toward recovery will open. However, significant hurdles remain for large segments of the economy, and whether the severity of the pandemic will result in long-term or permanent changes in behavior continues to weigh on many sectors, including real estate related, mass transit, senior care and air travel, to note several. In addition, the disruption and dislocation in K-12 and higher education has been sharp, although federal aid has provided important support. Questions remain, however, about the evolution of the education sector and whether the steady expansion of higher education, in particular, has reached a secular peak in the US.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of the Loomis Sayles Intermediate Municipal Bond Fund returned 3.63% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays Municipal Bond Index, which returned 5.21%.

Explanation of Fund Performance

Although the Fund produced a meaningfully positive return for the year, it underperformed its benchmark primarily due to yield curve posture, more specifically a 10.5% underweight to the longest portion of the yield curve (22 years and plus), which produced the greatest returns for the period. Additionally, overweight exposures to the higher education and hospital sectors hampered performance as spreads widened, while outperformance of the Fund’s allocations to the local general obligation, leasing and special tax sectors was additive to performance. Furthermore, underperformance in the Fund’s BBB-rated credits was a significant detractor from performance. With respect to state allocations, fund positioning in two of the largest states in the benchmark, California and New York, contributed positively; however, overall state exposure was a drag on performance.

Outlook

The economy and the markets withstood significant damage in the early stages of the pandemic and required unprecedented support from fiscal and monetary policymakers. The Federal Reserve has communicated clearly its intention to continue to keep the policy rate near the zero lower bound at least through this year and likely beyond. Sustaining an economic recovery is also expected to require continuing fiscal relief while the rollout of the vaccines continues and accelerates. We anticipate the new administration will attempt to bring both additional aid for state and local governments and an infrastructure package. We are hopeful that wide distribution of the vaccine alongside continued fiscal and monetary support will provide a glide path toward economic recovery. While we do not anticipate a significant rise in long-term interest rates, there could be modest upward pressure as the economic environment improves. Somewhat higher yields and an increase in municipal supply resulting from an infrastructure package would be welcome developments for municipal investors who have faced constrained supply and record low yields for most of the past year. Municipal investor appetite remains strong and we anticipate the market could absorb any increase in supply.

 

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LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND

 

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

December 31, 2012 (inception) through December 31, 2020

 

LOGO

Average Annual Total Returns — December 31, 20204

 

     
                Expense Ratios5 
   
    1 Year   5 Years   Life of Fund   Gross   Net 
   
Class Y (Inception 12/31/12)1           
NAV   3.63   3.08   2.74   1.61   0.46
   
Class A (Inception 12/31/12)1           
NAV   3.48    2.83    2.46    1.85    0.71 
With 3.00% Maximum Sales Charge   0.38    2.21    2.06      
   
Class C (Inception 12/31/12)1           
NAV   2.71    2.06    1.70    2.61    1.46 
With CDSC2   1.71    2.06    1.70           
  
Comparative Performance           
Bloomberg Barclays Municipal Bond Index3   5.21    3.91    3.61           

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. 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

December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 represents commencement of operations for accounting and financial reporting purposes only.

 

2

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

 

3

Bloomberg Barclays Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more.

 

4

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

 

5

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

 

5  |


LOOMIS SAYLES INTERNATIONAL GROWTH FUND

 

Managers  Symbols  
Aziz V. Hamzaogullari, CFA®  Class A  LIGGX
Loomis, Sayles & Company, L.P.  Class C  LIGCX
  Class N  LIGNX
  Class Y  LIGYX

 

 

Investment Goal

The Fund’s investment goal is long-term growth of capital.

 

 

Market Conditions

International equities moved modestly higher in the abbreviated reporting period that ran from December 15, 2020 to December 31, 2020. The market entered the period on a high note, having rallied significantly over the prior six weeks following the approval of a vaccine for Covid-19. The conclusion of the U.S. election provided a further boost to the markets in this time, as did the ongoing commitment of the world’s central banks to maintain their ultra-accommodative monetary policies indefinitely. The pace of the rally slowed in the final two weeks of the year, as investors paused to digest the previous gains and trading activity decelerated around the holidays. In addition, a number of European countries began to re-institute lockdown measures to combat rising cases of the coronavirus. The tone in the markets remained fairly positive, however, partially as a result of the passage of a long-awaited fiscal stimulus package in the United States. The upbeat close to the year allowed the major international indices to finish 2020 with double-digit Q4 returns despite the dramatic first-quarter selloff caused by Covid-19.

Performance Results

The Loomis Sayles International Growth Fund was launched on December 15, 2020. For the period ending December 31, 2020, Class Y shares of the Fund returned 1.38% at net asset value. The Fund underperformed its benchmark, the MSCI All Country World Index Ex USA Index, which returned 2.57%.

Explanation of Fund Performance

We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Given the rare confluence of quality, growth, and valuation, we may study dozens of companies but may only invest in a select few businesses each year. We believe identifying those few businesses with these characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30-45 securities.

During the brief period, the Fund’s positions in Baidu, Vipshop, and Kweichow Moutai contributed the most to performance. Stock selection in the communication services and consumer staples sectors, as well as our allocation in the energy sector, contributed positively to relative performance. The Fund’s positions in Alibaba, Tencent, and Sodexo detracted the most from performance. Stock selection in the consumer discretionary and information technology sectors were the biggest detractors from relative performance.

Outlook

Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. The Fund ended the year with overweight positions in the consumer staples, consumer discretionary, healthcare, communication services, and information technology sectors and was underweight in the industrials and energy sectors. We had no exposure to stocks in the financials, materials, utilities or real estate sectors. From a geographic standpoint we were overweight in emerging markets and North America and underweight in developed Asia and Europe. We remain committed to our long-term investment approach to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value.

 

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LOOMIS SAYLES INTERNATIONAL GROWTH FUND

 

Top Ten Holdings as of December 31, 2020

 

  
Security Name  % of
Assets
 
 1  

MercadoLibre, Inc.

   7.69
 2  

Tencent Holdings Ltd.

   6.62 
 3  

Alibaba Group Holding Ltd., Sponsored ADR

   5.61 
 4  

Roche Holding AG

   5.51 
 5  

Novartis AG, (Registered)

   4.94 
 6  

Adyen NV

   4.89 
 7  

Kweichow Moutai Co. Ltd., Class A

   4.44 
 8  

FANUC Corp.

   4.22 
 9  

Ambev S.A., ADR

   3.90 
 10  

Baidu, Inc., Sponsored ADR

   3.65 

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.

Total Returns — December 31, 20203

 

   
        Expense Ratios4 
   
    Life of Fund   

Gross

   

Net

 
   
Class Y (Inception 12/15/20)       
NAV   1.38   22.50   0.95
   
Class A (Inception 12/15/20)       
NAV   1.37    22.75    1.20 
With 5.75% Maximum Sales Charge   -4.46      
   
Class C (Inception 12/15/20)       
NAV   1.33    23.50    1.95 
With CDSC1   0.33      
   
Class N (Inception 12/15/20)       
NAV   1.38    4.02    0.90 
  
Comparative Performance       
MSCI ACWI ex USA Index2   2.39           

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

 

1

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

 

2

The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,361 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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.

 

7  |


LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

The financial markets experienced significant volatility in 2020, as investors grappled with the persistent 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 “safe-haven” investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting short-term interest rates to zero, reestablishing traditional quantitative easing (QE) through asset purchases in the Treasury and mortgage-backed securities markets, and establishing lending facilities which either have only been used during the Great Financial Crisisor were created for the first time in Fed history, such as the Corporate Credit facility. Aided by the $2.2 trillion stimulus package passed by the US Congress in late March, the Fed’s response fueled an impressive recovery in higher-risk assets from early spring onward. After pausing in the lead-up to the US elections, the rally gained steam in November thanks to the long-awaited headline that coronavirus vaccines would soon become available to the public. The markets took this as an indication that economic conditions could gradually return to normal in 2021, boosting sentiment into year-end.

US Treasurys were the primary beneficiaries of the first-quarter “flight to quality” and the Fed’s subsequent commitment to maintain its low-rate monetary policy indefinitely. Twelve-month returns were progressively higher along the yield curve (a curve that shows the relationship among bond yields across the maturity spectrum), with 30-year issues generating the largest gain.

Although investment-grade corporate bonds suffered a sharp downturn in the February-March selloff, the category finished as the top performing major segment of the fixed income market for the full, 12-month period. Corporates benefited from the gradual improvement in the credit outlook throughout the course of the year, together with rising demand for high-quality alternatives to low-yielding government debt.

High-yield bonds also delivered positive returns, although they were unable to keep pace with investment-grade corporates. The category was supported by hopes for an economic recovery and reduced investor risk aversion. Lower-quality debt was generally harder hit in the February-March downturn due low market liquidity, tempering its return for the full year. Nevertheless, yield spreads — the difference between yields on below investment-grade debt and Treasurys of similar maturities — finished the year close to where they stood in February prior to the selloff associated with Covid-19.

Securitized assets — including mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted positive total returns but failed to keep pace with the broader US bond market. CMBS was the strongest performer in this segment despite concerns about the outlook for commercial real estate in the wake of the pandemic.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of the Loomis Sayles Investment Grade Bond Fund returned 11.68% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 8.93%. The Fund also outperformed its secondary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 7.51%.

Explanation of Fund Performance

The remarkable events of 2020 were dominated by the volatility created by the Covid-19 global pandemic. Fueled by extraordinary monetary and fiscal stimulus, markets came roaring back after a sharp selloff during the first quarter of the year, and continued to reach new highs as lockdowns eased and vaccine development progressed. This positive momentum was maintained throughout the final quarter of 2020 as a Covid vaccine was approved and distribution began. Security selection was the primary source of the Fund’s outperformance for the 12-month period. The Fund’s exposure to investment grade corporate credit was the largest contributor to relative return, aided by banking, communications and consumer non-cyclical holdings. An allocation to high yield corporate credit, particularly within the basic industry and energy sectors, was positive for performance as well. An underweight to US Treasuries was also beneficial as investors favored riskier asset classes given the improving economic outlook.

Exposure to securitized assets and defensive, reserve-like positions detracted as these did not keep pace with corporate credit.

 

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

Outlook

Looking ahead to the upcoming year, there are a number of structural economic factors in place that pose risks to our market outlook, including the ongoing impact of the pandemic, further delay in reaching a fiscal package and any resurgence of trade tensions between the US and China. That said, we are optimistic that economic conditions could continue to show improvement over the next year. This view is reflected in current market prices and appears to be shared by the consensus.

While the recent rise in coronavirus cases has led to renewed containment measures across the US, the likelihood of a vaccine has been priced into markets along with expectations for a fiscal package to arrive in the first quarter of the year. These measures help give us some confidence that the economic recovery could continue to show steady, if uneven, progress. GDP growth rebounded from the steep declines last year and we expect this trend to continue into 2021.

We anticipate limited changes in monetary policy, with the Fed likely maintaining its zero interest rate policy until at least 2023. The Fed has also indicated that full employment and longer-term inflation averages are additional factors in considering any future rate hikes. This accommodative stance should continue to boost investor confidence and demand for yield in a low global rate environment. In addition, we believe the overall health of the consumer, strong housing market and expected inventory rebuilding provide support to our outlook.

The credit markets have been progressing through the cycle,1 and we believe there are increasing signs of a shift towards recovery with corporate profits rebounding, easy monetary policy, balance sheet improvement and potential for large-scale vaccine distribution.

We have been maintaining a balance of liquidity, diversification and risk exposure in our portfolios. Within our credit allocation, we continue to focus on areas where we still see value based on our fundamental research. We are specifically focused on some of the sectors that were hardest hit by the pandemic including the transportation, recreational and hospitality industries. These areas of the economy include credits that have been cheap for their rating, have been able to access the capital markets for liquidity and are likely in a good position to benefit from the recovery.

Despite the higher valuations, we believe there are still selective opportunities in both the investment grade and high yield corporate sectors. Spreads have compressed but can potentially tighten further on improving fundamentals. We are selectively adding corporate credit, particularly in areas of the market that have lagged the recovery.

Our emerging market allocation largely represents US dollar-pay exposure to high quality securities with strong balance sheets and currently attractive real yields. We are holding little foreign currency but continue to evaluate opportunities in markets outside the US as we look for clarity on the outlook for global growth.

Market conditions in the past year have highlighted the notion that investors tend to overreact. The speed and severity of the recession and subsequent sharp rebound were unexpected, but also presented some favorable investment opportunities. These developments have served to reinforce our investment philosophy that markets are highly inefficient in the short term. We believe that we were able to capitalize on these developments in 2020 and that our portfolios are well-positioned to benefit from the expected economic growth and recovery in the new year.

 

1 

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

 

9  |


LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

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

December 31, 2010 through December 31, 2020

 

LOGO

Average Annual Total Returns — December 31, 20204

 

      
                    Expense Ratios5 
   
    1 Year   5 Years   10 Years   Life of Class N   Gross   Net 
   
Class Y (Inception 12/31/96)             
NAV   11.68   6.57   5.07      0.56   0.50
   
Class A (Inception 12/31/96)                        
NAV   11.41    6.31    4.80        0.81    0.75 
With 4.25% Maximum Sales Charge   6.70    5.39    4.35          
   
Class C (Inception 9/12/03)             
NAV   10.61    5.52    4.02        1.56    1.50 
With CDSC1   9.61    5.52    4.02          
   
Class N (Inception 2/1/13)             
NAV   11.74    6.65        4.24    0.47    0.45 
   
Admin Class (Inception 2/1/10)             
NAV   11.17    6.07    4.56        1.06    1.00 
  
Comparative Performance             
Bloomberg Barclays U.S. Government/Credit Bond Index2   8.93    4.98    4.19    3.70      
Bloomberg Barclays U.S. Aggregate Bond Index3   7.51    4.44    3.84    3.43           

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

 

1

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

 

2

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

 

3

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

 

4

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

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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.

 

|  10


LOOMIS SAYLES STRATEGIC ALPHA FUND

 

Managers Symbols
Matthew J. Eagan, CFA® Class A    LABAX
Kevin P. Kearns* Class C    LABCX
Brian P. Kennedy** Class N    LASNX
Elaine M. Stokes** Class Y    LASYX
Todd P. Vandam, CFA® 
Loomis, Sayles & Company, L.P. 

 

*

Effective January 8, 2021, Kevin P. Kearns no longer serves as portfolio manager of the Fund.

**

Effective January 8, 2021, Brian P. Kennedy and Elaine M. Stokes will join the portfolio management team of the Fund.

 

 

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

 

 

Market Conditions

Although investment-grade corporate bonds suffered a sharp downturn in the February-March 2020 selloff, the category finished as the top performing major segment of the fixed income market for the full 12-month period. Corporates benefited from the gradual improvement in the credit outlook throughout the course of the year, together with rising demand for high-quality alternatives to low-yielding government debt.

High-yield bonds also delivered positive returns, although they were unable to keep pace with investment-grade corporates. The category was supported by hopes for an economic recovery and reduced investor risk aversion. Lower-quality debt was generally harder hit in the February-March downturn due to low market liquidity, tempering its return for the full year. Nevertheless, yield spreads (the yield differential provided by corporate issues relative to comparable maturity Treasuries) finished the year close to where they stood in February prior to the selloff associated with Covid-19.

Emerging market bonds, while performing poorly in the first quarter, rebounded to finish the year with a solid total return. The asset class was aided by the combination of gradually improving investor sentiment, robust growth in Asia, steadily improving commodity prices, and persistent weakness in the US dollar.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of the Loomis Sayles Strategic Alpha Fund returned 10.19% at net asset value. The Fund outperformed its benchmark, 3-Month LIBOR, which returned 0.66% for the period. The Fund follows an absolute return strategy and is not managed to an index.

Explanation of Fund Performance

Investment grade corporate credit made the largest positive contribution during the period as spreads narrowed. To support the flow of credit to households and businesses, the Federal Reserve (Fed) will likely continue to purchase Treasury securities. With the coronavirus continuing to spread and disrupt markets, the Fed has taken many additional measures to keep the economy afloat such as buying investment grade corporate bonds with the intent of providing a safety net to corporations and their employees. However, one of President Joe Biden’s campaign promises was to reverse the excesses of the Trump tax cuts for corporations, so whether this impacts the current assistance measures the Fed is providing remains to be seen. Within the portfolio, consumer, banking and communications names in particular were the strongest contributors to returns.

High yield corporate bonds bolstered return during the period. Consumer, communications and finance company names led contributions within the high yield allocation as spreads narrowed. A portion of our high yield exposure was expressed through being long the market with High Yield CDX (credit default swap index), where we took advantage of the relatively strong liquidity profile that this instrument provided during the sharp market correction that occurred in the first quarter of 2020. The position performed well during the rest of the year and contributed positively to the overall performance of the Fund. The use of credit default swap/CDX instruments provided individual name and broad index exposure, and as a result, the ability to access overall credit markets and express an investment view quickly and efficiently. High yield bonds have outperformed stocks during the past few economic recoveries, but that has not happened this time around. As noted, against the backdrop of the coronavirus pandemic the Fed intervened with interest rate cuts, to which high yield bonds responded favorably. During the final quarter of 2020, multiple pharmaceutical and biotech companies confirmed they would soon make a Covid-19 vaccine available (while awaiting FDA approval) and verified effectiveness rates in the 95% range. As

 

11  |


 

administration of the initial vaccines to healthcare workers and high risk individuals began, the resulting optimism fueled gains in the high yield bond market during the final quarter of 2020.

Emerging markets contributed to returns for the year with owned-no-guarantee oil securities in Mexico aiding performance the most. Since his inauguration in late 2018, Mexican President Andrés Manuel López Obrador has pledged to restore the dominance of local companies such as Pemex by reviving competition among energy companies and ending reforms that were implemented in 2013. Additionally, with the economy struggling due to the global pandemic, Mexico’s energy companies have worked hard to recover and build a solid future.

Currency positioning weighed on performance during the year as the dollar began 2020 as the world’s strongest currency only to see the coronavirus pandemic rock markets. A long forward position in the Norwegian krone particularly detracted. With the Fed’s extreme policy accommodation since late March the dollar has weakened against most major currencies. The US dollar is expected to continue to weaken in 2021 as Fed policies including historically low interest rates remain intact, the economy continues to repair and President Biden begins his first 100 days in office with less reliance on tariffs against China than his predecessor. The interest rate positioning was done using US Treasury futures, with gross notional exposure averaging approximately 10% of overall market value, to establish a duration underweight, which helped contribute positively to the overall performance of the Fund.

Our minimal allocation to bank loans hurt performance in 2020 with the energy sub-sector as the largest detractor. It should be noted that energy lending includes a wide range of financing activities with examples including oil and gas reserves, solar financing, solar farm financing, wind capital, wind farm financing, renewable and sustainable energy financing and biomass fuels financing. Furthermore, the Fed established the Primary Market Corporate Credit Facility for new bond and loan issuance to assist with the flow of credit to large employers impacted by the pandemic.

Outlook

Looking ahead to the upcoming year, there are a number of structural economic factors in place that pose risks to our market outlook, including the ongoing impact of the pandemic, potential delays in reaching agreement on further fiscal stimulus and any resurgence of trade tensions between the US and China. That said, we are optimistic that economic conditions could continue to show improvement over the next year. This view is reflected in current market prices and appears to be shared by the consensus.

We anticipate limited changes in monetary policy, with the Fed likely maintaining its zero interest rate stance until at least 2023. The Fed has also indicated that progress toward attaining full employment and longer-term inflation averages are additional factors in considering any future rate hikes. This accommodative stance should continue to boost investor confidence and demand for yield in a low global rate environment. In addition, we believe the overall health of the consumer, strong housing market and expected inventory rebuilding provide support to our outlook.

We have been maintaining a balance of liquidity, diversification and risk exposure. Within our credit allocation, we continue to focus on areas where we still see value based on our fundamental research. We are specifically focused on some of the sectors that were hardest hit by the pandemic including the transportation, recreation and hospitality industries. These areas of the economy include credits that we view as cheap for their rating, have been able to access the capital markets for liquidity and are likely in a good position to benefit from the recovery.

Despite their higher valuations, we believe there are still selective opportunities in both the investment grade and high yield corporate sectors. Spreads have compressed but can potentially tighten further on improving fundamentals. We are selectively adding corporate credit, particularly in areas of the market that have lagged the recovery.

Market conditions in the past year have highlighted the notion that investors tend to overreact. The speed and severity of the recession and subsequent sharp rebound were unexpected, but also presented some favorable investment opportunities. These developments have served to reinforce our belief that markets are highly inefficient in the short term. We believe that we were able to capitalize on these developments in 2020 and that the Fund is well-positioned to benefit from the expected economic growth and recovery in the new year.

Our emerging market allocation largely represents US dollar-pay exposure to high quality securities with strong balance sheets and currently attractive real yields. We are holding little foreign currency but continue to evaluate opportunities in markets outside the US as we look for clarity on the outlook for global growth.

 

|  12


LOOMIS SAYLES STRATEGIC ALPHA FUND

 

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

December 31, 2010 through December 31, 2020

LOGO

Average Annual Total Returns — December 31, 20204

 

      
                     Expense Ratios5 
   
    1 Year   5 Years   

10 Years

   Life of Class N   Gross   Net 
   
Class Y (Inception 12/15/10)             
NAV   10.19   4.93   3.49      0.74   0.74
   
Class A (Inception 12/15/10)             
NAV   9.97    4.67    3.24        0.99    0.99 
With 4.25% Maximum Sales Charge   5.30    3.77    2.79          
   
Class C (Inception 12/15/10)             
NAV   9.12    3.89    2.46        1.74    1.74 
With CDSC1   8.12    3.89    2.46          
   
Class N (Inception 5/1/17)             
NAV   10.36            4.56    0.67    0.67 
  
Comparative Performance             
3-Month LIBOR2   0.66    1.46    0.89    1.68      
3-Month LIBOR + 300 basis points3   3.66    4.46    3.89    4.66           

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. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

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

 

2

3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

 

3

3-Month LIBOR + 300 basis points is created by adding 3.00% to the annual return of 3-Month LIBOR. The calculation is performed on a monthly basis and is subject to the effects of compounding.

 

4

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

 

5

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

 

13  |


LOOMIS SAYLES STRATEGIC INCOME FUND

 

Managers  Symbols  
Matthew J. Eagan, CFA®  Class A  NEFZX
Daniel J. Fuss, CFA®, CIC*  Class C  NECZX
Brian P. Kennedy  Class N  NEZNX
Elaine M. Stokes  Class Y  NEZYX
Loomis, Sayles & Company, L.P.  Admin Class  NEZAX

 

*

Effective March 1, 2021, Dan Fuss no longer serves as portfolio manager of the Fund.

 

 

Investment Goal

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

 

 

Market Conditions

Investors’ appetite for risk surged in the fourth quarter, which contributed to a broad range of nearly all positive returns across credit asset classes. In early November, investors were treated to the long-awaited news that coronavirus vaccines were effective and would soon become available to the public. The prospect of a gradual return to normal economic conditions in 2021 allowed market participants to look beyond recent adverse headlines, including the emergence of a new strain of the virus, ongoing Brexit negotiations, and a slowdown in the economic recovery. Investors instead were focused on and encouraged by the US Federal Reserve (Fed) statements indicating its intention to keep short-term interest rates near zero for a multiyear period. Not least, the resolution to the US election removed a factor that had weighed on sentiment in early autumn.

The developments mentioned above acted as a headwind for the Treasury market. While short-term yields were largely unchanged due to the steady outlook for Fed policy, longer-term yields rose (as prices fell). With Treasurys already having rallied significantly in the first nine months of the year, there was little room for further improvement — particularly in light of rising estimates for both economic growth and inflation in 2021. In addition, demand for “safe haven” assets was muted due to generally positive headlines.

Investment-grade corporate bonds delivered sizable outperformance in the quarter, closing out an impressive year. The combination of an improving credit outlook and stable Fed policy prompted investors to move further out on the risk spectrum in search of more attractive yields.

High yield corporate issues performed very well and finished as the best performing major segment of the bond market for the quarter. Yield spreads — the difference between yields on below investment-grade debt and Treasurys of similar maturities — declined to a level close to where they stood in February prior to the selloff associated with Covid-19.

Securitized assets — including mortgage-backed securities (MBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) — outperformed Treasurys but trailed both corporates and high yield. The category benefited from the same search for yield that aided other credit-sensitive segments of the fixed-income market, with CMBS outpacing ABS and MBS, respectively.

Emerging market bonds also moved higher in the quarter, with the bulk of the gain occurring in November and December. The asset class made up all of the ground it lost in the February-March selloff, allowing it to finish the full year firmly in positive territory. Emerging-markets debt was boosted by the combination of the “risk-on” environment, rising commodity prices and the persistent weakness in the US dollar.

Performance Results1

For the three months ended December 31, 2020, Class Y shares of the Loomis Sayles Strategic Income Fund returned 5.44% at net asset value. The Fund outperformed its primary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 0.67%.

Explanation of Fund Performance

Markets finished the year on a positive note as a Covid-19 vaccine was approved and distribution began on a global scale. Credit sectors continued to perform well under these conditions. The Fund’s exposure to high yield corporate credit was the biggest

 

1 

Effective December 2, 2020, the Board of Trustees approved a change in the fiscal year-end of the Fund from September 30 to December 31. The Fund performance provided in this section reflects the three-month fiscal period ended December 31, 2020.

 

|  14


LOOMIS SAYLES STRATEGIC INCOME FUND

 

contributor to relative return, largely driven by consumer cyclical, energy, and finance company holdings. Exposure to non-US-dollar securities, particularly those denominated in the Mexican peso, helped performance during the period. Within equities, allocations to the communications, consumer non-cyclical and technology sectors generated positive relative performance as stock markets posted strong gains for the quarter.

The Fund’s longer-than-benchmark positioning with respect to duration (and corresponding interest rate sensitivity) within US Treasuries detracted from relative performance.

Outlook

Looking ahead to the upcoming year, there are a number of structural economic factors in place that pose risks to our market outlook, including the ongoing impact of the pandemic, further delay in reaching a fiscal package and any resurgence of trade tensions between the US and China. That said, we are optimistic that economic conditions could continue to show improvement over the next year. This view is reflected in current market prices and appears to be shared by the consensus.

While the recent rise in coronavirus cases has led to renewed containment measures across the US, the likelihood of a vaccine has been priced into markets along with expectations for a fiscal package to arrive in the first quarter of the year. These measures help give us some confidence that the economic recovery could continue to show steady, if uneven, progress. GDP growth rebounded from the steep declines last year and we expect this trend to continue into 2021.

We anticipate limited changes in monetary policy, with the Fed likely maintaining its zero interest rate policy until at least 2023. The Fed has also indicated that full employment and longer-term inflation averages are additional factors in considering any future rate hikes. This accommodative stance should continue to boost investor confidence and demand for yield in a low global rate environment. In addition, we believe the overall health of the consumer, strong housing market and expected inventory rebuilding provide support to our outlook.

The credit markets have been progressing through the cycle,2 and we believe there are increasing signs of a shift towards recovery with corporate profits rebounding, easy monetary policy, balance sheet improvement and potential for large-scale vaccine distribution.

We have been maintaining a balance of liquidity, diversification and risk exposure in our portfolios. Within our credit allocation, we continue to focus on areas where we still see value based on our fundamental research. We are specifically focused on some of the sectors that were hardest hit by the pandemic including the transportation, recreational and hospitality industries. These areas of the economy include credits that have been cheap for their rating, have been able to access the capital markets for liquidity and are likely in a good position to benefit from the recovery.

Despite the higher valuations, we believe there are still selective opportunities in both the investment grade and high yield corporate sectors. Spreads have compressed but can potentially tighten further on improving fundamentals. We are selectively adding corporate credit, particularly in areas of the market that have lagged the recovery.

Our emerging market allocation largely represents US dollar-pay exposure to high quality securities with strong balance sheets and currently attractive real yields. We are holding little foreign currency but continue to evaluate opportunities in markets outside the US as we look for clarity on the outlook for global growth.

Market conditions in the past year have highlighted the notion that investors tend to overreact. The speed and severity of the recession and subsequent sharp rebound were unexpected, but also presented some favorable investment opportunities. These developments have served to reinforce our investment philosophy that markets are highly inefficient in the short term. We believe that we were able to capitalize on these developments in 2020 and that our portfolios are well-positioned to benefit from the expected economic growth and recovery in the new year.

During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds may realize currency losses in connection with the maturity or sale of certain bonds. These losses impact a fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a fund has available to distribute, even though these bonds continue to generate coupon income.

Fund officers have analyzed the Fund’s current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the 2021 fiscal year. This analysis is performed regularly to determine how realized currency losses will impact periodic ordinary income distributions for the Fund. Based on the limited foreign currency exposures held by the Fund on the most recent quarterly analysis (as of December 31, 2020), Fund

 

2 

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

 

15  |


 

officers do not anticipate realized currency losses will have an impact on the distributions in the 2021 fiscal year. This analysis is based on certain assumptions including, but not limited to, the level of foreign currency exchange rates, security prices, interest rates, the Fund adviser’s ability to manage realized currency losses, and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.

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

December 31, 2010 through December 31, 2020

LOGO

See notes to chart on page 17.

 

|  16


LOOMIS SAYLES STRATEGIC INCOME FUND

 

Average Annual Total Returns — December 31, 20204

 

       
                        Expense Ratios5 
   
    3 Months   1 Year   5 Years   10 Years   Life of Class N   Gross   Net 
   
Class Y (Inception 12/1/99)                
NAV   5.44   1.40   5.04   5.09      0.71   0.71
   
Class A (Inception 5/1/95)                
NAV   5.37    1.15    4.77    4.83        0.96    0.96 
With 4.25% Maximum Sales Charge   0.91    -3.14    3.86    4.37          
   
Class C (Inception 5/1/95)                
NAV   5.17    0.38    3.98    4.04        1.71    1.71 
With CDSC1   4.17    -0.59    3.98    4.04          
   
Class N (Inception 2/1/13)                
NAV   5.39    1.49    5.12        4.04    0.63    0.63 
   
Admin Class (Inception 2/1/10)                
NAV   5.24    0.82    4.52    4.57        1.20    1.20 
  
Comparative Performance               
Bloomberg Barclays U.S. Aggregate Bond Index2   0.67    7.51    4.44    3.84    3.43      
Bloomberg Barclays U.S. Universal Bond Index3   1.29    7.58    4.87    4.16    3.70           

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

 

1

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

 

2

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

 

3

The Bloomberg Barclays U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.

 

4

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

 

5

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

 

17  |


ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

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

 

 

|  18


UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2020 through December 31, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

 

LOOMIS SAYLES HIGH INCOME FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,129.80    $5.35 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.11    $5.08 
Class C       
Actual   $1,000.00    $1,127.70    $9.36 
Hypothetical (5% return before expenses)   $1,000.00    $1,016.34    $8.87 
Class N       
Actual   $1,000.00    $1,134.20    $3.76** 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.62    $3.56 
Class Y       
Actual   $1,000.00    $1,131.60    $4.02 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.37    $3.81 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

 

**

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes. Amounts expressed in the table include the effect of such adjustments.

 

19  |


LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD
7/1/2020 – 12/31/2020*
 
Class A       
Actual   $1,000.00    $1,022.00    $3.56 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.62    $3.56 
Class C       
Actual   $1,000.00    $1,018.20    $7.36 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.85    $7.35 
Class Y       
Actual   $1,000.00    $1,023.30    $2.29 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.87    $2.29 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

 

LOOMIS SAYLES INTERNATIONAL GROWTH FUND  BEGINNING
ACCOUNT VALUE
7/1/20201
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD
7/1/20201 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,013.70    $0.531  
Hypothetical (5% return before expenses)   $1,000.00    $1,019.10    $6.09
Class C       
Actual   $1,000.00    $1,013.30    $0.861  
Hypothetical (5% return before expenses)   $1,000.00    $1,015.33    $9.88
Class N       
Actual   $1,000.00    $1,013.80    $0.401  
Hypothetical (5% return before expenses)   $1,000.00    $1,020.61    $4.57
Class Y       
Actual   $1,000.00    $1,013.80    $0.421  
Hypothetical (5% return before expenses)   $1,000.00    $1,020.36    $4.82

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

1

Fund commenced operations on December 15, 2020. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 1.20%, 1.95%, 0.90% and 0.95% 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 (16), divided by 366 (to reflect the partial period).

 

|  20


LOOMIS SAYLES INVESTMENT GRADE BOND FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,056.30    $3.88 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.37    $3.81 
Class C       
Actual   $1,000.00    $1,052.80    $7.74 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.60    $7.61 
Class N       
Actual   $1,000.00    $1,057.90    $2.33 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.87    $2.29 
Class Y       
Actual   $1,000.00    $1,057.60    $2.59 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.62    $2.54 
Admin Class       
Actual   $1,000.00    $1,055.10    $5.17 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.11    $5.08 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.50%, 0.45%, 0.50% and 1.00% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

 

LOOMIS SAYLES STRATEGIC ALPHA FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,078.10    $5.17 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.16    $5.03 
Class C       
Actual   $1,000.00    $1,073.50    $9.02 
Hypothetical (5% return before expenses)   $1,000.00    $1,016.44    $8.77 
Class N       
Actual   $1,000.00    $1,080.00    $3.56 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.72    $3.46 
Class Y       
Actual   $1,000.00    $1,079.70    $3.87 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.42    $3.76 

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.99%, 1.73%, 0.68% and 0.74% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

 

 

21  |


LOOMIS SAYLES STRATEGIC INCOME FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,084.90    $5.10 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.32    $4.94 
Class C       
Actual   $1,000.00    $1,080.90    $9.02 
Hypothetical (5% return before expenses)   $1,000.00    $1,016.54    $8.74 
Class N       
Actual   $1,000.00    $1,086.10    $3.42 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.93    $3.31 
Class Y       
Actual   $1,000.00    $1,086.40    $3.79 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.58    $3.67 
Admin Class       
Actual   $1,000.00    $1,083.10    $6.41 
Hypothetical (5% return before expenses)   $1,000.00    $1,019.06    $6.21 

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.97%, 1.72%, 0.65%, 0.72% and 1.22% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

 

|  22


BOARD APPROVAL OF THE INITIAL ADVISORY AGREEMENT FOR LOOMIS SAYLES INTERNATIONAL GROWTH 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 International Growth 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 December 3, 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 fee 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 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 asset management 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 (“Natixis Investment Managers”), 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 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 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 with the fees and expenses 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,

 

23  |


complexity and quality of the investment management of the Fund. The Trustees also noted that the Fund would have an expense cap 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 cap.

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 caps. The Trustees noted that the Fund will be subject to an expense cap. 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 and its affiliates, 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.

 

|  24


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 88.3% of Net Assets 
 Non-Convertible Bonds — 83.6% 
  ABS Home Equity — 0.3%

 

$205,000   Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A2, 4.164%, 7/25/2058, 144A(a)  $205,038 
 138,646   DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.482%, 9/19/2045(b)   104,068 
    

 

 

 
     309,106 
    

 

 

 
  Aerospace & Defense — 4.8%

 

 30,000   Boeing Co. (The), 3.250%, 2/01/2035   30,765 
 155,000   Boeing Co. (The), 3.375%, 6/15/2046   151,250 
 45,000   Boeing Co. (The), 3.500%, 3/01/2039   45,526 
 20,000   Boeing Co. (The), 3.550%, 3/01/2038   20,404 
 105,000   Boeing Co. (The), 3.625%, 3/01/2048   105,867 
 30,000   Boeing Co. (The), 3.650%, 3/01/2047   30,367 
 60,000   Boeing Co. (The), 3.750%, 2/01/2050   62,748 
 5,000   Boeing Co. (The), 3.825%, 3/01/2059   5,079 
 10,000   Boeing Co. (The), 3.850%, 11/01/2048   10,315 
 15,000   Boeing Co. (The), 3.900%, 5/01/2049   15,918 
 1,065,000   Boeing Co. (The), 5.150%, 5/01/2030   1,288,918 
 10,000   Boeing Co. (The), 5.705%, 5/01/2040   12,977 
 630,000   Boeing Co. (The), 5.805%, 5/01/2050   868,231 
 50,000   Boeing Co. (The), 5.930%, 5/01/2060   70,930 
 260,000   Bombardier, Inc., 6.000%, 10/15/2022, 144A   255,229 
 370,000   Bombardier, Inc., 6.125%, 1/15/2023, 144A   361,675 
 100,000   Embraer Netherlands Finance BV, 5.050%, 6/15/2025   106,001 
 140,000   Embraer Netherlands Finance BV, 5.400%, 2/01/2027   148,751 
 263,000   Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A   311,608 
 60,000   Moog, Inc., 4.250%, 12/15/2027, 144A   62,250 
 350,000   Spirit AeroSystems, Inc., 4.600%, 6/15/2028   346,062 
 190,000   Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A   203,775 
 100,000   TransDigm, Inc., 5.500%, 11/15/2027   105,130 
 450,000   TransDigm, Inc., 6.250%, 3/15/2026, 144A   479,250 
 205,000   TransDigm, Inc., 6.500%, 5/15/2025   210,637 
 70,000   Wolverine Escrow LLC, 9.000%, 11/15/2026, 144A   66,259 
    

 

 

 
     5,375,922 
    

 

 

 
  Airlines — 0.4%  
 30,000   American Airlines Group, Inc., 5.000%, 6/01/2022, 144A   26,970 
 160,000   American Airlines, Inc., 11.750%, 7/15/2025, 144A   184,520 
 200,000   Delta Air Lines, Inc., 7.375%, 1/15/2026   228,461 
    

 

 

 
     439,951 
    

 

 

 
  Automotive — 4.4%  
 200,000   Clarios Global LP/Clarios U.S. Finance Co., 8.500%, 5/15/2027, 144A   217,282 
 75,000   Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A   77,813 
 1,510,000   Ford Motor Co., 9.000%, 4/22/2025   1,851,275 
 1,170,000   Ford Motor Credit Co. LLC, 4.000%, 11/13/2030   1,228,500 
 200,000   Ford Motor Credit Co. LLC, 5.113%, 5/03/2029   222,740 
 555,000   General Motors Co., 5.200%, 4/01/2045   674,007 
 150,000   General Motors Co., 6.750%, 4/01/2046   216,111 
 105,000   Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027   107,362 
 115,000   Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026   117,012 
 40,000   Meritor, Inc., 4.500%, 12/15/2028, 144A   41,000 
 100,000   PM General Purchaser LLC, 9.500%, 10/01/2028, 144A   110,750 
  Automotive — continued  
40,000   Tenneco, Inc., 7.875%, 1/15/2029, 144A  44,910 
    

 

 

 
     4,908,762 
    

 

 

 
  Banking — 1.0%  
 400,000   Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032   418,560 
 265,000   Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A   303,317 
 400,000   UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A   440,135 
    

 

 

 
     1,162,012 
    

 

 

 
  Building Materials — 1.8%

 

 20,000   Boise Cascade Co., 4.875%, 7/01/2030, 144A   21,650 
 265,000   Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A   287,027 
 285,000   Cemex SAB de CV, 5.200%, 9/17/2030, 144A   312,502 
 430,000   Cemex SAB de CV, 5.700%, 1/11/2025, 144A   439,460 
 125,000   Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A   132,812 
 50,000   CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A   52,000 
 240,000   James Hardie International Finance DAC, 5.000%, 1/15/2028, 144A   254,921 
 55,000   LBM Acquisition LLC, 6.250%, 1/15/2029, 144A   56,788 
 45,000   Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A   47,250 
 165,000   U.S. Concrete, Inc., 5.125%, 3/01/2029, 144A   169,950 
 189,000   U.S. Concrete, Inc., 6.375%, 6/01/2024   193,725 
 30,000   White Cap Buyer LLC, 6.875%, 10/15/2028, 144A   31,988 
    

 

 

 
     2,000,073 
    

 

 

 
  Cable Satellite — 5.4%

 

 210,000   Altice Financing S.A., 5.000%, 1/15/2028, 144A   215,173 
 80,000   Block Communications, Inc., 4.875%, 3/01/2028, 144A   82,400 
 1,310,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A   1,380,321 
 165,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A   176,174 
 835,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A   900,965 
 205,000   Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A   220,826 
 605,000   CSC Holdings LLC, 4.125%, 12/01/2030, 144A   632,588 
 650,000   CSC Holdings LLC, 4.625%, 12/01/2030, 144A   678,437 
 150,000   DISH DBS Corp., 7.375%, 7/01/2028   159,750 
 290,000   DISH DBS Corp., 7.750%, 7/01/2026   324,803 
 185,000   Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A   194,944 
 250,000   Sirius XM Radio, Inc., 4.125%, 7/01/2030, 144A   266,094 
 200,000   ViaSat, Inc., 6.500%, 7/15/2028, 144A   216,442 
 225,000   Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A   233,437 
 200,000   Ziggo BV, 4.875%, 1/15/2030, 144A   210,204 
 201,000   Ziggo BV, 5.500%, 1/15/2027, 144A   209,794 
    

 

 

 
     6,102,352 
    

 

 

 
  Chemicals — 0.9%

 

 125,000   Chemours Co. (The), 5.375%, 5/15/2027   133,125 
 330,000   Hercules LLC, 6.500%, 6/30/2029   351,915 
 140,000   Hexion, Inc., 7.875%, 7/15/2027, 144A   149,800 
 20,000   Methanex Corp., 5.250%, 12/15/2029   21,675 
 85,000   Methanex Corp., 5.650%, 12/01/2044   91,163 
 185,000   Olin Corp., 5.000%, 2/01/2030   197,025 
 65,000   Olin Corp., 5.125%, 9/15/2027   67,999 
 5,000   Olin Corp., 5.625%, 8/01/2029   5,431 
    

 

 

 
     1,018,133 
    

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Consumer Cyclical Services — 5.4%

 

$130,000   ANGI Group LLC, 3.875%, 8/15/2028, 144A  $132,275 
 35,000   Arches Buyer, Inc., 6.125%, 12/01/2028, 144A   36,145 
 1,005,000   Expedia Group, Inc., 3.250%, 2/15/2030   1,045,945 
 170,000   Expedia Group, Inc., 4.625%, 8/01/2027, 144A   189,934 
 405,000   Expedia Group, Inc., 6.250%, 5/01/2025, 144A   469,436 
 205,000   Expedia Group, Inc., 7.000%, 5/01/2025, 144A   225,953 
 420,000   Prime Security Services Borrower LLC/Prime Finance, Inc., 6.250%, 1/15/2028, 144A   450,908 
 10,000   QVC, Inc., 4.450%, 2/15/2025   10,678 
 10,000   QVC, Inc., 4.850%, 4/01/2024   10,775 
 185,000   Realogy Group LLC/Realogy Co-Issuer Corp., 7.625%, 6/15/2025, 144A   200,858 
 80,000   Realogy Group LLC/Realogy Co-Issuer Corp., 9.375%, 4/01/2027, 144A   88,600 
 240,000   ServiceMaster Co. LLC (The), 7.450%, 8/15/2027   279,300 
 200,000   Staples, Inc., 7.500%, 4/15/2026, 144A   208,854 
 605,000   Uber Technologies, Inc., 6.250%, 1/15/2028, 144A   657,937 
 410,000   Uber Technologies, Inc., 7.500%, 9/15/2027, 144A   451,000 
 1,485,000   Uber Technologies, Inc., 8.000%, 11/01/2026, 144A   1,620,684 
    

 

 

 
     6,079,282 
    

 

 

 
  Consumer Products — 0.5%

 

 160,000   Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A   165,683 
 115,000   Mattel, Inc., 5.875%, 12/15/2027, 144A   127,794 
 65,000   Newell Brands, Inc., 4.875%, 6/01/2025   71,519 
 175,000   Prestige Brands, Inc., 5.125%, 1/15/2028, 144A   186,594 
    

 

 

 
     551,590 
    

 

 

 
  Diversified Manufacturing — 0.4%

 

 200,000   Vertical U.S. Newco, Inc., 5.250%, 7/15/2027, 144A   212,000 
 215,000   WESCO Distribution, Inc., 7.250%, 6/15/2028, 144A   244,517 
    

 

 

 
     456,517 
    

 

 

 
  Electric — 1.2%

 

 510,000   Calpine Corp., 5.125%, 3/15/2028, 144A   536,505 
 300,000   FirstEnergy Transmission LLC, 5.450%, 7/15/2044, 144A   380,659 
 140,000   PG&E Corp., 5.000%, 7/01/2028   149,100 
 135,000   PG&E Corp., 5.250%, 7/01/2030   148,500 
 110,000   Talen Energy Supply LLC, 10.500%, 1/15/2026, 144A   97,848 
    

 

 

 
     1,312,612 
    

 

 

 
  Environmental — 0.2%

 

 175,000   GFL Environmental, Inc., 4.000%, 8/01/2028, 144A   176,313 
    

 

 

 
  Finance Companies — 3.4%

 

 180,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025   215,181 
 355,000   Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A   393,009 
 260,000   Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A   275,002 
 170,000   Navient Corp., 5.000%, 3/15/2027   171,488 
 250,000   Navient Corp., 6.500%, 6/15/2022   264,560 
 400,000   Navient Corp., 6.750%, 6/25/2025   435,000 
 460,000   OneMain Finance Corp., 7.125%, 3/15/2026   543,950 
 170,000   Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A   174,250 
 490,000   Quicken Loans LLC, 5.250%, 1/15/2028, 144A   523,075 
 325,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A   331,500 
 485,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   503,187 
    

 

 

 
     3,830,202 
    

 

 

 
  Financial Other — 1.6%

 

1,295,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027  1,388,240 
 225,000   Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A   235,175 
 120,000   Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A   127,350 
    

 

 

 
     1,750,765 
    

 

 

 
  Food & Beverage — 2.4%

 

 45,000   Aramark Services, Inc., 4.750%, 6/01/2026   46,325 
 65,000   Aramark Services, Inc., 5.000%, 2/01/2028, 144A   68,494 
 230,000   Aramark Services, Inc., 6.375%, 5/01/2025, 144A   245,813 
 635,000   Kraft Heinz Foods Co., 4.375%, 6/01/2046   684,320 
 320,000   Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A   373,319 
 180,000   Kraft Heinz Foods Co., 5.000%, 6/04/2042   210,825 
 10,000   Kraft Heinz Foods Co., 5.200%, 7/15/2045   11,891 
 75,000   Kraft Heinz Foods Co., 5.500%, 6/01/2050, 144A   94,481 
 120,000   Performance Food Group, Inc., 5.500%, 10/15/2027, 144A   126,600 
 270,000   Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A   292,845 
 110,000   Post Holdings, Inc., 5.500%, 12/15/2029, 144A   120,038 
 335,000   Post Holdings, Inc., 5.750%, 3/01/2027, 144A   354,681 
 120,000   TreeHouse Foods, Inc., 4.000%, 9/01/2028   124,125 
    

 

 

 
     2,753,757 
    

 

 

 
  Gaming — 3.2%

 

 375,000   Boyd Gaming Corp., 4.750%, 12/01/2027   389,531 
 220,000   Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A   234,300 
 235,000   Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A   260,150 
 140,000   Caesars Resort Collection LLC/CRC Finco, Inc., 5.250%, 10/15/2025, 144A   141,483 
 100,000   Caesars Resort Collection LLC/CRC Finco, Inc., 5.750%, 7/01/2025, 144A   105,958 
 490,000   International Game Technology PLC, 5.250%, 1/15/2029, 144A   527,975 
 205,000   MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028   218,095 
 255,000   MGM Resorts International, 5.500%, 4/15/2027   284,197 
 115,000   Scientific Games International, Inc., 7.000%, 5/15/2028, 144A   123,649 
 115,000   Scientific Games International, Inc., 7.250%, 11/15/2029, 144A   126,213 
 230,000   Studio City Finance Ltd., 6.500%, 1/15/2028, 144A   246,066 
 155,000   VICI Properties LP/VICI Note Co., Inc., 4.125%, 8/15/2030, 144A   163,623 
 370,000   Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 3/01/2025, 144A   386,187 
 250,000   Wynn Macau Ltd., 5.125%, 12/15/2029, 144A   255,312 
 165,000   Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A   172,838 
    

 

 

 
     3,635,577 
    

 

 

 
  Government Owned – No Guarantee — 0.5%

 

 340,000   Petroleos Mexicanos, 5.950%, 1/28/2031   339,150 
 280,000   YPF S.A., 6.950%, 7/21/2027, 144A   201,600 
    

 

 

 
     540,750 
    

 

 

 
  Healthcare — 4.8%

 

 235,000   CHS/Community Health Systems, Inc., 6.000%, 1/15/2029, 144A   253,861 
 440,000   CHS/Community Health Systems, Inc., 5.625%, 3/15/2027, 144A   473,110 

 

See accompanying notes to financial statements.

 

|  26


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Healthcare — continued

 

$615,000   CHS/Community Health Systems, Inc., 6.625%, 2/15/2025, 144A  $647,275 
 300,000   CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A   323,250 
 95,000   CHS/Community Health Systems, Inc., 8.125%, 6/30/2024, 144A   98,325 
 240,000   DaVita, Inc., 3.750%, 2/15/2031, 144A   243,686 
 155,000   Encompass Health Corp., 4.500%, 2/01/2028   161,975 
 300,000   Encompass Health Corp., 4.750%, 2/01/2030   321,375 
 170,000   HCA, Inc., 7.050%, 12/01/2027   205,913 
 145,000   HCA, Inc., 7.500%, 11/06/2033   201,550 
 515,000   HCA, Inc., MTN, 7.750%, 7/15/2036   665,637 
 270,000   LifePoint Health, Inc., 5.375%, 1/15/2029, 144A   269,420 
 85,000   MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A   83,538 
 40,000   Providence Service Corp. (The), 5.875%, 11/15/2025, 144A   42,300 
 75,000   RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A   78,380 
 75,000   Select Medical Corp., 6.250%, 8/15/2026, 144A   80,769 
 100,000   Surgery Center Holdings, Inc., 6.750%, 7/01/2025, 144A   101,750 
 100,000   Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A   104,750 
 685,000   Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A   713,756 
 355,000   Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A   376,300 
    

 

 

 
     5,446,920 
    

 

 

 
  Home Construction — 1.1%

 

 215,000   Brookfield Residential Properties, Inc./Brookfield Residential U.S Corp., 4.875%, 2/15/2030, 144A   222,268 
 1,200,000   Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(d)(e)    
 100,000   Empire Communities Corp., 7.000%, 12/15/2025, 144A   105,386 
 230,000   KB Home, 4.800%, 11/15/2029   252,425 
 165,000   Mattamy Group Corp., 4.625%, 3/01/2030, 144A   176,260 
 195,000   Taylor Morrison Communities, Inc., 5.125%, 8/01/2030, 144A   218,400 
 185,000   Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A   209,512 
 90,000   TRI Pointe Group, Inc., 5.700%, 6/15/2028   101,610 
    

 

 

 
     1,285,861 
    

 

 

 
  Independent Energy — 5.5%

 

 35,000   Antero Resources Corp., 8.375%, 7/15/2026, 144A   35,724 
 190,000   Apache Corp., 4.250%, 1/15/2030   199,500 
 105,000   Apache Corp., 4.250%, 1/15/2044   103,596 
 115,000   Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A   108,963 
 195,000   Centennial Resource Production LLC, 8.000%, 6/01/2025, 144A   171,600 
 130,000   Comstock Resources, Inc., 9.750%, 8/15/2026   140,075 
 185,000   Continental Resources, Inc., 3.800%, 6/01/2024   191,033 
 30,000   Continental Resources, Inc., 4.375%, 1/15/2028   30,756 
 160,000   Continental Resources, Inc., 4.900%, 6/01/2044   158,242 
 50,000   Continental Resources, Inc., 5.750%, 1/15/2031, 144A   55,499 
 65,000   Devon Energy Corp., 5.600%, 7/15/2041   79,494 
 30,000   Endeavor Energy Resources LP/EER Finance, Inc., 5.500%, 1/30/2026, 144A   30,785 
 50,000   Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/2025, 144A   53,500 
 5,000   EQT Corp., 5.000%, 1/15/2029   5,272 
 55,000   EQT Corp., 7.875%, 2/01/2025   62,631 
 225,000   EQT Corp., 8.750%, 2/01/2030   275,625 
 85,000   Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A   93,093 
  Independent Energy — continued

 

125,000   Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A  140,834 
 70,000   Matador Resources Co., 5.875%, 9/15/2026   68,600 
 130,000   MEG Energy Corp., 7.125%, 2/01/2027, 144A   134,225 
 130,000   Murphy Oil Corp., 6.375%, 12/01/2042   114,563 
 590,000   Occidental Petroleum Corp., 2.900%, 8/15/2024   567,875 
 40,000   Occidental Petroleum Corp., 3.000%, 2/15/2027   35,600 
 20,000   Occidental Petroleum Corp., 3.400%, 4/15/2026   19,068 
 620,000   Occidental Petroleum Corp., 3.500%, 6/15/2025   598,895 
 155,000   Occidental Petroleum Corp., 3.500%, 8/15/2029   141,851 
 50,000   Occidental Petroleum Corp., 4.100%, 2/15/2047   40,873 
 60,000   Occidental Petroleum Corp., 4.200%, 3/15/2048   48,900 
 325,000   Occidental Petroleum Corp., 4.400%, 8/15/2049   273,910 
 145,000   Occidental Petroleum Corp., 5.550%, 3/15/2026   151,371 
 225,000   Occidental Petroleum Corp., 5.875%, 9/01/2025   239,625 
 110,000   Occidental Petroleum Corp., 8.500%, 7/15/2027   126,945 
 100,000   Occidental Petroleum Corp., 8.875%, 7/15/2030   117,375 
 165,000   Ovintiv Exploration, Inc., 5.375%, 1/01/2026   177,069 
 150,000   Ovintiv, Inc., 6.500%, 8/15/2034   173,706 
 30,000   Ovintiv, Inc., 6.625%, 8/15/2037   33,474 
 10,000   Ovintiv, Inc., 7.375%, 11/01/2031   11,873 
 110,000   Parsley Energy LLC/Parsley Finance Corp., 5.375%, 1/15/2025, 144A   113,124 
 135,000   Range Resources Corp., 9.250%, 2/01/2026   141,075 
 38,000   Range Resources Corp., 5.000%, 3/15/2023   37,050 
 270,000   Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A   274,725 
 86,000   SM Energy Co., 10.000%, 1/15/2025, 144A   92,780 
 200,000   Southwestern Energy Co., 6.450%, 1/23/2025   208,000 
 30,000   Southwestern Energy Co., 7.500%, 4/01/2026   31,470 
 20,000   Southwestern Energy Co., 7.750%, 10/01/2027   21,594 
 115,000   Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A(f)(g)   92,000 
 60,000   WPX Energy, Inc., 5.250%, 10/15/2027   63,577 
 100,000   WPX Energy, Inc., 5.875%, 6/15/2028   109,003 
    

 

 

 
     6,196,418 
    

 

 

 
  Industrial Other — 0.6%

 

 65,000   Hillenbrand, Inc., 5.750%, 6/15/2025   70,200 
 445,000   HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A   478,375 
 130,000   Installed Building Products, Inc., 5.750%, 2/01/2028, 144A   138,450 
    

 

 

 
     687,025 
    

 

 

 
  Integrated Energy — 0.6%

 

 30,000   Cenovus Energy, Inc., 4.250%, 4/15/2027   32,761 
 20,000   Cenovus Energy, Inc., 5.250%, 6/15/2037   22,642 
 110,000   Cenovus Energy, Inc., 5.375%, 7/15/2025   124,019 
 200,000   Cenovus Energy, Inc., 5.400%, 6/15/2047   234,781 
 200,000   Geopark Ltd., 6.500%, 9/21/2024, 144A   207,344 
    

 

 

 
     621,547 
    

 

 

 
  Leisure — 1.4%

 

 150,000   Carnival Corp., 7.625%, 3/01/2026, 144A   163,423 
 135,000   Carnival Corp., 9.875%, 8/01/2027, 144A   155,250 
 120,000   Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.375%, 6/01/2024   120,300 
 145,000   Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 6.500%, 10/01/2028, 144A   157,238 
 110,000   Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A   111,144 
 380,000   Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A   389,470 
 175,000   Royal Caribbean Cruises Ltd., 11.500%, 6/01/2025, 144A   204,584 

 

See accompanying notes to financial statements.

 

27  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Leisure — continued

 

$120,000   Six Flags Entertainment Corp., 4.875%, 7/31/2024, 144A  $120,104 
 180,000   Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A   178,200 
    

 

 

 
     1,599,713 
    

 

 

 
  Lodging — 1.5%

 

 605,000   Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028   614,075 
 10,000   Marriott Ownership Resorts, Inc., 6.125%, 9/15/2025, 144A   10,650 
 130,000   Marriott Ownership Resorts, Inc./ILG LLC, 6.500%, 9/15/2026   135,850 
 20,000   Wyndham Destinations, Inc., 3.900%, 3/01/2023   20,400 
 570,000   Wyndham Destinations, Inc., 4.625%, 3/01/2030, 144A   602,775 
 235,000   Wyndham Destinations, Inc., 6.625%, 7/31/2026, 144A   269,075 
    

 

 

 
     1,652,825 
    

 

 

 
  Media Entertainment — 4.3%

 

 200,000   Clear Channel International BV, 6.625%, 8/01/2025, 144A   211,000 
 160,000   Clear Channel Worldwide Holdings, Inc., 9.250%, 2/15/2024   162,000 
 255,000   Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A   207,187 
 180,000   Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A   108,900 
 265,000   Gray Television, Inc., 4.750%, 10/15/2030, 144A   269,969 
 260,000   iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A   266,825 
 1,166,125   iHeartCommunications, Inc., 8.375%, 5/01/2027   1,244,792 
 335,000   Lamar Media Corp., 3.750%, 2/15/2028   344,279 
 235,000   Meredith Corp., 6.875%, 2/01/2026   229,125 
 675,000   Netflix, Inc., 4.875%, 6/15/2030, 144A   776,250 
 105,000   Nexstar Broadcasting, Inc., 5.625%, 7/15/2027, 144A   112,481 
 190,000   Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A   206,445 
 180,000   Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A   203,666 
 120,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A   122,657 
 35,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A   36,925 
 170,000   Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A   187,425 
 45,000   Townsquare Media, Inc., 6.875%, 2/01/2026, 144A   47,130 
 100,000   Univision Communications, Inc., 6.625%, 6/01/2027, 144A   107,405 
    

 

 

 
     4,844,461 
    

 

 

 
  Metals & Mining — 4.0%

 

 405,000   ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028   426,501 
 210,000   Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A   229,797 
 60,000   Allegheny Technologies, Inc., 5.875%, 12/01/2027   63,150 
 175,000   ArcelorMittal S.A., 7.000%, 3/01/2041   241,164 
 25,000   Carpenter Technology Corp., 6.375%, 7/15/2028   27,589 
 285,000   Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A   335,231 
 265,000   First Quantum Minerals Ltd., 6.500%, 3/01/2024, 144A   272,287 
 845,000   First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A   880,912 
 255,000   First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A   276,675 
  Metals & Mining — continued

 

210,000   First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A  218,663 
 190,000   Freeport-McMoRan, Inc., 4.125%, 3/01/2028   199,263 
 340,000   Freeport-McMoRan, Inc., 4.250%, 3/01/2030   366,350 
 20,000   Freeport-McMoRan, Inc., 5.400%, 11/14/2034   25,025 
 60,000   GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A   60,675 
 350,000   Mineral Resources Ltd., 8.125%, 5/01/2027, 144A   387,187 
 320,000   Novelis Corp., 4.750%, 1/30/2030, 144A   344,757 
 125,000   United States Steel Corp., 6.250%, 3/15/2026   114,375 
 75,000   United States Steel Corp., 6.875%, 8/15/2025   71,625 
    

 

 

 
     4,541,226 
    

 

 

 
  Midstream — 4.1%

 

 30,000   Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A   31,950 
 80,000   Buckeye Partners LP, 5.600%, 10/15/2044   76,900 
 55,000   Buckeye Partners LP, 5.850%, 11/15/2043   54,117 
 40,000   DCP Midstream Operating LP, 5.125%, 5/15/2029   44,365 
 230,000   DCP Midstream Operating LP, 5.625%, 7/15/2027   254,992 
 185,000   Energy Transfer Operating LP, 5.000%, 5/15/2050   200,335 
 5,000   EnLink Midstream Partners LP, 5.450%, 6/01/2047   4,026 
 420,000   EnLink Midstream Partners LP, 5.600%, 4/01/2044   337,050 
 110,000   EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A   120,450 
 200,000   EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A   225,207 
 80,000   EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028   87,428 
 225,000   Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028   215,438 
 105,000   Harvest Midstream I LP, 7.500%, 9/01/2028, 144A   111,694 
 665,000   Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A   691,600 
 355,000   New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A   377,074 
 105,000   NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025   66,544 
 145,000   NuStar Logistics LP, 5.750%, 10/01/2025   154,425 
 115,000   Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047   128,493 
 130,000   Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029, 144A   135,200 
 3,000   Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 9/15/2024, 144A   3,053 
 5,000   Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 1/15/2028, 144A   5,106 
 245,000   Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.000%, 3/01/2027, 144A   253,881 
 255,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030   276,853 
 95,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023   95,475 
 155,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031, 144A   168,886 
 200,000   Western Midstream Operating LP, 5.050%, 2/01/2030   223,962 
 110,000   Western Midstream Operating LP, 5.450%, 4/01/2044   111,240 
 105,000   Western Midstream Operating LP, 6.250%, 2/01/2050   115,500 
    

 

 

 
     4,571,244 
    

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities — 1.4%

 

 100,000   CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.659%, 11/15/2031, 144A(b)(f)(g)   70,471 

 

See accompanying notes to financial statements.

 

|  28


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Non-Agency Commercial Mortgage-Backed Securities — continued

 

$225,000   CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.659%, 11/15/2031, 144A(b)(f)(g)  $142,609 
 1,020,000   Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A(f)(g)   746,845 
 380,000   Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.659%, 11/15/2027, 144A(b)(d)(e)(f)   245,827 
 420,000   Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.559%, 11/15/2027, 144A(b)(d)(e)(f)   144,277 
 60,000   Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.183%, 11/15/2059(a)   43,273 
 130,000   WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.642%, 3/15/2044, 144A(a)   60,620 
 80,000   WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.362%, 12/15/2045(a)   49,100 
 125,000   WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.810%, 6/15/2045, 144A(a)   55,467 
    

 

 

 
     1,558,489 
    

 

 

 
  Oil Field Services — 0.4%

 

 61,250   Nabors Industries, Inc., 9.000%, 2/01/2025, 144A   58,893 
 315,000   Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A   144,900 
 198,900   Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A   167,076 
 57,000   Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A   53,509 
    

 

 

 
     424,378 
    

 

 

 
  Packaging — 1.4%

 

 570,000   ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(h)   608,475 
 500,000   Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A   524,905 
 75,000   Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A   82,875 
 80,000   Intelligent Packaging Ltd Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A   82,200 
 290,000   Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A   292,900 
    

 

 

 
     1,591,355 
    

 

 

 
  Pharmaceuticals — 3.5%

 

 725,000   Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A   761,250 
 430,000   Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A   449,230 
 155,000   Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026, 144A   158,100 
 200,000   Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A   207,902 
 195,000   Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A   165,750 
 170,000   Jaguar Holding Co. II/PPD Development LP, 5.000%, 6/15/2028, 144A   181,475 
 97,000   Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A   105,245 
 320,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   307,603 
 1,845,000   Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046   1,642,050 
    

 

 

 
     3,978,605 
    

 

 

 
  Property & Casualty Insurance — 0.4%

 

 80,000   AmWINS Group, Inc., 7.750%, 7/01/2026, 144A   85,912 
 200,000   Ardonagh Midco 2 PLC, 11.500%, 1/15/2027, 144A   213,500 
  Property & Casualty Insurance — continued

 

105,000   AssuredPartners, Inc., 5.625%, 1/15/2029, 144A  109,594 
    

 

 

 
     409,006 
    

 

 

��
  Refining — 0.5%

 

 50,000   CVR Energy, Inc., 5.250%, 2/15/2025, 144A   48,250 
 395,000   Parkland Corp., 5.875%, 7/15/2027, 144A   427,086 
 65,000   PBF Holding Co. LLC/PBF Finance Corp., 6.000%, 2/15/2028   37,131 
 80,000   PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A   78,872 
    

 

 

 
     591,339 
    

 

 

 
  REITs – Hotels — 0.3%

 

 75,000   Service Properties Trust, 4.350%, 10/01/2024   74,062 
 240,000   Service Properties Trust, 4.750%, 10/01/2026   237,000 
 65,000   Service Properties Trust, 7.500%, 9/15/2025   74,901 
    

 

 

 
     385,963 
    

 

 

 
  REITs – Mortgage — 0.5%

 

 50,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A   49,125 
 540,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A   538,650 
 16,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A   16,000 
    

 

 

 
     603,775 
    

 

 

 
  REITs – Regional Malls — 0.2%

 

 175,000   Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.750%, 5/15/2026, 144A   172,375 
    

 

 

 
  Restaurants — 0.9%

 

 540,000   1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A   547,252 
 95,000   Golden Nugget, Inc., 6.750%, 10/15/2024, 144A   94,318 
 350,000   Yum! Brands, Inc., 3.625%, 3/15/2031   353,791 
    

 

 

 
     995,361 
    

 

 

 
  Retailers — 1.4%

 

 75,000   Asbury Automotive Group, Inc., 4.500%, 3/01/2028   78,188 
 83,000   Asbury Automotive Group, Inc., 4.750%, 3/01/2030   89,017 
 370,000   Carvana Co., 5.625%, 10/01/2025, 144A   379,783 
 125,000   Carvana Co., 5.875%, 10/01/2028, 144A   129,695 
 35,000   Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A   36,077 
 50,000   Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A   52,000 
 140,000   L Brands, Inc., 5.250%, 2/01/2028   146,101 
 75,000   L Brands, Inc., 6.625%, 10/01/2030, 144A   83,437 
 105,000   L Brands, Inc., 6.750%, 7/01/2036   116,983 
 55,000   L Brands, Inc., 6.875%, 11/01/2035   61,738 
 90,000   Lithia Motors, Inc., 4.375%, 1/15/2031, 144A   96,525 
 115,000   Nordstrom, Inc., 5.000%, 1/15/2044   108,249 
 200,000   PetSmart, Inc., 7.125%, 3/15/2023, 144A   200,000 
 40,000   PetSmart, Inc., 8.875%, 6/01/2025, 144A   41,100 
    

 

 

 
     1,618,893 
    

 

 

 
  Supermarkets — 0.2%

 

 245,000   Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.875%, 2/15/2030, 144A   269,961 
    

 

 

 
  Technology — 3.9%

 

 110,000   BY Crown Parent LLC/BY Bond Finance, Inc., 4.250%, 1/31/2026, 144A   112,750 
 145,000   Camelot Finance S.A., 4.500%, 11/01/2026, 144A   151,344 
 1,005,000   CommScope Technologies LLC, 5.000%, 3/15/2027, 144A   989,925 

 

See accompanying notes to financial statements.

 

29  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Technology — continued

 

$86,000   CommScope Technologies LLC, 6.000%, 6/15/2025, 144A  $87,935 
 405,000   CommScope, Inc., 7.125%, 7/01/2028, 144A   431,325 
 125,000   Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A   189,102 
 465,000   Iron Mountain, Inc., 4.875%, 9/15/2029, 144A   490,575 
 80,000   J2 Global, Inc., 4.625%, 10/15/2030, 144A   84,400 
 95,000   LogMeIn, Inc., 5.500%, 9/01/2027, 144A   99,513 
 60,000   NCR Corp., 5.000%, 10/01/2028, 144A   63,300 
 70,000   NCR Corp., 5.250%, 10/01/2030, 144A   75,075 
 50,000   NCR Corp., 8.125%, 4/15/2025, 144A   55,682 
 260,000   Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A   276,588 
 110,000   Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A   116,686 
 110,000   Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A   121,275 
 90,000   Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A   94,293 
 65,000   Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A   70,525 
 260,000   Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A   309,400 
 15,000   Science Applications International Corp., 4.875%, 4/01/2028, 144A   15,900 
 90,000   Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A   93,292 
 60,000   Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.625%, 11/01/2026, 144A   62,400 
 210,000   Veritas U.S., Inc./Veritas Bermuda Ltd., 7.500%, 9/01/2025, 144A   215,512 
 105,000   Xerox Holdings Corp., 5.000%, 8/15/2025, 144A   111,748 
 105,000   Xerox Holdings Corp., 5.500%, 8/15/2028, 144A   111,421 
    

 

 

 
     4,429,966 
    

 

 

 
  Transportation Services — 0.2%

 

 185,000   Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A   188,931 
    

 

 

 
  Treasuries — 0.7%

 

 840,000   U.S. Treasury Note, 1.125%, 8/31/2021   845,709 
    

 

 

 
  Wireless — 0.9%

 

 440,000   Altice France S.A., 5.125%, 1/15/2029, 144A   455,400 
 505,000   Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A   547,612 
    

 

 

 
     1,003,012 
    

 

 

 
  Wirelines — 1.1%

 

 200,000   Cablevision Lightpath LLC, 5.625%, 9/15/2028, 144A   209,250 
 25,000   CenturyLink, Inc., 5.125%, 12/15/2026, 144A   26,399 
 130,000   Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028   137,872 
 225,000   Telecom Italia Capital S.A., 6.375%, 11/15/2033   276,750 
 120,000   Telecom Italia Capital S.A., 7.200%, 7/18/2036   161,900 
 130,000   Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/2025, 144A   139,647 
 235,000   Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.250%, 10/15/2023   236,763 
 100,000   Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A   100,700 
    

 

 

 
     1,289,281 
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $88,664,186)
   94,207,315 
    

 

 

 
    
 Convertible Bonds — 4.7% 
  Airlines — 0.2%

 

 130,000   Southwest Airlines Co., 1.250%, 5/01/2025   188,825 
    

 

 

 
  Cable Satellite — 1.8%

 

 235,000   DISH Network Corp., Zero Coupon, 12/15/2025, 144A   236,112 
 1,615,000   DISH Network Corp., 3.375%, 8/15/2026   1,539,469 
  Cable Satellite — continued

 

240,000   Liberty Media Corp., 0.500%, 12/01/2050, 144A  255,751 
    

 

 

 
     2,031,332 
    

 

 

 
  Consumer Cyclical Services — 0.2%

 

 35,000   Fiverr International Ltd., Zero Coupon, 11/01/2025, 144A   42,242 
 140,000   Uber Technologies, Inc., Zero Coupon, 12/15/2025, 144A   143,225 
    

 

 

 
     185,467 
    

 

 

 
  Diversified Manufacturing — 0.1%

 

 160,000   Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024   161,675 
    

 

 

 
  Healthcare — 0.5%

 

 180,000   Integra LifeSciences Holdings Corp., 0.500%, 8/15/2025, 144A   199,382 
 315,000   Teladoc Health, Inc., 1.250%, 6/01/2027, 144A   377,277 
    

 

 

 
     576,659 
    

 

 

 
  Industrial Other — 0.0%

 

 45,000   Chegg, Inc., Zero Coupon, 9/01/2026, 144A   50,320 
    

 

 

 
  Oil Field Services — 0.1%

 

 150,000   Oil States International, Inc., 1.500%, 2/15/2023   113,867 
    

 

 

 
  Pharmaceuticals — 1.4%

 

 145,000   Aerie Pharmaceuticals, Inc., 1.500%, 10/01/2024   132,956 
 185,000   BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024   198,521 
 755,000   BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A   788,975 
 130,000   Flexion Therapeutics, Inc., 3.375%, 5/01/2024   114,725 
 120,000   Guardant Health, Inc., Zero Coupon, 11/15/2027, 144A   140,403 
 150,000   Neurocrine Biosciences, Inc., 2.250%, 5/15/2024   206,966 
    

 

 

 
     1,582,546 
    

 

 

 
  Technology — 0.4%

 

 95,000   LivePerson, Inc., Zero Coupon, 12/15/2026, 144A   103,771 
 55,000   Lumentum Holdings, Inc., 0.500%, 12/15/2026   67,067 
 10,000   Palo Alto Networks, Inc., 0.375%, 6/01/2025, 144A   13,168 
 170,000   Shift4 Payments, Inc., Zero Coupon, 12/15/2025, 144A   207,449 
    

 

 

 
     391,455 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $5,320,365)
   5,282,146 
    

 

 

 
  Total Bonds and Notes
(Identified Cost $93,984,551)
   99,489,461 
    

 

 

 
    
 Collateralized Loan Obligations — 0.4% 
 250,000   Carlyle Global Market Strategies CLO Ltd., Series 2015-2A, Class CR, 3-month LIBOR + 2.250%, 2.467%, 4/27/2027, 144A(b)   241,429 
 250,000   OZLM XXIII Ltd., Series 2019-23A, Class E, 3-month LIBOR + 6.800%, 7.037%, 4/15/2032, 144A(b)   247,206 
    

 

 

 
  Total Collateralized Loan Obligations
(Identified Cost $460,312)
   488,635 
    

 

 

 
    
 Loan Participations — 0.2% 
  ABS Other — 0.2%

 

 294,855   Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037(d)(e)
(Identified Cost $294,231)
   161,345 
    

 

 

 
    

 

See accompanying notes to financial statements.

 

|  30


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

    
Shares
   Description  Value (†) 
 Preferred Stocks — 1.9% 
  Banking — 0.4%

 

 95   Bank of America Corp., Series L, 7.250%  $144,265 
 197   Wells Fargo & Co., Class A, Series L, 7.500%   299,026 
    

 

 

 
     443,291 
    

 

 

 
  Electric — 0.1%

 

 2,008   NextEra Energy, Inc., 5.279%   102,087 
    

 

 

 
  Energy — 0.0%

 

 137   Chesapeake Energy Corp., 5.750%(d)(e)(f)(i)    
 988   Chesapeake Energy Corp., 5.750%(d)(e)(f)(i)    
 20   Chesapeake Energy Corp., 5.750%, 144A(d)(e)(f)(i)    
    

 

 

 
      
    

 

 

 
  Food & Beverage — 1.2%

 

 13,040   Bunge Ltd., 4.875%   1,418,544 
    

 

 

 
  Healthcare — 0.2%

 

 2,038   Boston Scientific Corp., Series A, 5.500%   223,303 
    

 

 

 
  Total Preferred Stocks
(Identified Cost $2,796,913)
   2,187,225 
    

 

 

 
    
 Common Stocks — 0.7% 
  Chemicals — 0.1%

 

 12,177   Hexion Holdings Corp., Class B(i)   157,449 
    

 

 

 
  Energy Equipment & Services — 0.0%

 

 10,149   McDermott International Ltd.(i)   8,221 
    

 

 

 
  Media — 0.3%

 

 41,970   Clear Channel Outdoor Holdings, Inc.(i)   69,250 
 17,204   iHeartMedia, Inc., Class A(i)   223,308 
    

 

 

 
     292,558 
    

 

 

 
  Oil, Gas & Consumable Fuels — 0.3%

 

 3,650   Battalion Oil Corp.(i)   30,295 
 10,363   Whiting Petroleum Corp.(i)   259,075 
    

 

 

 
     289,370 
    

 

 

 
  Total Common Stocks
(Identified Cost $2,139,376)
   747,598 
    

 

 

 
    
 Other Investments — 0.1% 
  Aircraft ABS — 0.1%

 

 100   ECAF I Blocker Ltd.(d)(e)(f)(j)
(Identified Cost $1,000,000)
   125,600 
    

 

 

 
    
 Warrants — 0.0% 
 20,319   McDermott International Ltd., Expiration on 5/1/2024(d)(e)(i)   19,303 
 22,577   McDermott International Ltd., Expiration on 5/1/2024(d)(e)(i)   12,643 
 466   iHeartMedia, Inc., Expiration on 5/1/2039(d)(e)(i)   6,049 
    

 

 

 
  Total Warrants
(Identified Cost $38,915)
   37,995 
    

 

 

 
    
 Short-Term Investments — 7.6% 
$8,523,047   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2020 at 0.000% to be repurchased at $8,523,047 on 1/04/2021 collateralized by $8,349,100 U.S. Treasury Note,1.750% due 1/31/2023 valued at $8,693,582 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,523,047)  8,523,047 
    

 

 

 
    
  Total Investments — 99.2%
(Identified Cost $109,237,345)
   111,760,906 
  Other assets less liabilities — 0.8%   957,121 
    

 

 

 
  Net Assets — 100.0%  $112,718,027 
    

 

 

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

 

 (a)   Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2020 is disclosed.

 

 (b)   Variable rate security. Rate as of December 31, 2020 is disclosed.

 

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

 

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

 

 (e)   Fair valued by the Fund’s adviser. At December 31, 2020, the value of these securities amounted to $715,044 or 0.6% of net assets. See Note 2 of Notes to Financial Statements.

 

 (f)   Illiquid security. (Unaudited)  
 (g)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2020, the value of these securities amounted to $1,051,925 or 0.9% of net assets. See Note 2 of Notes to Financial Statements.

 

 (h)   Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2020, interest payments were made in cash.

 

 (i)   Non-income producing security.  
 (j)   Securities subject to restriction on resale. At December 31, 2020, the restricted securities held by the Fund are as follows:

 

  
   Acquisition
Date
   Cost  Value   % of
Net Assets
 
ECAF I Blocker Ltd.   12/20/2016   $1,000,000  $125,600    0.1
    
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2020, the value of Rule 144A holdings amounted to $60,735,106 or 53.9% of net assets.
 ABS   Asset-Backed Securities  
 LIBOR   London Interbank Offered Rate  
 MTN   Medium Term Note  
 PIK   Payment-in-Kind  
 REITs   Real Estate Investment Trusts  

 

See accompanying notes to financial statements.

 

31  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles High Income Fund – (continued)

 

Industry Summary at December 31, 2020

 

Cable Satellite

   7.2

Consumer Cyclical Services

   5.6 

Healthcare

   5.5 

Independent Energy

   5.5 

Pharmaceuticals

   4.9 

Aerospace & Defense

   4.8 

Automotive

   4.4 

Media Entertainment

   4.3 

Technology

   4.3 

Midstream

   4.1 

Metals & Mining

   4.0 

Food & Beverage

   3.6 

Finance Companies

   3.4 

Gaming

   3.2 

Other Investments, less than 2% each

   26.4 

Short-Term Investments

   7.6 

Collateralized Loan Obligations

   0.4 
  

 

 

 

Total Investments

   99.2 

Other assets less liabilities

   0.8 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  32


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Intermediate Municipal Bond Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 94.7% of Net Assets 
 Municipals — 94.7% 
  Arizona — 0.7%

 

$200,000   City of Mesa, Excise Tax Revenue, 4.000%, 7/01/2037  $246,546 
    

 

 

 
  California — 3.3%

 

 1,000,000   California State, GO, Various Purpose, Refunding, 4.000%, 3/01/2037   1,234,930 
    

 

 

 
  Colorado — 6.2%

 

 260,000   Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033   292,581 
 400,000   Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026   436,416 
 250,000   Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030   309,107 
 500,000   Regional Transportation District Sales Tax Revenue, Series A, 5.000%, 11/01/2028   662,730 
 500,000   State of Colorado, Certificate of Participation, Series A, 4.000%, 12/15/2035   622,440 
    

 

 

 
     2,323,274 
    

 

 

 
  Delaware — 1.1%

 

 250,000   University of Delaware, Revenue Bond, 5.000%, 11/01/2043   391,558 
    

 

 

 
  Florida — 11.7%

 

 500,000   Alachua County School Board, Certificate of Participation, (AGM Insured), 5.000%, 7/01/2028   638,540 
 340,000   Bay County School Board, Certificate of Participation, Series A, (AGM Insured), 5.000%, 7/01/2033   441,398 
 230,000   City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027   259,649 
 90,000   City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028   102,538 
 200,000   Clay County, Sales Surtax Revenue, 4.000%, 10/01/2039   236,154 
 225,000   County of Collier FL Special Obligation, Revenue Bonds, Series A, 4.000%, 10/01/2036   280,501 
 500,000   Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027   558,680 
 500,000   Miami-Dade County FL Aviation Revenue, Refunding, Series A, 4.000%, 10/01/2039   596,420 
 400,000   Sarasota County FL Utility System Revenue, 5.000%, 10/01/2023   452,364 
 225,000   Sarasota County FL Utility System Revenue, Series A, 5.000%, 10/01/2027   293,353 
 400,000   Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025   478,508 
    

 

 

 
     4,338,105 
    

 

 

 
  Georgia — 3.1%

 

 650,000   Georgia State Road & Tollway Authority, 5.000%, 6/01/2032   880,438 
 250,000   Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027   277,620 
    

 

 

 
     1,158,058 
    

 

 

 
  Illinois — 3.1%

 

540,000   Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031  595,204 
 500,000   Chicago O’Hare International Airport, Series C, AMT, 5.000%, 1/01/2046   563,705 
    

 

 

 
     1,158,909 
    

 

 

 
  Louisiana — 1.4%

 

 200,000   New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035   237,356 
 250,000   New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036   295,990 
    

 

 

 
     533,346 
    

 

 

 
  Maryland — 1.2%

 

 360,000   Maryland Health & Higher Educational Facilities Authority, Series B2, 5.000%, 7/01/2045   447,782 
    

 

 

 
  Massachusetts — 4.0%

 

 500,000   Commonwealth of Massachusetts, GO, Series D, 5.000%, 7/01/2045   655,945 
 500,000   Massachusetts State Development Finance Agency Revenue, Series P, 5.000%, 7/01/2050   825,975 
    

 

 

 
     1,481,920 
    

 

 

 
  Michigan — 2.0%

 

 600,000   University of Michigan, 5.000%, 4/01/2032   733,506 
    

 

 

 
  Nebraska — 0.9%

 

 250,000   Douglas County Hospital Authority No. 2, Series A, 5.000%, 11/15/2030   339,020 
    

 

 

 
  Nevada — 2.9%

 

 500,000   City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026   580,485 
 240,000   Las Vegas Convention & Visitors Authority, Refunding, Series C, 5.000%, 7/01/2032   264,986 
 200,000   Washoe County School District, GO, Series A, 5.000%, 10/01/2025   242,060 
    

 

 

 
     1,087,531 
    

 

 

 
  New Jersey — 2.3%

 

 265,000   New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023   295,870 
 500,000   New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032   568,865 
    

 

 

 
     864,735 
    

 

 

 
  New Mexico — 1.6%

 

 500,000   New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031   588,865 
    

 

 

 
  New York — 5.2%

 

 500,000   Metropolitan Transportation Authority, Series D, 4.000%, 11/15/2032   537,250 
 500,000   New York City Transitional Finance Authority Future Tax Secured Revenue, Series D, 4.000%, 11/01/2038   607,975 
 400,000   New York City, GO, Series A1, 5.000%, 8/01/2030   547,064 
 200,000   New York State Dormitory Authority, Series D, 4.000%, 2/15/2038   239,080 
    

 

 

 
     1,931,369 
    

 

 

 

 

See accompanying notes to financial statements.

 

33  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  North Carolina — 1.8%

 

$180,000   Buncombe County, Limited Obligation, Revenue, Series A, 4.000%, 6/01/2034  $223,720 
 400,000   North Carolina Agricultural & Technical University System Revenue, Series A, 4.000%, 10/01/2045   437,592 
    

 

 

 
     661,312 
    

 

 

 
  North Dakota — 2.1%

 

 250,000   City of West Fargo, GO, Refunding, Series A, 4.000%, 5/01/2026   290,960 
 350,000   North Dakota Building Authority, Series A, 5.000%, 12/01/2030   482,542 
    

 

 

 
     773,502 
    

 

 

 
  Ohio — 4.7%

 

 500,000   Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023   562,590 
 500,000   Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024   567,670 
 500,000   Ohio State University (The), Series A, 5.000%, 12/01/2026   635,100 
    

 

 

 
     1,765,360 
    

 

 

 
  Oklahoma — 3.4%

 

 1,000,000   Oklahoma Water Resources Board, Series A, 5.000%, 4/01/2027   1,282,650 
    

 

 

 
  Oregon — 0.8%

 

 230,000   Port of Portland, Airport Revenue, Portland International Airport, Series 25-B, 5.000%, 7/01/2028   292,404 
    

 

 

 
  Pennsylvania — 0.8%

 

 270,000   Allegheny County Higher Education Building Authority, Refunding, Series A, 5.000%, 3/01/2029   311,010 
    

 

 

 
  Rhode Island — 1.5%

 

 500,000   Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024   565,455 
    

 

 

 
  Tennessee — 2.3%

 

 185,000   Greeneville Health & Educational Facilities Board, Series A, 5.000%, 7/01/2028   234,286 
 500,000   Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030   602,885 
    

 

 

 
     837,171 
    

 

 

 
  Texas — 15.3%

 

 1,000,000   Bexar County TX, GO, Series B, Prerefunded 6/15/2023@100, 5.000%, 6/15/2043   1,117,770 
 500,000   Grand Parkway Transportation Corp, Series A, Prerefunded 10/01/2023@100, 5.500%, 4/01/2053   571,900 
 500,000   Harris County Toll Road Authority (The), 4.000%, 8/15/2038   620,715 
 1,000,000   Houston TX Combined Utility System Revenue, Refunding, Series A, (AGM Insured), Zero Coupon, 12/01/2025   971,210 
 300,000   Lower Colorado River Authority, Refunding, 5.000%, 5/15/2030   395,004 
 500,000   New Braunfels TX Utility System Revenue, 5.000%, 7/01/2029   653,100 
 400,000   Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024   449,864 
 250,000   Texas City Independent School District, GO, (PSF-GTD), 4.000%, 8/15/2034   300,602 
  Texas — continued

 

500,000   Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034  610,090 
    

 

 

 
     5,690,255 
    

 

 

 
  Utah — 2.2%

 

 500,000   Utah County Hospital Revenue, IHC Health Services, Inc., Series A, 4.000%, 5/15/2043   601,085 
 180,000   Utah Transit Authority Sales Tax Revenue, Series A, Prerefunded 06/15/2025@100, 5.000%, 6/15/2038   217,766 
    

 

 

 
     818,851 
    

 

 

 
  Virginia — 0.8%

 

 225,000   Fairfax County, GO, Series A, 5.000%, 10/01/2034   305,159 
    

 

 

 
  Washington — 7.6%

 

 750,000   Auburn School District No. 408 of King & Pierce Counties, GO, (SCH BD GTY), 3.000%, 12/01/2035   871,380 
 500,000   King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032   581,865 
 500,000   Port of Seattle Revenue, AMT, 5.000%, 7/01/2029   547,245 
 500,000   Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031   571,420 
 200,000   State of Washington, GO, Series 2015-C, Class R, 5.000%, 7/01/2029   235,934 
    

 

 

 
     2,807,844 
    

 

 

 
  Wisconsin — 0.7%

 

 225,000   Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031   258,075 
    

 

 

 
  Total Bonds and Notes
(Identified Cost $33,626,252)
   35,228,502 
    

 

 

 
    
 Short-Term Investments — 8.4%  
 1,100,000   Northern Institutional Municipal Portfolio   1,100,000 
 2,032,420   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2020 at 0.000% to be repurchased at $2,032,420 on 1/04/2021 collateralized by $2,003,700 U.S. Treasury Note, 1.500% due 2/28/2023 valued at $2,073,157 including accrued interest (Note 2 of Notes to Financial Statements)   2,032,420 
    

 

 

 
  Total Short-Term Investments
(Identified Cost $3,132,420)
   3,132,420 
    

 

 

 
    
  Total Investments — 103.1%
(Identified Cost $36,758,672)
   38,360,922 
  Other assets less liabilities — (3.1)%   (1,169,459
    

 

 

 
  Net Assets — 100.0%  $37,191,463 
    

 

 

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

 

    
 AGM   Assured Guaranty Municipal Corporation

 

 AMT   Alternative Minimum Tax

 

 GO   General Obligation

 

 PSF-GTD   Permanent School Fund Guarantee Program

 

 

See accompanying notes to financial statements.

 

|  34


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Industry Summary at December 31, 2020

 

General Purpose Public Improvement

   18.4

Hospitals

   14.1 

Higher Education

   11.0 

Water and Sewer

   10.5 

Primary Secondary Education

   9.9 

Airports

   9.2 

Toll Roads, Streets & Highways

   7.1 

Mass Rapid Transportation

   3.9 

Pre-Refunded

   3.0 

Combined Utilities

   2.6 

Other Investments, less than 2% each

   5.0 

Short-Term Investments

   8.4 
  

 

 

 

Total Investments

   103.1 

Other assets less liabilities

   (3.1
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

35  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles International Growth Fund

 

Shares   Description  Value (†) 
 Common Stocks — 98.7% of Net Assets 
  Argentina — 7.7%

 

 699   MercadoLibre, Inc.(a)  $1,170,979 
    

 

 

 
  Australia — 3.2%

 

 20,711   WiseTech Global Ltd.   492,201 
    

 

 

 
  Belgium — 2.3%

 

 5,045   Anheuser-Busch InBev S.A.   351,973 
    

 

 

 
  Brazil — 3.9%

 

 193,906   Ambev S.A., ADR   593,350 
    

 

 

 
  China — 31.7%

 

 3,666   Alibaba Group Holding Ltd., Sponsored ADR(a)   853,189 
 2,568   Baidu, Inc., Sponsored ADR(a)   555,304 
 36,500   Budweiser Brewing Co. APAC Ltd., 144A   120,572 
 288,000   Dali Foods Group Co. Ltd., 144A   164,609 
 2,200   Kweichow Moutai Co. Ltd., Class A   676,137 
 14,000   Tencent Holdings Ltd.   1,007,353 
 14,862   Trip.com Group Ltd., ADR(a)   501,295 
 16,172   Vipshop Holdings Ltd., ADR(a)   454,595 
 8,688   Yum China Holdings, Inc.   495,998 
    

 

 

 
     4,829,052 
    

 

 

 
  Denmark — 2.4%

 

 5,161   Novo Nordisk A/S, Class B   360,027 
    

 

 

 
  France — 4.2%

 

 1,556   EssilorLuxottica S.A.   242,479 
 4,630   Sodexo S.A.   391,576 
    

 

 

 
     634,055 
    

 

 

 
  Germany — 3.0%

 

 3,482   SAP SE   450,984 
    

 

 

 
  Japan — 5.3%

 

 2,600   FANUC Corp.   641,807 
 3,500   Unicharm Corp.   165,991 
    

 

 

 
     807,798 
    

 

 

 
  Macau — 1.3%

 

 25,000   Galaxy Entertainment Group Ltd.   194,613 
    

 

 

 
  Netherlands — 7.2%

 

 320   Adyen NV, 144A(a)   743,534 
 2,214   NXP Semiconductors NV   352,048 
    

 

 

 
     1,095,582 
    

 

 

 
  Switzerland — 15.4%

 

 1,069   Kuehne & Nagel International AG, (Registered)   242,576 
 4,275   Nestle S.A., (Registered)   505,353 
 7,982   Novartis AG, (Registered)   751,568 
 2,408   Roche Holding AG   838,703 
    

 

 

 
     2,338,200 
    

 

 

 
  United Kingdom — 9.8%

 

 4,043   Diageo PLC   159,977 
 11,162   Experian PLC   424,029 
 5,939   Reckitt Benckiser Group PLC   530,081 
 6,348   Unilever PLC   384,378 
    

 

 

 
     1,498,465 
    

 

 

 
  United States — 1.3%

 

 2,568   Core Laboratories NV  $68,078 
 6,034   Schlumberger NV   131,722 
    

 

 

 
     199,800 
    

 

 

 
  Total Common Stocks
(Identified Cost $14,828,544)
   15,017,079 
    

 

 

 
    
  Total Investments — 98.7%
(Identified Cost $14,828,544)
   15,017,079 
  Other assets less liabilities — 1.3%   202,753 
    

 

 

 
  Net Assets — 100.0%  $15,219,832 
    

 

 

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

 

 (a)   Non-income producing security.

 

  
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2020, the value of Rule 144A holdings amounted to $1,028,715 or 6.8% of net assets.

 

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

 

Industry Summary at December 31, 2020

 

Internet & Direct Marketing Retail

   19.6

Pharmaceuticals

   12.9 

Beverages

   12.4 

Interactive Media & Services

   10.2 

Hotels, Restaurants & Leisure

   7.2 

Software

   6.2 

IT Services

   4.9 

Household Products

   4.6 

Food Products

   4.4 

Machinery

   4.2 

Professional Services

   2.8 

Personal Products

   2.5 

Semiconductors & Semiconductor Equipment

   2.3 

Other Investments, less than 2% each

   4.5 
  

 

 

 

Total Investments

   98.7 

Other assets less liabilities

   1.3 
  

 

 

 

Net Assets

   100.0
  

 

 

 

Currency Exposure Summary at December 31, 2020

 

United States Dollar

   34.0

Euro

   16.9 

Swiss Franc

   15.4 

Hong Kong Dollar

   9.8 

British Pound

   7.3 

Japanese Yen

   5.3 

Yuan Renminbi

   4.4 

Australian Dollar

   3.2 

Danish Krone

   2.4 
  

 

 

 

Total Investments

   98.7 

Other assets less liabilities

   1.3 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  36


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 91.9% of Net Assets 
 Non-Convertible Bonds — 90.5% 
  ABS Car Loan — 6.3%

 

$13,891,077   Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023  $14,119,821 
 7,865,000   American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A   8,114,481 
 1,965,000   AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024   2,081,733 
 10,515,000   AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024   11,190,408 
 25,880,000   AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025   27,518,478 
 12,340,000   AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025   12,910,483 
 1,395,000   AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026   1,442,950 
 4,800,000   Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A   4,879,800 
 3,650,000   CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025   3,780,873 
 13,585,000   CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025   14,278,817 
 5,811,000   CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025   6,046,495 
 2,315,000   CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026   2,393,911 
 4,625,000   CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026   4,769,739 
 1,800,000   Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A   1,815,489 
 23,320,000   Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A   24,376,550 
 2,525,000   Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A   2,570,632 
 275,000   Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A   279,258 
 6,555,000   Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026   6,920,566 
 16,395,000   Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026   17,173,238 
 3,700,000   Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026   3,891,092 
 10,760,000   DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A   11,200,279 
 3,950,000   DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A   4,080,619 
 3,400,000   DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A   3,514,868 
 3,790,000   First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A   3,937,650 
 4,610,000   Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A   4,803,669 
 30,600,000   Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024   30,736,078 
 15,340,000   Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025   15,397,405 
 8,555,000   GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A   8,936,549 
  ABS Car Loan — continued

 

10,962,227   GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.970%, 11/16/2023  11,150,561 
 6,255,000   GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024   6,390,602 
 1,400,000   GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A   1,407,134 
 5,594,448   Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023   5,689,587 
 6,655,000   Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024   6,790,729 
 18,955,000   Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024   19,036,639 
 12,815,000   Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028   14,279,063 
 27,665,000   Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025   28,854,816 
 6,995,000   Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025   7,274,339 
 8,455,000   Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025   8,689,844 
 2,900,000   Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026   2,987,386 
 15,495,000   Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A   16,099,152 
    

 

 

 
     381,811,783 
    

 

 

 
  ABS Credit Card — 0.4%

 

 939,000   American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024   958,370 
 8,000,000   American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024   8,254,403 
 11,730,000   Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024   12,073,149 
 1,690,000   Citibank Credit Card Issuance Trust, Series 2016-A2, Class A2, 2.190%, 11/20/2023   1,719,359 
    

 

 

 
     23,005,281 
    

 

 

 
  ABS Home Equity — 5.3%

 

 15,451,000   American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A   17,191,637 
 2,663,718   Bayview Opportunity Master Fund IVb Trust, Series 2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(a)   2,667,553 
 1,250,000   Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class B2, 4.750%, 1/28/2055, 144A(a)   1,349,721 
 3,721,149   Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.228%, 9/25/2035, 144A(a)   3,756,034 
 4,014,499   Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 0.921%, 11/16/2066, 144A(b)   4,028,517 
 1,878,115   Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)   1,887,212 
 435,538   Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(a)   437,404 
 5,067,106   Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(a)   5,171,935 
 6,382,230   Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(a)   6,834,360 

 

See accompanying notes to financial statements.

 

37  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  ABS Home Equity — continued

 

$2,434,000   CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A  $2,673,381 
 5,373,048   CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A   5,662,569 
 2,929,000   CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A   3,036,834 
 1,259,000   CoreVest American Finance Trust, Series 2020-2, Class C, 4.845%, 5/15/2052, 144A(a)   1,440,341 
 4,584,871   Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a)   4,589,683 
 11,696,000   FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A   11,529,962 
 3,083,000   FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 9/17/2025, 144A   3,080,158 
 1,515,000   FirstKey Homes Trust, Series 2020-SRF1, Class E, 2.791%, 8/17/2037, 144A   1,543,771 
 7,581,441   GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)   7,829,220 
 561,995   Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.657%, 8/25/2060, 144A(b)   562,027 
 2,782,767   Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A   2,879,173 
 2,573,435   Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A   2,671,812 
 3,050,000   Invitation Homes Trust, Series 2018-SFR4, Class D, 1-month LIBOR + 1.650%, 1.803%, 1/17/2038, 144A(b)   3,042,590 
 7,020,000   Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(a)   7,139,537 
 895,000   Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(a)   910,018 
 10,777,946   Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(a)   10,795,736 
 3,699,605   Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)   3,734,334 
 7,753,820   Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)   7,777,535 
 2,011,896   Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A   2,026,201 
 1,467,786   Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(a)   1,604,542 
 2,744,944   Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(a)   3,015,590 
 4,206,586   Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(a)   4,439,117 
 10,204,144   Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(a)   10,604,872 
 5,520,124   OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(a)   5,593,316 
 2,738,349   Preston Ridge Partners Mortgage LLC, Series 2019-3A, Class A1, 3.351%, 7/25/2024, 144A(a)   2,744,084 
 4,650,969   Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(a)   4,658,648 
 16,495,761   Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)   16,532,565 
 2,105,741   Preston Ridge Partners Mortgage LLC, Series 2020-2, Class A1, 3.671%, 8/25/2025, 144A(a)   2,125,805 
  ABS Home Equity — continued

 

6,828,234   Preston Ridge Partners Mortgage LLC, Series 2020-3, Class A1, 2.857%, 9/25/2025, 144A(a)  6,883,839 
 6,007,356   Preston Ridge Partners Mortgage LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(a)   6,030,282 
 13,032,522   Preston Ridge Partners Mortgage LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(a)   13,110,510 
 1,332,000   Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A   1,354,463 
 2,290,000   Progress Residential Trust, Series 2018-SFR3, Class D, 4.427%, 10/17/2035, 144A   2,335,265 
 2,530,000   Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A   2,589,330 
 2,830,000   Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A   2,909,123 
 4,732,000   Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A   4,883,396 
 1,690,000   Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/2036, 144A   1,743,033 
 3,860,000   Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A   3,982,042 
 155,000   Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A   160,538 
 295,000   Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A   295,009 
 1,818,000   Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A   1,820,107 
 3,548,200   RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(a)   3,554,415 
 1,828,293   Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(a)   1,882,318 
 3,216,191   Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(a)   3,298,789 
 4,930,000   Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a)   5,218,344 
 6,390,000   Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 1.648%, 2/25/2057, 144A(b)   6,422,315 
 1,362,493   Towd Point Mortgage Trust, Series 2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(a)   1,365,627 
 716,300   Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.750%, 2/25/2055, 144A(a)   724,085 
 1,775,000   Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(a)   1,873,573 
 1,943,340   Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)   2,053,022 
 17,610,000   Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(a)   19,128,012 
 9,086,005   Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)   9,590,814 
 3,325,000   Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(a)   3,518,668 
 3,950,000   Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A   4,018,043 
 2,575,000   Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A   2,660,213 
 7,846,832   Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1A, 3.278%, 11/25/2049, 144A(a)   7,850,371 

 

See accompanying notes to financial statements.

 

|  38


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  ABS Home Equity — continued

 

$8,273,283   Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(a)  $8,283,876 
 3,064,740   Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(a)   3,073,516 
 6,408,731   Vericrest Opportunity Loan Trust, Series 2020-NPL1, Class A1A, 3.228%, 1/25/2050, 144A(a)   6,426,705 
 4,233,838   Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A, 2.981%, 2/25/2050, 144A(a)   4,237,149 
 210,423   Vericrest Opportunity Loan Trust, Series 2020-NPL3, Class A1A, 2.981%, 2/25/2050, 144A(a)   210,498 
    

 

 

 
     321,055,084 
    

 

 

 
  ABS Other — 3.0%

 

 8,378,088   CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A   8,449,878 
 940,000   Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A   944,088 
 945,000   Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A   953,485 
 39,262,848   FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(c)(d)(e)   21,594,566 
 12,067,388   Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A   11,656,177 
 2,833,211   Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A   2,733,228 
 1,975,000   HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A   2,013,799 
 3,645,000   HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A   3,680,276 
 1,980,000   HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A   2,020,917 
 7,423,807   Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A   6,875,628 
 12,845,584   MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A   12,241,490 
 3,778,006   MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A   3,591,524 
 11,712,721   Mariner Finance Issuance Trust, Series 2018-AA, Class A, 4.200%, 11/20/2030, 144A   11,847,064 
 2,435,977   Marlette Funding Trust, Series 2019-4A, Class A, 2.390%, 12/17/2029, 144A   2,455,015 
 761,581   Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A   767,648 
 1,026,051   MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A   1,089,970 
 664,309   MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A   676,120 
 8,040,000   OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A   8,307,794 
 4,675,000   OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A   5,000,324 
 6,585,000   OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A   6,692,105 
 15,252,711   S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A   14,800,385 
  ABS Other — continued

 

740,000   SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day ARS, 3.630%, 9/15/2032(b)  736,911 
 1,145,000   SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day ARS, 3.230%, 9/15/2032(b)   1,140,221 
 13,765,000   SoFi Consumer Loan Program Trust, Series 2019-1, Class C, 3.730%, 2/25/2028, 144A   14,050,679 
 3,659,000   SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A   3,764,066 
 6,720,000   SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A   6,887,752 
 6,805,000   SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A   6,969,995 
 12,755,000   SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A   13,199,624 
 7,370,000   SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A   7,574,282 
    

 

 

 
     182,715,011 
    

 

 

 
  ABS Student Loan — 1.0%

 

 6,356,550   Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A   6,402,192 
 7,045,987   ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A   7,244,131 
 8,825,000   Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A   8,866,084 
 615,000   SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.180%, 6/15/2032(b)   611,444 
 463,000   SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day ARS, 3.170%, 6/15/2032(b)   460,323 
 905,000   SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 3.200%, 3/15/2033(a)   899,024 
 612,000   SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.658%, 3/15/2033(b)   607,959 
 2,500,000   SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A   2,618,560 
 565,000   SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A   601,064 
 1,525,000   SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A   1,607,817 
 10,051,750   SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A   10,637,861 
 16,265,000   SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A   17,174,986 
    

 

 

 
     57,731,445 
    

 

 

 
  ABS Whole Business — 1.2%

 

 10,006,577   Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A   10,551,461 
 3,595,000   Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A   3,802,433 
 13,288,050   Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A   12,959,447 
 7,205,788   DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A   7,786,934 
 2,543,340   Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A   2,724,680 

 

See accompanying notes to financial statements.

 

39  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  ABS Whole Business — continued

 

$5,191,503   Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A  $5,642,748 
 4,073,850   Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A   4,327,284 
 1,672,110   Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A   1,576,900 
 17,404,950   Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A   18,641,678 
 2,230,000   Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A   2,275,202 
    

 

 

 
     70,288,767 
    

 

 

 
  Aerospace & Defense — 3.6%

 

 13,620,000   BAE Systems PLC, 3.400%, 4/15/2030, 144A   15,429,757 
 3,780,000   Boeing Co. (The), 2.250%, 6/15/2026   3,868,868 
 4,874,000   Boeing Co. (The), 2.950%, 2/01/2030   5,040,983 
 655,000   Boeing Co. (The), 3.100%, 5/01/2026   701,371 
 3,225,000   Boeing Co. (The), 3.200%, 3/01/2029   3,404,420 
 2,036,000   Boeing Co. (The), 3.250%, 2/01/2035   2,087,928 
 9,088,000   Boeing Co. (The), 3.375%, 6/15/2046   8,868,140 
 1,427,000   Boeing Co. (The), 3.500%, 3/01/2039   1,443,677 
 850,000   Boeing Co. (The), 3.550%, 3/01/2038   867,163 
 3,564,000   Boeing Co. (The), 3.625%, 3/01/2048   3,593,416 
 2,111,000   Boeing Co. (The), 3.650%, 3/01/2047   2,136,835 
 14,352,000   Boeing Co. (The), 3.750%, 2/01/2050   15,009,322 
 1,932,000   Boeing Co. (The), 3.825%, 3/01/2059   1,962,548 
 3,241,000   Boeing Co. (The), 3.850%, 11/01/2048   3,342,961 
 7,330,000   Boeing Co. (The), 3.900%, 5/01/2049   7,778,684 
 4,795,000   Boeing Co. (The), 3.950%, 8/01/2059   5,131,883 
 8,060,000   Boeing Co. (The), 5.150%, 5/01/2030   9,754,627 
 5,676,000   Boeing Co. (The), 5.705%, 5/01/2040   7,365,863 
 37,793,000   Boeing Co. (The), 5.805%, 5/01/2050   52,084,236 
 8,696,000   Boeing Co. (The), 5.930%, 5/01/2060   12,336,093 
 4,760,000   Embraer Netherlands Finance BV, 5.050%, 6/15/2025   5,045,648 
 4,350,000   Embraer Netherlands Finance BV, 5.400%, 2/01/2027   4,621,918 
 6,885,000   Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025   7,650,460 
 4,245,000   Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030   5,027,951 
 650,000   Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039   840,281 
 1,335,000   Spirit AeroSystems, Inc., 4.600%, 6/15/2028   1,319,981 
 29,075,000   Textron, Inc., 3.000%, 6/01/2030   31,341,375 
    

 

 

 
     218,056,389 
    

 

 

 
  Airlines — 1.0%

 

 2,410,489   Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A   2,405,258 
 7,001,850   American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025   5,910,542 
 12,726,245   American Airlines Pass Through Certificates, Series 2016-3, Class A, 3.250%, 4/15/2030   11,528,252 
 1,506,441   American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027   1,211,962 
 5,486,481   American Airlines Pass Through Certificates, Series 2017-2, Class A, 3.600%, 4/15/2031   5,068,967 
 3,331,919   American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027   2,816,834 
 1,791,550   American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025   1,377,344 
  Airlines — continued

 

21,871,211   American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029  18,364,381 
 6,523,391   British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A   6,165,518 
 246,393   Continental Airlines Pass Through Certificates, Series 2001-1, Class A-1, 6.703%, 12/15/2022   246,393 
 924,352   Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024   941,869 
 3,959,577   Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024   3,867,980 
 2,583,954   United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031   2,452,215 
    

 

 

 
     62,357,515 
    

 

 

 
  Automotive — 2.0%

 

 18,836,000   Cummins, Inc., 5.650%, 3/01/2098   27,680,444 
 5,274,000   Cummins, Inc., 6.750%, 2/15/2027   6,683,596 
 8,176,000   General Motors Co., 5.200%, 4/01/2045   9,929,151 
 27,915,000   General Motors Co., 5.400%, 4/01/2048   35,154,208 
 640,000   General Motors Co., 5.950%, 4/01/2049   865,549 
 9,600,000   General Motors Co., 6.250%, 10/02/2043   12,950,107 
 95,000   General Motors Co., 6.750%, 4/01/2046   136,870 
 24,360,000   Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A   24,497,229 
 2,895,000   Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A   3,182,633 
    

 

 

 
     121,079,787 
    

 

 

 
  Banking — 8.0%

 

 300,000   Ally Financial, Inc., 3.875%, 5/21/2024   328,723 
 39,613,000   Ally Financial, Inc., 4.625%, 3/30/2025   45,151,548 
 2,835,000   Ally Financial, Inc., 5.750%, 11/20/2025   3,300,625 
 1,468,000   Ally Financial, Inc., 8.000%, 11/01/2031   2,088,539 
 10,155,000   Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A   11,666,673 
 5,800,000   Banco Santander S.A., 2.749%, 12/03/2030   5,978,216 
 49,304,000   Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028   55,691,042 
 100,000   Bank of America Corp., MTN, 4.250%, 10/22/2026   117,297 
 25,627,000   Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027   29,729,519 
 4,287,000   Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030   5,142,616 
 18,255,000   Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035   19,780,023 
 3,335,000   BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A   3,368,350 
 22,500,000   BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A   25,780,055 
 460,000   Capital One Financial Corp., 4.200%, 10/29/2025   525,187 
 1,230,000   Citigroup, Inc., 4.125%, 7/25/2028   1,438,707 
 7,155,000   Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A   7,987,126 
 14,200,000   Danske Bank A/S, 5.375%, 1/12/2024, 144A   16,019,873 
 3,390,000   Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A   3,627,615 
 2,640,000   Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032   2,762,496 
 9,260,000   Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024   9,526,121 

 

See accompanying notes to financial statements.

 

|  40


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Banking — continued

 

$6,235,000   Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031  $6,757,127 
 70,245,000   JPMorgan Chase & Co., 4.125%, 12/15/2026   82,120,901 
 28,715,000   JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031   35,323,125 
 100,000   KeyBank NA, 6.950%, 2/01/2028   130,314 
 1,845,000   Morgan Stanley, GMTN, 4.350%, 9/08/2026   2,175,233 
 20,695,000   Morgan Stanley, MTN, 4.100%, 5/22/2023   22,458,923 
 15,160,000   Santander Holdings USA, Inc., 3.244%, 10/05/2026   16,464,056 
 20,295,000   Societe Generale S.A., 4.250%, 4/14/2025, 144A   22,383,355 
 11,950,000   Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A   12,940,548 
 16,790,000   Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A   17,578,818 
 7,090,000   Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A   8,576,770 
 3,865,000   Synchrony Financial, 4.375%, 3/19/2024   4,255,237 
    

 

 

 
     481,174,758 
    

 

 

 
  Brokerage — 0.8%

 

 19,498,000   Jefferies Group LLC, 6.250%, 1/15/2036   26,003,814 
 8,760,000   Jefferies Group LLC, 6.450%, 6/08/2027   11,105,393 
 8,460,000   Nasdaq, Inc., 0.445%, 12/21/2022   8,469,896 
    

 

 

 
     45,579,103 
    

 

 

 
  Building Materials — 1.1%

 

 16,180,000   Cemex SAB de CV, 5.200%, 9/17/2030, 144A   17,741,370 
 5,955,000   Cemex SAB de CV, 5.450%, 11/19/2029, 144A   6,550,560 
 1,665,000   Cemex SAB de CV, 5.700%, 1/11/2025, 144A   1,701,630 
 460,000   Cemex SAB de CV, 7.750%, 4/16/2026, 144A   485,070 
 3,285,000   Ferguson Finance PLC, 3.250%, 6/02/2030, 144A   3,663,132 
 23,975,000   Owens Corning, 7.000%, 12/01/2036   34,182,443 
 2,655,000   Vulcan Materials Co., 3.500%, 6/01/2030   3,049,564 
    

 

 

 
     67,373,769 
    

 

 

 
  Cable Satellite — 2.2%

 

 9,425,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A   9,930,934 
 2,826,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A   2,999,092 
 315,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A   336,332 
 550,000   CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A   602,937 
 30,810,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050   36,799,466 
 6,695,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048   8,760,026 
 10,320,000   Cox Communications, Inc., 4.500%, 6/30/2043, 144A   12,982,106 
 5,820,000   Cox Communications, Inc., 4.700%, 12/15/2042, 144A   7,515,742 
 240,000   CSC Holdings LLC, 5.750%, 1/15/2030, 144A   263,100 
 2,360,000   CSC Holdings LLC, 6.500%, 2/01/2029, 144A   2,664,558 
 470,000   Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A   487,038 
 2,416,000   Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A   2,567,024 
 865,000   Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A   901,762 
 200,000   Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A   220,063 
  Cable Satellite — continued

 

17,891,000   Time Warner Cable LLC, 4.500%, 9/15/2042  20,964,618 
 15,815,000   Time Warner Cable LLC, 5.500%, 9/01/2041   20,319,937 
 800,000   Videotron Ltd., 5.000%, 7/15/2022   841,008 
 2,185,000   Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A   2,269,669 
 1,600,000   Ziggo BV, 5.500%, 1/15/2027, 144A   1,670,000 
    

 

 

 
     133,095,412 
    

 

 

 
  Chemicals — 1.2%

 

 8,285,000   Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A   8,502,481 
 1,635,000   Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A   1,690,198 
 27,205,000   CF Industries, Inc., 4.500%, 12/01/2026, 144A   32,231,319 
 3,740,000   FMC Corp., 3.450%, 10/01/2029   4,257,741 
 2,075,000   FMC Corp., 4.500%, 10/01/2049   2,690,320 
 8,145,000   LYB International Finance III LLC, 4.200%, 10/15/2049   9,520,873 
 11,480,000   Nutrition & Biosciences, Inc., 2.300%, 11/01/2030, 144A   11,824,654 
    

 

 

 
     70,717,586 
    

 

 

 
  Collateralized Mortgage Obligations — 0.0%

 

 1,544,401   New Residential Mortgage Loan Trust, Series 2020-NPL2, Class A1, 3.228%, 8/25/2060, 144A(a)   1,556,848 
    

 

 

 
  Consumer Cyclical Services — 1.9%

 

 20,300,000   Amazon.com, Inc., 2.500%, 6/03/2050   21,062,685 
 9,850,000   Booking Holdings, Inc., 4.500%, 4/13/2027   11,715,171 
 16,000,000   Booking Holdings, Inc., 4.625%, 4/13/2030   19,881,266 
 1,205,000   eBay, Inc., 4.000%, 7/15/2042   1,371,911 
 26,082,000   Expedia Group, Inc., 3.250%, 2/15/2030   27,144,607 
 2,426,000   Expedia Group, Inc., 3.800%, 2/15/2028   2,605,847 
 9,925,000   Expedia Group, Inc., 4.625%, 8/01/2027, 144A   11,088,806 
 5,385,000   Expedia Group, Inc., 6.250%, 5/01/2025, 144A   6,241,757 
 2,755,000   Expedia Group, Inc., 7.000%, 5/01/2025, 144A   3,036,593 
 4,402,000   IHS Markit Ltd., 4.250%, 5/01/2029   5,347,814 
 6,030,000   Uber Technologies, Inc., 6.250%, 1/15/2028, 144A   6,557,625 
    

 

 

 
     116,054,082 
    

 

 

 
  Consumer Products — 0.2%

 

 7,458,000   Hasbro, Inc., 6.600%, 7/15/2028   9,340,770 
 4,580,000   Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A   4,731,232 
    

 

 

 
     14,072,002 
    

 

 

 
  Diversified Manufacturing — 0.5%

 

 13,920,000   Carrier Global Corp., 2.722%, 2/15/2030   14,886,231 
 6,010,000   General Electric Co., 3.625%, 5/01/2030   6,868,751 
 2,865,000   General Electric Co., 4.350%, 5/01/2050   3,484,265 
 5,305,000   General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 0.537%, 5/13/2024(b)   5,137,673 
    

 

 

 
     30,376,920 
    

 

 

 
  Electric — 3.2%

 

 7,435,000   AES Corp. (The), 2.450%, 1/15/2031, 144A   7,529,573 
 3,695,000   AES Corp. (The), 3.950%, 7/15/2030, 144A   4,176,865 
 17,820,017   Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A   20,941,627 
 14,855,000   Calpine Corp., 3.750%, 3/01/2031, 144A   14,711,352 
 13,025,000   Enel Finance International NV, 6.000%, 10/07/2039, 144A   18,583,781 
 9,007,000   Enel Finance International NV, 6.800%, 9/15/2037, 144A   13,255,491 
 21,030,000   FirstEnergy Corp., Series C, 3.400%, 3/01/2050   20,143,226 

 

See accompanying notes to financial statements.

 

41  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Electric — continued

 

$2,355,000   IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A  $2,718,694 
 9,641,000   NRG Energy, Inc., 4.450%, 6/15/2029, 144A   11,180,172 
 1,435,000   NRG Energy, Inc., 5.250%, 6/15/2029, 144A   1,578,500 
 4,437,000   NRG Energy, Inc., 5.750%, 1/15/2028   4,847,423 
 8,915,000   Pacific Gas & Electric Co., 3.500%, 8/01/2050   8,860,717 
 10,400,000   Pacific Gas & Electric Co., 4.300%, 3/15/2045   11,088,069 
 1,250,000   Pacific Gas & Electric Co., 4.950%, 7/01/2050   1,489,517 
 2,970,000   Southern California Edison Co., 3.650%, 2/01/2050   3,373,363 
 850,000   Southern California Edison Co., 4.000%, 4/01/2047   998,408 
 1,060,000   Southern California Edison Co., Series C, 4.125%, 3/01/2048   1,263,278 
 40,595,000   Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A   44,763,549 
 1,105,000   Vistra Operations Co. LLC, 4.300%, 7/15/2029, 144A   1,254,201 
    

 

 

 
     192,757,806 
    

 

 

 
  Finance Companies — 2.2%

 

 1,245,000   Air Lease Corp., 2.250%, 1/15/2023   1,278,265 
 23,900,000   Air Lease Corp., 3.125%, 12/01/2030   24,879,409 
 2,235,000   Air Lease Corp., 3.250%, 10/01/2029   2,362,058 
 10,270,000   Air Lease Corp., 3.375%, 7/01/2025   11,044,337 
 345,000   Air Lease Corp., 4.625%, 10/01/2028   396,313 
 8,426,000   Air Lease Corp., MTN, 3.000%, 2/01/2030   8,650,126 
 12,430,000   Aircastle Ltd., 4.125%, 5/01/2024   13,146,458 
 8,070,000   Aircastle Ltd., 4.400%, 9/25/2023   8,551,453 
 8,160,000   Aircastle Ltd., 5.000%, 4/01/2023   8,697,781 
 6,700,000   Antares Holdings LP, 6.000%, 8/15/2023, 144A   6,832,814 
 7,510,000   Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A   8,314,077 
 9,530,000   GE Capital Funding LLC, 4.400%, 5/15/2030, 144A   11,234,236 
 3,460,000   GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035   4,129,669 
 3,425,000   Navient Corp., 5.000%, 3/15/2027   3,454,969 
 50,000   Navient Corp., 5.875%, 10/25/2024   53,125 
 35,000   Navient Corp., 6.500%, 6/15/2022   37,038 
 145,000   Navient Corp., 6.750%, 6/15/2026   157,506 
 370,000   Navient Corp., 7.250%, 9/25/2023   405,513 
 20,000   Navient Corp., MTN, 6.125%, 3/25/2024   21,350 
 165,000   Navient Corp., MTN, 7.250%, 1/25/2022   172,425 
 7,805,000   Quicken Loans LLC, 5.250%, 1/15/2028, 144A   8,331,837 
 3,645,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A   3,717,900 
 4,955,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   5,140,813 
    

 

 

 
     131,009,472 
    

 

 

 
  Financial Other — 0.1%

 

 2,415,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024   2,508,581 
 3,182,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027   3,411,104 
    

 

 

 
     5,919,685 
    

 

 

 
  Food & Beverage — 2.6%

 

 2,040,000   Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046   2,652,470 
 14,470,000   Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050   18,264,900 
 6,002,000   Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048   7,594,939 
  Food & Beverage — continued

 

15,285,000   Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050  17,009,067 
 4,910,000   JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A   5,516,385 
 10,660,000   JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A   12,245,782 
 25,875,000   Kraft Heinz Foods Co., 4.375%, 6/01/2046   27,884,711 
 6,470,000   NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A   7,044,277 
 9,535,000   PepsiCo, Inc., 1.700%, 10/06/2021   9,626,525 
 45,980,000   PepsiCo, Inc., 2.000%, 4/15/2021   46,145,795 
 1,920,000   Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A   2,031,508 
    

 

 

 
     156,016,359 
    

 

 

 
  Government Owned – No Guarantee — 0.6%

 

 4,000,000   Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A   3,893,560 
 8,080,000   Equinor ASA, 3.700%, 4/06/2050   9,737,553 
 20,145,000   Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A   20,428,391 
    

 

 

 
     34,059,504 
    

 

 

 
  Government Sponsored — 0.1%

 

 6,130,000   Petrobras Global Finance BV, 6.900%, 3/19/2049   7,769,775 
    

 

 

 
  Health Insurance — 0.0%

 

 565,000   Centene Corp., 4.625%, 12/15/2029   627,269 
    

 

 

 
  Healthcare — 1.8%

 

 19,420,000   Cigna Corp., 4.375%, 10/15/2028   23,472,700 
 1,261,000   Cigna Corp., 7.875%, 5/15/2027   1,715,425 
 7,210,000   CVS Health Corp., 3.250%, 8/15/2029   8,120,151 
 685,000   Encompass Health Corp., 4.750%, 2/01/2030   733,806 
 8,810,000   HCA, Inc., 4.125%, 6/15/2029   10,220,319 
 16,050,000   HCA, Inc., 4.500%, 2/15/2027   18,669,390 
 22,730,000   HCA, Inc., 5.250%, 6/15/2049   30,021,696 
 4,806,000   HCA, Inc., 7.050%, 12/01/2027   5,821,267 
 1,592,000   HCA, Inc., 7.500%, 11/06/2033   2,212,880 
 1,295,000   HCA, Inc., 7.690%, 6/15/2025   1,554,000 
 2,480,000   HCA, Inc., MTN, 7.580%, 9/15/2025   2,988,400 
 3,068,000   HCA, Inc., MTN, 7.750%, 7/15/2036   3,965,390 
    

 

 

 
     109,495,424 
    

 

 

 
  Home Construction — 0.1%

 

 2,450,000   Lennar Corp., 4.750%, 11/29/2027   2,895,410 
 560,000   Lennar Corp., 4.875%, 12/15/2023   618,800 
 55,000   Lennar Corp., 5.000%, 6/15/2027   64,763 
 2,755,000   MDC Holdings, Inc., 6.000%, 1/15/2043   3,693,201 
    

 

 

 
     7,272,174 
    

 

 

 
  Independent Energy — 1.1%

 

 3,195,000   Aker BP ASA, 3.000%, 1/15/2025, 144A   3,353,116 
 9,925,000   Aker BP ASA, 3.750%, 1/15/2030, 144A   10,424,312 
 16,455,000   Aker BP ASA, 4.000%, 1/15/2031, 144A   17,824,841 
 9,310,000   Continental Resources, Inc., 3.800%, 6/01/2024   9,613,599 
 10,475,000   Hess Corp., 4.300%, 4/01/2027   11,548,398 
 4,675,000   Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A   5,120,107 
 6,090,000   Occidental Petroleum Corp., 5.550%, 3/15/2026   6,357,595 
    

 

 

 
     64,241,968 
    

 

 

 
  Integrated Energy — 0.9%

 

 52,303,000   Shell International Finance BV, 1.875%, 5/10/2021   52,601,282 
    

 

 

 
  Life Insurance — 3.7%

 

 5,653,000   American International Group, Inc., 4.200%, 4/01/2028   6,710,829 
 21,550,000   Athene Global Funding, 2.550%, 11/19/2030, 144A   21,566,206 

 

See accompanying notes to financial statements.

 

|  42


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Life Insurance — continued

 

$7,385,000   Athene Holding Ltd., 3.500%, 1/15/2031  $7,804,532 
 8,255,000   CNO Financial Group, Inc., 5.250%, 5/30/2029   9,956,933 
 19,600,000   Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A   22,873,200 
 15,000,000   Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A   15,252,351 
 2,565,000   Massachusetts Mutual Life Insurance Co., 3.375%, 4/15/2050, 144A   2,802,036 
 5,895,000   Metropolitan Life Global Funding I, 3-month LIBOR + 0.230%, 0.460%, 1/08/2021, 144A(b)   5,895,157 
 30,030,000   Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A   30,923,307 
 9,063,000   Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A   12,158,037 
 26,914,000   National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(e)   46,341,871 
 5,760,000   New York Life Insurance Co., 3.750%, 5/15/2050, 144A   6,890,306 
 6,440,000   NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(e)   8,869,039 
 2,872,000   Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A   3,683,134 
 14,489,000   Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A(d)(e)   20,881,896 
    

 

 

 
     222,608,834 
    

 

 

 
  Local Authorities — 0.3%

 

 14,455,000   Province of Quebec Canada, 0.600%, 7/23/2025   14,515,422 
    

 

 

 
  Lodging — 0.0%

 

 1,795,000   Marriott International, Inc., 4.625%, 6/15/2030   2,106,395 
    

 

 

 
  Media Entertainment — 1.2%

 

 23,830,000   Discovery Communications LLC, 4.650%, 5/15/2050   29,805,250 
 265,000   iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A   271,956 
 3,225,000   iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A   3,386,250 
 1,530,000   iHeartCommunications, Inc., 6.375%, 5/01/2026   1,637,100 
 4,640,000   iHeartCommunications, Inc., 8.375%, 5/01/2027   4,953,014 
 245,000   Netflix, Inc., 4.875%, 4/15/2028   276,287 
 2,625,000   Netflix, Inc., 4.875%, 6/15/2030, 144A   3,018,750 
 870,000   Netflix, Inc., 5.375%, 11/15/2029, 144A   1,025,513 
 2,700,000   ViacomCBS, Inc., 4.200%, 6/01/2029   3,229,800 
 3,010,000   ViacomCBS, Inc., 4.200%, 5/19/2032   3,627,492 
 18,215,000   ViacomCBS, Inc., 4.950%, 1/15/2031   22,862,158 
    

 

 

 
     74,093,570 
    

 

 

 
  Metals & Mining — 3.1%

 

 550,000   Anglo American Capital PLC, 2.625%, 9/10/2030, 144A   575,129 
 6,260,000   Anglo American Capital PLC, 4.000%, 9/11/2027, 144A   7,188,357 
 34,334,000   Anglo American Capital PLC, 4.500%, 3/15/2028, 144A   40,316,085 
 8,785,000   Anglo American Capital PLC, 4.750%, 4/10/2027, 144A   10,363,187 
 3,130,000   Antofagasta PLC, 2.375%, 10/14/2030, 144A   3,137,825 
 11,990,000   ArcelorMittal S.A., 7.000%, 3/01/2041   16,523,163 
 5,890,000   First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A   6,390,650 
 2,930,000   Freeport-McMoRan, Inc., 4.375%, 8/01/2028   3,113,125 
 1,975,000   Freeport-McMoRan, Inc., 4.625%, 8/01/2030   2,167,563 
 5,760,000   Freeport-McMoRan, Inc., 5.400%, 11/14/2034   7,207,200 
 1,770,000   Freeport-McMoRan, Inc., 5.450%, 3/15/2043   2,203,650 
  Metals & Mining — continued

 

7,688,000   Glencore Funding LLC, 3.875%, 10/27/2027, 144A  8,690,131 
 39,092,000   Glencore Funding LLC, 4.000%, 3/27/2027, 144A   44,220,182 
 11,700,000   Glencore Funding LLC, 4.125%, 3/12/2024, 144A   12,874,600 
 4,280,000   Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A   4,727,516 
 1,855,000   Reliance Steel & Aluminum Co., 2.150%, 8/15/2030   1,905,873 
 395,000   Steel Dynamics, Inc., 3.250%, 1/15/2031   441,707 
 14,125,000   Steel Dynamics, Inc., 3.450%, 4/15/2030   15,989,320 
    

 

 

 
     188,035,263 
    

 

 

 
  Midstream — 2.5%

 

 22,495,000   Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029   25,042,863 
 650,000   DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A   702,000 
 7,000,000   Energy Transfer Operating LP, 4.950%, 6/15/2028   8,068,299 
 36,405,000   Energy Transfer Operating LP, 5.250%, 4/15/2029   42,504,951 
 1,435,000   Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A   1,498,882 
 14,660,000   Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023   15,702,917 
 85,000   Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042   99,704 
 375,000   Kinder Morgan, Inc., 5.050%, 2/15/2046   456,731 
 14,040,000   MPLX LP, 4.250%, 12/01/2027   16,485,357 
 85,000   NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A   114,918 
 225,000   Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023   232,991 
 2,890,000   Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030   3,106,897 
 7,365,000   Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043   7,246,418 
 6,870,000   Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044   7,123,565 
 620,000   Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045   658,003 
 12,445,000   Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030, 144A   14,750,779 
 8,405,000   Williams Cos., Inc. (The), 3.350%, 8/15/2022   8,741,480 
    

 

 

 
     152,536,755 
    

 

 

 
  Mortgage Related — 0.0%

 

 1,204   FNMA, 6.000%, 7/01/2029   1,374 
    

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities — 0.8%

 

 1,410,000   Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A   1,430,032 
 785,000   Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A   759,273 
 405,000   Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.535%, 12/10/2044(a)   365,118 
 3,205,000   Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.759%, 1/15/2034, 144A(b)   3,023,939 
 12,790,000   Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A   10,558,657 
 5,095,000   DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(a)   5,327,230 
 9,406,000   GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(a)   7,584,087 

 

See accompanying notes to financial statements.

 

43  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Non-Agency Commercial Mortgage-Backed Securities — continued

 

$2,390,000   GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(a)  $2,308,024 
 3,094,000   GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)   2,997,171 
 1,405,000   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.763%, 10/15/2046(a)   1,257,334 
 3,989,000   Morgan Stanley Capital I Trust, Series 2011-C2, Class B, 5.200%, 6/15/2044, 144A(a)   3,978,486 
 3,456,000   Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.477%, 6/15/2044, 144A(a)   2,122,142 
 6,706,000   UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.888%, 5/10/2063, 144A(a)(d)(e)   3,107,873 
 1,290,000   WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(a)   1,284,729 
 939,546   WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.523%, 2/15/2044, 144A(a)   936,953 
 2,125,000   WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.642%, 3/15/2044, 144A(a)   990,905 
 1,746,000   WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.810%, 6/15/2045(a)   1,359,810 
 865,000   WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.810%, 6/15/2045, 144A(a)   383,832 
    

 

 

 
     49,775,595 
    

 

 

 
  Paper — 0.6%

 

 10,460,000   Suzano Austria GmbH, 3.750%, 1/15/2031   11,098,060 
 16,595,000   Weyerhaeuser Co., 4.000%, 4/15/2030   19,652,196 
 2,745,000   WRKCo, Inc., 3.000%, 6/15/2033   3,015,840 
    

 

 

 
     33,766,096 
    

 

 

 
  Pharmaceuticals — 1.5%

 

 8,370,000   Merck & Co., Inc., 2.450%, 6/24/2050   8,666,038 
 2,459,000   Mylan, Inc., 5.200%, 4/15/2048   3,201,276 
 9,724,000   Mylan, Inc., 5.400%, 11/29/2043   12,942,897 
 3,100,000   Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030   3,313,145 
 980,000   Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036   1,041,250 
 9,335,000   Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023   9,236,142 
 15,105,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   14,519,832 
 6,270,000   Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046   5,580,300 
 12,646,000   Utah Acquisition Sub, Inc., 5.250%, 6/15/2046   16,567,275 
 11,805,000   Viatris, Inc., 4.000%, 6/22/2050, 144A   13,524,846 
    

 

 

 
     88,593,001 
    

 

 

 
  Property & Casualty Insurance — 0.4%

 

 16,635,000   Fidelity National Financial, Inc., 3.400%, 6/15/2030   18,268,093 
 2,740,000   Fidelity National Financial, Inc., 5.500%, 9/01/2022   2,951,877 
 3,159,000   Sirius International Group Ltd., 4.600%, 11/01/2026, 144A   3,137,045 
 1,605,000   Travelers Cos., Inc. (The), 2.550%, 4/27/2050   1,689,575 
    

 

 

 
     26,046,590 
    

 

 

 
  REITs – Health Care — 0.1%

 

5,972,000   Welltower, Inc., 6.500%, 3/15/2041  8,349,736 
    

 

 

 
  REITs – Regional Malls — 0.2%

 

 6,815,000   Simon Property Group LP, 2.650%, 7/15/2030   7,223,046 
 4,945,000   Simon Property Group LP, 3.800%, 7/15/2050   5,516,718 
    

 

 

 
     12,739,764 
    

 

 

 
  REITs – Shopping Centers — 0.1%

 

 2,280,000   Brixmor Operating Partnership LP, 4.050%, 7/01/2030   2,616,926 
    

 

 

 
  Restaurants — 0.1%

 

 2,375,000   Yum! Brands, Inc., 4.750%, 1/15/2030, 144A   2,604,188 
 1,890,000   Yum! Brands, Inc., 7.750%, 4/01/2025, 144A   2,093,175 
    

 

 

 
     4,697,363 
    

 

 

 
  Retailers — 1.1%

 

 1,960,000   AutoNation, Inc., 4.750%, 6/01/2030   2,358,535 
 9,720,000   AutoZone, Inc., 3.625%, 4/15/2025   10,887,990 
 14,585,000   AutoZone, Inc., 4.000%, 4/15/2030   17,278,994 
 370,746   CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A   436,064 
 392,236   CVS Pass-Through Trust, 6.036%, 12/10/2028   453,339 
 11,141,351   CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A   12,621,702 
 1,168,350   CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A   1,279,694 
 5,620,000   Dollar General Corp., 3.500%, 4/03/2030   6,451,605 
 8,064,000   Marks & Spencer PLC, 7.125%, 12/01/2037, 144A   9,014,101 
 3,755,000   PVH Corp., 7.750%, 11/15/2023   4,399,658 
    

 

 

 
     65,181,682 
    

 

 

 
  Sovereigns — 0.5%

 

 30,040,000   Mexico Government International Bond, 3.771%, 5/24/2061   31,398,108 
    

 

 

 
  Supermarkets — 0.0%

 

 325,000   Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040   465,625 
    

 

 

 
  Technology — 4.8%

 

 27,985,000   Avnet, Inc., 4.625%, 4/15/2026   31,676,746 
 1,300,000   Broadcom Corp./Broadcom Cayman Finance Ltd., 3.500%, 1/15/2028   1,432,870 
 10,158,000   Broadcom, Inc., 4.150%, 11/15/2030   11,760,549 
 17,895,000   Broadcom, Inc., 4.300%, 11/15/2032   21,214,326 
 31,450,000   Broadcom, Inc., 4.750%, 4/15/2029   37,511,104 
 12,400,000   Broadcom, Inc., 5.000%, 4/15/2030   15,073,588 
 1,620,000   CommScope Technologies LLC, 5.000%, 3/15/2027, 144A   1,595,700 
 3,900,000   CommScope, Inc., 6.000%, 3/01/2026, 144A   4,109,040 
 3,950,000   CommScope, Inc., 7.125%, 7/01/2028, 144A   4,206,750 
 10,115,000   Equinix, Inc., 2.150%, 7/15/2030   10,288,475 
 17,195,000   Equinix, Inc., 3.200%, 11/18/2029   18,876,101 
 4,610,000   Jabil, Inc., 3.000%, 1/15/2031   4,888,050 
 7,440,000   Jabil, Inc., 4.700%, 9/15/2022   7,926,428 
 16,735,000   KLA Corp., 5.650%, 11/01/2034   22,564,124 
 25,479,000   Micron Technology, Inc., 4.663%, 2/15/2030   31,266,472 
 10,622,000   Micron Technology, Inc., 5.327%, 2/06/2029   13,286,913 
 3,980,000   NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A   4,388,157 
 2,225,000   NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A   2,523,183 
 1,055,000   Open Text Corp., 3.875%, 2/15/2028, 144A   1,097,179 
 1,015,000   Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A   1,079,757 
 25,480,000   Oracle Corp., 3.600%, 4/01/2050   29,686,328 

 

See accompanying notes to financial statements.

 

|  44


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Technology — continued

 

$970,000   SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A  $1,035,979 
 9,135,000   Verisk Analytics, Inc., 4.125%, 3/15/2029   10,977,720 
    

 

 

 
     288,465,539 
    

 

 

 
  Transportation Services — 0.2%

 

 9,670,000   Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A   10,377,686 
    

 

 

 
  Treasuries — 12.8%

 

 267,555,000   U.S. Treasury Note, 0.125%, 4/30/2022   267,617,710 
 173,275,000   U.S. Treasury Note, 0.125%, 6/30/2022   173,302,074 
 119,815,000   U.S. Treasury Note, 0.125%, 12/31/2022   119,829,041 
 209,930,000   U.S. Treasury Note, 0.375%, 3/31/2022   210,594,231 
    

 

 

 
     771,343,056 
    

 

 

 
  Wireless — 1.8%

 

 21,805,000   American Tower Corp., 2.100%, 6/15/2030   22,380,814 
 2,295,000   Crown Castle International Corp., 2.250%, 1/15/2031   2,380,692 
 3,725,000   Crown Castle International Corp., 3.300%, 7/01/2030   4,169,314 
 22,660,000   Crown Castle International Corp., 3.650%, 9/01/2027   25,582,808 
 6,615,000   Crown Castle International Corp., 4.000%, 3/01/2027   7,597,027 
 730,000   Crown Castle International Corp., 4.150%, 7/01/2050   884,643 
 610,000   Sprint Capital Corp., 6.875%, 11/15/2028   804,273 
 1,545,000   Sprint Corp., 7.250%, 9/15/2021   1,607,573 
 36,385,000   T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A   42,141,107 
 980,000   T-Mobile USA, Inc., 4.500%, 2/01/2026   1,001,888 
    

 

 

 
     108,550,139 
    

 

 

 
  Wirelines — 2.3%

 

 9,487,000   AT&T, Inc., 3.500%, 9/15/2053, 144A   9,500,924 
 364,000   AT&T, Inc., 3.550%, 9/15/2055, 144A   362,764 
 20,495,000   AT&T, Inc., 3.650%, 6/01/2051   21,460,171 
 515,000   AT&T, Inc., 3.650%, 9/15/2059, 144A   520,015 
 3,245,000   AT&T, Inc., 3.800%, 12/01/2057, 144A   3,390,820 
 61,415,000   AT&T, Inc., 4.300%, 2/15/2030   73,362,515 
 857,000   Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A   895,081 
 20,585,000   Telefonica Emisiones S.A., 5.520%, 3/01/2049   27,562,286 
    

 

 

 
     137,054,576 
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $4,967,750,678)
   5,453,191,355 
    

 

 

 
    
 Convertible Bonds — 1.3% 
  Airlines — 0.1%

 

 2,865,000   Southwest Airlines Co., 1.250%, 5/01/2025   4,161,413 
    

 

 

 
  Cable Satellite — 0.3%

 

 9,050,000   DISH Network Corp., 2.375%, 3/15/2024   8,433,965 
 13,110,000   DISH Network Corp., 3.375%, 8/15/2026   12,496,867 
    

 

 

 
     20,930,832 
    

 

 

 
  Consumer Cyclical Services — 0.1%

 

 3,845,000   Uber Technologies, Inc., Zero Coupon, 12/15/2025, 144A   3,933,584 
    

 

 

 
  Diversified Manufacturing — 0.1%

 

 5,165,000   Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024   5,219,082 
    

 

 

 
  Electric — 0.1%

 

 4,030,000   NRG Energy, Inc., 2.750%, 6/01/2048   4,579,289 
    

 

 

 
  Healthcare — 0.1%

 

6,355,000   Teladoc Health, Inc., 1.250%, 6/01/2027, 144A  7,611,414 
    

 

 

 
  Pharmaceuticals — 0.4%

 

 5,120,000   BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024   5,494,207 
 13,985,000   BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A   14,614,325 
 3,445,000   Neurocrine Biosciences, Inc., 2.250%, 5/15/2024   4,753,318 
    

 

 

 
     24,861,850 
    

 

 

 
  Technology — 0.1%

 

 3,925,000   Shift4 Payments, Inc., Zero Coupon, 12/15/2025, 144A   4,789,618 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $72,996,585)
   76,087,082 
    

 

 

 
    
 Municipals — 0.1% 
  Virginia — 0.1%

 

 7,515,000   

Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046

(Identified Cost $7,253,731)

   7,862,719 
    

 

 

 
  Total Bonds and Notes
(Identified Cost $5,048,000,994)
   5,537,141,156 
    

 

 

 
    
 Collateralized Loan Obligations — 3.8% 
 14,785,000   Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 1.868%, 7/20/2031, 144A(b)   14,768,250 
 5,715,000   Allegro CLO I Ltd., Series 2013-1A, Class BR, 3-month LIBOR + 2.450%, 2.664%, 1/30/2026, 144A(b)   5,714,024 
 4,650,000   Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 1.907%, 7/15/2031, 144A(b)   4,560,214 
 4,075,000   Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 1.737%, 10/15/2030, 144A(b)   4,044,116 
 2,774,916   Atrium XII, Series 12A, Class AR, 3-month LIBOR + 0.830%, 1.046%, 4/22/2027, 144A(b)   2,766,001 
 39,708   Avery Point IV CLO Ltd., Series 2014-1A, Class AR, 3-month LIBOR + 1.100%, 1.315%, 4/25/2026, 144A(b)   39,698 
 2,240,000   Battalion CLO XIV Ltd., Series 2019-14A, Class B1, 3-month LIBOR + 2.100%, 2.318%, 4/20/2032, 144A(b)   2,251,086 
 6,995,000   Benefit Street Partners CLO VII Ltd., Series 2015-VIIA, Class BR, 3-month LIBOR + 1.550%, 1.768%, 7/18/2027, 144A(b)   6,991,907 
 3,339,042   Black Diamond CLO Ltd., Series 2013-1A, Class BR, 3-month LIBOR + 2.500%, 2.718%, 2/06/2026, 144A(b)   3,336,061 
 2,525,000   Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 1.937%, 7/15/2031, 144A(b)   2,508,040 
 6,500,000   CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 2.018%, 10/17/2031, 144A(b)   6,536,477 
 2,331,808   CVP Cascade CLO Ltd., Series 2014-2A, Class A1R, 3-month LIBOR + 1.200%, 1.418%, 7/18/2026, 144A(b)   2,331,484 
 3,335,000   Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 1.637%, 1/15/2031, 144A(b)   3,287,643 

 

See accompanying notes to financial statements.

 

45  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
 Collateralized Loan Obligations — continued 
$1,030,000   Dryden 86 CLO Ltd., Series 2020-86A, Class B, 3-month LIBOR + 2.200%, 2.434%, 7/17/2030, 144A(b)  $1,032,752 
 2,422,818   Elevation CLO Ltd., Series 2015-4A, Class AR, 3-month LIBOR + 0.990%, 1.208%, 4/18/2027, 144A(b)   2,422,819 
 1,150,351   Flatiron CLO Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.890%, 1.127%, 4/15/2027, 144A(b)   1,150,010 
 5,405,000   Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 1.768%, 4/20/2030, 144A(b)   5,323,525 
 5,490,000   Halcyon Loan Advisors Funding Ltd., Series 2014-3A, Class B1R, 3-month LIBOR + 1.700%, 1.916%, 10/22/2025, 144A(b)   5,477,438 
 13,735,000   Hayfin US XII Ltd, Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 1.698%, 4/20/2031, 144A(b)   13,520,575 
 1,000,000   Jamestown CLO IX Ltd., Series 2016-9A, Class A2R, 3-month LIBOR + 1.850%, 2.068%, 10/20/2028, 144A(b)   989,919 
 6,512,487   Jamestown CLO VII Ltd., Series 2015-7A, Class A1R, 3-month LIBOR + 0.830%, 1.045%, 7/25/2027, 144A(b)   6,481,260 
 417,434   Limerock CLO III LLC, Series 2014-3A, Class A1R, 3-month LIBOR + 1.200%, 1.418%, 10/20/2026, 144A(b)   417,406 
 4,475,000   Madison Park Funding XII Ltd., Series 2014-12A, Class CR, 3-month LIBOR + 2.350%, 2.568%, 7/20/2026, 144A(b)   4,468,264 
 13,180,000   Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 1.916%, 10/22/2030, 144A(b)   13,081,487 
 2,770,000   Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, 3-month LIBOR + 1.900%, 2.118%, 4/20/2026, 144A(b)   2,767,326 
 1,450,000   Marble Point CLO X Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 2.037%, 10/15/2030, 144A(b)   1,427,720 
 7,275,000   Marble Point CLO XIV Ltd., Series 2018-2A, Class A1, 3-month LIBOR + 1.330%, 1.548%, 1/20/2032, 144A(b)   7,259,858 
 10,868,676   Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3-month LIBOR + 0.820%, 1.044%, 10/13/2027, 144A(b)   10,807,743 
 14,755,000   OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 0.000%, 1/17/2032, 144A(b)(c)(d)(e)   14,755,000 
 8,816,295   OCP CLO Ltd., Series 2015-10A, Class A1R, 3-month LIBOR + 0.820%, 1.035%, 10/26/2027, 144A(b)   8,796,299 
 8,705,000   OCP CLO Ltd., Series 2015-8A, Class A2AR, 3-month LIBOR + 1.450%, 1.668%, 4/17/2027, 144A(b)   8,700,509 
 1,750,000   OCP CLO Ltd., Series 2015-9A, Class BR, 3-month LIBOR + 1.750%, 1.987%, 7/15/2027, 144A(b)   1,726,551 
 3,605,000   OZLM XXIV Ltd., Series 2019-24A, Class A2A, 3-month LIBOR + 2.250%, 2.468%, 7/20/2032, 144A(b)   3,617,731 
 1,551,988   Palmer Square Loan Funding Ltd., Series 2020-3A, Class A1, 3-month LIBOR + 1.700%, 1.918%, 7/20/2028, 144A(b)   1,560,907 
 Collateralized Loan Obligations — continued 
6,959,020   Parallel Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.850%, 1.068%, 7/20/2027, 144A(b)  6,929,170 
 4,600,940   Recette CLO Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.920%, 1.138%, 10/20/2027, 144A(b)   4,590,304 
 1,800,000   Recette CLO Ltd., Series 2015-1A, Class BR, 3-month LIBOR + 1.300%, 1.518%, 10/20/2027, 144A(b)   1,785,459 
 1,400,000   Recette CLO Ltd., Series 2015-1A, Class CR, 3-month LIBOR + 1.700%, 1.918%, 10/20/2027, 144A(b)   1,396,419 
 1,015,000   Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 2.065%, 10/25/2031, 144A(b)   1,008,954 
 3,870,013   Venture XII CLO Ltd., Series 2012-12A, Class ARR, 3-month LIBOR + 0.800%, 1.024%, 2/28/2026, 144A(b)   3,845,138 
 2,580,375   Venture XX CLO Ltd., Series 2015-20A, Class AR, 3-month LIBOR + 0.820%, 1.057%, 4/15/2027, 144A(b)   2,571,383 
 5,863,058   Venture XXI CLO Ltd., Series 2015-21A, Class AR, 3-month LIBOR + 0.880%, 1.117%, 7/15/2027, 144A(b)   5,857,202 
 6,235,000   Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 1.887%, 10/15/2031, 144A(b)   6,234,980 
 3,335,000   Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 1.918%, 10/18/2031, 144A(b)   3,276,942 
 141,894   Voya CLO Ltd., Series 2014-3A, Class A1R, 3-month LIBOR + 0.720%, 0.935%, 7/25/2026, 144A(b)   141,452 
 14,756,924   Zais CLO 6 Ltd., Series 2017-1A, Class A1, 3-month LIBOR + 1.370%, 1.607%, 7/15/2029, 144A(b)   14,633,359 
    

 

 

 
  Total Collateralized Loan Obligations
(Identified Cost $223,509,095)
   227,190,862 
    

 

 

 
    
Shares          
 Preferred Stocks — 0.9% 
  Banking — 0.5%

 

 8,763   Bank of America Corp., Series L, 7.250%   13,307,317 
 10,730   Wells Fargo & Co., Class A, Series L, 7.500%   16,287,067 
    

 

 

 
     29,594,384 
    

 

 

 
  Electric — 0.1%

 

 113,793   NextEra Energy, Inc., 5.279%   5,785,236 
    

 

 

 
  Energy — 0.0%

 

 40,860   Chesapeake Energy Corp., 5.000%(c)(d)(f)(g)    
    

 

 

 
  Food & Beverage — 0.2%

 

 138,889   Bunge Ltd., 4.875%   15,108,904 
    

 

 

 
  Healthcare — 0.1%

 

 55,158   Boston Scientific Corp., Series A, 5.500%   6,043,662 
    

 

 

 
  Total Preferred Stocks
(Identified Cost $54,907,364)
   56,532,186 
    

 

 

 
    

 

See accompanying notes to financial statements.

 

|  46


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
 Short-Term Investments — 2.9% 
$172,892,299   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2020 at 0.000% to be repurchased at $172,892,299 on 1/04/2021 collateralized by $176,350,201 U.S. Treasury Note, 0.125% due 12/31/2022 valued at $176,350,201 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $172,892,299)  $172,892,299 
    

 

 

 
    
  Total Investments — 99.5%
(Identified Cost $5,499,309,752)
   5,993,756,503 
  Other assets less liabilities — 0.5%   31,005,541 
    

 

 

 
  Net Assets — 100.0%  $6,024,762,044 
    

 

 

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

 

 (a)   Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2020 is disclosed.

 

 (b)   Variable rate security. Rate as of December 31, 2020 is disclosed.

 

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

 

 (d)   Illiquid security. (Unaudited)

 

 (e)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2020, the value of these securities amounted to $115,550,245 or 1.9% of net assets. See Note 2 of Notes to Financial Statements.

 

 (f)   Non-income producing security.

 

 (g)   Fair valued by the Fund’s adviser. At December 31, 2020, the value of this security amounted to $0. See Note 2 of Notes to Financial Statements.

 

  
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2020, the value of Rule 144A holdings amounted to $2,134,096,969 or 35.4% of net assets.

 

 ABS   Asset-Backed Securities

 

 ARS   Auction Rate Security

 

 FNMA   Federal National Mortgage Association

 

 GMTN   Global Medium Term Note

 

 LIBOR   London Interbank Offered Rate

 

 MTN   Medium Term Note

 

 REITs   Real Estate Investment Trusts

 

 SLM   Sallie Mae

 

Industry Summary at December 31, 2020

 

Treasuries

   12.8

Banking

   8.5 

ABS Car Loan

   6.3 

ABS Home Equity

   5.3 

Technology

   4.9 

Life Insurance

   3.7 

Aerospace & Defense

   3.6 

Electric

   3.4 

Metals & Mining

   3.1 

ABS Other

   3.0 

Food & Beverage

   2.8 

Cable Satellite

   2.5 

Midstream

   2.5 

Wirelines

   2.3 

Finance Companies

   2.2 

Healthcare

   2.0 

Automotive

   2.0 

Consumer Cyclical Services

   2.0 

Other Investments, less than 2% each

   19.9 

Collateralized Loan Obligations

   3.8 

Short-Term Investments

   2.9 
  

 

 

 

Total Investments

   99.5 

Other assets less liabilities

   0.5 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

47  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund

 

Principal
Amount (‡)
   Description  Value (†) 
 Bonds and Notes — 70.4% of Net Assets 
 Non-Convertible Bonds — 67.5% 
  ABS Car Loan — 5.5%

 

$2,590,000   American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A  $2,686,433 
 2,660,000   American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A   2,679,686 
 2,805,000   AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024(a)   2,971,634 
 3,845,000   AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024(a)   4,091,975 
 715,000   AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026   739,577 
 1,210,000   Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a)   1,234,439 
 1,035,000   Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A   1,041,627 
 845,000   Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a)   865,693 
 1,785,000   California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a)   1,856,740 
 135,000   CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024(a)   139,604 
 1,435,000   CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025(a)   1,486,236 
 1,125,000   CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025   1,186,709 
 2,350,000   CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025   2,470,020 
 525,000   Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A(a)   529,518 
 1,205,000   Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A(a)   1,236,340 
 4,745,000   Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A(a)   4,959,980 
 1,180,000   Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a)   1,198,271 
 195,000   Drive Auto Receivables Trust, Series 2018-3, Class D, 4.300%, 9/16/2024(a)   201,848 
 2,395,000   Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a)   2,528,567 
 1,330,000   Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a)   1,393,132 
 1,655,000   DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a)   1,709,728 
 1,110,000   DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A   1,130,596 
 1,265,000   Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a)   1,374,245 
 800,000   Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a)   804,167 
 635,000   First Investors Auto Owner Trust , Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A   653,213 
 1,475,000   First Investors Auto Owner Trust , Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A   1,507,764 
 3,305,000   Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a)   3,483,878 
  ABS Car Loan — continued

 

1,165,822   GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a)  1,184,845 
 5,030,000   GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a)   5,254,335 
 4,540,000   GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a)   4,630,877 
 2,590,000   NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 0.799%, 2/15/2023, 144A(a)(b)   2,591,183 
 910,000   Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A   937,299 
 3,210,000   Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a)   3,576,730 
 4,140,000   Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025(a)   4,305,327 
 1,140,000   Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a)   1,174,352 
 353,000   Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.300%, 11/15/2024, 144A(a)   361,226 
 1,675,000   Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A   1,694,999 
    

 

 

 
     71,872,793 
    

 

 

 
  ABS Credit Card — 0.6%

 

 640,000   Genesis Sales Finance Master Trust, Series 2019-AA, Class A, 4.680%, 8/20/2023, 144A(a)   642,891 
 6,995,000   World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a)   7,215,579 
    

 

 

 
     7,858,470 
    

 

 

 
  ABS Home Equity — 6.9%

 

 958,144   Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c)   960,411 
 237,740   Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)   245,319 
 270,396   Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)   279,374 
 370,569   Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025   375,647 
 300,000   American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)   327,540 
 2,170,000   American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)   2,407,805 
 1,200,000   American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)   1,344,685 
 3,138,000   American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a)   3,491,512 
 401,923   Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033   403,783 
 421,987   Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035   458,427 
 219,940   Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034   220,138 
 1,506,179   Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.228%, 9/25/2035, 144A(c)   1,520,299 
 1,084,489   Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(c)   1,089,136 
 2,564,531   Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, 4.125%, 3/25/2059, 144A(c)   2,564,740 

 

See accompanying notes to financial statements.

 

|  48


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  ABS Home Equity — continued

 

$1,984,376   Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(c)  $2,025,429 
 3,835,455   Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(c)   3,854,034 
 496,989   Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c)   496,391 
 1,304,000   Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 2.198%, 1/25/2040, 144A(b)   1,297,090 
 1,830,000   CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a)   1,958,812 
 1,340,000   Corevest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A   1,348,070 
 395,025   Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)   411,388 
 657,790   Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034   688,974 
 45,426   Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.967%, 9/20/2034(a)(c)   44,549 
 4,055,000   Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A2, 4.164%, 7/25/2058, 144A(c)   4,055,750 
 2,479,844   Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.089%, 12/26/2059, 144A(c)   2,486,691 
 1,844,656   Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(c)   1,846,592 
 162,259   CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)   167,522 
 448,271   DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.482%, 9/19/2045(b)   336,473 
 1,236,688   Dukinfield II PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 1.284%, 12/20/2052, (GBP)(a)(b)   1,696,572 
 1,097,613   Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.348%, 1/25/2030(b)   1,096,226 
 1,715,000   FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A   1,747,569 
 4,165,000   FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A   4,153,530 
 112,468   Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.948%, 7/25/2030(b)   111,509 
 4,435,000   GCAT LLC, Series 2020-4, Class A1, 2.611%, 12/25/2025, 144A(c)   4,434,446 
 522,341   IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 1.368%, 9/25/2034(b)   491,994 
 2,245,066   IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 0.568%, 2/25/2046(b)   1,799,570 
 1,080,838   JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034   1,142,645 
 3,233,746   Legacy Mortgage Asset Trust, Series 2018-GS2, Class A1, 4.000%, 4/25/2058, 144A(c)   3,254,715 
 2,130,251   Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(c)   2,150,248 
 1,929,323   Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(c)   1,935,224 
 839,108   Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A   845,074 
  ABS Home Equity — continued

 

386,176   Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 0.668%, 2/25/2046(b)  346,437 
 181,107   MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.375%, 5/25/2034(a)(c)   181,345 
 253,435   MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)   261,175 
 223,039   MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)   229,357 
 282,721   MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)   293,413 
 751,617   MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034   777,126 
 43,190   Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.403%, 5/25/2036(a)(c)   43,338 
 368,514   Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035   325,623 
 753,969   Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035   750,279 
 1,565,673   Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(c)   1,568,258 
 3,395,174   Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)(c)   3,402,749 
 5,598,650   Preston Ridge Partners Mortgage LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(c)   5,632,153 
 564,000   Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A   573,512 
 715,000   Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A   731,767 
 2,398,000   Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A   2,471,824 
 1,005,000   Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A   1,019,101 
 785,000   Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A   785,910 
 1,452,009   RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(c)   1,454,553 
 2,589,997   Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 0.458%, 7/25/2035(b)   1,877,605 
 545,893   Towd Point Mortgage Trust, Series 2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(a)(c)   547,149 
 1,040,000   Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A   1,074,409 
 1,170,000   Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A   1,158,375 
 3,231,004   Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(c)   3,235,141 
 1,022,543   Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(c)   1,025,471 
    

 

 

 
     91,331,973 
    

 

 

 
  ABS Other — 4.9%

 

 634,706   Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A   648,580 
 2,218,114   AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(c)   930,532 
 350,000   Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)   355,614 

 

See accompanying notes to financial statements.

 

49  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  ABS Other — continued

 

$937,398   Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c)  $893,373 
 1,266,094   Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c)   1,102,680 
 250,000   CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a)   252,501 
 580,000   Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A   582,879 
 775,000   Chesapeake Funding II LLC, Series 2017-4A, Class D, 3.260%, 11/15/2029, 144A   785,742 
 790,000   Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A(a)   806,406 
 2,125,000   Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A   2,169,425 
 281,432   Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A   287,000 
 1,106,483   Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A   1,132,694 
 1,513,262   Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a)   1,550,105 
 3,100,000   Fairstone Financial Issuance Trust I, Series 2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD)(a)   2,457,083 
 2,267,063   GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g)   765,157 
 1,027,860   GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g)   138,946 
 3,410,000   GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h)    
 659,470   Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(d)(e)(i)   571,140 
 472,942   Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a)   493,047 
 4,460,362   Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A(a)   4,308,370 
 975,000   HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a)   984,436 
 5,900,000   HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a)   5,979,845 
 2,073,047   Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A(a)   1,919,972 
 1,244,019   MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a)   1,185,515 
 1,712,048   MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A   1,422,198 
 472,165   MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A   501,579 
 464,106   MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A(a)   472,358 
 3,120,000   OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)   3,124,954 
 3,230,000   OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a)   3,337,584 
 1,110,000   OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a)   1,187,243 
 1,020,000   OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a)   1,044,272 
  ABS Other — continued

 

3,980,000   Republic Finance Issuance Trust, Series 2019-A, Class A, 3.430%, 11/22/2027, 144A(a)  4,041,936 
 4,026,636   S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)   3,907,224 
 3,718,000   SCF Equipment Trust LLC, Series 2018-1A, Class C, 4.210%, 4/20/2027, 144A(a)   3,747,422 
 523,313   Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A   534,092 
 580,000   SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a)   596,654 
 1,690,000   SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A(a)   1,726,737 
 1,010,000   SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a)   1,035,213 
 3,783,546   SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a)   3,811,465 
 533,846   Sprite Ltd., Series 2017-1, Class A, 4.250%, 12/15/2037, 144A   503,875 
 1,021,957   Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A   777,000 
 424,637   Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a)   436,300 
 1,037,652   Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A   821,590 
 809,466   Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A(a)   691,737 
    

 

 

 
     64,022,475 
    

 

 

 
  ABS Student Loan — 1.2%

 

 2,307,071   Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a)   2,383,862 
 3,410,000   Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a)   3,510,926 
 1,035,000   Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a)   1,056,393 
 695,000   Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a)   721,735 
 840,000   Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a)   847,502 
 639,000   SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.180%, 6/15/2032(a)(b)   635,305 
 1,814,000   SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 3.200%, 3/15/2033(a)(c)   1,802,022 
 195,000   SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.658%, 3/15/2033(a)(b)   193,712 
 800,000   SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a)   837,939 
 921,246   SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 0.909%, 10/15/2035, 144A(a)(b)   921,042 

 

See accompanying notes to financial statements.

 

|  50


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  ABS Student Loan — continued

 

$190,000   SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a)  $202,128 
 510,000   SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a)   537,696 
 569,421   SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)   579,615 
 125,000   SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(c)   127,749 
 1,350,000   SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a)   1,395,108 
    

 

 

 
     15,752,734 
    

 

 

 
  ABS Whole Business — 1.8%

 

 4,170,205   Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a)   4,397,283 
 982,538   Arbys Funding LLC, Series 2020-1A, Class A2, 3.237%, 7/30/2050, 144A   1,000,788 
 1,650,150   Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A   1,609,343 
 493,750   DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A   533,571 
 2,821,730   Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a)   3,022,919 
 1,165,000   Hardee’s Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/2050, 144A   1,195,096 
 1,178,865   Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A   1,175,741 
 2,687,850   Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A   2,534,804 
 2,562,150   Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a)   2,744,206 
 3,341,650   Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a)   3,545,792 
 709,275   Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A   757,008 
 900,000   Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A   918,243 
    

 

 

 
     23,434,794 
    

 

 

 
  Aerospace & Defense — 3.1%

 

 1,635,000   Boeing Co. (The), 2.250%, 6/15/2026   1,673,439 
 700,000   Boeing Co. (The), 2.950%, 2/01/2030   723,982 
 70,000   Boeing Co. (The), 3.100%, 5/01/2026   74,956 
 290,000   Boeing Co. (The), 3.250%, 2/01/2035   297,396 
 1,065,000   Boeing Co. (The), 3.375%, 6/15/2046   1,039,235 
 30,000   Boeing Co. (The), 3.550%, 3/01/2038   30,606 
 90,000   Boeing Co. (The), 3.625%, 3/01/2048   90,743 
 295,000   Boeing Co. (The), 3.650%, 3/01/2047   298,610 
 2,135,000   Boeing Co. (The), 3.750%, 2/01/2050   2,232,783 
 375,000   Boeing Co. (The), 3.825%, 3/01/2059   380,929 
 325,000   Boeing Co. (The), 3.850%, 11/01/2048   335,224 
 1,420,000   Boeing Co. (The), 3.900%, 5/01/2049   1,506,921 
 575,000   Boeing Co. (The), 3.950%, 8/01/2059   615,398 
 3,185,000   Boeing Co. (The), 5.150%, 5/01/2030(a)   3,854,651 
 1,105,000   Boeing Co. (The), 5.705%, 5/01/2040   1,433,981 
 8,950,000   Boeing Co. (The), 5.805%, 5/01/2050(a)   12,334,398 
  Aerospace & Defense — continued

 

1,685,000   Boeing Co. (The), 5.930%, 5/01/2060  2,390,331 
 1,430,000   Embraer Netherlands Finance BV, 5.050%, 6/15/2025   1,515,814 
 895,000   Embraer Netherlands Finance BV, 5.400%, 2/01/2027   950,947 
 2,550,000   Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A   3,021,291 
 305,000   Spirit AeroSystems, Inc., 4.600%, 6/15/2028   301,569 
 2,580,000   Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A   2,767,050 
 3,010,000   TransDigm, Inc., 6.250%, 3/15/2026, 144A   3,205,650 
    

 

 

 
     41,075,904 
    

 

 

 
  Airlines — 0.5%

 

 6,644,106   United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029(a)   6,179,018 
    

 

 

 
  Automotive — 2.0%

 

 1,775,000   Allison Transmission, Inc., 3.750%, 1/30/2031, 144A   1,816,047 
 2,960,000   FCE Bank PLC, EMTN, 0.869%, 9/13/2021, (EUR)   3,607,044 
 370,000   FCE Bank PLC, EMTN, 1.134%, 2/10/2022, (EUR)   450,881 
 1,580,000   FCE Bank PLC, EMTN, 1.875%, 6/24/2021, (EUR)   1,930,207 
 1,530,000   Ford Motor Co., 8.500%, 4/21/2023   1,722,030 
 1,800,000   Ford Motor Co., 9.000%, 4/22/2025   2,206,818 
 400,000   Ford Motor Co., 9.625%, 4/22/2030   564,500 
 655,000   Ford Motor Credit Co. LLC, 1.514%, 2/17/2023, (EUR)   797,638 
 2,530,000   General Motors Co., 5.400%, 4/01/2048   3,186,106 
 7,195,000   General Motors Co., 5.950%, 4/01/2049(a)   9,730,666 
    

 

 

 
     26,011,937 
    

 

 

 
  Banking — 2.6%

 

 345,000   Ally Financial, Inc., 3.875%, 5/21/2024   378,032 
 325,000   Ally Financial, Inc., 4.625%, 3/30/2025   370,440 
 2,000,000   Ally Financial, Inc., 5.750%, 11/20/2025   2,328,483 
 44,570,000   Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 35.750%, 11/07/2022, 144A, (ARS)(b)   299,223 
 21,970,000   Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)   111,334 
 1,200,000   Banco Santander S.A., 2.749%, 12/03/2030(a)   1,236,872 
 4,460,000   Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)   4,832,588 
 685,000   BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A(a)   691,850 
 1,430,000   Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A(a)   1,530,233 
 1,265,000   Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031   1,370,933 
 6,690,000   JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031(a)   8,229,556 
 5,195,000   Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A(a)   5,625,619 
 3,550,000   Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a)   3,716,784 
 1,100,000   Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a)   1,330,670 
 2,255,000   UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A   2,301,577 
    

 

 

 
     34,354,194 
    

 

 

 

 

See accompanying notes to financial statements.

 

51  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Building Materials — 0.9%

 

$1,915,000   Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A  $2,077,220 
 3,360,000   Cemex SAB de CV, 5.200%, 9/17/2030, 144A   3,684,240 
 1,725,000   Cemex SAB de CV, 5.450%, 11/19/2029, 144A   1,897,517 
 615,000   Cemex SAB de CV, 5.700%, 1/11/2025, 144A   628,530 
 210,000   Cemex SAB de CV, 7.750%, 4/16/2026, 144A   221,445 
 1,970,000   Standard Industries, Inc., 4.375%, 7/15/2030, 144A   2,107,368 
 805,000   Vulcan Materials Co., 3.500%, 6/01/2030(a)   924,632 
    

 

 

 
     11,540,952 
    

 

 

 
  Cable Satellite — 1.8%

 

 5,670,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A   5,974,366 
 1,585,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A   1,682,081 
 1,050,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A   1,121,106 
 310,000   CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A   339,838 
 1,610,000   CSC Holdings LLC, 4.125%, 12/01/2030, 144A   1,683,416 
 2,710,000   CSC Holdings LLC, 4.625%, 12/01/2030, 144A   2,828,562 
 1,060,000   CSC Holdings LLC, 6.500%, 2/01/2029, 144A   1,196,793 
 265,000   Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A   274,606 
 1,355,000   Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A   1,439,701 
 485,000   Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A   505,613 
 110,000   Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A   121,034 
 1,660,000   Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A   1,722,250 
 1,225,000   Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A   1,272,469 
 1,725,000   Ziggo BV, 4.875%, 1/15/2030, 144A   1,813,009 
 1,545,000   Ziggo BV, 5.500%, 1/15/2027, 144A   1,612,594 
    

 

 

 
     23,587,438 
    

 

 

 
  Chemicals — 0.4%

 

 1,910,000   Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A   1,960,138 
 470,000   Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A   485,867 
 2,305,000   Nutrition & Biosciences, Inc., 2.300%, 11/01/2030, 144A   2,374,201 
    

 

 

 
     4,820,206 
    

 

 

 
  Collateralized Mortgage Obligations — 0.1%

 

 695,432   New Residential Mortgage Loan Trust, Series 2020-NPL2, Class A1, 3.228%, 8/25/2060, 144A(c)   701,037 
    

 

 

 
  Construction Machinery — 0.4%

 

 5,460,000   United Rentals North America, Inc., 4.000%, 7/15/2030   5,746,650 
    

 

 

 
  Consumer Cyclical Services — 2.5%

 

 3,325,000   Booking Holdings, Inc., 4.625%, 4/13/2030(a)   4,131,576 
 270,000   eBay, Inc., 4.000%, 7/15/2042(a)   307,399 
 6,190,000   Expedia Group, Inc., 3.250%, 2/15/2030   6,442,187 
 730,000   Expedia Group, Inc., 3.800%, 2/15/2028   784,117 
 1,375,000   Expedia Group, Inc., 4.625%, 8/01/2027, 144A   1,536,232 
 4,395,000   Expedia Group, Inc., 6.250%, 5/01/2025, 144A   5,094,247 
 2,250,000   Expedia Group, Inc., 7.000%, 5/01/2025, 144A   2,479,976 
 515,000   Uber Technologies, Inc., 7.500%, 5/15/2025, 144A   556,313 
 265,000   Uber Technologies, Inc., 6.250%, 1/15/2028, 144A   288,188 
 4,580,000   Uber Technologies, Inc., 7.500%, 9/15/2027, 144A   5,038,000 
 5,160,000   Uber Technologies, Inc., 8.000%, 11/01/2026, 144A   5,631,469 
    

 

 

 
     32,289,704 
    

 

 

 
  Consumer Products — 0.1%

 

930,000   Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(a)  960,709 
    

 

 

 
  Diversified Manufacturing — 0.2%

 

 1,515,000   General Electric Co., 3.625%, 5/01/2030(a)   1,731,474 
 720,000   General Electric Co., 4.350%, 5/01/2050(a)   875,627 
    

 

 

 
     2,607,101 
    

 

 

 
  Electric — 2.0%

 

 965,000   AES Corp. (The), 3.950%, 7/15/2030, 144A   1,090,846 
 5,295,000   Calpine Corp., 3.750%, 3/01/2031, 144A   5,243,797 
 1,165,000   Calpine Corp., 5.125%, 3/15/2028, 144A   1,225,545 
 270,000   IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A   311,697 
 480,000   NRG Energy, Inc., 5.250%, 6/15/2029, 144A   528,000 
 1,075,000   NRG Energy, Inc., 5.750%, 1/15/2028   1,174,437 
 1,785,000   Pacific Gas & Electric Co., 3.500%, 8/01/2050   1,774,131 
 2,135,000   Pacific Gas & Electric Co., 4.300%, 3/15/2045   2,276,253 
 255,000   Pacific Gas & Electric Co., 4.950%, 7/01/2050   303,862 
 605,000   Southern California Edison Co., 3.650%, 2/01/2050(a)   687,166 
 170,000   Southern California Edison Co., 4.000%, 4/01/2047(a)   199,682 
 215,000   Southern California Edison Co., Series C, 4.125%, 3/01/2048(a)   256,231 
 10,765,000   Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A(a)   11,870,418 
    

 

 

 
     26,942,065 
    

 

 

 
  Finance Companies — 4.2%

 

 905,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027   983,439 
 2,430,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028   2,617,304 
 2,745,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 9/15/2023(a)   2,976,191 
 1,140,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025   1,362,812 
 5,165,000   Air Lease Corp., 3.125%, 12/01/2030   5,376,659 
 2,755,000   Air Lease Corp., 3.375%, 7/01/2025(a)   2,962,722 
 6,000,000   Aircastle Ltd., 4.250%, 6/15/2026(a)   6,318,939 
 1,480,000   Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A   1,638,460 
 5,205,000   FS KKR Capital Corp., 3.400%, 1/15/2026   5,172,712 
 5,755,000   GE Capital Funding LLC, 4.400%, 5/15/2030, 144A(a)   6,784,158 
 90,000   Navient Corp., 5.875%, 10/25/2024   95,625 
 5,000   OneMain Finance Corp., 6.875%, 3/15/2025   5,806 
 1,595,000   OneMain Finance Corp., 8.875%, 6/01/2025   1,804,344 
 4,160,000   Owl Rock Capital Corp., 3.400%, 7/15/2026   4,219,565 
 5,865,000   Quicken Loans LLC, 5.250%, 1/15/2028, 144A   6,260,888 
 2,095,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A   2,136,900 
 3,790,000   Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   3,932,125 
    

 

 

 
     54,648,649 
    

 

 

 
  Financial Other — 0.4%

 

 2,595,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024   2,695,556 
 2,525,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027   2,706,800 
 485,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026   513,567 
    

 

 

 
     5,915,923 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  52


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Food & Beverage — 0.9%

 

$3,256,000   Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a)  $3,623,259 
 1,455,000   Kraft Heinz Foods Co., 4.375%, 6/01/2046   1,568,010 
 2,305,000   Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A   2,689,067 
 715,000   Kraft Heinz Foods Co., 5.000%, 6/04/2042   837,444 
 680,000   Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A   759,050 
 1,300,000   NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A   1,415,388 
 1,135,000   Post Holdings, Inc., 5.750%, 3/01/2027, 144A   1,201,681 
 385,000   Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A   407,360 
    

 

 

 
     12,501,259 
    

 

 

 
  Gaming — 0.2%

 

 2,670,000   MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A   2,730,075 
    

 

 

 
  Government Owned – No Guarantee — 1.8%

 

 4,801,000,000   Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a)   1,496,315 
 12,050,000   Petroleos Mexicanos, 5.950%, 1/28/2031(a)   12,019,875 
 5,290,000   Petroleos Mexicanos, 6.625%, 6/15/2035(a)   5,237,100 
 4,075,000   Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a)   4,132,325 
 1,770,000   YPF S.A., 6.950%, 7/21/2027, 144A   1,274,400 
    

 

 

 
     24,160,015 
    

 

 

 
  Government Sponsored — 0.1%

 

 950,000   Petrobras Global Finance BV, 7.250%, 3/17/2044   1,225,500 
    

 

 

 
  Health Insurance — 0.0%

 

 300,000   Centene Corp., 4.625%, 12/15/2029   333,063 
    

 

 

 
  Healthcare — 0.5%

 

 380,000   Encompass Health Corp., 4.750%, 2/01/2030   407,075 
 3,240,000   Hologic, Inc., 3.250%, 2/15/2029, 144A   3,296,700 
 735,000   IQVIA, Inc., 5.000%, 5/15/2027, 144A   781,323 
 890,000   Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A   932,275 
 340,000   Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A   355,677 
 135,000   Tenet Healthcare Corp., 5.125%, 5/01/2025   137,631 
 625,000   Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A   651,238 
 255,000   Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A   270,300 
    

 

 

 
     6,832,219 
    

 

 

 
  Home Construction — 0.1%

 

 1,361,000   Lennar Corp., 4.750%, 11/29/2027   1,608,430 
 310,000   Lennar Corp., 4.875%, 12/15/2023   342,550 
 30,000   Lennar Corp., 5.000%, 6/15/2027   35,325 
    

 

 

 
     1,986,305 
    

 

 

 
  Independent Energy — 1.0%

 

 4,360,000   Aker BP ASA, 3.750%, 1/15/2030, 144A   4,579,345 
 1,670,000   Aker BP ASA, 4.000%, 1/15/2031, 144A   1,809,024 
 140,000   EQT Corp., 5.000%, 1/15/2029   147,605 
 1,300,000   Hess Corp., 5.600%, 2/15/2041   1,586,465 
 1,790,000   Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A   1,960,426 
 1,295,000   Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A   1,459,038 
 62,000   Occidental Petroleum Corp., 2.700%, 2/15/2023   61,941 
 885,000   Occidental Petroleum Corp., 2.900%, 8/15/2024   851,812 
  Independent Energy — continued

 

340,000   Occidental Petroleum Corp., 3.500%, 6/15/2025  328,426 
 75,000   Occidental Petroleum Corp., 5.550%, 3/15/2026   78,295 
    

 

 

 
     12,862,377 
    

 

 

 
  Industrial Other — 0.4%

 

 4,365,000   HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A   4,692,375 
    

 

 

 
  Life Insurance — 1.3%

 

 5,240,000   American International Group, Inc., 4.375%, 6/30/2050(a)   6,861,089 
 1,530,000   Athene Holding Ltd., 3.500%, 1/15/2031(a)   1,616,917 
 1,110,000   Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A   1,223,469 
 6,780,000   New York Life Global Funding, 3-month LIBOR + 0.320%, 0.552%, 8/06/2021, 144A(a)(b)   6,790,545 
    

 

 

 
     16,492,020 
    

 

 

 
  Local Authorities — 0.1%

 

 67,000,000   Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 37.811%, 4/12/2025, 144A, (ARS)(b)   349,793 
 216,360,000   Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 34.187%, 5/31/2022, (ARS)(b)   1,317,900 
    

 

 

 
     1,667,693 
    

 

 

 
  Lodging — 0.4%

 

 2,055,000   Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A   2,167,039 
 360,000   Hyatt Hotels Corp., 5.375%, 4/23/2025   406,842 
 665,000   Hyatt Hotels Corp., 5.750%, 4/23/2030   817,477 
 440,000   Marriott International, Inc., Series EE, 5.750%, 5/01/2025   514,669 
 695,000   Marriott International, Inc., 4.625%, 6/15/2030   815,568 
 735,000   Wyndham Destinations, Inc., 6.625%, 7/31/2026, 144A   841,575 
    

 

 

 
     5,563,170 
    

 

 

 
  Media Entertainment — 1.4%

 

 2,745,000   Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A   2,772,450 
 2,830,000   iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A   2,904,287 
 2,400,000   iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A   2,520,000 
 750,000   iHeartCommunications, Inc., 6.375%, 5/01/2026   802,500 
 3,150,000   iHeartCommunications, Inc., 8.375%, 5/01/2027   3,362,499 
 415,000   Lamar Media Corp., 3.750%, 2/15/2028   426,496 
 825,000   Lamar Media Corp., 4.000%, 2/15/2030   855,937 
 615,000   Netflix, Inc., 4.875%, 4/15/2028   693,536 
 2,030,000   Netflix, Inc., 4.875%, 6/15/2030, 144A   2,334,500 
 490,000   Netflix, Inc., 5.375%, 11/15/2029, 144A   577,588 
 1,075,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A   1,098,799 
    

 

 

 
     18,348,592 
    

 

 

 
  Metals & Mining — 1.5%

 

 2,655,000   ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028   2,795,954 
 400,000   ABJA Investment Co. Pte Ltd., 5.950%, 7/31/2024   428,412 
 690,000   Antofagasta PLC, 2.375%, 10/14/2030, 144A(a)   691,725 
 4,515,000   First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A   4,706,887 
 425,000   First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A   438,037 
 1,755,000   First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A   1,827,394 

 

See accompanying notes to financial statements.

 

53  |


Portfolio of Investments – as of December 31, 2020

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Metals & Mining — continued

 

$1,270,000   Freeport-McMoRan, Inc., 4.375%, 8/01/2028  $1,349,375 
 885,000   Freeport-McMoRan, Inc., 4.625%, 8/01/2030   971,288 
 2,465,000   Freeport-McMoRan, Inc., 5.400%, 11/14/2034   3,084,331 
 735,000   Freeport-McMoRan, Inc., 5.450%, 3/15/2043   915,075 
 1,155,000   Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A   1,275,767 
 625,000   Novelis Corp., 4.750%, 1/30/2030, 144A   673,353 
 360,000   Reliance Steel & Aluminum Co., 2.150%, 8/15/2030(a)   369,873 
    

 

 

 
     19,527,471 
    

 

 

 
  Midstream — 0.9%

 

 5,460,000   Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029   6,078,419 
 290,000   Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A   302,910 
 300,000   Kinder Morgan, Inc., 5.050%, 2/15/2046   365,385 
 3,745,000   Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030, 144A   4,438,864 
 800,000   Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027   998,250 
    

 

 

 
     12,183,828 
    

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities — 3.4%

 

 2,995,000   Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 2.699%, 10/15/2037, 144A(a)(b)   2,995,932 
 4,565,000   CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.043%, 4/15/2044, 144A(a)(c)   4,519,204 
 140,000   Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.535%, 12/10/2044(a)(c)   126,214 
 790,000   Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.759%, 1/15/2034, 144A(b)   745,370 
 5,680,000   Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A(e)(i)   4,158,901 
 750,000   DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(c)   784,185 
 2,552,340   DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.565%, 11/10/2046, 144A(a)(c)   2,552,704 
 3,195,000   GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(c)   2,576,138 
 2,170,000   GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.388%, 8/10/2044, 144A(c)(e)(i)   1,857,784 
 300,000   GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)(c)   290,611 
 1,594,528   Hospitality Mortgage Trust, Series 2019-HIT, Class C, 1-month LIBOR + 1.600%, 1.759%, 11/15/2036, 144A(a)(b)   1,558,552 
 785,000   Morgan Stanley Capital I Trust, Series 2011-C2, Class B, 5.200%, 6/15/2044, 144A(a)(c)   782,931 
 1,570,000   Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.477%, 6/15/2044, 144A(c)   1,366,809 
 2,515,000   Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.477%, 6/15/2044, 144A(c)   1,544,325 
 2,706,718   Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.085%, 8/15/2024, 144A(b)   2,450,895 
 1,060,000   Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.909%, 11/15/2027, 144A(b)(d)(e)(g)   769,163 
  Non-Agency Commercial Mortgage-Backed Securities — continued

 

4,243,654   Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.659%, 11/15/2027, 144A(b)(d)(e)(g)  2,745,280 
 3,575,000   Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.559%, 11/15/2027, 144A(b)(d)(e)(g)   1,228,068 
 1,370,000   UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.888%, 5/10/2063, 144A(c)(e)(i)   634,922 
 440,000   Wells Fargo Commercial Mortgage Trust,