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Loomis Sayles Funds Ii

Filed: 3 Dec 21, 3:41pm

 

 

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)

 

 

Natalie Wagner, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: September 30

Date of reporting period: September 30, 2021

 

 

 


Item 1. Reports to Stockholders.

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


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Annual Report

September 30, 2021

Loomis Sayles Core Plus Bond Fund

Loomis Sayles Credit Income Fund

Loomis Sayles Global Allocation Fund

Loomis Sayles Growth Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

 

Table of Contents

Portfolio Review  1 
Portfolio of Investments  34 
Financial Statements  77 
Notes to Financial Statements  108 

 

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LOOMIS SAYLES CORE PLUS BOND FUND

 

Managers Symbols
Lead Portfolio Managers Class A    NEFRX
Peter W. Palfrey, CFA® Class C    NECRX
Richard G. Raczkowski Class N    NERNX
Agency MBS Portfolio Managers Class Y    NERYX
Ian Anderson 
Barath W. Sankaran, CFA® 
Loomis, Sayles & Company, L.P. 

 

 

Investment Goal

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

 

 

Market Conditions

The bond market experienced mixed returns over the period as investors reacted to the combination of improving economic growth, rising inflation and the increasing likelihood that the US Federal Reserve (Fed) and other central banks will need to begin tightening monetary policy in the coming year.

Following the approval and rollout of multiple vaccines for Covid-19 in late 2020 and early 2021, business conditions gradually returned to normal. Economic growth surged as a result, allaying fears that the virus would lead to a protracted slowdown. The reopening of the economy, while fueling impressive headline GDP growth, was accompanied by rising commodity prices, disruptions in the global supply chain and a sharp increase in inflation. Although the Fed initially described the rise in inflation as a “transitory” phenomenon, the persistence of price pressures through the summer and early autumn led to a gradual shift in the outlook. In September, Fed Chair Jerome Powell stated that the central bank was likely to announce a tapering of its stimulative quantitative easing (QE) program before the end of 2021. In addition, the markets began to price in a significant likelihood that the Fed will enact its first rate hike in late 2022. Together, these factors dampened returns across the fixed income market.

US Treasuries underperformed the broad fixed income market as risk appetite drastically improved over the past year. Mounting concerns over inflation and Fed policy also played a role in the rise in yields. While the prices of short-term government debt were relatively stable, longer-maturity bonds declined sharply. The yield on the 10-year note rose from 0.69% on September 30, 2020, to 1.52% on the final day of the period, and the 30-year bond moved from 1.46% to 2.08% (prices and yields move in opposite directions).

Despite the weakness in US Treasuries, investment grade corporates registered a solid gain for the 12-month period. As growth accelerated and the credit outlook improved, investors sought opportunities in higher-yielding segments of the market. Corporate yield spreads over Treasuries fell sharply as a result, leading to positive relative performance.

Securitized assets — including mortgage-backed securities (MBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) — produced marginally negative total returns as a group but outpaced the US Treasury market. The category’s underlying fundamentals remained firm, however, with continued strength in both real estate prices and consumer credit. ABS and CMBS posted positive total returns, but MBS experienced small negative total returns due in part to its higher interest rate sensitivity.

Investors’ increased appetite for risk translated to a strong, double-digit gain for high yield corporates. The category tends to have lower interest rate sensitivity than investment grade bonds, a key tailwind at a time in which concern about Fed policy was the key factor driving market performance. High yield further benefited from the combination of favorable credit conditions, robust gains for equities and an impressive rally in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed.

Emerging market bonds, while experiencing bouts of volatility, nonetheless finished comfortably ahead of domestic investment grade debt. Although investors remained on edge due to persistently negative headlines out of China during the second half of the period, the asset class benefited from its above-average yield and the broader strength in higher-risk assets.

 

Performance Results

For the 12 months ended September 30, 2021, Class Y shares of the Fund returned 0.78% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -0.90%.

 

1  |


 

Explanation of Fund Performance

The Fund maintained an average allocation to high yield corporates of about 10% over the 12-month period, which buoyed performance as the sector strongly outperformed. Positioning in investment grade corporate bonds also contributed positively to relative return, driven by both security selection and sector allocation. Within corporates, an emphasis on the reopening theme within industrials across the quality spectrum proved beneficial. An underweight to US Treasuries and positioning within government sectors were additional sources of outperformance. Finally, small out-of-benchmark positions in bank loans and non-US dollar assets both added to relative performance.

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) weighed on relative performance as the curve steepened over the 12 months. A shorter-than-benchmark stance with respect to duration (and corresponding interest rate sensitivity) for most of the period also detracted modestly. Finally, out-of-benchmark exposure to municipal bonds detracted slightly from relative performance.

Outlook

We believe the Fed will remain accommodative for the foreseeable future, keeping the fed funds rate unchanged at the zero lower bound and anchoring the very front end of the Treasury yield curve into late 2022 or early 2023. The Fed has now indicated that it is ready to address balance sheet policy. Our base case, based on Fed comments, is for tapering to be completed by mid-2022. Traditional monetary policy tightening is expected to start in late 2022 or early 2023 based on the current Fed “dot plot” chart, which displays individual FOMC member expectations for the trajectory of fed funds. This is in line with our expectations. We expect core inflation to remain above the Fed’s target of 2% for at least the next several quarters or perhaps longer, as inflationary pressure, while in part transitory due to base effect, may prove more lasting in our view.

We believe the credit cycle1 is currently in the early expansion phase, with continued strong corporate earnings and a healthy consumer supported by significant excess savings and easy financial conditions. We believe risk appetite should remain elevated given the strong expansionary environment, expectations for robust global growth, continued monetary and fiscal policy support, and the increasing availability of vaccines across more demographic groups.

We believe corporate fundamentals are currently healthy, reflecting the recovery in the US and, now to a greater degree, the global economy. Additionally, we believe very accommodative global central bank and fiscal policy have been a significant tailwind, although that may also be changing as heightened inflation concerns, elevated leverage and extended risk valuations have become a greater focus for central banks globally. In the US, corporate bond and equity valuations are at or near historic highs reflecting this very strong environment, and we believe may be vulnerable to some near-term profit-taking or volatility.

We believe we are positioned for a continued recovery in the US and global economies, with a pro-cyclical bias to the portfolio. We currently favor spread sectors, including securitized credit, high yield corporate credit and emerging market credit, versus sectors more vulnerable to interest rate and valuation risk, such as Treasuries and high grade corporate bonds. We are managing interest rate risk by maintaining a relatively short overall portfolio duration and are seeking to achieve better carry and roll-down by employing a bulleted yield curve strategy with more in the belly of the curve.

We expect overall portfolio credit quality to remain high, although it has come down from pre-pandemic levels when we were more concerned about preserving capital. Average credit quality currently stands at A2. Approximately 40% of the portfolio remains in AAA government issues, although we have a broad overweight to BBB and BB/B credits as well, balancing liquidity with total return opportunities in lower-rated securitized and corporate credits.

Within agency MBS, we continue to position for potential better-than-market convexity (i.e., a favorable risk/reward profile in a changing interest rate environment) and continue to maintain a modest underweight to the sector. With the recent underperformance of the MBS sector, we believe valuations have become more attractive, and we may consider adding back some exposure, in particular relative to corporate credit.

Within securitized credit, we remain overweight in non-agency CMBS, but more recently sold our agency CMBS exposure due to very tight valuations. We currently favor ABS as a high quality substitute for government bonds and prefer auto loans and credit card receivables within the sector, particularly with the improved employment and the continued strength of the consumer balance sheet.

Regarding investment grade corporate credit, we are approximately market neutral to the benchmark and about 0.6 years short on a contribution-to-duration basis versus the benchmark. While corporate fundamentals are healthy, we believe valuations are not as compelling and we now favor a lower use of our risk budget for the asset class..

Within the plus sector allocation, we continue to favor a mix of fixed rate high yield, bank loan, emerging market Yankee and non-dollar emerging market exposure as a way to seek portfolio yield and return potential in this improving, low-yielding economic environment. At the end of the third quarter of 2021, we had just under 13% in fixed rate high yield securities, just over 5% in high quality bank loans, and 3.5% in investment grade emerging market non-dollar bonds.

 

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LOOMIS SAYLES CORE PLUS BOND FUND

 

During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds, foreign currency or foreign currency based derivative securities (“foreign currency exposures”) may realize currency losses in connection with the maturity or sale of certain foreign currency exposures. 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 non-US dollar-denominated 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 current fiscal year. This analysis is performed regularly to determine how realized currency losses have and will impact periodic ordinary income distributions for the Fund. Based on the most recent quarterly analysis (as of September 30, 2021), realized currency losses will continue to have an impact on the distributions in the 2022 fiscal year. This analysis is based on certain assumptions including, but not limited to, the amount of foreign currency exposures held by the Fund, the level of foreign currency exchange rates, security prices, interest rates, the Fund advisers’ 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.

 

1 

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

 

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

September 30, 2011 to September 30, 2021

 

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Average Annual Total Returns — September 30, 20213

 

      
                

Life of

Class N

   Expense Ratios4 
    1 Year   5 Years   10 Years   Gross   Net 
   
Class Y (Inception 12/30/94)

 

     
NAV   0.78   4.01   4.54       0.47   0.47
   
Class A (Inception 11/7/73)             
NAV   0.53    3.75    4.27        0.72    0.72 
With 4.25% Maximum Sales Charge   -3.71    2.85    3.82          
   
Class C (Inception 12/30/94)             
NAV   -0.24    2.97    3.65        1.47    1.47 
With CDSC1   -1.20    2.97    3.65          
   
Class N (Inception 2/1/13)

 

           
NAV   0.86    4.10        3.72    0.38    0.38 
  
Comparative Performance

 

     
Bloomberg U.S. Aggregate Bond Index2   -0.90    2.94    3.01    2.95           

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 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 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 Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

3

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

 

4

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

 

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LOOMIS SAYLES CREDIT INCOME FUND

 

Managers Symbols
Matthew J. Eagan, CFA® Class A    LOCAX

Brian P. Kennedy

 Class C    LOCCX

Elaine M. Stokes

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

 

 

Investment Goal

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

 

 

Market Conditions

The bond market experienced mixed returns over the period, as investors reacted to the combination of improving economic growth, rising inflation and the increasing likelihood that the US Federal Reserve (Fed) and other central banks will need to begin tightening monetary policy in the coming year.

Following the approval and rollout of multiple vaccines for Covid-19 in late 2020 and early 2021, business conditions gradually returned to normal. Economic growth surged as a result, allaying fears that the virus would lead to a protracted slowdown. The reopening of the economy, while fueling impressive headline GDP growth, was accompanied by rising commodity prices, disruptions in the global supply chain and a sharp increase in inflation. Although the Fed initially described the rise in inflation as a “transitory” phenomenon, the persistence of price pressures through the summer and early autumn led to a gradual shift in the outlook. In September, Fed Chair Jerome Powell stated that the central bank was likely to announce a tapering of its stimulative quantitative easing (QE) program before the end of 2021. In addition, the markets began to price in a significant likelihood that the Fed will enact its first rate hike in late 2022. Together, these factors dampened returns across the fixed income market.

Despite the weakness in US Treasuries, investment grade corporates registered a solid gain for the 12-month period. As growth accelerated and the credit outlook improved, investors sought opportunities in higher-yielding segments of the market. Corporate yield spreads over Treasuries fell sharply as a result, leading to positive relative performance.

Investors’ increased appetite for risk translated to a strong, double-digit gain for high yield corporates. The category tends to have lower interest rate sensitivity than investment grade bonds, a key tailwind at a time in which concern about Fed policy was the key factor driving market performance. High yield further benefited from the combination of favorable credit conditions, robust gains for equities and an impressive rally in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed.

US Treasuries underperformed the broad fixed income market as risk appetite drastically improved over the past year. Mounting concerns over inflation and Fed policy also played a role in the rise in yields. While the prices of short-term government debt were relatively stable, longer-maturity bonds declined sharply. The yield on the 10-year note rose from 0.69% on September 30, 2020, to 1.52% on the final day of the period, and the 30-year bond moved from 1.46% to 2.08% (prices and yields move in opposite directions).

Performance Results

For the 12 months ended September 30, 2021, Class Y shares of the Loomis Sayles Credit Income Fund returned 5.38% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Credit Index, which returned 1.45%.

Explanation of Fund Performance

Though the Covid-19 global pandemic continued to shape the events of this past year, markets advanced on the back of optimism surrounding vaccine rollouts and economic reopenings. Security selection was the primary source of outperformance for the Fund, particularly within investment grade and high yield corporate credit. Consumer cyclical and finance company holdings aided relative return in investment grade. For high yield credit, consumer non-cyclical and energy names were positive contributors to performance. The Fund’s allocation to convertible securities, specifically in the consumer non-cyclical, communications and technology sectors, was also beneficial as stock markets posted strong gains for the period. The Fund’s position in US Treasuries was a modest detractor from performance on an absolute and relative basis.

 

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Outlook

While our fundamental economic outlook remains positive, the world appears less synchronized than we expected at this point in the recovery. Leading indicators remain strong, financial conditions appear easy and monetary/fiscal policies continue to be a tailwind to economic activity. This macroeconomic backdrop, coupled with strong credit fundamentals, appears positive for risk assets. However, we are mindful of the risks inherent to our outlook, such as the lingering impact of the Covid-19 Delta variant, slowing Chinese growth (and deleveraging within its property sector) and ongoing global supply chain disruptions that could lead to a bumpier, if still solid, global growth environment.

Under our base case of a gradual economic expansion, we anticipate a slow rise in interest rates as the Fed likely initiates a taper of QE purchases later this year and into 2022. While the most recent Federal Open Market Committee (FOMC) statement sent a strong signal that we are approaching the end of the road on QE, the Fed has stated its belief that inflation has been boosted by transitory factors, which will presumably fade over time. We believe supply disruptions should work out over time and energy prices could ease in 2022, which would support the Fed’s view. While we expect rate lift-off in 2023, the Fed may find it necessary to delay hiking if growth is weaker or accelerate hiking if inflation is persistently higher than expected. Adding to the uncertainty of the timing and magnitude of the Fed’s taper and rate lift-off includes the early retirement of two Fed presidents over their 2020 trading activities, which adds risk to Fed Chair Powell’s renomination and the future composition of the FOMC. Given our views, we remain defensive on interest rates and positioned shorter than broad market benchmarks from a duration perspective.

In our view, we remain fully embedded in the expansion phase of the credit cycle1 with credit fundamentals, technical factors and default expectations continuing to appear attractive. We remain “pro risk” on credit for higher carry and potential outperformance of our best ideas. In this environment, we continue to focus on issue selection, which drives our investment process. Specifically, we are seeking out “rising star” candidates that possess strong balance sheets and catalysts to help drive upgrades. We believe accommodative global monetary policies coupled with the tailwind of fiscal support could drive a wave of credit upgrades going forward. From a sector perspective, we are targeting those that have strong carry, less interest rate sensitivity and positive convexity (i.e., a favorable risk/reward profile in a changing rate environment). As such, we currently favor high yield corporates and convertible securities along with securitized debt, which can provide diversification away from pure corporate risk, relatively attractive yield potential and shorter duration profiles. During the third quarter of 2021, credit markets were generally resilient to macroeconomic events, including Fed taper talk and concerns over Chinese growth and property sector challenges, suggesting to us that there could be a strong demand for yield. We suspect this dynamic will likely hold going forward given our outlook for downgrades, defaults and losses to trend notably below long-term averages. However, we recognize current elevated valuations and tight credit spreads, and have built flexibility into our portfolios in an effort to take advantage of opportunities that may arise as a result of short-term disruptions.

 

1 

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

 

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LOOMIS SAYLES CREDIT INCOME FUND

 

Hypothetical Growth of $100,000 Investment in Class Y shares3

September 29, 2020 (inception) through September 30, 2021

 

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Average Annual Total Returns — September 30, 20213

 

    
            Expense Ratios4 
  
    1 Year   Life of Fund   Gross   Net 
   
Class Y (Inception 9/29/20)         
NAV   5.38   5.05   0.90   0.90
   
Class A (Inception 9/29/20)         
NAV   5.24    4.91    1.15    1.15 
With 4.25% Maximum Sales Charge   0.79    0.50      
   
Class C (Inception 9/29/20)         
NAV   4.34    4.02    1.90    1.90 
With CDSC1   3.34    4.02      
   
Class N (Inception 9/29/20)         
NAV   5.54    5.21    0.82    0.82 
  
Comparative Performance         
Bloomberg U.S. Credit Index2   1.45    1.25           

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

 

1

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

 

2

The Bloomberg U.S. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The U.S. Credit Index was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The U.S. Credit Index is a subset of the U.S. Government/Credit Index and U.S. Aggregate Index.

 

3

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

 

4

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

 

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LOOMIS SAYLES GLOBAL ALLOCATION FUND

Managers Symbols
Matthew J. Eagan, CFA® Class A    LGMAX

Eileen N. Riley, CFA®

 Class C    LGMCX

David W. Rolley, CFA®

 Class N    LGMNX

Lee M. Rosenbaum

 Class Y    LSWWX

Loomis, Sayles & Company, L.P.

 

 

 

Investment Goal

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

 

 

Market Conditions

Following the approval and rollout of multiple vaccines for Covid-19 in late 2020 and early 2021, business conditions gradually returned to normal. Economic growth surged as a result, allaying fears that the virus would lead to a protracted slowdown. The reopening of the economy, while fueling impressive headline GDP growth, was accompanied by rising commodity prices, disruptions in the global supply chain and a sharp increase in inflation. Although the US Federal Reserve (Fed) initially described the rise in inflation as a “transitory” phenomenon, the persistence of price pressures through the summer and early autumn led to a gradual shift in the outlook. In September, Fed Chair Jerome Powell stated that the central bank was likely to announce a tapering of its quantitative easing (QE) program before the end of 2021. In addition, the markets began to price in a significant likelihood that the Fed will enact its first rate hike in late 2022.

Global equities registered significant gains for the 12-month period, posting a return of just under 28% as measured by the MSCI All Country World Index. The reopening of economies led some equity indices to record highs. All sectors posted double-digit returns, with the energy sector posting the strongest return. The financials, information technology and communication services sectors also outperformed the broader market. The consumer staples, utilities and consumer discretionary sectors registered the lowest returns.

US Treasuries underperformed the broad fixed income market as risk appetite drastically improved over the period. Growing inflation concerns and Fed policy also contributed to the rise in yields. While the prices of short-term government debt were relatively stable, longer-maturity bonds declined sharply. The yield on the 10-year note rose from 0.69% on September 30, 2020 to 1.52% on the final day of the period, and the 30-year bond moved from 1.46% to 2.08% (prices and yields move in opposite directions).

Despite the weakness in US Treasuries, investment grade corporates registered a solid gain for the 12-month period. As growth accelerated and the credit outlook improved, investors sought opportunities in higher-yielding segments of the market. Corporate yield spreads over Treasuries fell sharply as a result, leading to positive relative performance.

Specifically, high yield corporates posted double-digit gains. The category tends to have lower interest rate sensitivity than investment grade bonds, a key tailwind as concerns about Fed policy were the main factor driving market performance. High yield also benefited from favorable credit conditions, robust gains for equities and a rally in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed.

Emerging market bonds, while experiencing bouts of volatility, finished comfortably ahead of domestic investment grade debt. Although investors remained on edge due to negative headlines out of China during the second half of the period, the asset class benefited from its above-average yield and the broader strength in higher-risk assets.

 

Performance Results

For the 12 months ended September 30, 2021 Class Y shares of the Loomis Sayles Global Allocation Fund returned 17.02% at net asset value. The Fund underperformed its primary index, the MSCI All Country World Index (Net), which returned 27.44%. The Fund outperformed its secondary blended index (60% MSCI All Country World Index (Net)/40% Bloomberg Global Aggregate Bond Index), which returned 15.48%.

 

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Explanation of Fund Performance

In equities, the largest contributors to return were ASML Holding, Alphabet and IQVIA Holdings.

Shares of ASML, the leader in photolithography in the semiconductor industry, outperformed over the period. The company, with its critical manufacturing equipment, has been a beneficiary of the chip shortage as it has prompted governments to make investments in semiconductor production. Specifically, the Biden administration announced it would study supply chains for critical industries and sought $37 billion for chip manufacturing onshore while the European Union outlined a plan to produce 20% of the world’s chips by 2030. Shares were also supported by positive announcements from ASML’s customers. TSMC, a key customer for ASML’s next generation equipment, announced a large increase in spending, while Intel announced its intention to revive its manufacturing and foundry capabilities, a move which would require lithography equipment.

Alphabet shares outperformed as improved Covid-19 vaccination rates drove consumer optimism. Despite the stock price rally, we believe the market may still be underappreciating the extent of digital advertising market share gains during the pandemic. We expect Alphabet to benefit in the second half of 2021 as industries like travel, restaurants and entertainment come back online globally, building on a larger base of e-commerce advertisers. Our longer-term view is supported by revenue growth acceleration at Google Cloud, which suggests the cloud computing platform is gaining market share.

Shares of IQVIA, a healthcare services company, outperformed following better-than-expected results that underlined strong momentum in the company’s outsourced clinical research and healthcare technology businesses. Requests for proposals continued to increase, biotech funding was robust and clinical studies were able to progress with Covid-19 restrictions lifted in many regions. Looking ahead, we believe IQVIA’s differentiated data-driven offerings will enable the company to gain market share in key segments.

In fixed income, the Fund’s corporate credit allocation was a positive source of return during the period. Particularly helpful to performance were overweight allocations to the communications, consumer cyclical, transportation and energy sectors. Accommodative fiscal and monetary policy and strong corporate earnings helped to bolster the asset class.

Allocations to high yield corporate credit also contributed to performance. In particular, BB holdings contributed to results, generally outpacing higher-grade names as investors sought yield. Issuers within communications added value as cable and wireless operators continued to benefit from strong media and data demand.

Within the transportation sector, allocations to airline companies contributed to performance. Favored issuers, particularly in the US, benefited from government support throughout the pandemic. As vaccination rates improved and the economy began to reopen, the domestic market was further aided by pent-up consumer demand.

In equities, the largest detractors from return were Alibaba, Farfetch, and Nestle.

Shares of Alibaba, a Chinese e-commerce company, underperformed along with the broader Chinese technology sector due to increased regulatory actions by the Chinese government. Shares of Farfetch, a luxury goods marketplace platform, underperformed as physical stores reopened, moderating the surge in online shopping seen in 2020. Shares of Nestle, a multinational consumer packaged food company, underperformed over the period. We eliminated our position in early 2021 due to concerns around our intrinsic value growth alpha driver. We believe weakness in Nestle’s nutrition and confectionery businesses will continue, and margin growth will likely be pressured by increased investment around marketing. We found more attractive risk/reward within existing holdings and new opportunities.

In fixed income, allocations to US dollar fixed income markets detracted from performance. Allocations to US Treasuries in the ten and thirty-year maturity ranges were the primary detractors.

Positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) in the euro pay markets also detracted from performance as core euro zone government yields moved modestly higher in the period amid continued vaccination progress and optimism surrounding the economic recovery.

Although in line with the returns posted by the underlying cash bond markets, the Fund’s use of forward foreign currency contracts in managing relative exposures detracted from performance as currency markets experienced slightly higher levels of volatility in the period.

Finally, currency allocation detracted from performance, particularly exposure to the Japanese yen. Rising commodity prices, a stronger US dollar and slower-than-expected growth related to the pandemic proved to be a headwind for the yen.

Outlook

The economic outlook in large part continues to depend on the successful management of the pandemic on a global scale. While much of the developed world has made demonstrable progress in terms of infection rates, and some emerging markets have gained

 

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LOOMIS SAYLES GLOBAL ALLOCATION FUND

 

better control of the virus, there remain regions that continue to struggle to manage the virus, such as Africa. The recent increase in vaccine production is positive, but with a lack of consensus on duration of antibodies and the potential for new variants, uncertainty persists. The outlook is also reliant on the duration of fiscal and monetary support, and other relief packages, in the US and globally. Supply chain issues and inflation surprises remain risks. Thus, our focus remains on investing in companies we believe have the ability to successfully navigate the current environment and generate value over the longer term.

In equities, we currently hold a diverse group of technology names spanning digital payments, cloud storage and collaboration, and semiconductor manufacturing and equipment. We have selective exposure to consumer-related names, focusing on best-in-class e-commerce platform retailers and physical retailers with compelling value propositions. We also have exposure to the growing online fitness industry. We have focused our healthcare exposure toward higher growth areas in the industry, and away from areas that are exposed to reimbursement risk. We continue to have no direct exposure to the energy or utilities sectors, as we typically do not find many opportunities, which meet our three alpha drivers.

As the pandemic continues to evolve, there could be further volatility in global equities. However, we believe our portfolio companies have sustainable competitive advantages and strong balance sheets that will prove resilient. This is evidenced by the portfolio’s return on equity, which is meaningfully higher than the MSCI ACWI (Net) benchmark,1 and financial leverage which is significantly less than the benchmark by key measures. This profile should allow our holdings the flexibility to weather challenging environments, and quite possibly emerge stronger.

In fixed income, most major developed market government bonds are expensive and we think yields are likely to see some upside pressure as the cyclical upturn gradually progresses, output gaps compress, and central banks look to move towards policy normalization. Although investment grade corporate credit spreads look fair-to-slightly-rich, we still like the yield advantage they offer. The fundamental backdrop underpinned by solid corporate profit growth and technical backdrop remain supportive.

Our primary US dollar view is for moderate softening as global growth starts to catch up to the US. Healthy investor risk appetites and cyclical improvement abroad are typically consistent with a weaker dollar. Rising twin deficits and higher commodities prices are additional headwinds for the dollar.

 

1 

The MSCI All Country World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

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

September 30, 2011 through September 30, 2021

 

LOGO

 

11  |


 

Top Ten Holdings as of September 30, 2021

 

  
Security Name % of
Net Assets
 
 1  

ASML Holding NV

  3.52
 2  

Airbnb, Inc., Class A

  3.32 
 3  

Danaher Corp.

  3.15 
 4  

Amazon.com, Inc.

  2.91 
 5  

salesforce.com, Inc.

  2.83 
 6  

IQVIA Holdings, Inc.

  2.67 
 7  

Alphabet, Inc., Class A

  2.66 
 8  

S&P Global, Inc.

  2.48 
 9  

Facebook, Inc., Class A

  2.26 
 10  

Linde PLC

  2.23 

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, are presented on an individual security basis and do not represent holdings of the issuer.

Average Annual Total Returns — September 30, 20214

 

      
                Life of
Class N
   Expense Ratios5 
    1 Year   5 Years   10 Years   Gross   Net 
   
Class Y (Inception 5/1/96)             
NAV   17.02   12.47   11.31       0.90   0.90
   
Class A (Inception 2/1/06)             
NAV   16.73    12.18    11.03        1.15    1.15 
With 5.75% Maximum Sales Charge   10.02    10.86    10.38          
   
Class C (Inception 2/1/06)             
NAV   15.85    11.34    10.37        1.90    1.90 
With CDSC1   14.85    11.34    10.37          
   
Class N (Inception 2/1/17)             
NAV   17.10            13.25    0.82    0.82 
  
Comparative Performance             
MSCI All Country World Index (Net)   27.44    13.20    11.90    13.20      
Blended Index3   15.48    8.83    7.99    9.52           

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 All Country World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

 

3

The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Bond Index. The Bloomberg Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

 

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 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  12


LOOMIS SAYLES GROWTH FUND

 

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

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

Market Conditions

The US equity market delivered strong returns over the period, with a confluence of positive factors contributing to the gain. As business conditions slowly returned to normal, following the rollout of vaccinations and the gradual reopening of the economy, economic growth and corporate earnings rebounded off their previously depressed levels. The US Federal Reserve and other major central banks kept interest rates at ultra-low levels and continued to pursue stimulative quantitative easing policies. Low rates, in addition to helping the economy recover, also depressed bond yields and may have made equities a more compelling investment alternative. Consumers and businesses also benefited from aggressive fiscal stimulus enacted by the US government. Together, these factors helped stocks overcome periodic bouts of volatility caused by issues such as rising inflation, new Covid-19 variants, and worries about the health of China’s economy.

Although investors’ style preferences experienced a number of shifts over the course of the year, value stocks outperformed growth. The bulk of the advantage occurred in the five months following the approval of a Covid-19 vaccine in early November 2020, a milestone that fueled investor enthusiasm for the more economically sensitive stocks typically represented in the value category. Small- and mid-cap stocks both strongly outpaced large caps, reflecting investors’ robust appetite for risk amid optimism about the economic outlook.

 

Performance Results

For the 12 months ended September 30, 2021, Class Y shares of the Loomis Sayles Growth Fund returned 20.72% at net asset value. The Fund underperformed its benchmark, the Russell 1000® Growth Index, which returned 27.32%.

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. Because of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30-40 names.

The Fund’s positions in Alphabet, Nvidia, and Deere contributed the most to performance. Stock selection in the industrials and communication services sectors, along with our allocations in the communication services, energy, and healthcare sectors, contributed positively to relative performance.

Alphabet is a holding company that owns a collection of businesses — the largest and most important of which by far is Google. Google is the global leader in online search and advertising, and also offers online cloud solutions to businesses and consumers globally. We believe Alphabet’s competitive advantages include its scale, brand strength, the power of its network and business ecosystem, as well as its innovative culture that is reinforced by its massive investments in research and development (R&D). A long-term Fund holding, Alphabet reported financial results during the period that reflected a strong recovery in advertising spending, which had been depressed due to Covid-19, while revenue growth accelerated and adjusted operating margins expanded. Beginning in 2021, the company began presenting results in three segments. Google Services represents approximately 93% of total revenue and is driven by the secular shift of advertising to online and mobile platforms. The segment’s search and YouTube businesses both benefited from strong growth in direct response ads — particularly for YouTube, where in just three years direct response ads have grown from almost nothing to become one of the largest drivers. YouTube is also benefiting from strong demand from brand advertisers due to its reach and engagement with over 2 billion monthly users who spent over 1 billion hours daily on the platform. Google Cloud revenue represents approximately 7% of total revenue, and was driven by Google Cloud Platform, which encompasses the company’s infrastructure- and platform-as-a-service offerings. Other Bets includes a number of early-stage and pre-revenue businesses and represents less than 1% of revenues. Google’s attractive financial model generates strong free cash flow and earns high returns on

 

13  |


 

invested capital, enabling it to reinvest significantly in its business. Over the past five years, Google has invested over $100 billion in R&D, an amount very few companies could replicate. We believe the global secular shift from traditional advertising to online advertising is the biggest long-term growth driver for Google. Online advertising accounts for approximately $330 billion or around 20% of the $1.5 trillion annual spending on global advertising and marketing. Over our investment horizon, we believe this penetration will increase to over 40%. We believe investors underestimate Alphabet’s growth opportunities and the intrinsic value of the business given its unique and difficult-to-replicate attributes and business model. We believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer a compelling reward-to-risk opportunity.

Nvidia is the world leader in graphic processing units (GPUs), which enable computers to produce and utilize highly realistic 3D graphic imagery and models. We believe the company’s competitive advantages include its intellectual property, brands, and a large and growing ecosystem of developers and applications utilizing GPU technology. A portfolio holding since January 2019, Nvidia reported financial results during the period that were better than consensus expectations, driven by broad-based strength that included quarterly revenue records in the company’s gaming, data center, and professional visualization segments in the second half of the year. In gaming, Nvidia is benefiting from record sales of PCs and gaming laptops and the roll out of Turing, its newest GPU architecture, which is becoming the industry norm for the latest blockbuster titles. Data center revenue benefited from a pickup in demand from hyperscale data center customers and rising demand from industry verticals such as industrials and enterprise clients, which are adopting more artificial intelligence capabilities. The company saw strong traction for its latest architecture, Ampere, which for the first time enables clients to address both training and inferencing through a single architecture with performance that surpasses its already leading T4 inferencing and V100 training products. The company’s professional visualization segment addresses a more mature market, but Nvidia has been able to drive greater adoption of its products through ongoing innovation. Over our investment horizon, we believe Nvidia can sustain total annualized revenue growth of approximately 20%, driven by secular growth in spending on GPUs. As Nvidia’s business mix shifts increasingly towards its more profitable data center segment, we believe operating profits and free cash flow will grow faster than revenues. We believe Nvidia’s strong free cash flow growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.

A Fund holding since the third quarter of 2016, Deere manufactures a full line of equipment used in agriculture, construction, forestry, and turf care, including value-added components such as precision agriculture tools. We believe the company’s competitive advantages include its iconic brand, scale, and global distribution. Deere’s distribution network of approximately 1,500 exclusive dealers in North America gives it unmatched reach for sales and service, and the company is among the market leaders in Europe and Latin America. During the period, Deere reported financial results that were well above consensus expectations and reflected strong global agricultural fundamentals, including grain prices that reached their highest levels since the prior cycle peak around 2012. The company also posted strong pricing gains and record margins. Despite strong growth in demand in 2021, agricultural equipment volumes have been near trough levels for the last seven years. Compared to the prior peak, average equipment age is at its highest in over 20 years, new and used inventories are near all-time lows, farmer incomes are expected to be higher, land values are also higher, and large agricultural equipment demands remain significantly below peak levels — all of which are conducive to above-average volume growth. Deere has seen very strong demand for sprayers, planters, and tractors in its 2022 order book, and the company expects its net pricing growth in 2022 to again be positive in spite of rising material and logistics costs. We believe Deere’s long-term secular growth driver is the global growth in demand for agricultural equipment, fueled by the steady increase in global demand for grains from a growing population with increasing affluence. We believe Deere’s market leadership, superior technology, and demonstrated pricing power leave it well positioned over our long-term investment horizon, and we believe continued adoption of its growing precision agricultural offerings, including subscription-based offerings, will lower cyclicality and enable the company to realize sustainably higher margins. We trimmed our position during the period following strong market appreciation, but we believe the company’s shares continue to trade at a discount to our estimate of intrinsic value.

The Fund’s positions in Alibaba, Vertex Pharmaceuticals, and Novartis detracted the most from performance. Stock selection in the consumer discretionary, healthcare, information technology, financials, consumer staples, and energy sectors, along with our allocations in the industrials, information technology, financials, and consumer staples sectors, detracted from relative performance.

A Fund holding since its initial public offering in the third quarter of 2014, Alibaba Group is a leading China e-commerce and consumer-engagement platform provider. With over 60% of China’s e-commerce transactions estimated to take place through its marketplaces, Alibaba is the world’s largest retail platform, and we believe Alibaba’s scale and interconnected sites create an unparalleled and difficult-to-replicate business ecosystem. During the period, Alibaba reported solid fundamentals and continued market share gains. However, shares have been under pressure since late-2020, despite good fundamentals, due to investor concern regarding increasing regulatory intervention by the Chinese government and the uncertainty these measures have created among investors questioning the ultimate impact on the businesses. In April, China’s State Administration for Market Regulation (SAMR) concluded that Alibaba’s practices had violated antitrust law. The company was fined approximately $2.8 billion and ordered to carry

 

|  14


LOOMIS SAYLES GROWTH FUND

 

out “comprehensive” self-inspections to standardize business practices and ensure compliance with anti-monopoly laws. Alibaba cooperated fully with the investigation and has changed certain business practices. Before the ruling, we believed that Alibaba could potentially be fined a meaningful percentage of prior-year revenue if it was found to have violated the rules. The $2.8 billion fine represented under 3% of FY 2021 revenues, approximately 20% of Alibaba’s free cash flow in the preceding quarter, and a fraction of the company’s approximately $70 billion of cash and short-term investments. We do not believe the investigation, fine, or any potential remedies will ultimately impact Alibaba’s strong and sustainable competitive advantages. In August, China passed the Personal Information Protection Law (PIPL) which is focused on protecting personal information rights and interests by standardizing the handling and usage of personal information by businesses. The law allows companies such as Alibaba to continue to collect, maintain, and use personalized data in their operations, but with certain restrictions. We believe the focus of PIPL is similar to the General Data Protection Regulation (GDPR) which went into effect in the European Union in 2018. The GDPR impacted other portfolio holdings such as Alphabet and Facebook, which incurred increased compliance costs and other disruptions as they adjusted certain business practices to comply with the new regulations. However, both companies continued to generate strong growth in revenue and free cash flow due to their competitive advantages and strong value propositions. While PIPL will go into effect beginning in November, we believe Alibaba has already started to implement portions of PIPL’s requirements into its business. As with Facebook and Google, we expect that Alibaba will experience other short-term disruptions as it further modifies its practices to fully comply with the law. However, we do not believe the law’s provisions will ultimately impact the company’s difficult-to-replicate competitive advantages. We believe SAMR and other Chinese regulatory efforts are focused on promoting sustainable and healthy development of China’s online ecosystem, fair competitive behavior, compliance with social responsibility, and setting reasonable limits on the usage of personal information. We believe that many of the companies to which the regulations pertain, including Alibaba, are engaged in activities that are supportive of the Chinese government’s long-term strategic goals. These goals include promoting domestic consumption as well as the development of domestic cloud technologies in order to reduce China’s dependence on foreign companies and countries. On both of these counts, Alibaba is a leader and its continued success advances those long-term goals. We believe Alibaba continues to execute well on its business model, allowing it to expand its already dominant market position and to invest to strengthen its competitive advantages. We believe the near-term uncertainty regarding the regulatory environment does not change the long-term fundamentals; namely, China remains one of the largest and most attractive e-commerce markets and Alibaba is one of the best-positioned companies to take advantage of this long-term secular opportunity. Many great businesses in our portfolio, including Microsoft, Google, Facebook, Visa, and others, have faced significant regulatory challenges around the globe over the last few decades, which often resulted in near-term uncertainty and share weakness. We recognize that the individual circumstances of these challenges had significant differences in terms of regulatory bodies and geographies. We also recognize that China offers both unique differences and challenges that we do not take lightly. However, while all of these situations are different, what is similar is that the uncertainty associated with these challenges did not change the strong underlying business characteristics of these companies; nor did it prevent them from continuing to generate strong long-term returns for shareholders. We believe the current market price embeds expectations for revenue and cash flow growth that are well below our long-term assumptions, and we added to our position in July, taking advantage of the long-term secular opportunity. With its shares trading at a significant discount to our estimate of intrinsic value, we believe Alibaba offers a compelling reward-to-risk opportunity.

Vertex Pharmaceuticals, founded in 1989, is a global biopharmaceutical company with deep expertise in protein and genetic science and a focus on specialty markets. The company is the leader in creating therapies for patients suffering from cystic fibrosis (CF), with four currently approved treatments, and the company is building out its capabilities to address related diseases that lever its core expertise in biology and medicinal chemistry. We initiated a new position in Vertex in June 2021. While the share price declined modestly during our holding period, given our short length of ownership, it was among the lowest contributors in a full-year period during which the Fund returned approximately 21.5% (gross). We believe Vertex’s strong and sustainable competitive advantages include its unparalleled understanding of CF, rooted in its history of investment and innovation for which it is recognized as setting the standard of care, its partnerships with the CF Foundation and other entities that enhance its solutions capabilities, and its broader understanding of biology and serial approach to drug development. Vertex created the only four therapies approved for CF, which currently account for all of the company’s revenues. Over our long-term investment horizon, we believe growing medical access, ongoing market penetration, lower patient mortality, and ongoing innovation will drive mid-single-digit growth in the company’s dominant CF franchise. We also believe the company’s deep understanding of biology, well-defined and disciplined approach to innovation, and growing pipeline of clinical therapies addressing diseases outside of CF, will collectively enable the company to realize high-single-digit growth in revenues over our forecast period. As the company continues to penetrate its core CF market, we expect it to realize operating leverage from its existing distribution infrastructure and for operating margins and free cash flow to grow faster than revenues, in the low double digits. We believe expectations embedded in Vertex’s share price underestimate the defensibility of its dominant CF franchise, the life-changing benefit of its therapies for its growing base of 40,000 patients, and the strength of its science and innovation ability that is contributing to a growing pipeline of potentially transformative therapies. We believe the shares embed expectations for revenue and free cash flow that are well below our long-term expectations. At today’s valuation, we believe we are buying the core, established CF franchise at a discount and receiving the pipeline for free. As a result, we believe the shares are trading at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.

 

15  |


 

Novartis is a diversified global healthcare company with market leadership in branded and generic pharmaceuticals. The company’s Innovative Medicines division accounts for about 80% of total revenue and 85% of core operating income while the Sandoz generics and biosimilars division accounts for about 20% of revenue and approximately 15% of core operating income. We believe Novartis’ strong and sustainable competitive advantages include its brand, culture of innovation, product breadth, clinical trials expertise, powerful global manufacturing and distribution network, and the benefits of scale. Decades of investment in innovative research and development and the accumulation of intellectual property has resulted in a broad suite of mature, successful products, newer, differentiated, rapidly growing products, and a large, well-balanced clinical pipeline of approximately 75 new molecular entities that we believe will lay the foundation of growth for the next 10 years. A holding since 2010, Novartis reported financial results that were fundamentally solid but mixed versus consensus expectations during the period. Results were impacted earlier in the period by a decline in patient visits to physician offices due to Covid-19. Shares also declined in response to management’s guidance for lower margins due to increased investment spending. We view the market reaction to higher investment spending as short sighted as the company’s continued investments in innovation and its pipeline represent the cornerstone of its competitive differentiation and lay the groundwork for sustainable long-term revenue generation. We believe the company executed well during the period, which included strong performance in its “growth” portfolio that now accounts for over 50% of sales. Novartis remains a differentiated business that we believe will benefit from accelerating growth, continued solid execution, a structurally improving business, and a strong management team that is making sound strategic decisions to enable greater focus on the company’s long-term competitive advantages of brand, scale, technology, and innovation. We believe the company is focused on and executing in the right areas of growth to create long-term shareholder value, and the current stock price embeds future growth well below our forecasts. As a result, we believe the shares are selling at a significant discount to our estimate of intrinsic value and offer a compelling reward-to-risk opportunity.

All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur. During the period we initiated a new position in Vertex Pharmaceuticals. We added to our existing holdings in Alibaba, Boeing, Disney, Novartis, Schlumberger, and Starbucks. We trimmed our existing positions in Cerner, Deere, Expeditors International, and Qualcomm. We sold our position in Varian Medical Systems, which was in the process of being acquired by Siemens Healthineers and reached our view of intrinsic value.

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 healthcare, communication services, industrials, energy, financials, and consumer staples sectors and underweight positions in the information technology and consumer discretionary sectors. We did not own positions in the real estate, materials, or utilities sectors.

 

|  16


LOOMIS SAYLES GROWTH FUND

 

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

September 30, 2011 through September 30, 2021

 

LOGO

Top Ten Holdings as of September 30, 2021

 

   
    

Security Name

 % of
Net Assets
 
 1  

NVIDIA Corp.

  6.60
 2  

Amazon.com, Inc.

  6.42 
 3  

Facebook, Inc., Class A

  6.25 
 4  

Visa, Inc., Class A

  5.18 
 5  

Microsoft Corp.

  4.67 
 6  

Oracle Corp.

  4.53 
 7  

Autodesk, Inc.

  4.33 
 8  

salesforce.com, Inc.

  4.17 
 9  

Boeing Co. (The)

  4.10 
 10  

Alphabet, Inc., Class A

  3.61 

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, are presented on an individual security basis and do not represent holdings of the issuer.

 

17  |


 

Average Annual Total Returns — September 30, 20213

 

      
                Life of
Class N
  Expense Ratios4 
    1 Year   5 Years   10 Years  Gross  Net 
   
Class Y (Inception 5/16/91)           
NAV   20.72   18.99   18.85      0.65  0.65
   
Class A (Inception 12/31/96)           
NAV   20.43    18.69    18.56       0.90   0.90 
With 5.75% Maximum Sales Charge   13.53    17.29    17.86        
   
Class C (Inception 9/12/03)           
NAV   19.55    17.79    17.84       1.65   1.65 
With CDSC1   18.55    17.79    17.84        
   
Class N (Inception 2/1/13)           
NAV   20.80    19.08        17.62   0.57   0.57 
  
Comparative Performance           
Russell 1000® Growth Index2   27.32    22.84    19.68    18.86         

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

 

3

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

 

4

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

 

|  18


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

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

 

 

Investment Goal

The Fund seeks above-average total return through a combination of current income and capital appreciation.

 

 

Market Conditions

The bond market experienced mixed returns over the period as investors reacted to the combination of improving economic growth, rising inflation and the increasing likelihood that the US Federal Reserve (Fed) and other central banks will need to begin tightening monetary policy in the coming year.

Following the approval and rollout of multiple vaccines for Covid-19 in late 2020 and early 2021, business conditions gradually returned to normal. Economic growth surged as a result, allaying fears that the virus would lead to a protracted slowdown. The reopening of the economy, while fueling impressive headline GDP growth, was accompanied by rising commodity prices, disruptions in the global supply chain and a sharp increase in inflation. Although the Fed initially described the rise in inflation as a “transitory” phenomenon, the persistence of price pressures through the summer and early autumn led to a gradual shift in the outlook. In September, Fed Chair Jerome Powell stated that the central bank was likely to announce a tapering of its stimulative quantitative easing (QE) program before the end of 2021. In addition, the markets began to price in a significant likelihood that the Fed will enact its first rate hike in late 2022. Together, these factors dampened returns across the fixed income market.

US Treasuries underperformed the broad fixed income market as risk appetite drastically improved over the past year. Mounting concerns over inflation and Fed policy also played a role in the rise in yields. While the prices of short-term government debt were relatively stable, longer-maturity bonds declined sharply. The yield on the 10-year note rose from 0.69% on September 30, 2020 to 1.52% on the final day of the period, and the 30-year bond moved from 1.46% to 2.08% (prices and yields move in opposite directions).

Despite the weakness in US Treasuries, investment grade corporates registered a solid gain for the 12-month period. As growth accelerated and the credit outlook improved, investors sought opportunities in higher-yielding segments of the market. Corporate yield spreads over Treasuries fell sharply as a result, leading to positive relative performance.

Securitized assets — including mortgage-backed securities (MBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) — produced marginally negative total returns as a group but outpaced the US Treasury market. The category’s underlying fundamentals remained firm, however, with continued strength in both real estate prices and consumer credit. ABS and CMBS posted positive total returns, but MBS experienced small negative total returns due in part to its higher interest rate sensitivity.

 

Performance Results

For the 12 months ended September 30, 2021, Class Y shares of the Fund returned 0.20% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Intermediate Government/Credit Bond Index, which returned -0.40%.

Explanation of Fund Performance

The Fund favored spread sectors such as corporate bonds and securitized assets, benefiting performance relative to the benchmark during a period of declining risk premiums. While sector allocation provided the bulk of positive contributions to performance, issuer selection also proved additive. The Fund’s overweight allocation to corporate bonds led positive contributions to performance over the period as spreads (the incremental income provided by lower quality bonds relative to Treasuries) declined. Issuer selection within corporates also aided return.

Results within securitized assets were positive overall but more mixed as agency-backed holdings detracted slightly while securitized credit exposures proved beneficial. In particular, holdings of CMBS were the most helpful to performance during the period.

On the downside, holdings of agency MBS detracted from relative performance during the period. Exposure to auto loans within ABS also weighed on return. Finally, within corporate bonds, issuer selection among banking names proved to be a constraint on performance.

 

19  |


 

Outlook

We believe the Fed will remain accommodative for the foreseeable future, keeping the fed funds rate unchanged at the zero lower bound and anchoring the front end of the Treasury yield curve into 2023. We expect the Fed to address balance sheet policy later this year and tapering of bond purchases could be completed sometime in 2022. We continue to expect economic activity to be healthy but expectations have moderated from earlier this year as recent data suggests some bumpiness due to increasing Covid-19 Delta variant cases nationwide.

We believe the credit cycle1 is currently in the expansion phase, with strong corporate fundamentals and a healthy consumer supported by significant excess savings and easy financial conditions. We believe risk appetite should remain elevated given the strong expansionary environment, expectations for global growth and continued monetary accommodation.

Inflation is expected to be in the 2% to 2.5% range but could be elevated for some time or settle above this range. We expect tighter monetary conditions if inflation trends toward the higher end of the range while lower inflation could keep the Fed at bay longer.

Corporate debt levels are currently elevated but fundamentals are healthy with stable-to-improving margins and significant free cash flow in a number of industries. While valuations are not overly compelling, we may see some additional spread tightening given low expectations for losses.

We continue to favor spread sectors, such as corporate bonds and securitized assets. However, we are maintaining a risk posture in the lower end of our range, in a similar posture to the beginning of 2020.

We remain overweight in both agency and non-agency CMBS, particularly senior parts of the capital stack.

Within MBS, we remain focused on securities with limited prepayment risk.

We favor ABS in the front end of the curve and prefer consumer-related areas such as auto loans and credit card receivables.

We continue to follow our process in building diversified exposures by asset class, industry and issuer.

We continue to hold select high yield corporate names, which we view as inexpensive.

 

1

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

 

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

September 30, 2011 through September 30, 2021

 

LOGO

See notes to chart on page 21.

 

|  20


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Average Annual Total Returns — September 30, 20214

 

      
                

Life of

Class N

   Expense Ratios5 
    1 Year   5 Years   10 Years   Gross   Net 
   
Class Y (Inception 1/28/98)1             
NAV   0.20   3.13   3.12       0.47   0.40
   
Class A (Inception 5/28/10)1             
NAV   -0.06    2.87    2.85        0.72    0.65 
With 4.25% Maximum Sales Charge   -4.32    1.97    2.40          
   
Class C (Inception 8/31/16)1             
NAV   -0.76    2.09    2.19        1.46    1.40 
With CDSC2   -1.72    2.09    2.19          
   

Class N (Inception 2/01/19)

   
0.25
 
           5.16    0.43    0.35 
  
Comparative Performance             

Bloomberg U.S. Intermediate

Government/Credit Bond Index3

   -0.40    2.60    2.52    4.31           

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

 

1

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

 

2

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

 

3

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

 

4

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

 

5

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

 

21  |


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

The bond market experienced mixed returns over the period, as investors reacted to the combination of improving economic growth, rising inflation and the increasing likelihood that the US Federal Reserve (Fed) and other central banks will need to begin tightening monetary policy in the coming year.

Following the approval and rollout of multiple vaccines for Covid-19 in late 2020 and early 2021, business conditions gradually returned to normal. Economic growth surged as a result, allaying fears that the virus would lead to a protracted slowdown. The reopening of the economy, while fueling impressive headline GDP growth, was accompanied by rising commodity prices, disruptions in the global supply chain and a sharp increase in inflation. Although the Fed initially described the rise in inflation as a “transitory” phenomenon, the persistence of price pressures through the summer and early autumn led to a gradual shift in the outlook. In September, Fed Chair Jerome Powell stated that the central bank was likely to announce a tapering of its stimulative quantitative easing (QE) program before the end of 2021. In addition, the markets began to price in a significant likelihood that the Fed will enact its first rate hike in late 2022. Together, these factors dampened returns across the fixed income market.

US Treasuries underperformed the broad fixed income market as risk appetite drastically improved over the past year. Mounting concerns over inflation and Fed policy also played a role in the rise in yields. While the prices of short-term government debt were relatively stable, longer-maturity bonds declined sharply. The yield on the 10-year note rose from 0.69% on September 30, 2020, to 1.52% on the final day of the period, and the 30-year bond moved from 1.46% to 2.08% (prices and yields move in opposite directions).

Securitized assets — including mortgage-backed securities (MBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) — produced marginally negative total returns as a group but outpaced the US Treasury market. The category’s underlying fundamentals remained firm, however, with continued strength in both real estate prices and consumer credit. ABS and CMBS posted positive total returns, but MBS experienced small negative total returns due in part to its higher interest rate sensitivity.

 

Performance Review

For the 12 months ended September 30, 2021, Class Y shares of the Limited Term Government and Agency Fund returned -0.33% at net asset value. The Fund held up better than its benchmark, the Bloomberg U.S. 1-5 Year Government Bond Index, which returned -0.43%.

Explanation of Fund Performance

The Fund’s security selection within agency-backed securitized assets was a leading positive contributor to performance relative to the benchmark for the 12 months, most notably holdings of agency CMBS and collateralized mortgage obligations. Within non-agency securitized assets, holdings of ABS and CMBS contributed positively.

Asset allocation decisions were a slight constraint in relative return for the period due to an underweight to US agency securities. The Fund’s cash position was also a slight detractor.

The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) detracted from performance during the period.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) have declined below their longer-term averages. We continue to favor MBS sectors less likely to face refinancing and extension risk, such as low loan balance mortgages and home equity conversion mortgages. Within the commercial real estate sector, we have focused on agency CMBS

 

|  22


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

opportunities. Our non-agency securitized exposures remain steady, although we have marginally adjusted upward exposure to ABS relative to CMBS. The ABS market has recovered faster than CMBS, and we continue to find opportunities that offer strong credit quality and enhanced yield.

 

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

September 30, 2011 through September 30, 2021

 

LOGO

 

23  |


 

Average Annual Total Returns — September 30, 20213

 

      
                Life of
Class N
   Expense Ratios4 
    1 Year   5 Years   10 Years   Gross   Net 
   
Class Y (Inception 3/31/94)             
NAV   -0.33   1.58   1.59       0.49   0.49
   
Class A (Inception 1/3/89)             
NAV   -0.58    1.34    1.34        0.74    0.74 
With 2.25% Maximum Sales Charge   -2.85    0.89    1.11          
   
Class C (Inception 12/30/94)             
NAV   -1.35    0.57    0.74        1.49    1.49 
With CDSC1   -2.34    0.57    0.74          
   
Class N (Inception 2/1/17)             
NAV   -0.25            1.97    0.42    0.41 
  
Comparative Performance             
Bloomberg U.S. 1-5 Year Government Bond Index2   -0.43    1.82    1.46    2.16           

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

 

1

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

 

2

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

 

3

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

 

4

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

 

|  24


ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

 

25  |


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 Fund’s prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2021 through September 30, 2021. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of the 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 CORE PLUS BOND FUND  BEGINNING
ACCOUNT VALUE
4/1/2021
   ENDING
ACCOUNT VALUE
9/30/2021
   EXPENSES PAID
DURING PERIOD*
4/1/2021 – 9/30/2021
 
Class A       
Actual   $1,000.00    $1,018.20    $3.64 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.46    $3.65 
Class C       
Actual   $1,000.00    $1,015.00    $7.43 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.70    $7.44 
Class N       
Actual   $1,000.00    $1,020.60    $1.92 
Hypothetical (5% return before expenses)   $1,000.00    $1,023.16    $1.93 
Class Y       
Actual   $1,000.00    $1,020.10    $2.38 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.71    $2.38 

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.72%, 1.47%, 0.38% and 0.47% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

|  26


LOOMIS SAYLES CREDIT INCOME FUND  BEGINNING
ACCOUNT VALUE
4/1/2021
   ENDING
ACCOUNT VALUE
9/30/2021
   EXPENSES PAID
DURING PERIOD*
4/1/2021 – 9/30/2021
 
Class A       
Actual   $1,000.00    $1,030.40    $4.17 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.96    $4.15 
Class C       
Actual   $1,000.00    $1,026.50    $7.98 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.20    $7.94 
Class N       
Actual   $1,000.00    $1,033.10    $2.65 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.46    $2.64 
Class Y       
Actual   $1,000.00    $1,031.80    $2.90 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.21    $2.89 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.82%, 1.57%, 0.52% and 0.57% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

LOOMIS SAYLES GLOBAL ALLOCATION FUND  BEGINNING
ACCOUNT VALUE
4/1/2021
   ENDING
ACCOUNT VALUE
9/30/2021
   EXPENSES PAID
DURING PERIOD*
4/1/2021 – 9/30/2021
 
Class A       
Actual   $1,000.00    $1,066.10    $5.85 
Hypothetical (5% return before expenses)   $1,000.00    $1,019.40    $5.72 
Class C       
Actual   $1,000.00    $1,061.60    $9.72 
Hypothetical (5% return before expenses)   $1,000.00    $1,015.64    $9.50 
Class N       
Actual   $1,000.00    $1,067.50    $4.20 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.01    $4.10 
Class Y       
Actual   $1,000.00    $1,067.10    $4.56 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.66    $4.46 

 

*

Expenses are equal to the Fund’s annualized expense ratio: 1.13%, 1.88%, 0.81% and 0.88% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

27  |


LOOMIS SAYLES GROWTH FUND  BEGINNING
ACCOUNT VALUE
4/1/2021
   ENDING
ACCOUNT VALUE
9/30/2021
   EXPENSES PAID
DURING PERIOD*
4/1/2021 – 9/30/2021
 
Class A       
Actual   $1,000.00    $1,078.70    $4.59 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.66    $4.46 
Class C       
Actual   $1,000.00    $1,074.50    $8.48 
Hypothetical (5% return before expenses)   $1,000.00    $1,016.90    $8.24 
Class N       
Actual   $1,000.00    $1,080.60    $2.92 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.26    $2.84 
Class Y       
Actual   $1,000.00    $1,080.20    $3.29 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.91    $3.19 

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.88%, 1.63%, 0.56% and 0.63% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND  BEGINNING
ACCOUNT VALUE
4/1/2021
   ENDING
ACCOUNT VALUE
9/30/2021
   EXPENSES PAID
DURING PERIOD*
4/1/2021 – 9/30/2021
 
Class A       
Actual   $1,000.00    $1,009.10    $3.27 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.81    $3.29 
Class C       
Actual   $1,000.00    $1,005.80    $7.04 
Hypothetical (5% return before expenses)   $1,000.00    $1,018.05    $7.08 
Class N       
Actual   $1,000.00    $1,009.60    $1.76 
Hypothetical (5% return before expenses)   $1,000.00    $1,023.31    $1.78 
Class Y       
Actual   $1,000.00    $1,010.30    $2.02 
Hypothetical (5% return before expenses)   $1,000.00    $1,023.06    $2.03 

 

*

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

 

|  28


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND  BEGINNING
ACCOUNT VALUE
4/1/2021
   ENDING
ACCOUNT VALUE
9/30/2021
   EXPENSES PAID
DURING PERIOD*
4/1/2021 – 9/30/2021
 
Class A       
Actual   $1,000.00    $999.20    $3.61 
Hypothetical (5% return before expenses)   $1,000.00    $1,021.46    $3.65 
Class C       
Actual   $1,000.00    $994.80    $7.35 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.70    $7.44 
Class N       
Actual   $1,000.00    $1,000.90    $2.01 
Hypothetical (5% return before expenses)   $1,000.00    $1,023.06    $2.03 
Class Y       
Actual   $1,000.00    $999.60    $2.36 
Hypothetical (5% return before expenses)   $1,000.00    $1,022.71    $2.38 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.72%, 1.47%, 0.40% and 0.47% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

29  |


BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements at its June board meeting. The Loomis Sayles Credit Income Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreement is effective until September 29, 2022.

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2021. In the case of each of Loomis Sayles Global Allocation Fund and Loomis Sayles Limited Term Government and Agency Fund, the Board approved the Agreement with an amendment that introduced an additional breakpoint in the Fund’s advisory fee effective July 1, 2021. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates. The Trustees also considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

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

 

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

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

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of Loomis Sayles Core Plus Bond Fund, Loomis Sayles Global Allocation Fund, Loomis Sayles Growth Fund, Loomis Sayles Intermediate Duration Bond Fund and Loomis Sayles Limited Term Government and Agency Fund (the “Existing Funds”) over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis. The Trustees noted that the Loomis Sayles Credit Income Fund did not yet have one year of performance.

The Board noted that, through December 31, 2020, each Existing Fund’s one-, three- and five-year performance, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    One-Year   Three-Year   Five-Year 
Loomis Sayles Core Plus Bond Fund   16   29   12
Loomis Sayles Global Allocation Fund   13   4   1
Loomis Sayles Growth Fund   62   66   46
Loomis Sayles Intermediate Duration Bond Fund   65   61   83
Loomis Sayles Limited Term Government and Agency Fund   43   45   42

In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance had resulted in relative outperformance over certain time periods; and (3) that the Fund had outperformed its relevant performance benchmark for all periods. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.

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

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

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

 

31  |


waived or reimbursed by the Advisers for Loomis Sayles Credit Income Fund and Loomis Sayles Intermediate Duration Bond Fund under their respective expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Core Plus Bond Fund, Loomis Sayles Global Allocation Fund, Loomis Sayles Growth Fund, and Loomis Sayles Limited Term Government and Agency Fund were below each Fund’s limitation. They further noted that management had proposed to reduce the expense limitation for Loomis Sayles Limited Term Government and Agency Fund on all share classes, effective as of July 1, 2021. The Trustees also noted that the total advisory fee rate for each Fund was at or below the median of its peer group of funds. They further noted that management had proposed to amend the advisory fee for each of Loomis Sayles Global Allocation Fund and Loomis Sayles Limited Term Government and Agency Fund to introduce an additional breakpoint in each Fund’s advisory fee.

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

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

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

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

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

 

 

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

 

 

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

 

 

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

 

 

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreements, reflecting the amendments to the advisory fee schedule for each of Loomis Sayles Global Allocation Fund and Loomis Sayles Limited Term Government and Agency Fund described above, should be continued through June 30, 2022.

 

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LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2020 and ending December 31, 2020 (including updates through September 30, 2021)

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

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

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

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

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.

During the period January 1, 2021 through September 30, 2021, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

Annual Program Assessment and Conclusion

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

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

 

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Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡)
   Description  Value (†) 
 Bonds and Notes — 91.6% of Net Assets 
 Non-Convertible Bonds — 91.4% 
  ABS Car Loan — 0.7%

 

$4,240,667   Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A, 2.720%, 11/20/2022, 144A  $4,249,162 
 8,775,000   Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A   8,957,002 
 4,226,000   Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A   4,259,425 
 6,444,000   Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A   6,868,722 
 7,064,000   Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A   7,231,777 
 1,259,536   Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A   1,263,145 
 2,460,000   Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025   2,463,221 
 3,525,000   Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026   3,531,172 
 8,181,000   Santander Drive Auto Receivables Trust, Series 2021-1, Class C, 0.750%, 2/17/2026   8,214,474 
 8,315,000   Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026   8,344,183 
 9,095,000   Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027   9,111,451 
    

 

 

 
     64,493,734 
    

 

 

 
  ABS Home Equity — 0.7%

 

 1,062,732   Bayview Koitere Fund Trust, Series 2017-SPL3, Class A, 4.000%, 11/28/2053, 144A(a)   1,084,688 
 1,151,085   Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A   1,158,127 
 654,813   Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1, 3.000%, 3/28/2057, 144A(a)   662,467 
 3,696,741   Bayview Opportunity Master Fund IVa Trust, Series 2017-RT5, Class A, 3.500%, 5/28/2069, 144A(a)   3,762,610 
 2,509,637   Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A, 4.000%, 10/28/2064, 144A(a)   2,559,554 
 977,939   Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A, 4.000%, 6/28/2054, 144A(a)   1,000,216 
 3,857,019   CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A   4,016,514 
 16,474   Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a)   16,709 
 20,182,430   Invitation Homes Trust, Series 2018-SFR2, Class A, 1-month LIBOR + 0.900%, 0.984%, 6/17/2037, 144A(b)   20,210,352 
 300,144   Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(a)   301,071 
 2,197,939   Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a)   2,231,867 
 414,054   Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a)   418,322 
  ABS Home Equity — continued

1,079,126   Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 2/25/2048, 144A(a)  1,096,459 
 1,915,021   Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a)   1,941,852 
 1,298,545   Towd Point Mortgage Trust, Series 2015-1, Class A5, 3.184%, 10/25/2053, 144A(a)   1,349,817 
 4,254,377   Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a)   4,389,436 
 1,168,002   Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(a)   1,173,682 
 5,101,352   Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055, 144A(a)   5,320,479 
 6,752,955   Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a)   7,062,211 
    

 

 

 
     59,756,433 
    

 

 

 
  ABS Other — 1.3%

 

 21,164,065   CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A   20,892,155 
 11,628,000   Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A   11,641,390 
 7,094,000   OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A   7,330,535 
 13,500,000   OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30-day Average SOFR + 0.760%, 0.810%, 6/16/2036, 144A(b)   13,607,649 
 27,038,533   Textainer Marine Containers Ltd., Series 2021-3A, Class A, 1.940%, 8/20/2046, 144A   26,826,416 
 10,650,637   Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A   10,486,253 
 9,247,740   Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045, 144A   9,328,657 
 11,484,255   Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A   11,379,584 
    

 

 

 
     111,492,639 
    

 

 

 
  ABS Student Loan — 0.3%

 

 6,562,235   Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A   6,606,263 
 13,443,181   Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069, 144A   13,461,665 
 5,363,664   SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053, 144A   5,283,789 
 3,777,000   SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A   3,876,410 
    

 

 

 
     29,228,127 
    

 

 

 
  ABS Whole Business — 0.2%

 

 5,505,203   Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A   5,661,638 
 11,907,720   Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A   11,915,448 
    

 

 

 
     17,577,086 
    

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Aerospace & Defense — 1.4%

 

$22,001,000   Boeing Co. (The), 1.433%, 2/04/2024  $22,033,893 
 16,774,000   Boeing Co. (The), 5.705%, 5/01/2040   21,315,654 
 20,949,000   Boeing Co. (The), 5.805%, 5/01/2050   27,924,396 
 3,211,000   Boeing Co. (The), 5.930%, 5/01/2060   4,386,467 
 12,659,000   Embraer Netherlands Finance BV, 5.050%, 6/15/2025   13,323,598 
 29,847,000   Textron, Inc., 3.000%, 6/01/2030   31,362,957 
    

 

 

 
     120,346,965 
    

 

 

 
  Airlines — 0.8%

 

 7,734,112   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A   8,130,485 
 8,850,467   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A   9,536,378 
 1,681,114   Continental Airlines Pass Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026   1,762,312 
 16,151,433   Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A   18,008,848 
 15,602,000   Southwest Airlines Co., 5.125%, 6/15/2027   18,246,164 
 4,592,773   United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027   4,859,338 
 4,381,000   United Airlines, Inc., 4.375%, 4/15/2026, 144A   4,496,001 
 6,533,000   United Airlines, Inc., 4.625%, 4/15/2029, 144A   6,751,529 
    

 

 

 
     71,791,055 
    

 

 

 
  Automotive — 2.1%

 

 9,280,000   Dana, Inc., 4.250%, 9/01/2030   9,544,015 
 16,276,000   Ford Motor Credit Co. LLC, 2.900%, 2/16/2028   16,255,655 
 20,142,000   General Motors Co., 5.000%, 4/01/2035   23,782,418 
 7,067,000   General Motors Financial Co., Inc., 2.900%, 2/26/2025   7,414,468 
 23,341,000   Goodyear Tire & Rubber Co. (The), 5.625%, 4/30/2033   25,441,690 
 7,091,000   Hyundai Capital America, 2.375%, 10/15/2027, 144A   7,186,925 
 10,356,000   Hyundai Capital America, 2.650%, 2/10/2025, 144A   10,757,025 
 7,453,000   Hyundai Capital America, 3.000%, 2/10/2027, 144A   7,838,618 
 16,811,000   Lear Corp., 5.250%, 5/15/2049   20,879,328 
 7,676,000   Nissan Motor Co. Ltd., 3.043%, 9/15/2023, 144A   7,985,085 
 15,593,000   Nissan Motor Co. Ltd., 3.522%, 9/17/2025, 144A   16,577,854 
 9,825,000   Toyota Motor Corp., 2.358%, 7/02/2024   10,285,092 
 16,490,000   Toyota Motor Credit Corp., MTN, 1.800%, 2/13/2025   16,937,469 
 7,096,000   Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A   7,593,738 
    

 

 

 
     188,479,380 
    

 

 

 
  Banking — 9.0%

 

 27,986,000   Ally Financial, Inc., 3.050%, 6/05/2023   29,033,414 
 17,876,000   American Express Co., 2.500%, 7/30/2024   18,791,995 
 10,051,000   Banco Santander Chile, 2.700%, 1/10/2025, 144A   10,453,542 
 13,578,000   Banco Santander Chile, 3.875%, 9/20/2022, 144A   13,959,542 
 14,000,000   Banco Santander S.A., 1.849%, 3/25/2026   14,180,102 
 3,200,000   Banco Santander S.A., 2.958%, 3/25/2031   3,292,096 
 28,476,000   Bangkok Bank PCL, 4.050%, 3/19/2024, 144A   30,574,918 
 8,624,000   Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter), 3.004%, 12/20/2023   8,887,636 
 31,146,000   Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025   31,311,644 
  Banking — continued

37,210,000   Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027  40,493,023 
 22,064,000   Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042   23,417,518 
 7,864,000   BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A   7,906,859 
 17,513,000   BNP Paribas S.A., (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027, 144A   17,218,957 
 26,613,000   BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A   27,873,547 
 5,935,000   Citigroup, Inc., 4.000%, 8/05/2024   6,437,468 
 25,481,000   Citigroup, Inc., 4.050%, 7/30/2022   26,253,486 
 9,645,000   Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031   11,136,671 
 8,154,000   Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025   8,180,407 
 5,227,000   Credit Suisse AG, 2.100%, 11/12/2021   5,237,923 
 9,780,000   Deutsche Bank AG, 0.898%, 5/28/2024   9,771,023 
 10,038,000   Deutsche Bank AG, 1.686%, 3/19/2026   10,095,043 
 9,382,000   Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032   9,686,771 
 11,985,000   Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026   12,173,983 
 30,369,000   DNB Bank ASA, 2.150%, 12/02/2022, 144A   31,063,697 
 10,768,000   Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023   11,222,920 
 15,206,000   Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037   21,779,346 
 5,359,000   Goldman Sachs Group, Inc. (The), (fixed rate to 6/05/2027, variable rate thereafter), 3.691%, 6/05/2028   5,898,823 
 2,326,000   HSBC Holdings PLC, 4.950%, 3/31/2030   2,766,290 
 13,610,000   HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025   13,586,028 
 16,885,000   Huntington Bancshares, Inc., 2.625%, 8/06/2024   17,710,251 
 4,740,000   Intesa Sanpaolo SpA, 4.198%, 6/01/2032, 144A   4,858,216 
 12,576,000   JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031   13,083,540 
 9,258,000   JPMorgan Chase & Co., 3.200%, 1/25/2023   9,610,429 
 20,006,000   JPMorgan Chase & Co., 4.500%, 1/24/2022   20,270,158 
 28,355,000   JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030   29,365,053 
 2,889,000   Lloyds Banking Group PLC, 3.000%, 1/11/2022   2,910,399 
 23,028,000   Morgan Stanley, (fixed rate to 4/05/2023, variable rate thereafter), 0.731%, 4/05/2024   23,104,437 
 8,931,000   Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), 3.591%, 7/22/2028   9,794,070 
 2,867,000   Morgan Stanley, GMTN, 3.700%, 10/23/2024   3,109,876 
 18,457,000   Morgan Stanley, Series F, 3.875%, 4/29/2024   19,914,365 
 14,159,000   Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), 3.622%, 4/26/2023, 144A   14,405,201 
 15,693,000   PNC Bank NA, (fixed rate to 12/09/2021, variable rate thereafter), 2.028%, 12/09/2022   15,741,263 
 9,780,000   Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A   12,623,778 
 26,503,000   Societe Generale S.A., 2.625%, 1/22/2025, 144A   27,518,567 
 24,346,000   Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A   25,353,715 

 

See accompanying notes to financial statements.

 

35  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Banking — continued

$14,566,000   Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025  $14,683,256 
 18,720,000   Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024   19,662,911 
 12,213,000   Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029   12,940,284 
 21,438,000   Toronto-Dominion Bank (The), MTN, 2.650%, 6/12/2024   22,559,105 
 17,630,000   UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A   17,585,324 
    

 

 

 
     799,488,870 
    

 

 

 
  Brokerage — 0.1%

 

 11,958,000   Owl Rock Technology Finance Corp., 3.750%, 6/17/2026, 144A   12,623,999 
    

 

 

 
  Building Materials — 0.7%

 

 19,920,000   American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029, 144A   19,826,575 
 10,762,000   Cemex SAB de CV, 3.875%, 7/11/2031, 144A   10,768,457 
 19,521,000   Mohawk Industries, Inc., 3.625%, 5/15/2030   21,265,397 
 7,260,000   Owens Corning, 4.200%, 12/01/2024   7,916,730 
 1,112,000   Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A   1,167,600 
    

 

 

 
     60,944,759 
    

 

 

 
  Cable Satellite — 0.7%

 

 23,720,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A   23,497,625 
 14,725,000   Sirius XM Radio, Inc., 4.000%, 7/15/2028, 144A   14,973,484 
 6,180,000   Time Warner Cable LLC, 4.500%, 9/15/2042   6,763,028 
 783,000   Time Warner Cable LLC, 5.500%, 9/01/2041   959,638 
 2,245,000   Time Warner Cable LLC, 5.875%, 11/15/2040   2,831,847 
 7,162,000   Time Warner Cable LLC, 6.550%, 5/01/2037   9,663,580 
 1,707,000   Time Warner Cable LLC, 6.750%, 6/15/2039   2,336,348 
    

 

 

 
     61,025,550 
    

 

 

 
  Chemicals — 1.4%

 

 1,610,000   Alpek SAB de CV, 3.250%, 2/25/2031, 144A   1,626,116 
 22,620,000   Ashland LLC, 3.375%, 9/01/2031, 144A   22,817,925 
 25,853,000   Braskem America Finance Co., 7.125%, 7/22/2041, 144A   33,415,002 
 8,792,000   Koppers, Inc., 6.000%, 2/15/2025, 144A   8,989,820 
 11,671,000   Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A   14,383,340 
 9,466,000   Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A   12,554,377 
 3,732,000   RPM International, Inc., 3.450%, 11/15/2022   3,823,380 
 4,630,000   Sociedad Quimica y Minera de Chile S.A., 3.500%, 9/10/2051, 144A   4,460,311 
 11,424,000   Sociedad Quimica y Minera de Chile S.A., 4.250%, 1/22/2050, 144A   12,314,044 
 5,549,000   Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A   5,826,173 
    

 

 

 
     120,210,488 
    

 

 

 
  Collateralized Mortgage Obligations — 0.2%

 

 4,239,116   Federal Home Loan Mortgage Corp., REMIC, Series 3654, Class DC, 5.000%, 4/15/2030   4,748,927 
 308,569   Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 0.440%, 10/20/2060(b)   308,740 
 245,978   Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 0.610%, 8/20/2062(b)   247,023 
  Collateralized Mortgage Obligations — continued

40,474   Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(c)(d)  40,172 
 25,821   Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(c)(d)   25,615 
 88,125   Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)(d)   88,318 
 99,950   Government National Mortgage Association, Series 2013-H07, Class DA, 2.500%, 3/20/2063(c)(d)   99,806 
 729,786   Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(c)(d)   730,585 
 8,939,017   Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065   9,156,419 
 17,534   Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 0.370%, 5/20/2063(b)(c)(d)   17,426 
    

 

 

 
     15,463,031 
    

 

 

 
  Construction Machinery — 0.4%

 

 5,985,000   Caterpillar Financial Services Corp., MTN, 2.150%, 11/08/2024   6,252,625 
 5,805,000   CNH Industrial Capital LLC, 1.950%, 7/02/2023   5,933,748 
 7,380,000   CNH Industrial Capital LLC, 4.375%, 4/05/2022   7,521,084 
 4,061,000   John Deere Capital Corp., MTN, 2.600%, 3/07/2024   4,263,155 
 13,280,000   United Rentals North America, Inc., 3.750%, 1/15/2032   13,429,400 
    

 

 

 
     37,400,012 
    

 

 

 
  Consumer Cyclical Services — 0.2%

 

 7,466,000   Expedia Group, Inc., 3.600%, 12/15/2023   7,902,645 
 5,734,000   Expedia Group, Inc., 4.625%, 8/01/2027   6,500,521 
 1,791,000   Expedia Group, Inc., 6.250%, 5/01/2025, 144A   2,064,902 
 3,523,000   MercadoLibre, Inc., 2.375%, 1/14/2026   3,465,786 
    

 

 

 
     19,933,854 
    

 

 

 
  Consumer Products — 0.3%

 

 881,000   Hasbro, Inc., 3.900%, 11/19/2029   973,117 
 2,157,000   Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A   2,149,882 
 11,615,000   Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A   11,757,284 
 2,823,000   Newell Brands, Inc., 4.875%, 6/01/2025   3,115,745 
 7,940,000   Valvoline, Inc., 3.625%, 6/15/2031, 144A   7,840,750 
 2,535,000   Valvoline, Inc., 4.250%, 2/15/2030, 144A   2,628,288 
    

 

 

 
     28,465,066 
    

 

 

 
  Diversified Manufacturing — 0.3%

 

 2,755,000   Clark Equipment Co., 5.875%, 6/01/2025, 144A   2,882,419 
 14,817,000   General Electric Co., 4.250%, 5/01/2040   17,309,366 
 5,319,000   General Electric Co., 4.350%, 5/01/2050   6,422,407 
    

 

 

 
     26,614,192 
    

 

 

 
  Electric — 2.1%

 

 3,587,000   AES Corp. (The), 3.300%, 7/15/2025, 144A   3,810,183 
 3,609,000   AES Corp. (The), 3.950%, 7/15/2030, 144A   3,968,529 
 13,678,000   Calpine Corp., 3.750%, 3/01/2031, 144A   13,165,075 
 14,879,000   Calpine Corp., 5.000%, 2/01/2031, 144A   14,879,000 
 13,220,000   CenterPoint Energy, Inc., SOFR + 0.650%, 0.700%, 5/13/2024(b)   13,246,969 
 18,219,000   Clearway Energy Operating LLC, 3.750%, 2/15/2031, 144A   18,264,547 

 

See accompanying notes to financial statements.

 

|  36


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Electric — continued

$26,317,716   Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A  $30,857,522 
 3,408,000   DPL, Inc., 4.125%, 7/01/2025   3,646,560 
 7,440,000   DPL, Inc., 4.350%, 4/15/2029   8,091,000 
 852,000   Edison International, 4.950%, 4/15/2025   938,099 
 2,811,000   Enel Americas S.A., 4.000%, 10/25/2026   3,069,190 
 2,853,000   Enel Generacion Chile S.A., 4.250%, 4/15/2024   3,045,242 
 6,711,000   Entergy Corp., 2.800%, 6/15/2030   6,921,990 
 14,622,000   National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043   15,246,315 
 6,785,000   NRG Energy, Inc., 3.875%, 2/15/2032, 144A   6,708,669 
 9,234,000   Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028, 144A   9,626,445 
 11,619,000   PG&E Corp., 5.000%, 7/01/2028   11,836,856 
 8,950,000   PG&E Corp., 5.250%, 7/01/2030   9,162,562 
 7,133,000   Transelec S.A., 4.250%, 1/14/2025, 144A   7,748,293 
 3,713,000   Transelec S.A., 4.625%, 7/26/2023, 144A   3,938,565 
    

 

 

 
     188,171,611 
    

 

 

 
  Finance Companies — 2.4%

 

 1,370,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/23/2023   1,411,643 
 19,050,000   Air Lease Corp., GMTN, 3.750%, 6/01/2026   20,619,887 
 24,287,000   Aircastle Ltd., 2.850%, 1/26/2028, 144A   24,596,902 
 28,047,000   Ares Capital Corp., 2.150%, 7/15/2026   28,121,598 
 21,425,000   Avolon Holdings Funding Ltd., 2.750%, 2/21/2028, 144A   21,370,059 
 18,929,000   FS KKR Capital Corp., 3.400%, 1/15/2026   19,778,556 
 4,133,000   GATX Corp., 4.000%, 6/30/2030   4,611,275 
 3,315,000   International Lease Finance Corp., 5.875%, 8/15/2022   3,467,139 
 15,720,000   Navient Corp., 5.000%, 3/15/2027   16,191,600 
 907,000   Navient Corp., 5.875%, 10/25/2024   968,223 
 954,000   Navient Corp., 6.750%, 6/15/2026   1,052,863 
 7,547,000   Navient Corp., MTN, 6.125%, 3/25/2024   8,080,950 
 22,635,000   OneMain Finance Corp., 3.875%, 9/15/2028   22,493,305 
 15,397,000   Owl Rock Capital Corp., 3.400%, 7/15/2026   16,034,935 
 4,537,000   Owl Rock Capital Corp., 2.625%, 1/15/2027   4,545,009 
 3,702,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A   3,743,647 
 12,169,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   12,275,479 
 4,045,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A   4,014,662 
    

 

 

 
     213,377,732 
    

 

 

 
  Financial Other — 0.2%

 

 12,588,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029   12,572,265 
 5,354,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027   5,554,775 
    

 

 

 
     18,127,040 
    

 

 

 
  Food & Beverage — 1.7%

 

 22,778,000   Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046   27,999,055 
 12,823,000   Anheuser-Busch InBev Worldwide, Inc., 4.350%, 6/01/2040   14,900,878 
 15,493,000   Anheuser-Busch InBev Worldwide, Inc., 4.600%, 6/01/2060   18,615,591 
 2,684,000   Bacardi Ltd., 5.300%, 5/15/2048, 144A   3,487,080 
 17,808,000   BRF S.A., 5.750%, 9/21/2050, 144A   17,081,968 
 3,117,000   Gruma SAB de CV, 4.875%, 12/01/2024, 144A   3,440,420 
 6,690,000   Kraft Heinz Foods Co., 3.875%, 5/15/2027   7,304,896 
  Food & Beverage — continued

12,765,000   Minerva Luxembourg S.A., 4.375%, 3/18/2031, 144A  12,330,352 
 21,099,000   Post Holdings, Inc., 4.500%, 9/15/2031, 144A   20,848,555 
 18,264,000   Post Holdings, Inc., 4.625%, 4/15/2030, 144A   18,405,181 
 1,599,000   Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A   1,609,466 
    

 

 

 
     146,023,442 
    

 

 

 
  Government Owned – No Guarantee — 2.7%

 

 6,872,000   Antares Holdings LP, 3.950%, 7/15/2026, 144A   7,241,666 
 18,141,000   BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A   18,280,405 
 6,577,000   CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A   6,690,190 
 15,245,000   Dolphin Energy Ltd. LLC, 5.500%, 12/15/2021, 144A   15,379,156 
 3,903,000   Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A   3,435,421 
 19,956,000   NBN Co. Ltd., 1.450%, 5/05/2026, 144A   19,877,573 
 7,985,000   OCP S.A., 3.750%, 6/23/2031, 144A   7,955,455 
 19,460,000   OCP S.A., 5.625%, 4/25/2024, 144A   21,068,135 
 16,491,000   Ooredoo International Finance Ltd., 2.625%, 4/08/2031, 144A   16,791,796 
 6,236,000   Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A   6,437,423 
 9,288,000   Ooredoo International Finance Ltd., 3.875%, 1/31/2028, 144A   10,405,012 
 14,555,000   Qatar Petroleum, 3.125%, 7/12/2041, 144A   14,548,014 
 8,035,000   SA Global Sukuk Ltd., 0.946%, 6/17/2024, 144A   7,955,614 
 12,588,000   Saudi Arabian Oil Co., 3.500%, 11/24/2070, 144A   11,835,867 
 10,431,000   Saudi Arabian Oil Co., 4.375%, 4/16/2049, 144A   11,843,462 
 12,825,000   Tennessee Valley Authority, 4.250%, 9/15/2065   17,892,003 
 7,669,000   Tennessee Valley Authority, 4.625%, 9/15/2060   11,142,372 
 5,427,000   Tennessee Valley Authority, 4.875%, 1/15/2048   7,775,897 
 9,290,000   Tennessee Valley Authority, 5.250%, 9/15/2039   13,182,666 
 9,267,000   Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A   10,534,726 
    

 

 

 
     240,272,853 
    

 

 

 
  Health Insurance — 0.5%

 

 21,336,000   Centene Corp., 2.500%, 3/01/2031   21,042,630 
 8,295,000   Centene Corp., 2.625%, 8/01/2031   8,238,926 
 10,179,000   Centene Corp., 3.375%, 2/15/2030   10,538,319 
    

 

 

 
     39,819,875 
    

 

 

 
  Healthcare — 0.2%

 

 15,396,000   DaVita, Inc., 4.625%, 6/01/2030, 144A   15,836,492 
    

 

 

 
  Home Construction — 0.2%

 

 7,881,000   Forestar Group, Inc., 3.850%, 5/15/2026, 144A   7,871,149 
 246,000   Lennar Corp., 4.500%, 4/30/2024   265,983 
 1,153,000   Lennar Corp., 4.750%, 11/15/2022   1,191,072 
 11,190,000   NVR, Inc., 3.000%, 5/15/2030   11,710,205 
    

 

 

 
     21,038,409 
    

 

 

 
  Independent Energy — 1.0%

 

 2,626,000   Aker BP ASA, 3.000%, 1/15/2025, 144A   2,764,371 
 2,639,000   Chesapeake Energy Corp., 5.875%, 2/01/2029, 144A   2,819,640 
 10,277,000   Devon Energy Corp., 4.500%, 1/15/2030, 144A   11,200,773 
 8,296,000   Diamondback Energy, Inc., 4.750%, 5/31/2025   9,266,877 
 11,391,292   Energean Israel Finance Ltd., 4.500%, 3/30/2024, 144A   11,624,244 
 1,765,000   EQT Corp., 3.125%, 5/15/2026, 144A   1,809,337 
 6,641,000   EQT Corp., 3.900%, 10/01/2027   7,187,089 
 1,371,000   EQT Corp., 5.000%, 1/15/2029   1,543,677 

 

See accompanying notes to financial statements.

 

37  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Independent Energy — continued

 

$9,078,204   Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A  $9,857,477 
 17,482,000   Occidental Petroleum Corp., 5.875%, 9/01/2025   19,592,951 
 2,152,000   Occidental Petroleum Corp., 8.000%, 7/15/2025   2,569,488 
 8,181,000   Pan American Energy LLC, 9.125%, 4/30/2027, 144A   9,166,811 
    

 

 

 
     89,402,735 
    

 

 

 
  Industrial Other — 0.2%

 

 8,410,000   CK Hutchison International 20 Ltd., 2.500%, 5/08/2030, 144A   8,553,304 
 3,408,000   Georgetown University (The), Class A, 5.215%, 10/01/2118   4,944,940 
    

 

 

 
     13,498,244 
    

 

 

 
  Life Insurance — 0.4%

 

 11,059,000   Athene Global Funding, 2.450%, 8/20/2027, 144A   11,409,683 
 15,491,000   Brighthouse Financial, Inc., 5.625%, 5/15/2030   18,700,283 
 3,077,000   OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050, 144A   3,278,390 
    

 

 

 
     33,388,356 
    

 

 

 
  Lodging — 0.4%

 

 14,012,000   Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A   13,801,820 
 21,403,000   Marriott International, Inc., 3.500%, 10/15/2032   22,739,492 
    

 

 

 
     36,541,312 
    

 

 

 
  Media Entertainment — 0.9%

 

 19,514,000   AMC Networks, Inc., 4.250%, 2/15/2029   19,416,430 
 54,020,000   Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)   1,820,949 
 9,132,000   Lamar Media Corp., 3.625%, 1/15/2031   9,132,731 
 4,899,000   Lamar Media Corp., 4.000%, 2/15/2030   5,043,520 
 12,633,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029, 144A   12,521,198 
 15,950,000   Prosus NV, 3.832%, 2/08/2051, 144A   14,518,175 
 13,803,000   Prosus NV, 3.680%, 1/21/2030, 144A   14,320,067 
    

 

 

 
     76,773,070 
    

 

 

 
  Metals & Mining — 1.0%

 

 1,835,000   Anglo American Capital PLC, 2.250%, 3/17/2028, 144A   1,823,963 
 2,286,000   Anglo American Capital PLC, 2.625%, 9/10/2030, 144A   2,270,708 
 3,322,000   Anglo American Capital PLC, 3.950%, 9/10/2050, 144A   3,552,831 
 8,696,000   Anglo American Capital PLC, 5.625%, 4/01/2030, 144A   10,495,411 
 15,187,000   FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A   15,693,486 
 16,183,000   Fresnillo PLC, 4.250%, 10/02/2050, 144A   16,874,338 
 31,977,000   Glencore Funding LLC, 2.500%, 9/01/2030, 144A   31,378,710 
 6,210,000   SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A   6,186,712 
    

 

 

 
     88,276,159 
    

 

 

 
  Midstream — 1.8%

 

 568,000   Energy Transfer LP, 5.150%, 2/01/2043   635,114 
 4,890,000   Energy Transfer LP, 5.400%, 10/01/2047   5,826,995 
 5,900,000   Energy Transfer LP, 5.950%, 10/01/2043   7,194,858 
 8,548,000   Energy Transfer LP, 6.500%, 2/01/2042   11,105,756 
 1,338,000   Energy Transfer LP, 6.625%, 10/15/2036   1,755,558 
 11,222,000   Energy Transfer LP/Regency Energy Finance Corp., 5.000%, 10/01/2022   11,576,795 
 2,327,000   Energy Transfer LP/Regency Energy Finance Corp., 5.875%, 3/01/2022   2,346,733 
  Midstream — continued

 

11,798,000   EQM Midstream Partners LP, 4.500%, 1/15/2029, 144A  12,240,425 
 3,485,000   EQM Midstream Partners LP, 4.750%, 7/15/2023   3,639,386 
 5,575,000   EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A   6,270,481 
 2,014,000   Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A   2,064,516 
 982,000   Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A   1,035,104 
 3,060,000   Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024   3,272,856 
 10,503,000   Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024   11,325,635 
 15,243,000   Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A   16,592,931 
 5,653,000   New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A   5,405,681 
 15,687,000   New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A   15,098,738 
 6,694,000   Rattler Midstream LP, 5.625%, 7/15/2025, 144A   6,970,462 
 6,783,000   Southern Natural Gas Co. LLC, 0.625%, 4/28/2023, 144A   6,779,087 
 3,310,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027   3,568,941 
 19,358,000   Williams Cos., Inc. (The) , 3.500%, 11/15/2030   21,029,757 
    

 

 

 
     155,735,809 
    

 

 

 
  Mortgage Related — 25.4%

 

 66,159,657   FHLMC, 1.500%, with various maturities from 2050 to 2051(e)(f)   63,458,856 
 166,178,113   FHLMC, 2.000%, with various maturities from 2050 to 2051(e)(f)   167,655,519 
 31,640,958   FHLMC, 2.500%, with various maturities in 2050(e)(f)   32,523,579 
 21,284,057   FHLMC, 3.000%, with various maturities from 2042 to 2050(e)(f)   22,462,250 
 14,411,543   FHLMC, 3.500%, with various maturities from 2043 to 2050(e)   15,598,898 
 2,609,219   FHLMC, 4.000%, with various maturities from 2044 to 2048(e)   2,833,353 
 72,761,667   FHLMC, 4.500%, with various maturities from 2041 to 2049(e)(f)   78,715,489 
 169,642,729   FHLMC, 5.000%, with various maturities from 2048 to 2050(e)(f)   186,860,247 
 5,656   FHLMC, 6.000%, 6/01/2035   6,646 
 45,914,321   FNMA, 1.500%, with various maturities in 2051(e)(f)   44,577,931 
 204,623,325   FNMA, 2.000%, with various maturities from 2050 to 2051(e)(f)   206,458,615 
 70,830,247   FNMA, 2.500%, with various maturities from 2045 to 2051(e)(f)   73,250,188 
 63,402,451   FNMA, 3.000%, with various maturities from 2045 to 2050(e)(f)   66,776,933 
 48,427,027   FNMA, 3.500%, with various maturities from 2043 to 2050(e)(f)   51,375,207 
 182,811,530   FNMA, 4.000%, with various maturities from 2041 to 2050(e)(f)   196,290,863 
 202,761,138   FNMA, 4.500%, with various maturities from 2043 to 2050(e)(f)   219,513,316 
 37,137,543   FNMA, 5.000%, with various maturities from 2048 to 2050(e)(f)   40,891,839 
 6,000,952   FNMA, 5.500%, 4/01/2050   6,710,138 
 4,590,198   FNMA, 6.000%, with various maturities from 2034 to 2049(e)   5,177,147 

 

See accompanying notes to financial statements.

 

|  38


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Mortgage Related — continued

 

$7,146   FNMA, 6.500%, with various maturities from 2029 to 2031(e)  $8,026 
 20,727   FNMA, 7.000%, with various maturities in 2030(e)   22,397 
 12,495   FNMA, 7.500%, with various maturities from 2024 to 2032(e)   14,113 
 14,160   GNMA, 3.794%, 7/20/2063(a)   14,791 
 1,501   GNMA, 3.890%, 12/20/2062(a)   1,559 
 2,156   GNMA, 4.005%, 1/20/2063(a)   2,201 
 5,790   GNMA, 4.063%, 5/20/2063(a)   6,025 
 28,017   GNMA, 4.125%, 7/20/2063(a)   28,577 
 5,067   GNMA, 4.327%, 8/20/2061(a)   5,493 
 7,015,899   GNMA, 4.381%, 12/20/2066(a)   7,742,074 
 27,285   GNMA, 4.390%, with various maturities in 2062(a)(e)   27,536 
 4,555,502   GNMA, 4.407%, 11/20/2066(a)   4,958,711 
 2,126,968   GNMA, 4.419%, 10/20/2066(a)   2,332,291 
 2,107   GNMA, 4.422%, 5/20/2063(a)   2,256 
 2,836,462   GNMA, 4.438%, 2/20/2066(a)   3,095,875 
 1,315,292   GNMA, 4.449%, 2/20/2066(a)   1,437,121 
 3,569,949   GNMA, 4.522%, 12/20/2064(a)   3,811,092 
 2,158,856   GNMA, 4.538%, 9/20/2066(a)   2,362,207 
 2,607,401   GNMA, 4.539%, 12/20/2063(a)   2,749,603 
 2,806,946   GNMA, 4.545%, 6/20/2066(a)   3,055,255 
 3,345,088   GNMA, 4.557%, 6/20/2066(a)   3,650,976 
 3,033,820   GNMA, 4.561%, 2/20/2065(a)   3,247,847 
 1,563,442   GNMA, 4.571%, 1/20/2065(a)   1,667,836 
 2,583,198   GNMA, 4.584%, 6/20/2064(a)   2,749,106 
 1,737,851   GNMA, 4.585%, 4/20/2066(a)   1,886,625 
 7,048,006   GNMA, 4.591%, with various maturities from 2064 to 2066(a)(e)   7,625,905 
 4,391,641   GNMA, 4.605%, 2/20/2065(a)   4,749,973 
 4,284,504   GNMA, 4.614%, 10/20/2064(a)   4,609,823 
 2,041,106   GNMA, 4.625%, 3/20/2065(a)   2,201,026 
 20,445   GNMA, 4.630%, 12/20/2061(a)   20,525 
 2,975,008   GNMA, 4.640%, 3/20/2066(a)   3,280,858 
 5,847,577   GNMA, 4.642%, 12/20/2066(a)   6,467,847 
 546,336   GNMA, 4.644%, 1/20/2064(a)   571,381 
 2,489,464   GNMA, 4.665%, 1/20/2064(a)   2,608,496 
 3,370,107   GNMA, 4.666%, 1/20/2065(a)   3,643,466 
 4,053,977   GNMA, 4.671%, 6/20/2064(a)   4,313,592 
 44,633   GNMA, 4.700%, with various maturities in 2062(a)(e)   46,160 
 2,884,995   GNMA, 4.715%, 1/20/2064(a)   3,072,318 
 113,754   GNMA, 5.500%, 4/15/2038   132,723 
 24,801   GNMA, 6.000%, with various maturities from 2029 to 2038(e)   28,926 
 25,587   GNMA, 6.500%, with various maturities from 2029 to 2032(e)   28,584 
 34,489   GNMA, 7.000%, 9/15/2025   35,639 
 3,145   GNMA, 7.500%, with various maturities from 2025 to 2030(e)   3,312 
 87,976,000   UMBS® (TBA), 2.500%, 12/01/2051(g)   90,323,172 
 236,058,000   UMBS® (TBA), 2.000%, 11/01/2051(g)   236,270,084 
 9,907,000   UMBS® (TBA), 2.000%, 10/01/2051(g)   9,933,703 
 309,259,000   UMBS® (TBA), 2.500%, 11/01/2051(g)   318,258,919 
 26,588,000   UMBS® (TBA), 3.000%, 11/01/2051(g)   27,786,132 
    

 

 

 
     2,252,029,171 
    

 

 

 
  Natural Gas — 0.2%

 

 11,262,000   Atmos Energy Corp., 0.625%, 3/09/2023   11,262,374 
 2,701,000   Boston Gas Co., 3.001%, 8/01/2029, 144A   2,815,370 
    

 

 

 
     14,077,744 
    

 

 

 
  Non-Agency Commercial Mortgage-Backed Securities — 1.5%

 

12,696,152   BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062  13,581,832 
 1,531,640   BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052   1,742,081 
 3,409,380   BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062   3,654,258 
 6,138,240   BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062   6,555,810 
 14,179,842   Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072(f)   15,279,985 
 18,570,071   Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052(f)   19,922,349 
 9,877,514   Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053   10,329,687 
 915,412   Commercial Mortgage Trust, Series 2010-C1, Class D, 5.985%, 7/10/2046, 144A(a)   928,391 
 2,112,208   Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, 3.304%, 9/15/2037, 144A   2,215,817 
 11,367,000   Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A   12,192,666 
 6,366,877   Extended Stay America Trust, Series 2021-ESH, Class A, 1-month LIBOR + 1.080%, 1.164%, 7/15/2038, 144A(b)   6,384,849 
 1,477,314   Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.334%, 7/15/2038, 144A(b)   1,495,627 
 5,627,003   GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.303%, 8/10/2044, 144A(a)   4,797,020 
 2,317,554   GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)   2,296,720 
 6,596,065   GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053   6,994,566 
 3,825,000   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.297%, 8/15/2046(a)   4,028,379 
 6,909,759   UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.185%, 3/10/2046   7,079,383 
 4,982,141   WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 5.024%, 6/15/2044, 144A(a)   4,744,155 
 5,245,978   WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047   5,576,540 
    

 

 

 
     129,800,115 
    

 

 

 
  Oil Field Services — 0.3%

 

 25,364,000   Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A   26,662,637 
    

 

 

 
  Paper — 0.4%

 

 4,915,000   Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024   5,314,245 
 13,075,000   Klabin Austria GmbH, 7.000%, 4/03/2049, 144A   15,816,828 
 8,445,000   Suzano Austria GmbH, 3.125%, 1/15/2032   8,155,759 
 8,529,000   Suzano Austria GmbH, 3.750%, 1/15/2031   8,761,415 
    

 

 

 
     38,048,247 
    

 

 

 
  Pharmaceuticals — 0.4%

 

 9,325,000   Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A   8,695,562 
 3,863,000   Jazz Securities DAC, 4.375%, 1/15/2029, 144A   4,003,227 
 12,284,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   11,761,930 
 7,588,000   Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025   8,299,375 
 2,903,000   Viatris, Inc., 4.000%, 6/22/2050, 144A   3,085,489 
    

 

 

 
     35,845,583 
    

 

 

 

 

See accompanying notes to financial statements.

 

39  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Property & Casualty Insurance — 0.1%

 

$2,585,000   Ascot Group Ltd., 4.250%, 12/15/2030, 144A  $2,740,355 
 7,865,000   Liberty Mutual Group, Inc., 3.950%, 5/15/2060, 144A   8,733,314 
    

 

 

 
     11,473,669 
    

 

 

 
  Refining — 0.1%

 

 12,089,000   Ultrapar International S.A., 5.250%, 10/06/2026, 144A   13,146,788 
    

 

 

 
  REITs – Apartments — 0.0%

 

 1,220,000   American Homes 4 Rent, 2.375%, 7/15/2031   1,208,510 
 1,715,000   American Homes 4 Rent, 3.375%, 7/15/2051   1,738,896 
    

 

 

 
     2,947,406 
    

 

 

 
  REITs – Diversified — 0.2%

 

 16,503,000   iStar, Inc., 4.250%, 8/01/2025   17,142,161 
 1,267,000   iStar, Inc., 4.750%, 10/01/2024   1,339,853 
    

 

 

 
     18,482,014 
    

 

 

 
  REITs – Health Care — 0.1%

 

 5,434,000   Welltower, Inc., 2.750%, 1/15/2031   5,599,932 
    

 

 

 
  REITs – Shopping Centers — 0.0%

 

 2,026,000   Brixmor Operating Partnership LP, 4.050%, 7/01/2030   2,262,325 
    

 

 

 
  Retailers — 1.0%

 

 4,081,000   Alibaba Group Holding Ltd., 3.250%, 2/09/2061   3,790,082 
 1,942,000   Asbury Automotive Group, Inc., 4.500%, 3/01/2028   1,992,978 
 1,942,000   Asbury Automotive Group, Inc., 4.750%, 3/01/2030   2,026,963 
 27,444,000   El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A   29,605,489 
 8,418,000   Falabella S.A., 3.750%, 4/30/2023, 144A   8,775,849 
 6,409,000   Falabella S.A., 4.375%, 1/27/2025, 144A   6,921,784 
 5,300,000   Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A   5,392,750 
 856,000   Hanesbrands, Inc., 4.625%, 5/15/2024, 144A   902,464 
 4,042,000   Hanesbrands, Inc., 4.875%, 5/15/2026, 144A   4,377,486 
 5,024,000   Hanesbrands, Inc., 5.375%, 5/15/2025, 144A   5,259,525 
 3,889,000   Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A   3,995,947 
 3,280,000   Lithia Motors, Inc., 3.875%, 6/01/2029, 144A   3,410,610 
 10,257,000   Lithia Motors, Inc., 4.375%, 1/15/2031, 144A   10,949,347 
 4,582,000   MercadoLibre, Inc., 3.125%, 1/14/2031   4,421,676 
    

 

 

 
     91,822,950 
    

 

 

 
  Sovereigns — 3.4%

 

 13,213,000   Colombia Government International Bond, 4.125%, 5/15/2051   11,338,340 
 23,769,000   Dominican Republic, 4.875%, 9/23/2032, 144A   24,244,618 
 11,070,000   Dominican Republic, 5.300%, 1/21/2041, 144A   10,948,341 
 16,076,000   Egypt Government International Bond, 5.875%, 2/16/2031, 144A   14,770,147 
 6,795,000   Indonesia Government International Bond, 3.700%, 1/08/2022, 144A   6,851,874 
 8,600,000   Kenya Government International Bond, 6.300%, 1/23/2034, 144A   8,491,382 
 27,253,000   Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A   29,367,560 
 17,866,000   Mexico Government International Bond, 3.771%, 5/24/2061   15,864,472 
 14,611,000   Morocco Government International Bond, 4.000%, 12/15/2050, 144A   13,328,154 
 6,285,000   Oman Sovereign Sukuk Co., 4.875%, 6/15/2030, 144A   6,614,271 
  Sovereigns — continued

 

2,980,000   Peruvian Government International Bond, 2.392%, 1/23/2026  3,040,554 
 7,473,000   Qatar Government International Bond, 4.400%, 4/16/2050, 144A   9,107,644 
 14,497,000   Republic of Ghana, 7.750%, 4/07/2029, 144A   13,804,043 
 9,432,000   Republic of Oman, 3.875%, 3/08/2022, 144A   9,492,176 
 10,029,000   State of Qatar, 3.875%, 4/23/2023, 144A   10,549,625 
 18,089,000   Ukraine Government International Bond, 7.253%, 3/15/2033, 144A   18,300,279 
 4,000,460,000   Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU)   94,651,425 
    

 

 

 
     300,764,905 
    

 

 

 
  Supermarkets — 0.3%

 

 12,271,000   Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.500%, 3/15/2029, 144A   12,246,151 
 15,901,000   Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.250%, 3/15/2026, 144A   16,139,515 
    

 

 

 
     28,385,666 
    

 

 

 
  Technology — 2.8%

 

 3,425,000   Baidu, Inc., 2.375%, 10/09/2030   3,361,843 
 4,515,000   Baidu, Inc., 3.075%, 4/07/2025   4,737,183 
 4,890,000   Broadcom, Inc., 3.137%, 11/15/2035, 144A   4,874,626 
 18,789,000   Corning, Inc., 5.450%, 11/15/2079   25,502,596 
 3,133,000   Equifax, Inc., 2.600%, 12/15/2025   3,284,995 
 2,544,000   Equifax, Inc., 3.300%, 12/15/2022   2,612,387 
 4,324,000   Equifax, Inc., 7.000%, 7/01/2037   6,130,224 
 13,320,000   HCL America, Inc., 1.375%, 3/10/2026, 144A   13,158,828 
 7,756,000   Hewlett Packard Enterprise Co., 4.450%, 10/02/2023   8,307,781 
 4,916,000   Hewlett Packard Enterprise Co., 4.650%, 10/01/2024   5,430,698 
 17,421,000   Hewlett Packard Enterprise Co., 6.200%, 10/15/2035   23,064,478 
 16,919,000   Iron Mountain, Inc., 4.500%, 2/15/2031, 144A   17,160,942 
 21,206,000   J2 Global, Inc., 4.625%, 10/15/2030, 144A   22,531,375 
 6,975,000   Jabil, Inc., 3.000%, 1/15/2031   7,152,767 
 13,294,000   Microchip Technology, Inc., 2.670%, 9/01/2023   13,783,127 
 6,371,000   Microchip Technology, Inc., 4.333%, 6/01/2023   6,733,609 
 13,101,000   Micron Technology, Inc., 2.497%, 4/24/2023   13,484,597 
 6,151,000   Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A   6,461,762 
 17,571,000   Oracle Corp., 4.100%, 3/25/2061   18,706,552 
 5,778,000   Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A   6,158,192 
 1,475,000   Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A   1,704,790 
 1,374,000   Science Applications International Corp., 4.875%, 4/01/2028, 144A   1,419,960 
 2,060,000   Seagate HDD Cayman, 4.125%, 1/15/2031   2,144,151 
 5,644,000   Sensata Technologies BV, 4.000%, 4/15/2029, 144A   5,745,310 
 7,989,000   Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A   8,043,645 
 16,293,000   Tencent Holdings Ltd., 3.290%, 6/03/2060, 144A   15,179,211 
    

 

 

 
     246,875,629 
    

 

 

 
  Tobacco — 0.4%

 

 3,362,000   Altria Group, Inc., 2.350%, 5/06/2025   3,485,865 
 31,751,000   BAT Capital Corp., 2.789%, 9/06/2024   33,391,067 
    

 

 

 
     36,876,932 
    

 

 

 
  Transportation Services — 0.1%

 

 9,293,000   Ryder System, Inc., MTN, 2.500%, 9/01/2024   9,712,747 
    

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Treasuries — 16.1%

 

 9,838,100(††)   Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)  $45,448,338 
 25,562,431(††)   Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)   132,456,774 
 468,727,000   Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU)   11,415,531 
 250,098,000   Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU)   5,929,895 
 40,725,000   U.S. Treasury Bond, 2.000%, 8/15/2051   40,005,949 
 10,150,000   U.S. Treasury Bond, 2.250%, 5/15/2041   10,554,414 
 1,860,000   U.S. Treasury Bond, 2.375%, 5/15/2051   1,984,969 
 38,381,800   U.S. Treasury Note, 0.250%, 5/31/2025(f)   37,734,107 
 448,836,000   U.S. Treasury Note, 0.625%, 7/31/2026   441,647,613 
 35,580,500   U.S. Treasury Note, 0.750%, 3/31/2026   35,328,935 
 72,580,000   U.S. Treasury Note, 0.750%, 8/31/2026   71,803,168 
 115,805,000   U.S. Treasury Note, 0.875%, 9/30/2026   115,180,739 
 201,725,000   U.S. Treasury Note, 1.250%, 9/30/2028   200,873,973 
 25,590,000   U.S. Treasury Note, 1.250%, 8/15/2031   24,970,242 
 61,745,000   U.S. Treasury Note, 1.625%, 10/31/2023   63,423,692 
 4,267,700   U.S. Treasury Note, 2.375%, 5/15/2029   4,581,109 
 20,372,800   U.S. Treasury Note, 2.625%, 2/15/2029   22,212,719 
 62,385,000   U.S. Treasury Note, 2.875%, 10/15/2021   62,452,202 
 81,104,600   U.S. Treasury Note, 3.125%, 11/15/2028(f)   91,122,285 
 93,095,000   Uruguay Government International Bond, 8.500%, 3/15/2028, (UYU)   2,267,266 
    

 

 

 
     1,421,393,920 
    

 

 

 
  Utility Other — 0.3%

 

 25,543,639   Acwa Power Management & Investments One Ltd., 5.950%, 12/15/2039, 144A   30,652,367 
    

 

 

 
  Wireless — 1.1%

 

 13,487,000   America Movil SAB de CV, 2.875%, 5/07/2030   14,030,094 
 1,207,000   American Tower Corp., 4.700%, 3/15/2022   1,230,250 
 19,567,000   Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A   21,030,807 
 983,000   Crown Castle International Corp., 4.150%, 7/01/2050   1,115,971 
 5,305,000   Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A   5,212,163 
 7,180,000   Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A   7,220,495 
 5,452,000   Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A   5,700,066 
 17,920,000   SBA Communications Corp., 3.125%, 2/01/2029, 144A   17,315,200 
 20,429,000   T-Mobile USA, Inc., 3.875%, 4/15/2030   22,556,927 
    

 

 

 
     95,411,973 
    

 

 

 
  Wirelines — 0.7%

 

 22,028,000   AT&T, Inc., 1.700%, 3/25/2026   22,300,700 
 7,956,000   AT&T, Inc., 3.500%, 9/15/2053   7,874,212 
 2,128,000   AT&T, Inc., 3.550%, 9/15/2055   2,098,514 
 3,863,000   AT&T, Inc., 3.650%, 6/01/2051   3,936,349 
 15,891,000   AT&T, Inc., 3.650%, 9/15/2059   15,842,101 
 7,539,000   AT&T, Inc., 3.800%, 12/01/2057   7,701,480 
    

 

 

 
     59,753,356 
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $7,958,866,090)
   8,093,644,455 
    

 

 

 
    
 Municipals — 0.2% 
  Virginia — 0.2%

 

14,765,000   University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119  14,837,710 
    

 

 

 
  Total Municipals
(Identified Cost $14,765,000)
   14,837,710 
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $7,973,631,090)
   8,108,482,165 
    

 

 

 
    
 Senior Loans — 5.1% 
  Aerospace & Defense — 0.2%

 

 12,817,414   TransDigm, Inc., 2020 Term Loan F, 1-month LIBOR + 2.250%, 2.334%, 12/09/2025(b)   12,657,196 
 6,328,521   TransDigm, Inc., 2020 Term Loan G, 1-month LIBOR + 2.250%, 2.334%, 8/22/2024(b)   6,257,325 
    

 

 

 
     18,914,521 
    

 

 

 
  Automotive — 0.0%

 

 2,724,400   KAR Auction Services, Inc., 2019 Term Loan B6, 1-month LIBOR + 2.250%, 2.375%, 9/19/2026(b)   2,656,290 
 1,487,781   Visteon Corp., 2018 Term Loan B, LIBOR + 1.750%, 1.834%, 3/25/2024(a)   1,472,903 
    

 

 

 
     4,129,193 
    

 

 

 
  Brokerage — 0.2%

 

 10,157,273   Citadel Securities LP, 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.584%, 2/02/2028(b)   10,059,357 
 6,231,250   Zebra Buyer LLC, Term Loan B, 4/21/2028(h)   6,247,950 
    

 

 

 
     16,307,307 
    

 

 

 
  Building Materials — 0.8%

 

 19,590,076   American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1-month LIBOR + 2.000%, 2.084%, 1/15/2027(b)   19,450,203 
 15,290,908   Beacon Roofing Supply, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 2.334%, 5/19/2028(b)   15,196,868 
 10,132,652   Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.500%, 2.584%, 2/01/2027(b)   10,041,863 
 7,323,510   Quikrete Holdings, Inc., 2021 Term Loan B1, 2/21/2028(h)   7,296,999 
 17,961,174   Summit Materials Cos. I LLC, 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.084%, 11/21/2024(b)   17,921,839 
    

 

 

 
     69,907,772 
    

 

 

 
  Cable Satellite — 0.4%

 

 12,245,142   CSC Holdings LLC, 2017 Term Loan B1, 1-month LIBOR + 2.250%, 2.334%, 7/17/2025(b)   12,061,465 
 4,217,424   Telenet Financing USD LLC, 2020 USD Term Loan AR, 1-month LIBOR + 2.000%, 2.084%, 4/30/2028(b)   4,166,477 
 9,994,764   UPC Broadband Holding BV, 2020 USD Term Loan AT, 1-month LIBOR + 2.250%, 2.334%, 4/30/2028(b)   9,884,422 
 12,405,000   Virgin Media Bristol LLC, USD Term Loan N, 1-month LIBOR + 2.500%, 2.584%, 1/31/2028(b)   12,316,676 
    

 

 

 
     38,429,040 
    

 

 

 
  Chemicals — 0.0%

 

 4,070,400   Venator Materials Corp., Term Loan B, 1-month LIBOR + 3.000%, 3.084%, 8/08/2024(b)   4,011,054 
    

 

 

 

 

See accompanying notes to financial statements.

 

41  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Consumer Cyclical Services — 0.2%

 

$430,375   FrontDoor, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 2.334%, 6/17/2028(b)  $429,299 
 4,344,113   RE/MAX International, Inc., 2021 Term Loan B, 3-month LIBOR + 2.500%, 3.000%, 7/21/2028(b)   4,327,822 
 11,055,399   Trans Union LLC, 2019 Term Loan B5, 1-month LIBOR + 1.750%, 1.834%, 11/16/2026(b)   10,981,107 
    

 

 

 
     15,738,228 
    

 

 

 
  Consumer Products — 0.1%

 

 6,887,092   Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 2.333%, 4/07/2025(b)   6,753,689 
 4,859,697   SRAM LLC, 2021 Term Loan B, LIBOR + 2.750%, 3.250%, 5/12/2028(a)   4,851,582 
    

 

 

 
     11,605,271 
    

 

 

 
  Electric — 0.2%

 

 5,771,649   Calpine Corp., 2019 Term Loan B10, 1-month LIBOR + 2.000%, 2.084%, 8/12/2026(b)   5,698,407 
 4,360,722   Calpine Corp., Term Loan B9, 1-month LIBOR + 2.000%, 2.090%, 4/05/2026(b)   4,308,960 
 9,904,625   Pacific Gas & Electric Co., 2020 Term Loan, 3-month LIBOR + 3.000%, 3.500%, 6/23/2025(b)   9,728,224 
    

 

 

 
     19,735,591 
    

 

 

 
  Food & Beverage — 0.1%

 

 8,942,631   Aramark Services, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.584%, 4/06/2028(b)   8,875,561 
    

 

 

 
  Gaming — 0.2%

 

 4,363,013   Churchill Downs, Inc., 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.086%, 12/27/2024(b)   4,352,105 
 10,062,478   Churchill Downs, Inc., 2021 Incremental Term Loan B1, 1-month LIBOR + 2.000%, 2.090%, 3/10/2028(b)   9,961,853 
    

 

 

 
     14,313,958 
    

 

 

 
  Industrial Other — 0.3%

 

 14,330,952   AEA International Holdings (Lux) S.a.r.l., Term Loan B, 3-month LIBOR + 3.750%, 4.250%, 9/07/2028(b)   14,313,039 
 7,790,475   AECOM, 2021 Term Loan B, 1-month LIBOR + 1.750%, 1.834%, 4/13/2028(b)   7,782,684 
 2,315,746   Altra Industrial Motion Corp., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.084%, 10/01/2025(b)   2,300,694 
    

 

 

 
     24,396,417 
    

 

 

 
  Media Entertainment — 0.6%

 

 5,005,475   E.W. Scripps Co. (The), 2020 Term Loan B3, 1-month LIBOR + 3.000%, 3.750%, 1/07/2028(b)   5,012,433 
 9,400,342   Entercom Media Corp., 2019 Term Loan, 1-month LIBOR + 2.500%, 2.585%, 11/18/2024(b)   9,253,508 
 3,468,383   Lamar Media Corp., 2020 Term Loan B, 1-month LIBOR + 1.500%, 1.583%, 2/05/2027(b)   3,436,959 
 12,965,920   Meredith Corp., 2020 Term Loan B2, 1-month LIBOR + 2.500%, 2.584%, 1/31/2025(b)   12,932,598 
 12,900,777   Nielsen Finance LLC, USD Term Loan B4, 1-month LIBOR + 2.000%, 2.083%, 10/04/2023(b)   12,876,653 
 5,929,000   Sinclair Television Group, Inc., Term Loan B2B, 1-month LIBOR + 2.500%, 2.590%, 9/30/2026(b)   5,821,566 
 6,690,750   WMG Acquisition Corp., 2021 Term Loan G, 1-month LIBOR + 2.125%, 2.209%, 1/20/2028(b)   6,650,338 
    

 

 

 
     55,984,055 
    

 

 

 
  Midstream — 0.1%

 

7,448,000   DT Midstream, Inc., Term Loan B, LIBOR + 2.000%, 2.500%, 6/26/2028(a)  7,442,191 
    

 

 

 
  Packaging — 0.0%

 

 2,474,305   Plastipak Packaging, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 2.590%, 10/14/2024(b)   2,470,915 
    

 

 

 
  Pharmaceuticals — 0.4%

 

 4,275,592   Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%, 2.834%, 11/27/2025(b)   4,262,765 
 6,383,967   Change Healthcare Holdings LLC, 2017 Term Loan B, LIBOR + 2.500%, 3.500%, 3/01/2024(a)   6,376,306 
 19,573,645   Elanco Animal Health, Inc., Term Loan B, 1-month LIBOR + 1.750%, 1.836%, 8/01/2027(b)   19,321,928 
 4,925,273   Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 Week LIBOR + 2.000%, 2.072%, 11/15/2027(b)   4,843,168 
    

 

 

 
     34,804,167 
    

 

 

 
  Property & Casualty Insurance — 0.1%

 

 2,659,200   USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 3.132%, 5/16/2024(b)   2,639,734 
 2,087,838   USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 3.250%, 3.382%, 12/02/2026(b)   2,072,827 
    

 

 

 
     4,712,561 
    

 

 

 
  Restaurants — 0.2%

 

 18,171,338   1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 1.837%, 11/19/2026(b)   17,936,564 
    

 

 

 
  Technology — 0.6%

 

 9,777,738   Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 1.834%, 1/02/2026(b)   9,679,961 
 19,673,393   ON Semiconductor Corp., 2019 Term Loan B, 1-month LIBOR + 2.000%, 2.084%, 9/19/2026(b)   19,641,522 
 1,924,856   Sabre GLBL, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.084%, 2/22/2024(b)   1,900,449 
 3,547,052   Sabre GLBL, Inc., 2021 Term Loan B1, 1-month LIBOR + 3.500%, 4.000%, 12/17/2027(b)   3,525,982 
 5,654,211   Sabre GLBL, Inc., 2021 Term Loan B2, 1-month LIBOR + 3.500%, 4.000%, 12/17/2027(b)   5,620,625 
 9,584,398   SS&C Technologies Inc., 2018 Term Loan B5, 1-month LIBOR + 1.750%, 1.834%, 4/16/2025(b)   9,492,580 
    

 

 

 
     49,861,119 
    

 

 

 
  Transportation Services — 0.2%

 

 10,388,901   Uber Technologies, Inc., 2021 Term Loan B, 1-month LIBOR + 3.500%, 3.584%, 2/25/2027(b)   10,380,278 
 4,673,193   WEX, Inc., 2021 Term Loan, 1-month LIBOR + 2.250%, 2.334%, 3/31/2028(b)   4,651,136 
    

 

 

 
     15,031,414 
    

 

 

 
  Wireless — 0.2%

 

 2,375,530   Asurion LLC, 2018 Term Loan B6, 1-month LIBOR + 3.125%, 3.209%, 11/03/2023(b)   2,360,683 
 15,698,240   Asurion LLC, 2020 Term Loan B8, 1-month LIBOR + 3.250%, 3.334%, 12/23/2026(b)   15,457,115 
    

 

 

 
     17,817,798 
    

 

 

 
  Total Senior Loans
(Identified Cost $453,853,278)
   452,424,697 
    

 

 

 
    

 

See accompanying notes to financial statements.

 

|  42


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
 Short-Term Investments — 11.0% 
$770,683,768   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $770,683,768 on 10/01/2021 collateralized by $117,000,000 U.S. Treasury Bond, 3.875% due 8/15/2040 valued at $153,429,939; $117,829,600 U.S. Treasury Bond, 1.125% due 8/15/2040 valued at $101,526,726; $588,165,000 U.S. Treasury Bond, 1.375% due 11/15/2040 valued at $531,140,786 including accrued interest (Note 2 of Notes to Financial Statements)  $770,683,768 
 186,490,000   U.S. Treasury Bills, 0.002%-0.014%, 10/12/2021(i)(j)   186,488,363 
 13,380,000   U.S. Treasury Bills, 0.010%, 10/07/2021(i)   13,379,916 
    

 

 

 
  Total Short-Term Investments
(Identified Cost $970,553,291)
   970,552,047 
    

 

 

 
    
  Total Investments — 107.7%
(Identified Cost $9,398,037,659)
   9,531,458,909 
  Other assets less liabilities — (7.7)%   (681,908,562
    

 

 

 
  Net Assets — 100.0%  $8,849,550,347 
    

 

 

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

 

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

 

 (††)   Amount shown represents units. One unit represents a principal amount of 100.

 

 (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 September 30, 2021 is disclosed.

 

 (b)   Variable rate security. Rate as of September 30, 2021 is disclosed.

 

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

 

 (d)   Fair valued by the Fund’s adviser. At September 30, 2021, the value of these securities amounted to $1,001,922 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

 (e)   The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

 (f)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open TBA transactions.

 

 (g)   When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.

 

 (h)   Position is unsettled. Contract rate was not determined at September 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

 

 (i)   Interest rate represents discount rate at time of purchase; not a coupon rate.

 

 (j)   The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021, the value of Rule 144A holdings amounted to $2,193,450,851 or 24.8% of net assets.

 

 ABS   Asset-Backed Securities

 

 EMTN   Euro Medium Term Note

 

 FHLMC   Federal Home Loan Mortgage Corp.

 

 FNMA   Federal National Mortgage Association

 

 GMTN   Global Medium Term Note

 

 GNMA   Government National Mortgage Association

 

 LIBOR   London Interbank Offered Rate

 

 MTN   Medium Term Note

 

 REITs   Real Estate Investment Trusts

 

 REMIC   Real Estate Mortgage Investment Conduit

 

 SOFR   Secured Overnight Financing Rate

 

 TBA   To Be Announced

 

 UMBS®   Uniform Mortgage-Backed Securities

 

    
 MXN   Mexican Peso

 

 UYU   Uruguayan Peso

 

Industry Summary at September 30, 2021

 

Mortgage Related

   25.4

Treasuries

   16.1 

Banking

   9.0 

Sovereigns

   3.4 

Technology

   3.4 

Government Owned - No Guarantee

   2.7 

Finance Companies

   2.4 

Electric

   2.3 

Automotive

   2.1 

Other Investments, less than 2% each

   29.9 

Short-Term Investments

   11.0 
  

 

 

 

Total Investments

   107.7 

Other assets less liabilities

   (7.7
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

43  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Credit Income Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 92.6% of Net Assets 
 Non-Convertible Bonds — 87.5% 
  Aerospace & Defense — 3.4%

 

$125,000   Boeing Co. (The), 2.196%, 2/04/2026  $125,921 
 20,000   Boeing Co. (The), 2.250%, 6/15/2026   20,329 
 20,000   Boeing Co. (The), 2.950%, 2/01/2030   20,392 
 5,000   Boeing Co. (The), 3.100%, 5/01/2026   5,285 
 10,000   Boeing Co. (The), 3.200%, 3/01/2029   10,406 
 5,000   Boeing Co. (The), 3.250%, 2/01/2035   5,000 
 5,000   Boeing Co. (The), 3.375%, 6/15/2046   4,815 
 5,000   Boeing Co. (The), 3.500%, 3/01/2039   5,012 
 15,000   Boeing Co. (The), 3.550%, 3/01/2038   15,236 
 220,000   Boeing Co. (The), 3.625%, 2/01/2031   235,512 
 5,000   Boeing Co. (The), 3.625%, 3/01/2048   4,909 
 40,000   Boeing Co. (The), 3.750%, 2/01/2050   40,554 
 15,000   Boeing Co. (The), 3.825%, 3/01/2059   14,714 
 10,000   Boeing Co. (The), 3.850%, 11/01/2048   10,189 
 15,000   Boeing Co. (The), 3.900%, 5/01/2049   15,441 
 30,000   Boeing Co. (The), 3.950%, 8/01/2059   30,789 
 40,000   Boeing Co. (The), 5.150%, 5/01/2030   46,948 
 20,000   Boeing Co. (The), 5.805%, 5/01/2050   26,659 
 30,000   Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025   32,492 
 20,000   Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030   22,574 
 5,000   Spirit AeroSystems, Inc., 4.600%, 6/15/2028   4,963 
 30,000   Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A   31,762 
 125,000   Textron, Inc., 3.000%, 6/01/2030   131,349 
    

 

 

 
     861,251 
    

 

 

 
  Airlines — 0.6%

 

 75,745   American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030   73,172 
 15,000   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A   15,769 
 15,000   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A   16,162 
 14,014   United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027   14,827 
 10,000   United Airlines, Inc., 4.375%, 4/15/2026, 144A   10,263 
 15,000   United Airlines, Inc., 4.625%, 4/15/2029, 144A   15,502 
    

 

 

 
     145,695 
    

 

 

 
  Automotive — 1.7%

 

 60,000   Allison Transmission, Inc., 3.750%, 1/30/2031, 144A   58,350 
 40,000   Ford Motor Co., 9.000%, 4/22/2025   48,101 
 30,000   Ford Motor Co., 9.625%, 4/22/2030   42,464 
 170,000   General Motors Co., 5.200%, 4/01/2045   207,017 
 40,000   General Motors Co., 6.250%, 10/02/2043   53,878 
 5,000   General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(a)   5,756 
    

 

 

 
     415,566 
    

 

 

 
  Banking — 10.0%

 

 65,000   Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(a)   67,655 
 50,000   Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(a)   52,250 
 270,000   Bank of America Corp., MTN, 4.250%, 10/22/2026(b)   303,910 
 200,000   Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035   207,495 
 215,000   Citigroup, Inc., 4.450%, 9/29/2027(b)   244,496 
 250,000   Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A(b)   269,807 
 150,000   Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031   160,068 
 390,000   Morgan Stanley, 3.625%, 1/20/2027(b)   429,912 
  Banking — continued

 

200,000   NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027  199,987 
 115,000   Santander Holdings USA, Inc., 3.244%, 10/05/2026   122,845 
 200,000   Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A   207,255 
 200,000   Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(b)   230,700 
    

 

 

 
     2,496,380 
    

 

 

 
  Brokerage — 1.3%

 

 15,000   Jefferies Group LLC, 6.250%, 1/15/2036   20,149 
 180,000   Jefferies Group LLC, 6.500%, 1/20/2043   249,736 
 60,000   Owl Rock Technology Finance Corp., 2.500%, 1/15/2027   60,233 
    

 

 

 
     330,118 
    

 

 

 
  Building Materials — 0.4%

 

 40,000   Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A   42,400 
 55,000   JELD-WEN, Inc., 4.875%, 12/15/2027, 144A   57,312 
    

 

 

 
     99,712 
    

 

 

 
  Cable Satellite — 3.2%

 

 120,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A   122,059 
 120,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A   123,807 
 90,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062   86,822 
 165,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050   185,164 
 15,000   DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.875%, 8/15/2027, 144A   15,656 
 40,000   DISH DBS Corp., 5.125%, 6/01/2029   39,192 
 5,000   Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A   5,406 
 200,000   Time Warner Cable LLC, 4.500%, 9/15/2042   218,868 
    

 

 

 
     796,974 
    

 

 

 
  Chemicals — 1.5%

 

 70,000   CF Industries, Inc., 4.500%, 12/01/2026, 144A   79,812 
 15,000   FMC Corp., 3.450%, 10/01/2029   16,188 
 60,000   Hercules LLC, 6.500%, 6/30/2029   68,163 
 200,000   Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A   201,488 
    

 

 

 
     365,651 
    

 

 

 
  Consumer Cyclical Services — 3.5%

 

 185,000   Expedia Group, Inc., 3.250%, 2/15/2030   191,328 
 50,000   Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A   49,562 
 45,000   TriNet Group, Inc., 3.500%, 3/01/2029, 144A   45,113 
 115,000   Uber Technologies, Inc., 7.500%, 5/15/2025, 144A   122,590 
 325,000   Uber Technologies, Inc., 4.500%, 8/15/2029, 144A   327,234 
 5,000   Uber Technologies, Inc., 7.500%, 9/15/2027, 144A   5,459 
 115,000   Uber Technologies, Inc., 8.000%, 11/01/2026, 144A   121,541 
    

 

 

 
     862,827 
    

 

 

 
  Electric — 1.6%

 

 15,000   AES Corp. (The), 2.450%, 1/15/2031   14,794 
 5,000   AES Corp. (The), 3.950%, 7/15/2030, 144A   5,498 
 85,000   Calpine Corp., 3.750%, 3/01/2031, 144A   81,812 
 40,000   Calpine Corp., 5.125%, 3/15/2028, 144A   40,509 
 20,000   IPALCO Enterprises, Inc., 4.250%, 5/01/2030   22,435 
 35,000   NRG Energy, Inc., 4.450%, 6/15/2029, 144A   38,724 
 35,000   NRG Energy, Inc., 5.250%, 6/15/2029, 144A   37,231 

 

See accompanying notes to financial statements.

 

|  44


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Electric — continued

 

$140,000   Pacific Gas & Electric Co., 3.500%, 8/01/2050  $127,321 
 20,000   Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A   21,092 
    

 

 

 
     389,416 
    

 

 

 
  Finance Companies — 6.6%

 

 150,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028   161,043 
 105,000   Air Lease Corp., 3.125%, 12/01/2030   107,568 
 205,000   Air Lease Corp., MTN, 3.000%, 2/01/2030   208,015 
 40,000   Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(a)   41,850 
 125,000   Aircastle Ltd., 4.125%, 5/01/2024   132,966 
 15,000   Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(a)   15,349 
 100,000   Ares Capital Corp., 2.875%, 6/15/2028   101,302 
 25,000   Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A   24,910 
 35,000   FS KKR Capital Corp., 3.400%, 1/15/2026   36,571 
 200,000   GE Capital Funding LLC, 4.400%, 5/15/2030   231,744 
 75,000   Navient Corp., 5.000%, 3/15/2027   77,250 
 35,000   Oaktree Specialty Lending Corp., 2.700%, 1/15/2027   35,111 
 10,000   OneMain Finance Corp., 7.125%, 3/15/2026   11,587 
 50,000   Owl Rock Capital Corp., 2.625%, 1/15/2027   50,088 
 50,000   Owl Rock Capital Corp., 2.875%, 6/11/2028   49,907 
 80,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A   78,176 
 75,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A   75,844 
 155,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   156,356 
 55,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A   54,587 
    

 

 

 
     1,650,224 
    

 

 

 
  Financial Other — 1.0%

 

 115,000   Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A   113,713 
 30,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029   29,963 
 115,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027   119,312 
    

 

 

 
     262,988 
    

 

 

 
  Food & Beverage — 3.0%

 

 150,000   Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(b)   156,934 
 145,000   Kraft Heinz Foods Co., 4.375%, 6/01/2046   165,444 
 95,000   Kraft Heinz Foods Co., 4.875%, 10/01/2049   115,624 
 10,000   Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A   10,171 
 50,000   Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A   53,162 
 60,000   Post Holdings, Inc., 4.625%, 4/15/2030, 144A   60,464 
 190,000   Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A   191,244 
    

 

 

 
     753,043 
    

 

 

 
  Gaming — 0.7%

 

 85,000   MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A   90,525 
 15,000   Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A   14,826 
 55,000   Scientific Games International, Inc., 7.000%, 5/15/2028, 144A   59,331 
 5,000   Scientific Games International, Inc., 7.250%, 11/15/2029, 144A   5,618 
    

 

 

 
     170,300 
    

 

 

 
  Health Insurance — 0.6%

 

90,000   Centene Corp., 2.500%, 3/01/2031  88,763 
 35,000   Centene Corp., 2.625%, 8/01/2031   34,763 
 20,000   Centene Corp., 3.000%, 10/15/2030   20,500 
 5,000   Centene Corp., 4.625%, 12/15/2029   5,449 
    

 

 

 
     149,475 
    

 

 

 
  Healthcare — 2.3%

 

 15,000   Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A   14,729 
 10,000   Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A   10,212 
 75,000   Cigna Corp., 4.375%, 10/15/2028   86,671 
 5,000   Encompass Health Corp., 4.750%, 2/01/2030   5,259 
 165,000   HCA, Inc., 4.125%, 6/15/2029   184,309 
 100,000   HCA, Inc., 5.250%, 6/15/2049   127,635 
 90,000   Hologic, Inc., 3.250%, 2/15/2029, 144A   90,043 
 25,000   Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A   25,904 
 30,000   Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A   31,514 
    

 

 

 
     576,276 
    

 

 

 
  Home Construction — 0.8%

 

 90,000   Lennar Corp., 4.750%, 11/29/2027   104,283 
 70,000   PulteGroup, Inc., 6.000%, 2/15/2035   90,475 
    

 

 

 
     194,758 
    

 

 

 
  Independent Energy — 2.4%

 

 150,000   Aker BP ASA, 4.000%, 1/15/2031, 144A   163,155 
 10,000   Cimarex Energy Co., 4.375%, 6/01/2024   10,783 
 20,000   Continental Resources, Inc., 3.800%, 6/01/2024   21,016 
 40,000   Continental Resources, Inc., 5.750%, 1/15/2031, 144A   48,350 
 20,000   Diamondback Energy, Inc., 3.125%, 3/24/2031   20,768 
 25,000   Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A   25,585 
 40,000   Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A   41,086 
 5,000   EQT Corp., 3.125%, 5/15/2026, 144A   5,126 
 10,000   EQT Corp., 3.625%, 5/15/2031, 144A   10,420 
 5,000   EQT Corp., 5.000%, 1/15/2029   5,630 
 55,000   Hess Corp., 4.300%, 4/01/2027   61,086 
 60,000   Hess Corp., 5.600%, 2/15/2041   74,967 
 30,000   Occidental Petroleum Corp., 5.550%, 3/15/2026   33,300 
 45,000   Ovintiv Exploration, Inc., 5.375%, 1/01/2026   50,880 
 20,000   Ovintiv Exploration, Inc., 5.625%, 7/01/2024   22,177 
    

 

 

 
     594,329 
    

 

 

 
  Industrial Other — 0.1%

 

 20,000   TopBuild Corp., 4.125%, 2/15/2032, 144A   20,200 
    

 

 

 
  Leisure — 0.6%

 

 55,000   Carnival Corp., 5.750%, 3/01/2027, 144A   56,856 
 30,000   NCL Corp. Ltd., 5.875%, 3/15/2026, 144A   30,750 
 10,000   NCL Finance Ltd., 6.125%, 3/15/2028, 144A   10,375 
 60,000   Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A   61,369 
    

 

 

 
     159,350 
    

 

 

 
  Life Insurance — 0.8%

 

 50,000   Athene Global Funding, 1.608%, 6/29/2026, 144A   49,964 
 95,000   Athene Global Funding, 2.550%, 11/19/2030, 144A   95,143 
 30,000   Athene Holding Ltd., 3.500%, 1/15/2031   32,121 
 30,000   CNO Financial Group, Inc., 5.250%, 5/30/2029   35,247 
    

 

 

 
     212,475 
    

 

 

 
  Lodging — 1.2%

 

 60,000   Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A   59,100 
 40,000   Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A   40,774 

 

See accompanying notes to financial statements.

 

45  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Lodging — continued

 

$10,000   Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A  $10,037 
 25,000   Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A   25,500 
 5,000   Hyatt Hotels Corp., 5.375%, 4/23/2025   5,585 
 15,000   Hyatt Hotels Corp., 5.750%, 4/23/2030   18,006 
 3,000   Marriott International, Inc., Series EE, 5.750%, 5/01/2025   3,431 
 25,000   Marriott International, Inc., Series FF, 4.625%, 6/15/2030   28,562 
 20,000   Marriott International, Inc., Series HH, 2.850%, 4/15/2031   20,256 
 20,000   Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A   20,250 
 75,000   Travel & Leisure Co., 4.625%, 3/01/2030, 144A   77,062 
    

 

 

 
     308,563 
    

 

 

 
  Media Entertainment — 2.5%

 

 25,000   AMC Networks, Inc., 4.250%, 2/15/2029   24,875 
 60,000   Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A   62,089 
 85,000   iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A   87,592 
 75,000   iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A   77,930 
 35,000   iHeartCommunications, Inc., 8.375%, 5/01/2027   37,406 
 25,000   Lamar Media Corp., 3.750%, 2/15/2028   25,715 
 30,000   Lamar Media Corp., 4.000%, 2/15/2030   30,885 
 10,000   Netflix, Inc., 4.875%, 4/15/2028   11,525 
 120,000   Netflix, Inc., 4.875%, 6/15/2030, 144A   141,300 
 115,000   ViacomCBS, Inc., 4.375%, 3/15/2043   131,555 
    

 

 

 
     630,872 
    

 

 

 
  Metals & Mining — 3.7%

 

 45,000   Allegheny Technologies, Inc., 5.875%, 12/01/2027   47,587 
 200,000   Anglo American Capital PLC, 4.500%, 3/15/2028, 144A   225,525 
 35,000   ArcelorMittal S.A., 7.000%, 10/15/2039   49,394 
 200,000   First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A   211,500 
 45,000   FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A   46,501 
 60,000   Freeport-McMoRan, Inc., 4.625%, 8/01/2030   64,875 
 40,000   Freeport-McMoRan, Inc., 5.400%, 11/14/2034   48,050 
 10,000   Freeport-McMoRan, Inc., 5.450%, 3/15/2043   12,313 
 135,000   Glencore Funding LLC, 3.875%, 10/27/2027, 144A   147,502 
 20,000   Glencore Funding LLC, 4.000%, 3/27/2027, 144A   21,995 
 35,000   Novelis Corp., 4.750%, 1/30/2030, 144A   36,844 
 10,000   Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A   9,735 
    

 

 

 
     921,821 
    

 

 

 
  Midstream — 2.4%

 

 115,000   Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027   132,952 
 55,000   Energy Transfer LP, 4.000%, 10/01/2027   60,679 
 30,000   EnLink Midstream Partners LP, 5.450%, 6/01/2047   28,945 
 35,000   EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028   38,452 
 15,000   Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A   15,169 
 50,000   Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A   51,875 
 80,000   NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A   90,797 
 15,000   Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030   16,014 
  Midstream — continued

 

35,000   Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043  35,940 
 35,000   Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044   37,562 
 15,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A   15,502 
 60,000   Valero Energy Partners LP, 4.500%, 3/15/2028   67,734 
    

 

 

 
     591,621 
    

 

 

 
  Paper — 0.2%

 

 45,000   Suzano Austria GmbH, 3.750%, 1/15/2031   46,226 
    

 

 

 
  Pharmaceuticals — 2.3%

 

 245,000   Merck & Co., Inc., 2.350%, 2/10/2022(b)   246,886 
 50,000   Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036   54,657 
 70,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   67,025 
 250,000   Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046   215,625 
    

 

 

 
     584,193 
    

 

 

 
  Property & Casualty Insurance — 1.0%

 

 175,000   Fidelity National Financial, Inc., 2.450%, 3/15/2031   174,060 
 65,000   Sirius International Group Ltd., 4.600%, 11/01/2026, 144A   66,369 
    

 

 

 
     240,429 
    

 

 

 
  REITs – Apartments — 0.0%

 

 10,000   American Homes 4 Rent, 2.375%, 7/15/2031   9,906 
    

 

 

 
  REITs – Mortgage — 0.2%

 

 15,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A   14,850 
 25,000   Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A   25,311 
    

 

 

 
     40,161 
    

 

 

 
  REITs – Office Property — 0.0%

 

 10,000   Corporate Office Properties LP, 2.750%, 4/15/2031   10,101 
    

 

 

 
  REITs – Shopping Centers — 0.8%

 

 115,000   Brixmor Operating Partnership LP, 4.050%, 7/01/2030   128,414 
 75,000   SITE Centers Corp., 3.625%, 2/01/2025   79,476 
    

 

 

 
     207,890 
    

 

 

 
  Restaurants — 1.0%

 

 125,000   1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A   126,901 
 45,000   Yum! Brands, Inc., 4.625%, 1/31/2032   48,038 
 60,000   Yum! Brands, Inc., 4.750%, 1/15/2030, 144A   65,029 
    

 

 

 
     239,968 
    

 

 

 
  Retailers — 0.8%

 

 55,000   Carvana Co., 5.625%, 10/01/2025, 144A   56,864 
 92,525   CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A   102,158 
 20,000   Lithia Motors, Inc., 3.875%, 6/01/2029, 144A   20,796 
 10,000   Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A   10,063 
    

 

 

 
     189,881 
    

 

 

 
  Sovereigns — 0.8%

 

 200,000   Mexico Government International Bond, 4.280%, 8/14/2041   204,060 
    

 

 

 
  Technology — 4.8%

 

 85,000   Avnet, Inc., 4.625%, 4/15/2026   94,794 
 115,000   Broadcom, Inc., 4.300%, 11/15/2032   128,873 
 130,000   CommScope Technologies LLC, 5.000%, 3/15/2027, 144A   123,651 

 

See accompanying notes to financial statements.

 

|  46


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
  Technology — continued

 

$60,000   CommScope, Inc., 4.750%, 9/01/2029, 144A  $59,925 
 5,000   Everi Holdings, Inc., 5.000%, 7/15/2029, 144A   5,123 
 55,000   IHS Markit Ltd., 4.250%, 5/01/2029   62,679 
 60,000   Iron Mountain, Inc., 5.250%, 7/15/2030, 144A   63,674 
 35,000   Jabil, Inc., 1.700%, 4/15/2026   35,184 
 30,000   Marvell Technology, Inc., 2.450%, 4/15/2028, 144A   30,563 
 25,000   Marvell Technology, Inc., 2.950%, 4/15/2031, 144A   25,697 
 265,000   Micron Technology, Inc., 4.663%, 2/15/2030   305,876 
 25,000   MSCI, Inc., 3.250%, 8/15/2033, 144A   25,286 
 60,000   Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A   61,650 
 60,000   Qorvo, Inc., 3.375%, 4/01/2031, 144A   63,264 
 10,000   Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A   11,558 
 60,000   SYNNEX Corp., 1.750%, 8/09/2026, 144A   59,358 
 35,000   Verisk Analytics, Inc., 4.125%, 3/15/2029   39,749 
    

 

 

 
     1,196,904 
    

 

 

 
  Treasuries — 15.6%

 

 135,000   U.S. Treasury Bond, 1.125%, 8/15/2040   116,174 
 430,000   U.S. Treasury Bond, 1.875%, 2/15/2051   410,045 
 1,705,000   U.S. Treasury Note, 0.125%, 1/31/2023(b)(c)   1,704,134 
 780,000   U.S. Treasury Note, 0.125%, 4/30/2023   778,964 
 875,000   U.S. Treasury Note, 0.250%, 9/30/2023   874,317 
    

 

 

 
     3,883,634 
    

 

 

 
  Wireless — 2.7%

 

 80,000   Crown Castle International Corp., 2.500%, 7/15/2031   79,935 
 70,000   SBA Communications Corp., 3.125%, 2/01/2029, 144A   67,638 
 30,000   Sprint Capital Corp., 6.875%, 11/15/2028   38,400 
 130,000   T-Mobile USA, Inc., 3.375%, 4/15/2029   135,622 
 65,000   T-Mobile USA, Inc., 3.500%, 4/15/2031   68,551 
 265,000   T-Mobile USA, Inc., 3.875%, 4/15/2030   292,603 
    

 

 

 
     682,749 
    

 

 

 
  Wirelines — 1.4%

 

 130,000   AT&T, Inc., 3.650%, 6/01/2051(b)   132,468 
 150,000   Telefonica Emisiones S.A., 5.520%, 3/01/2049   196,311 
 20,000   Verizon Communications, Inc., 2.850%, 9/03/2041   19,520 
    

 

 

 
     348,299 
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $21,349,732)
   21,844,286 
    

 

 

 
    
 Convertible Bonds — 5.1% 
  Airlines — 0.6%

 

 20,000   JetBlue Airways Corp., 0.500%, 4/01/2026, 144A   19,597 
 80,000   Southwest Airlines Co., 1.250%, 5/01/2025   119,500 
    

 

 

 
     139,097 
    

 

 

 
  Cable Satellite — 1.5%

 

 25,000   DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025, 144A(d)   29,875 
 340,000   DISH Network Corp., 3.375%, 8/15/2026   353,430 
    

 

 

 
     383,305 
    

 

 

 
  Consumer Cyclical Services — 0.3%

 

 25,000   Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(d)   26,992 
 25,000   Peloton Interactive, Inc., Zero Coupon, 0.000%-1.003%, 2/15/2026, 144A(e)   22,007 
 35,000   Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(d)   34,042 
    

 

 

 
     83,041 
    

 

 

 
  Gaming — 0.1%

 

 10,000   Penn National Gaming, Inc., 2.750%, 5/15/2026   31,910 
    

 

 

 
  Healthcare — 0.5%

 

120,000   Teladoc Health, Inc., 1.250%, 6/01/2027  120,532 
    

 

 

 
  Media Entertainment — 0.2%

 

 35,000   Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(d)   32,492 
 5,000   Zynga, Inc., Zero Coupon, 0.779%, 12/15/2026, 144A(d)   4,828 
    

 

 

 
     37,320 
    

 

 

 
  Pharmaceuticals — 1.2%

 

 240,000   BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027   240,198 
 15,000   Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(d)   17,175 
 25,000   Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(d)   22,718 
 10,000   Livongo Health, Inc., 0.875%, 6/01/2025   13,211 
    

 

 

 
     293,302 
    

 

 

 
  Technology — 0.7%

 

 80,000   Palo Alto Networks, Inc., 0.375%, 6/01/2025   132,086 
 40,000   Splunk, Inc., 1.125%, 6/15/2027   39,225 
    

 

 

 
     171,311 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $1,204,578)
   1,259,818 
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $22,554,310)
   23,104,104 
    

 

 

 
    
 Collateralized Loan Obligations — 3.0% 
 250,000   AIMCO CLO Ltd., Series 2021-14A, Class D, 3-month LIBOR + 2.900%, 3.098%, 4/20/2034, 144A(f)   249,995 
 250,000   Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.900%, 3.026%, 7/15/2030, 144A(f)   249,998 
 250,000   Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.384%, 4/20/2034, 144A(f)   251,339 
    

 

 

 
  Total Collateralized Loan Obligations
(Identified Cost $750,000)
   751,332 
    

 

 

 
    
Shares          
 Preferred Stocks — 2.8% 
 Convertible Preferred Stocks — 2.8% 
  Banking — 1.0%

 

 97   Bank of America Corp., Series L, 7.250%   139,915 
 83   Wells Fargo & Co., Class A, Series L, 7.500%   123,006 
    

 

 

 
     262,921 
    

 

 

 
  Food & Beverage — 0.7%

 

 1,391   Bunge Ltd., 4.875%   165,449 
    

 

 

 
  Wireless — 1.1%

 

 250   2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(g)(h)   282,692 
    

 

 

 
  Total Convertible Preferred Stocks
(Identified Cost $702,116)
   711,062 
    

 

 

 
    
  Total Preferred Stocks
(Identified Cost $702,116)
   711,062 
    

 

 

 

 

See accompanying notes to financial statements.

 

47  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Credit Income Fund – (continued)

 

Principal
Amount
   Description  Value (†) 
 Short-Term Investments — 2.5%  
$624,662   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $624,662 on 10/01/2021 collateralized by $640,500 U.S. Treasury Note, 1.250% due 9/30/2028 valued at $637,198 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $624,662)
  $624,662 
    

 

 

 
    
  Total Investments — 100.9%
(Identified Cost $24,631,088)
   25,191,160 
  Other assets less liabilities — (0.9)%   (235,620
    

 

 

 
  Net Assets — 100.0%  $24,955,540 
    

 

 

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

 

 (a)   Perpetual bond with no specified maturity date.

 

 (b)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

 (c)   Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

 (d)   Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

 (e)   Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.

 

 (f)   Variable rate security. Rate as of September 30, 2021 is disclosed.

 

 (g)   Illiquid security. (Unaudited)

 

 (h)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2021, the value of these securities amounted to $282,692 or 1.1% of net assets. See Note 2 of Notes to Financial Statements.

 

    
 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021, the value of Rule 144A holdings amounted to $7,998,989 or 32.1% of net assets.

 

 LIBOR   London Interbank Offered Rate

 

 MTN   Medium Term Note

 

 REITs   Real Estate Investment Trusts

 

At September 30, 2021, open short futures contracts were as follows:

 

Financial Futures Expiration
Date
  Contracts  Notional
Amount
  Value  Unrealized
Appreciation
(Depreciation)
 

Ultra 10 Year U.S. Treasury Note

  12/21/2021   16  $2,359,718  $2,324,000  $35,718 
     

 

 

 

Industry Summary at September 30, 2021

 

  

Treasuries

   15.6

Banking

   11.0 

Finance Companies

   6.6 

Technology

   5.5 

Cable Satellite

   4.7 

Wireless

   3.8 

Consumer Cyclical Services

   3.8 

Metals & Mining

   3.7 

Food & Beverage

   3.7 

Pharmaceuticals

   3.5 

Aerospace & Defense

   3.4 

Healthcare

   2.8 

Media Entertainment

   2.7 

Independent Energy

   2.4 

Midstream

   2.4 

Other Investments, less than 2% each

   19.8 

Collateralized Loan Obligations

   3.0 

Short-Term Investments

   2.5 
  

 

 

 

Total Investments

   100.9 

Other assets less liabilities (including futures contracts)

   (0.9
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  48


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund

 

    
Shares
   Description  Value (†) 
 Common Stocks — 68.3% of Net Assets 
  Canada — 1.4%

 

 1,147,249   Canada Goose Holdings, Inc.(a)  $40,968,003 
 362,764   Descartes Systems Group, Inc. (The)(a)   29,528,634 
    

 

 

 
     70,496,637 
    

 

 

 
  China — 0.8%

 

 251,023   Alibaba Group Holding Ltd., Sponsored ADR(a)   37,163,955 
    

 

 

 
  France — 0.8%

 

 722,714   Dassault Systemes SE   38,033,194 
    

 

 

 
  Hong Kong — 0.7%

 

 2,898,200   AIA Group Ltd.   33,342,052 
    

 

 

 
  India — 1.2%

 

 2,690,437   HDFC Bank Ltd.   57,516,834 
    

 

 

 
  Japan — 1.3%

 

 1,710,461   Nomura Research Institute Ltd.   62,870,911 
    

 

 

 
  Netherlands — 3.5%

 

 229,666   ASML Holding NV   171,573,864 
    

 

 

 
  Sweden — 1.1%

 

 937,369   Atlas Copco AB, Class A   56,603,634 
    

 

 

 
  Taiwan — 2.2%

 

 5,112,000   Taiwan Semiconductor Manufacturing Co. Ltd.   105,726,810 
    

 

 

 
  United Kingdom — 3.3%

 

 557,068   Farfetch Ltd., Class A(a)   20,878,909 
 869,975   Halma PLC   33,183,893 
 370,983   Linde PLC   108,838,993 
    

 

 

 
     162,901,795 
    

 

 

 
  United States — 52.0%

 

 304,439   Accenture PLC, Class A   97,396,125 
 964,607   Airbnb, Inc., Class A(a)   161,812,824 
 6,127   Alphabet, Inc., Class C(a)   16,330,354 
 48,559   Alphabet, Inc., Class A(a)   129,823,458 
 43,213   Amazon.com, Inc.(a)   141,956,434 
 264,894   Copart, Inc.(a)   36,746,096 
 219,531   Costco Wholesale Corp.   98,646,255 
 477,365   Cummins, Inc.   107,197,084 
 505,058   Danaher Corp.   153,759,858 
 1,709,250   Dropbox, Inc., Class A(a)   49,944,285 
 284,361   Estee Lauder Cos., Inc. (The), Class A   85,288,395 
 325,276   Facebook, Inc., Class A(a)   110,395,422 
 91,353   Goldman Sachs Group, Inc. (The)   34,534,175 
 245,807   Home Depot, Inc. (The)   80,688,606 
 544,589   IQVIA Holdings, Inc.(a)   130,450,849 
 231,630   M&T Bank Corp.   34,591,624 
 304,881   MasterCard, Inc., Class A   106,001,026 
 47,335   Mettler-Toledo International, Inc.(a)   65,197,336 
 133,527   Northrop Grumman Corp.   48,089,749 
 480,770   NVIDIA Corp.   99,596,313 
 809,310   Peloton Interactive, Inc., Class A(a)   70,450,435 
 203,465   Roper Technologies, Inc.   90,771,840 
 284,643   S&P Global, Inc.   120,941,964 
 508,609   salesforce.com, Inc.(a)   137,944,933 
 298,164   Sherwin-Williams Co. (The)   83,405,416 
 309,450   Texas Instruments, Inc.   59,479,384 
 270,076   UnitedHealth Group, Inc.   105,529,496 
 96,301   Vail Resorts, Inc.(a)   32,169,349 
 226,834   VeriSign, Inc.(a)   46,503,238 
    

 

 

 
     2,535,642,323 
    

 

 

 
  Total Common Stocks
(Identified Cost $2,284,347,624)
   3,331,872,009 
    

 

 

 
Principal
Amount (‡)
   Description  Value (†) 
 Bonds and Notes — 30.3% 
 Non-Convertible Bonds — 28.3% 
  Australia — 0.4%

 

 3,010,000   Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(b)  $2,359,885 
 800,000   FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A   826,680 
 670,000   GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(b)   725,065 
 3,560,000   Glencore Funding LLC, 1.625%, 9/01/2025, 144A(b)   3,574,382 
 4,000,000   Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027, 144A   3,980,484 
 11,610,000   New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD)(b)   8,386,569 
 95,000   Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A   100,790 
 1,370,000   Westpac Banking Corp., 2.650%, 1/16/2030(b)   1,457,027 
    

 

 

 
     21,410,882 
    

 

 

 
  Belgium — 0.1%

 

 2,745,000   Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR)(b)   3,513,373 
 1,690,000   Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029(b)   1,989,599 
    

 

 

 
     5,502,972 
    

 

 

 
  Brazil — 0.5%

 

 1,150,000   Banco Bradesco S.A., 2.850%, 1/27/2023, 144A   1,167,388 
 1,035,000   Braskem Netherlands Finance BV, 4.500%, 1/10/2028   1,099,584 
 1,785,000   Braskem Netherlands Finance BV, 4.500%, 1/31/2030   1,899,240 
 22,385(††)   Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2031, (BRL)   3,859,778 
 2,685,000   Brazilian Government International Bond, 4.500%, 5/30/2029   2,755,615 
 1,085,000   Brazilian Government International Bond, 4.625%, 1/13/2028   1,140,552 
 2,980,000   BRF S.A., 4.875%, 1/24/2030   2,983,725 
 650,000   Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A   645,775 
 400,000   Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A   399,000 
 1,100,000   Embraer Netherlands Finance BV, 5.050%, 6/15/2025   1,157,750 
 1,250,000   Itau Unibanco Holding S.A., 2.900%, 1/24/2023, 144A   1,268,763 
 2,465,000   Petrobras Global Finance BV, 5.999%, 1/27/2028   2,780,520 
 150,000   Petrobras Global Finance BV, 6.875%, 1/20/2040   171,933 
 575,000   Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A   644,690 
 2,515,000   Suzano Austria GmbH, 2.500%, 9/15/2028   2,445,837 
 1,185,000   Suzano Austria GmbH, 3.125%, 1/15/2032   1,144,414 
 550,000   Suzano Austria GmbH, 3.750%, 1/15/2031   564,988 
    

 

 

 
     26,129,552 
    

 

 

 
  Canada — 5.0%

 

 790,000   1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A   782,100 
 375,651   Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(b)   371,493 

 

See accompanying notes to financial statements.

 

49  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Canada — continued

 

$757,528   Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A(b)  $772,853 
 1,210,000   Antares Holdings LP, 3.950%, 7/15/2026, 144A   1,275,090 
 1,010,000   Antares Holdings LP, 6.000%, 8/15/2023, 144A   1,092,642 
 4,500,000   Bank of Montreal, (fixed rate to 1/22/2026, variable rate thereafter), MTN, 0.949%, 1/22/2027(b)   4,427,190 
 2,675,000   Bank of Nova Scotia (The), 1.050%, 3/02/2026(b)   2,644,847 
 2,525,000   Bank of Nova Scotia (The), 1.300%, 9/15/2026   2,506,444 
 2,835,000   Bell Telephone Co. of Canada/Bell Canada (The), MTN, 3.600%, 9/29/2027, (CAD)   2,410,377 
 1,735,000   Brookfield Finance I UK PLC, 2.340%, 1/30/2032   1,707,176 
 1,015,000   Brookfield Finance, Inc., 3.900%, 1/25/2028(b)   1,126,046 
 2,715,000   Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD)   2,408,003 
 63,600,000   Canadian Government Bond, 0.250%, 2/01/2023, (CAD)(b)   50,104,709 
 61,465,000   Canadian Government Bond, 0.250%, 5/01/2023, (CAD)(b)   48,366,443 
 11,680,000   Canadian Government Bond, 0.500%, 3/01/2022, (CAD)(b)   9,233,341 
 89,175,000   Canadian Government Bond, 0.500%, 9/01/2025, (CAD)(b)   69,142,659 
 970,000   Canadian Imperial Bank of Commerce, 3.500%, 9/13/2023(b)   1,028,195 
 1,800,000   Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023(b)   1,831,780 
 800,000   CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(b)   945,732 
 4,695,000   Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD)   3,871,132 
 430,000   Enbridge, Inc., 2.900%, 7/15/2022(b)   437,651 
 4,770,000   Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD)   3,866,276 
 905,000   Export Development Canada, 1.800%, 9/01/2022, (CAD)(b)   723,814 
 2,965,000   Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD)   2,423,547 
 197,076   Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(b)   153,248 
 4,670,000   Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD)   3,874,264 
 5,000,000   Province of British Columbia Canada, Series 10, 1.750%, 9/27/2024(b)   5,167,098 
 2,355,000   Province of Quebec Canada, 2.300%, 9/01/2029, (CAD)(b)   1,925,779 
 2,725,000   Royal Bank of Canada, 0.875%, 1/20/2026(b)   2,682,519 
 2,040,000   Royal Bank of Canada, 1.200%, 4/27/2026(b)   2,027,387 
 2,475,000   Royal Bank of Canada, GMTN, 2.250%, 11/01/2024(b)   2,583,555 
 2,960,000   Shaw Communications, Inc., 3.300%, 12/10/2029, (CAD)   2,415,487 
 2,500,000   Toronto-Dominion Bank (The), 2.100%, 7/15/2022, 144A(b)   2,537,107 
 1,690,000   Toronto-Dominion Bank (The), GMTN, 3.500%, 7/19/2023(b)   1,785,340 
 1,675,000   Toronto-Dominion Bank (The), MTN, 1.150%, 6/12/2025(b)   1,678,708 
 1,580,000   Videotron Ltd., 5.125%, 4/15/2027, 144A   1,635,300 
    

 

 

 
     241,965,332 
    

 

 

 
  Chile — 0.3%

 

950,000   Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024  1,027,168 
 1,500,000   Chile Government International Bond, 2.450%, 1/31/2031(b)   1,484,895 
 1,005,000   Chile Government International Bond, 2.550%, 1/27/2032(b)   995,784 
 2,580,000   Colbun S.A., 3.150%, 3/06/2030   2,650,950 
 1,960,000   Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A(b)   2,002,920 
 570,000   Corp. Nacional del Cobre de Chile, 3.750%, 1/15/2031, 144A(b)   613,176 
 595,000   Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A   584,588 
 1,980,000   Empresa Nacional del Petroleo, 3.450%, 9/16/2031, 144A   1,940,697 
 525,000   Enel Chile S.A., 4.875%, 6/12/2028(b)   601,125 
 2,690,000   Engie Energia Chile S.A., 3.400%, 1/28/2030   2,763,975 
 800,000   Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(b)   834,400 
 1,120,000   Transelec S.A., 4.250%, 1/14/2025, 144A(b)   1,216,611 
    

 

 

 
     16,716,289 
    

 

 

 
  China — 1.0%

 

 920,000   Alibaba Group Holding Ltd., 3.400%, 12/06/2027(b)   985,416 
 795,000   Baidu, Inc., 3.875%, 9/29/2023(b)   839,448 
 67,500,000   China Government Bond, 4.000%, 11/30/2035, (CNY)(b)   11,930,048 
 98,500,000   China Government Bond, 2.200%, 7/27/2025, (CNY)(b)   15,109,816 
 6,500,000   China Government Bond, 3.390%, 5/21/2025, (CNH)(b)   1,039,091 
 500,000   China Government Bond, 3.480%, 6/29/2027, (CNH)(b)   81,417 
 25,000,000   China Government Bond, 3.900%, 7/04/2036, (CNH)(b)   4,268,256 
 2,600,000   Country Garden Holdings Co. Ltd., 2.700%, 7/12/2026   2,415,187 
 2,435,000   Country Garden Holdings Co. Ltd., 8.000%, 1/27/2024   2,516,060 
 905,000   Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(b)   926,928 
 2,750,000   Shimao Group Holdings Ltd., 3.450%, 1/11/2031   2,448,654 
 2,750,000   Sunac China Holdings Ltd., 5.950%, 4/26/2024   2,213,942 
 625,000   Tencent Holdings Ltd., 2.880%, 4/22/2031, 144A   637,917 
 500,000   Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(b)   513,300 
 1,175,000   Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A(b)   1,239,402 
 1,270,000   Weibo Corp., 3.500%, 7/05/2024(b)   1,322,983 
    

 

 

 
     48,487,865 
    

 

 

 
  Colombia — 0.4%

 

 1,395,000   Colombia Government International Bond, 3.125%, 4/15/2031   1,305,762 
 2,536,000   Ecopetrol S.A., 5.875%, 5/28/2045   2,561,360 
 1,300,000   Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A   1,294,475 
 1,026,000   Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A   1,123,470 
 1,035,000   Millicom International Cellular S.A., 6.625%, 10/15/2026   1,087,785 

 

See accompanying notes to financial statements.

 

|  50


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Colombia — continued

 

$575,000   Republic of Colombia, 3.875%, 4/25/2027  $595,913 
 7,073,300,000   Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP)   1,860,368 
 29,559,900,000   Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(b)   8,040,435 
 870,000   Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A   989,016 
    

 

 

 
     18,858,584 
    

 

 

 
  Denmark — 0.1%

 

 2,055,000   Orsted A/S, EMTN, 2.125%, 5/17/2027, (GBP)   2,886,056 
    

 

 

 
  Dominican Republic — 0.1%

 

 2,160,000   Dominican Republic, 4.500%, 1/30/2030, 144A   2,197,822 
 1,155,000   Dominican Republic, 4.875%, 9/23/2032, 144A   1,178,111 
 590,000   Dominican Republic, 5.950%, 1/25/2027, 144A   662,806 
 995,000   Dominican Republic, 6.000%, 7/19/2028, 144A   1,122,042 
 425,000   Dominican Republic, 8.625%, 4/20/2027, 144A   512,975 
    

 

 

 
     5,673,756 
    

 

 

 
  Egypt — 0.1%

 

 1,515,000   Egypt Government International Bond, 5.250%, 10/06/2025   1,545,603 
 1,435,000   Egypt Government International Bond, 7.625%, 5/29/2032   1,430,021 
    

 

 

 
     2,975,624 
    

 

 

 
  Finland — 0.1%

 

 3,575,000   Nordea Bank Abp, 0.750%, 8/28/2025, 144A(b)   3,534,717 
    

 

 

 
  France — 0.3%

 

 205,000   BNP Paribas S.A., 4.375%, 5/12/2026, 144A(b)   226,400 
 890,000   BNP Paribas S.A., (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A(b)   913,479 
 1,415,000   Caisse d’Amortissement de la Dette Sociale, 1.875%, 2/12/2022(b)   1,423,745 
 250,000   Credit Agricole S.A., 3.250%, 10/04/2024, 144A(b)   266,629 
 4,500,000   Credit Agricole S.A., (fixed rate to 1/26/2026, variable rate thereafter), 1.247%, 1/26/2027, 144A(b)   4,436,404 
 1,300,000   Edenred, 1.875%, 3/06/2026, (EUR)(b)   1,622,197 
 1,400,000   Engie S.A., 1.250%, 10/24/2041, (EUR)(b)   1,637,469 
 500,000   Holding d’Infrastructures de Transport SASU, EMTN, 1.625%, 11/27/2027, (EUR)   615,135 
 500,000   Holding d’Infrastructures de Transport SASU, EMTN, 0.625%, 3/27/2023, (EUR)   584,625 
 1,015,000   Societe Generale S.A., 4.750%, 11/24/2025, 144A(b)   1,126,398 
 230,000   SPCM S.A., 3.125%, 3/15/2027, 144A   230,276 
 215,000   SPCM S.A., 3.375%, 3/15/2030, 144A   214,833 
    

 

 

 
     13,297,590 
    

 

 

 
  Germany — 0.2%

 

 1,165,000   BMW U.S. Capital LLC, 3.150%, 4/18/2024, 144A(b)   1,235,447 
 1,395,000   BMW U.S. Capital LLC, 4.150%, 4/09/2030, 144A(b)   1,609,029 
 1,255,000   Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032   1,295,768 
 680,000   Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032   689,934 
 3,790,000   Kreditanstalt fuer Wiederaufbau, EMTN, 1.250%, 8/28/2023, (NOK)(b)   434,523 
 1,450,000   Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A(b)   1,514,533 
  Germany — continued

 

490,000   Volkswagen Group of America Finance LLC, 1.625%, 11/24/2027, 144A(b)  484,763 
 420,000   Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A(b)   449,026 
    

 

 

 
     7,713,023 
    

 

 

 
  Hong Kong — 0.1%

 

 355,000   AIA Group Ltd., 3.200%, 3/11/2025, 144A(b)   375,597 
 1,405,000   AIA Group Ltd., 3.600%, 4/09/2029(b)   1,538,541 
 1,135,000   AIA Group Ltd., 3.900%, 4/06/2028, 144A(b)   1,262,120 
    

 

 

 
     3,176,258 
    

 

 

 
  India — 0.2%

 

 1,195,000   Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A   1,140,711 
 2,480,000   Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027   2,601,346 
 2,940,000   Bharti Airtel Ltd., 3.250%, 6/03/2031   2,955,828 
 2,790,000   Export-Import Bank of India, 2.250%, 1/13/2031, 144A   2,588,561 
 1,230,000   ICICI Bank Ltd., EMTN, 3.250%, 9/09/2022   1,252,286 
 1,250,000   Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A   1,277,988 
    

 

 

 
     11,816,720 
    

 

 

 
  Indonesia — 0.2%

 

 300,000   Indonesia Government International Bond, 4.125%, 1/15/2025, 144A   328,068 
 735,000   Indonesia Government International Bond, 4.750%, 1/08/2026   833,993 
 50,092,000,000   Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR)(b)   3,643,372 
 43,840,000,000   Indonesia Treasury Bond, Series FR82, 7.000%, 9/15/2030, (IDR)(b)   3,211,615 
 1,475,000   Republic of Indonesia, 2.850%, 2/14/2030(b)   1,527,289 
 525,000   Republic of Indonesia, 4.750%, 1/08/2026, 144A   596,479 
    

 

 

 
     10,140,816 
    

 

 

 
  Ireland — 0.1%

 

 1,250,000   Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A   1,339,665 
 3,710,000   Ireland Government Bond, Zero Coupon, 0.029%, 10/18/2031, (EUR)(b)(c)   4,216,565 
 375,000   Ireland Government Bond, 3.400%, 3/18/2024, (EUR)(b)   477,214 
    

 

 

 
     6,033,444 
    

 

 

 
  Israel — 0.5%

 

 10,950,000   State of Israel, 1.000%, 3/31/2030, (ILS)(b)   3,344,782 
 2,300,000   Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036   2,514,222 
 4,140,000   Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026   3,964,050 
 19,171,000   Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046   16,534,988 
    

 

 

 
     26,358,042 
    

 

 

 
  Italy — 0.6%

 

 175,000   Assicurazioni Generali SpA, EMTN (fixed rate to 10/27/2027, variable rate thereafter), 5.500%, 10/27/2047, (EUR)   249,228 
 200,000   Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A   224,377 
 530,000   Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)   694,030 

 

See accompanying notes to financial statements.

 

51  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Italy — continued

 

 6,965,000   Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR)(b)  $8,510,609 
 3,305,000   Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR)   4,219,259 
 4,255,000   Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)   5,040,613 
 1,975,000   Italy Government International Bond, 2.375%, 10/17/2024   2,048,956 
 3,335,000   Republic of Italy, 2.500%, 11/15/2025, (EUR)   4,264,411 
 630,000   UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A   763,768 
 635,000   UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A   705,383 
    

 

 

 
     26,720,634 
    

 

 

 
  Japan — 0.8%

 

 991,720,800(†††)   Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(b)   9,169,042 
 2,020,350,000   Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)(b)   17,557,322 
 2,020,000   Mizuho Financial Group, Inc., 2.564%, 9/13/2031   1,991,523 
 2,000,000   Mizuho Financial Group, Inc., (fixed rate to 7/10/2023, variable rate thereafter), 1.241%, 7/10/2024(b)   2,023,340 
 2,000,000   Nomura Holdings, Inc., 1.851%, 7/16/2025(b)   2,029,766 
 3,050,000   Sumitomo Mitsui Financial Group, Inc., 1.402%, 9/17/2026   3,024,997 
 1,445,000   Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029(b)   1,531,050 
 2,790,000   Toyota Motor Corp., 2.362%, 3/25/2031(b)   2,884,950 
    

 

 

 
     40,211,990 
    

 

 

 
  Korea — 0.9%

 

 765,000   Export-Import Bank of Korea, 3.000%, 11/01/2022(b)   786,170 
 160,900,000   Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(b)   2,205,931 
 636,300,000   Export-Import Bank of Korea, MTN, 6.900%, 2/07/2023, (INR)(b)(d)(e)   8,767,057 
 1,100,000   Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A(b)   1,144,910 
 1,650,000   Kia Corp., 1.750%, 10/16/2026, 144A   1,652,475 
 1,575,000   Kia Corp., 3.000%, 4/25/2023, 144A(b)   1,631,858 
 2,720,000   Kookmin Bank, 1.375%, 5/06/2026, 144A(b)   2,714,696 
 1,515,000   Korea East-West Power Co. Ltd., 1.750%, 5/06/2025, 144A(b)   1,540,210 
 910,000   Korea Gas Corp., 2.750%, 7/20/2022, 144A(b)   926,544 
 670,000   KT Corp., 2.500%, 7/18/2026, 144A(b)   700,632 
 1,180,000   LG Chem Ltd., 3.250%, 10/15/2024, 144A(b)   1,259,787 
 4,500,000,000   Republic of Korea, 0.875%, 12/10/2023, (KRW)(b)   3,748,291 
 4,500,000,000   Republic of Korea, 1.125%, 9/10/2025, (KRW)(b)   3,697,444 
 13,130,550,000   Republic of Korea, 1.500%, 12/10/2030, (KRW)(b)   10,413,222 
 1,440,000,000   Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(b)   1,226,485 
 770,000   Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A(b)   837,629 
 2,765,000   SK Hynix, Inc., 2.375%, 1/19/2031, 144A   2,683,767 
  Korea — continued

 

140,000   SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(b)  177,969 
    

 

 

 
     46,115,077 
    

 

 

 
  Luxembourg — 0.0%

 

 920,000   ArcelorMittal S.A., 6.750%, 3/01/2041   1,264,425 
    

 

 

 
  Malaysia — 0.1%

 

 28,570,000   Malaysia Government Bond, 3.480%, 3/15/2023, (MYR)(b)   6,969,624 
    

 

 

 
  Mexico — 1.0%

 

 620,000   Alfa SAB de CV, 6.875%, 3/25/2044   824,600 
 770,000   America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(b)   987,633 
 860,000   America Movil SAB de CV, 2.875%, 5/07/2030(b)   894,631 
 10,000,000   America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(b)   483,250 
 730,000   Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A(b)   815,921 
 1,905,000   Cemex SAB de CV, 3.875%, 7/11/2031, 144A   1,906,143 
 855,000   Cemex SAB de CV, 5.450%, 11/19/2029   926,606 
 400,000   Cemex SAB de CV, 7.375%, 6/05/2027, 144A   443,096 
 1,775,000   Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030(b)   1,830,309 
 1,205,000   Comision Federal de Electricidad, 4.750%, 2/23/2027(b)   1,349,600 
 800,000   Gruma SAB de CV, 4.875%, 12/01/2024(b)   883,008 
 10,000,000   Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b)   337,088 
 840,000   Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(b)   837,228 
 1,707,184(††††)   Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(b)   7,886,551 
 1,294,043(††††)   Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)(b)   6,705,339 
 637,836(††††)   Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)(b)   3,284,740 
 724,558(††††)   Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)(b)   3,565,977 
 2,665,000   Mexico Government International Bond, 3.250%, 4/16/2030(b)   2,728,880 
 196,000   Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(b)   246,671 
 1,850,000   Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026, 144A   1,852,960 
 1,240,000   Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027   1,351,612 
 3,505,000   Petroleos Mexicanos, 5.950%, 1/28/2031   3,397,747 
 100,000   Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)   121,400 
 835,000   Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026   911,845 
 2,090,000   Sigma Finance Netherlands BV, 4.875%, 3/27/2028   2,382,600 
 1,010,000   Unifin Financiera SAB de CV, 7.250%, 9/27/2023   1,012,414 
 2,195,000   Unifin Financiera SAB de CV, 9.875%, 1/28/2029   2,205,997 
    

 

 

 
     50,173,846 
    

 

 

 
  Netherlands — 0.1%

 

 870,000   Cooperatieve Rabobank U.A., 4.375%, 8/04/2025(b)   964,030 

 

See accompanying notes to financial statements.

 

|  52


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Netherlands — continued

 

$1,725,000   ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026, 144A(b)  $1,729,395 
    

 

 

 
     2,693,425 
    

 

 

 
  New Zealand — 0.3%

 

 3,495,000   ANZ New Zealand International Ltd., 1.250%, 6/22/2026, 144A(b)   3,479,917 
 2,200,000   Bank of New Zealand, 1.000%, 3/03/2026, 144A(b)   2,164,467 
 5,000,000   Fonterra Co-operative Group Ltd., MTN, 5.500%, 2/26/2024, (AUD)(b)   4,032,999 
 6,310,000   New Zealand Government Bond, 1.500%, 5/15/2031, (NZD)(b)   4,163,742 
 3,575,000   New Zealand Government Bond, 3.000%, 4/20/2029, (NZD)(b)   2,666,033 
    

 

 

 
     16,507,158 
    

 

 

 
  Nigeria — 0.0%

 

 1,975,000   Nigeria Government International Bond, 6.125%, 9/28/2028, 144A   1,981,636 
    

 

 

 
  Norway — 0.3%

 

 3,660,000   DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027, 144A(b)   3,661,669 
 2,790,000   Equinor ASA, 3.625%, 4/06/2040(b)   3,117,231 
 16,500,000   Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK)(b)   1,896,592 
 46,500,000   Norway Government Bond, Series 482, 1.375%, 8/19/2030, 144A, (NOK)(b)   5,233,873 
    

 

 

 
     13,909,365 
    

 

 

 
  Panama — 0.0%

 

 1,485,000   Cable Onda S.A., 4.500%, 1/30/2030, 144A   1,557,765 
    

 

 

 
  Paraguay — 0.1%

 

 1,420,000   Paraguay Government International Bond, 4.950%, 4/28/2031, 144A   1,601,760 
 800,000   Republic of Paraguay, 5.000%, 4/15/2026, 144A   888,008 
    

 

 

 
     2,489,768 
    

 

 

 
  Peru — 0.1%

 

 3,220,000   Corp. Financiera de Desarrollo S.A., 2.400%, 9/28/2027, 144A   3,202,708 
 2,005,000   Peruvian Government International Bond, 2.392%, 1/23/2026(b)   2,045,742 
 1,050,000   Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(b)   1,138,200 
    

 

 

 
     6,386,650 
    

 

 

 
  Philippines — 0.0%

 

 1,060,000   Philippine Government International Bond, 2.457%, 5/05/2030(b)   1,084,020 
    

 

 

 
  Poland — 0.2%

 

 26,400,000   Republic of Poland Government Bond, 1.250%, 10/25/2030, (PLN)(b)   6,200,324 
 12,970,000   Republic of Poland Government Bond, 3.250%, 7/25/2025, (PLN)(b)   3,508,887 
    

 

 

 
     9,709,211 
    

 

 

 
  Portugal — 0.1%

 

 3,590,000   EDP Finance BV, 1.710%, 1/24/2028, 144A   3,524,016 
    

 

 

 
  Qatar — 0.1%

 

 1,770,000   Ooredoo International Finance Ltd., 2.625%, 4/08/2031, 144A   1,802,285 
 1,600,000   Qatar Petroleum, 2.250%, 7/12/2031, 144A(b)   1,584,640 
    

 

 

 
     3,386,925 
    

 

 

 
  Romania — 0.2%

 

 29,970,000   Romania Government Bond, 4.150%, 10/24/2030, (RON)  6,996,914 
 1,100,000   Romania Government International Bond, 2.000%, 4/14/2033, 144A, (EUR)   1,214,680 
    

 

 

 
     8,211,594 
    

 

 

 
  Singapore — 0.3%

 

 785,000   BOC Aviation Ltd., 2.750%, 9/18/2022, 144A(b)   797,073 
 1,450,000   BOC Aviation Ltd., 3.250%, 4/29/2025, 144A(b)   1,518,784 
 860,000   BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A   866,609 
 345,000   DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A(b)   369,750 
 4,510,000   Republic of Singapore, 2.750%, 7/01/2023, (SGD)(b)   3,452,237 
 10,055,000   Singapore Government Bond, 2.125%, 6/01/2026, (SGD)(b)   7,801,623 
    

 

 

 
     14,806,076 
    

 

 

 
  South Africa — 0.5%

 

 1,400,000   Anglo American Capital PLC, 2.625%, 9/10/2030, 144A   1,390,635 
 1,400,000   Anglo American Capital PLC, 5.625%, 4/01/2030, 144A(b)   1,689,693 
 1,420,000   MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024   1,485,607 
 930,000   MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A   972,968 
 116,835,000   Republic of South Africa, Series 2035, 8.875%, 2/28/2035, (ZAR)   6,893,252 
 39,185,000   Republic of South Africa, Series R213, 7.000%, 2/28/2031, (ZAR)   2,189,442 
 7,585,000   South Africa Government International Bond, 5.750%, 9/30/2049   7,224,712 
    

 

 

 
     21,846,309 
    

 

 

 
  Spain — 0.4%

 

 2,300,000   Banco Bilbao Vizcaya Argentaria S.A., GMTN, 0.750%, 9/11/2022, (EUR)(b)   2,693,218 
 400,000   Banco Santander S.A., 3.125%, 2/23/2023(b)   414,243 
 2,000,000   Banco Santander S.A., (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027   1,990,706 
 600,000   CaixaBank S.A., (fixed rate to 4/17/2025, variable rate thereafter), EMTN, 2.250%, 4/17/2030, (EUR)   731,502 
 500,000   CaixaBank S.A., (fixed rate to 7/14/2023, variable rate thereafter), EMTN, 2.750%, 7/14/2028, (EUR)   603,628 
 3,700,000   Cellnex Telecom S.A., EMTN, 1.750%, 10/23/2030, (EUR)   4,220,106 
 270,000   Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A   275,737 
 700,000   Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR)(b)   870,640 
 430,000   Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR)(b)   534,351 
 2,525,000   Spain Government Bond, 1.950%, 7/30/2030, 144A, (EUR)(b)   3,355,077 
 2,565,000   Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b)   3,278,529 
    

 

 

 
     18,967,737 
    

 

 

 

 

See accompanying notes to financial statements.

 

53  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  Supranationals — 0.3%

 

$1,495,000   Corporacion Andina de Fomento, 2.375%, 5/12/2023(b)  $1,536,367 
 1,115,000   Corporacion Andina de Fomento, 4.375%, 6/15/2022(b)   1,146,183 
 3,360,000   European Investment Bank, 1.750%, 7/30/2024, 144A, (CAD)(b)   2,715,270 
 2,560,000   International Bank for Reconstruction & Development, 0.250%, 12/23/2022, (SEK)(b)   293,091 
 10,030,000   International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD)(b)   7,867,841 
 16,750,000   Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK)(b)   1,918,633 
    

 

 

 
     15,477,385 
    

 

 

 
  Sweden — 0.1%

 

 1,675,000   Svenska Handelsbanken AB, 0.625%, 6/30/2023, 144A(b)   1,683,034 
 38,000,000   Sweden Government Bond, 0.125%, 5/12/2031, 144A, (SEK)(b)   4,221,211 
    

 

 

 
     5,904,245 
    

 

 

 
  Switzerland — 0.1%

 

 930,000   Credit Suisse AG, 2.950%, 4/09/2025(b)   985,836 
 2,180,000   Credit Suisse Group AG, (fixed rate to 4/01/2030, variable rate thereafter), 4.194%, 4/01/2031, 144A(b)   2,441,707 
 1,500,000   Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A   1,533,789 
 1,375,000   Novartis Capital Corp., 2.000%, 2/14/2027(b)   1,421,187 
 340,000   Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045(b)   367,669 
    

 

 

 
     6,750,188 
    

 

 

 
  Tanzania — 0.0%

 

 985,000   HTA Group Ltd., 7.000%, 12/18/2025, 144A   1,034,250 
    

 

 

 
  Thailand — 0.1%

 

 1,570,000   Kasikornbank PCL, EMTN, 3.256%, 7/12/2023(b)   1,637,227 
 950,000   Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A(b)   976,895 
    

 

 

 
     2,614,122 
    

 

 

 
  Trinidad — 0.0%

 

 415,000   Trinidad Generation Unlimited, 5.250%, 11/04/2027, 144A   424,860 
    

 

 

 
  Turkey — 0.4%

 

 2,045,000   Aydem Yenilenebilir Enerji A/S, 7.750%, 2/02/2027, 144A   1,991,830 
 2,250,000   TC Ziraat Bankasi A/S, 5.375%, 3/02/2026, 144A   2,183,036 
 2,830,000   Turk Telekomunikasyon AS, 6.875%, 2/28/2025   3,060,079 
 525,000   Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A   567,683 
 2,875,000   Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028   3,051,237 
 6,970,000   Turkey Government International Bond, 5.250%, 3/13/2030   6,426,953 
 1,345,000   Turkey Government International Bond, 7.625%, 4/26/2029   1,433,614 
    

 

 

 
     18,714,432 
    

 

 

 
  Ukraine — 0.0%

 

1,035,000   Ukraine Government International Bond, 7.253%, 3/15/2033, 144A  1,047,089 
    

 

 

 
  United Arab Emirates — 0.1%

 

 1,610,000   Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(b)   1,789,112 
 1,295,000   Abu Dhabi Government International Bond, 3.125%, 4/16/2030, 144A(b)   1,405,464 
    

 

 

 
     3,194,576 
    

 

 

 
  United Kingdom — 0.3%

 

 95,000   Avon Products, Inc., 8.450%, 3/15/2043   120,175 
 1,350,000   CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(b)   1,476,900 
 1,420,000   Diageo Capital PLC, 2.125%, 4/29/2032(b)   1,411,988 
 635,000   Lloyds Banking Group PLC, 4.050%, 8/16/2023(b)   676,078 
 400,000   Lloyds Banking Group PLC, 4.500%, 11/04/2024(b)   439,241 
 1,125,000   Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025(b)   1,212,963 
 1,395,000   Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A(b)   1,550,753 
 1,190,000   NatWest Markets PLC, 0.800%, 8/12/2024, 144A   1,187,489 
 235,000   Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(b)   346,691 
 1,455,000   Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A   1,443,510 
 250,000   Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)(b)   316,568 
 1,035,000   United Kingdom Gilt, 2.750%, 9/07/2024, (GBP)(b)   1,488,800 
 1,660,000   Vodafone Group PLC, 4.375%, 5/30/2028(b)   1,906,481 
    

 

 

 
     13,577,637 
    

 

 

 
  United States — 11.0%

 

 165,000   AES Corp. (The), 3.950%, 7/15/2030, 144A   181,437 
 315,000   Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(f)   322,340 
 480,000   Allison Transmission, Inc., 4.750%, 10/01/2027, 144A   499,200 
 1,145,000   Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f)   1,191,773 
 965,000   Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(f)   1,008,425 
 435,000   AMC Networks, Inc., 4.250%, 2/15/2029   432,825 
 70,000   American Airlines Group, Inc., 3.750%, 3/01/2025, 144A   63,077 
 1,416,756   American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025   1,398,381 
 1,208,651   American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027   1,163,665 
 336,330   American Airlines Pass Through Trust, Series 2017-1B, Class B, 4.950%, 8/15/2026   337,287 
 438,909   American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027   424,222 
 3,910,000   American Airlines, Inc., 11.750%, 7/15/2025, 144A   4,838,625 
 220,000   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A   231,275 
 255,000   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A   274,763 

 

See accompanying notes to financial statements.

 

|  54


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued

 

 3,975,000   Apple, Inc., Series MPLE, 2.513%, 8/19/2024, (CAD)(b)  $3,256,136 
 260,000   Aptiv PLC, 1.600%, 9/15/2028, (EUR)   322,744 
 1,300,000   Ashland LLC, 3.375%, 9/01/2031, 144A   1,311,375 
 915,000   AT&T, Inc., 3.500%, 9/15/2053   905,594 
 804,000   AT&T, Inc., 3.650%, 9/15/2059   801,526 
 945,000   Athene Global Funding, 1.608%, 6/29/2026, 144A   944,315 
 2,865,000   Bank of America Corp., (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD)(b)   2,257,596 
 2,345,000   Bank of America Corp., MTN, (fixed rate to 6/14/2023, variable rate thereafter), 0.523%, 6/14/2024(b)   2,344,009 
 1,140,000   Beazer Homes USA, Inc., 7.250%, 10/15/2029   1,255,425 
 2,240,000   Boeing Co. (The), 2.196%, 2/04/2026(b)   2,256,513 
 140,000   Boeing Co. (The), 3.100%, 5/01/2026   147,976 
 25,000   Boeing Co. (The), 3.250%, 2/01/2035   24,998 
 165,000   Boeing Co. (The), 3.550%, 3/01/2038   167,592 
 25,000   Boeing Co. (The), 3.625%, 3/01/2048   24,544 
 90,000   Boeing Co. (The), 3.750%, 2/01/2050   91,247 
 635,000   Boeing Co. (The), 3.850%, 11/01/2048   647,021 
 640,000   Boeing Co. (The), 3.950%, 8/01/2059   656,830 
 585,000   BP Capital Markets America, Inc., 3.216%, 11/28/2023(b)   617,122 
 690,000   Broadcom, Inc., 3.187%, 11/15/2036, 144A   687,996 
 4,730,000   Carnival Corp., 5.750%, 3/01/2027, 144A   4,889,637 
 1,720,000   Carvana Co., 5.500%, 4/15/2027, 144A   1,755,604 
 260,000   Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A   255,307 
 12,500,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A   12,714,500 
 2,360,000   CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A   2,337,875 
 2,510,000   Centene Corp., 2.500%, 3/01/2031   2,475,487 
 160,000   Centene Corp., 2.625%, 8/01/2031   158,918 
 975,000   Centene Corp., 3.000%, 10/15/2030   999,375 
 165,000   Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A   168,506 
 175,000   Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A   183,353 
 1,085,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062   1,046,689 
 6,835,000   Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061   7,108,127 
 40,000   Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A   41,688 
 1,240,000   Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A   1,283,164 
 5,315,000   CommScope Technologies LLC, 5.000%, 3/15/2027, 144A   5,055,415 
 7,265,000   CommScope, Inc., 4.750%, 9/01/2029, 144A   7,255,919 
 95,000   Continental Resources, Inc., 3.800%, 6/01/2024   99,826 
 920,000   Continental Resources, Inc., 5.750%, 1/15/2031, 144A   1,112,050 
 595,000   CSC Holdings LLC, 5.375%, 2/01/2028, 144A   621,775 
 490,000   Dana, Inc., 5.375%, 11/15/2027   516,338 
 940,000   DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR)(b)   1,095,378 
 50,000   Dillard’s, Inc., 7.000%, 12/01/2028   59,049 
 8,000   Dillard’s, Inc., 7.750%, 7/15/2026   9,553 
 355,000   DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.875%, 8/15/2027, 144A   370,531 
  United States — continued

 

705,000   DISH DBS Corp., 5.125%, 6/01/2029  690,752 
 3,035,000   DISH DBS Corp., 5.875%, 11/15/2024   3,263,475 
 1,385,000   DISH DBS Corp., 7.750%, 7/01/2026   1,563,977 
 310,000   DR Horton, Inc., 4.375%, 9/15/2022   318,279 
 160,000   Edison International, 4.950%, 4/15/2025   176,169 
 235,000   Enbridge Energy Partners LP, 7.375%, 10/15/2045   370,573 
 575,000   EnLink Midstream Partners LP, 5.450%, 6/01/2047   554,783 
 70,000   EQT Corp., 3.125%, 5/15/2026, 144A   71,758 
 145,000   EQT Corp., 3.625%, 5/15/2031, 144A   151,090 
 115,000   Everi Holdings, Inc., 5.000%, 7/15/2029, 144A   117,838 
 3,780,000   Expedia Group, Inc., 2.950%, 3/15/2031   3,819,917 
 2,105,000   Ford Motor Co., 6.625%, 10/01/2028   2,526,042 
 2,710,000   Freeport-McMoRan, Inc., 4.375%, 8/01/2028   2,835,337 
 6,640,000   Freeport-McMoRan, Inc., 5.400%, 11/14/2034   7,976,300 
 3,005,000   Freeport-McMoRan, Inc., 5.450%, 3/15/2043   3,699,906 
 2,710,000   General Motors Co., 5.200%, 4/01/2045   3,300,089 
 405,000   General Motors Co., 6.250%, 10/02/2043   545,514 
 100,000   General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR)   117,938 
 635,000   General Motors Financial Co., Inc., EMTN, 2.250%, 9/06/2024, (GBP)   876,578 
 770,000   General Motors Financial of Canada Ltd., Series 5, 3.250%, 11/07/2023, (CAD)   631,885 
 315,000   Georgia-Pacific LLC, 8.875%, 5/15/2031   491,675 
 855,000   Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A   847,519 
 2,340,000   Goldman Sachs Group, Inc. (The), (fixed rate to 9/10/2023, variable rate thereafter), 0.657%, 9/10/2024   2,340,796 
 975,000   Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028   1,113,469 
 830,000   HCA, Inc., 3.500%, 9/01/2030   879,294 
 20,000   HCA, Inc., 4.750%, 5/01/2023   21,251 
 1,275,000   HCA, Inc., 5.250%, 6/15/2049   1,627,345 
 4,285,000   HCA, Inc., 5.375%, 9/01/2026   4,905,554 
 245,000   Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A   247,756 
 660,000   Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A   662,475 
 470,000   Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A   479,400 
 3,065,000   Hyundai Capital America, 0.875%, 6/14/2024, 144A   3,048,855 
 1,000,000   Hyundai Capital America, 2.650%, 2/10/2025(b)   1,038,724 
 835,000   Hyundai Capital America, 2.650%, 2/10/2025, 144A(b)   867,334 
 1,585,000   Hyundai Capital America, 2.750%, 9/27/2026, 144A(b)   1,643,062 
 1,395,000   Hyundai Capital America, 6.375%, 4/08/2030, 144A(b)   1,791,335 
 11,250,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029   11,235,937 
 1,085,000   iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A   1,118,092 
 620,000   iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A   644,217 
 2,160,000   iHeartCommunications, Inc., 8.375%, 5/01/2027   2,308,500 
 1,135,000   Iron Mountain, Inc., 4.875%, 9/15/2029, 144A   1,188,912 

 

See accompanying notes to financial statements.

 

55  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued

 

$200,000   Jazz Securities DAC, 4.375%, 1/15/2029, 144A  $207,260 
 745,000   JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A   775,195 
 7,760,000   JELD-WEN, Inc., 4.625%, 12/15/2025, 144A   7,878,961 
 1,875,000   JELD-WEN, Inc., 4.875%, 12/15/2027, 144A   1,953,825 
 1,135,000   John Deere Capital Corp., MTN, 0.450%, 6/07/2024   1,131,764 
 3,185,000   John Deere Financial, Inc., 1.340%, 9/08/2027, (CAD)   2,429,336 
 2,435,000   Kraft Heinz Foods Co., 4.375%, 6/01/2046   2,778,311 
 1,970,000   Kraft Heinz Foods Co., 5.500%, 6/01/2050   2,599,160 
 760,000   Level 3 Financing, Inc., 5.375%, 5/01/2025   776,388 
 345,000   Lithia Motors, Inc., 3.875%, 6/01/2029, 144A   358,738 
 60,000   Lumen Technologies, Inc., 5.625%, 4/01/2025   65,250 
 870,000   Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A   880,875 
 44,000   Masco Corp., 6.500%, 8/15/2032   58,150 
 615,000   Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR)(b)   749,728 
 2,355,000   Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A   2,560,874 
 1,025,000   Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A   1,063,355 
 25,000   MPLX LP, 4.500%, 7/15/2023   26,466 
 95,000   MPLX LP, 4.875%, 6/01/2025   106,165 
 490,000   MSCI, Inc., 3.250%, 8/15/2033, 144A   495,615 
 2,135,000   Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A   2,199,050 
 4,605,000   Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A(b)   5,194,693 
 1,370,000   Navient Corp., 5.000%, 3/15/2027   1,411,100 
 421,000   Navient Corp., MTN, 5.625%, 8/01/2033   400,476 
 4,045,000   NCL Corp. Ltd., 5.875%, 3/15/2026, 144A   4,146,125 
 790,000   NCL Finance Ltd., 6.125%, 3/15/2028, 144A   819,625 
 835,000   Netflix, Inc., 4.875%, 4/15/2028   962,338 
 2,250,000   Netflix, Inc., 4.875%, 6/15/2030, 144A   2,649,375 
 245,000   Netflix, Inc., 5.375%, 11/15/2029, 144A   296,756 
 20,000   NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A   28,662 
 2,550,000   Nissan Motor Acceptance Co. LLC, 1.125%, 9/16/2024, 144A   2,545,206 
 475,000   Novelis Corp., 4.750%, 1/30/2030, 144A   500,033 
 775,000   NRG Energy, Inc., 3.625%, 2/15/2031, 144A   761,244 
 300,000   Occidental Petroleum Corp., 4.500%, 7/15/2044   301,227 
 2,355,000   Occidental Petroleum Corp., 6.625%, 9/01/2030   2,902,537 
 1,795,000   Occidental Petroleum Corp., 8.875%, 7/15/2030   2,438,382 
 420,000   Old Republic International Corp., 4.875%, 10/01/2024   466,588 
 1,170,000   OneMain Finance Corp., 5.625%, 3/15/2023   1,230,659 
 860,000   OneMain Finance Corp., 6.875%, 3/15/2025   966,425 
 2,310,000   OneMain Finance Corp., 7.125%, 3/15/2026   2,676,712 
 130,000   OneMain Finance Corp., 8.250%, 10/01/2023   145,279 
 100,000   Ovintiv, Inc., 6.500%, 8/15/2034   134,868 
 45,000   Ovintiv, Inc., 6.500%, 2/01/2038   61,900 
 230,000   Ovintiv, Inc., 6.625%, 8/15/2037   315,432 
 30,000   Ovintiv, Inc., 7.200%, 11/01/2031   40,258 
 30,000   Ovintiv, Inc., 7.375%, 11/01/2031   40,694 
 130,000   Ovintiv, Inc., 8.125%, 9/15/2030   178,849 
 8,630,000   Owl Rock Capital Corp., 4.250%, 1/15/2026   9,262,603 
 1,550,000   Owl Rock Technology Finance Corp., 2.500%, 1/15/2027   1,556,008 
  United States — continued

 

2,120,000   Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A  2,317,473 
 1,250,000   Pacific Gas & Electric Co., 3.500%, 8/01/2050   1,136,794 
 1,645,000   Pacific Gas & Electric Co., 3.950%, 12/01/2047   1,583,037 
 310,000   Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A   306,404 
 970,000   Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A   986,606 
 2,165,000   Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR)(b)   2,509,608 
 1,530,000   Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR)(b)   1,783,760 
 365,000   Prologis LP, 2.250%, 6/30/2029, (GBP)(b)   516,716 
 890,000   Range Resources Corp., 4.875%, 5/15/2025   939,662 
 165,000   Range Resources Corp., 5.000%, 3/15/2023   171,188 
 1,100,000   Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP)(b)   1,455,847 
 295,000   Rocket Mortgage LLC, 5.250%, 1/15/2028, 144A   317,863 
 4,370,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A   4,270,364 
 6,794,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A   6,870,432 
 10,226,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A   10,315,477 
 2,915,000   Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A   2,893,137 
 790,000   Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A   773,845 
 4,130,000   Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A   4,224,201 
 810,000   Santander Holdings USA, Inc., 3.450%, 6/02/2025(b)   867,309 
 1,450,000   SBA Communications Corp., 3.125%, 2/01/2029, 144A   1,401,062 
 1,020,000   Scientific Games International, Inc., 7.000%, 5/15/2028, 144A   1,100,325 
 525,000   Scientific Games International, Inc., 7.250%, 11/15/2029, 144A   589,910 
 435,000   Sensata Technologies BV, 4.000%, 4/15/2029, 144A   442,808 
 140,000   Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR)   163,462 
 130,000   Skyworks Solutions, Inc., 1.800%, 6/01/2026   131,723 
 500,000   Square, Inc., 3.500%, 6/01/2031, 144A   512,865 
 2,785,000   Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A   2,924,250 
 6,900,000   T-Mobile USA, Inc., 3.375%, 4/15/2029   7,198,425 
 4,305,000   T-Mobile USA, Inc., 3.500%, 4/15/2031   4,540,202 
 2,805,000   T-Mobile USA, Inc., 3.875%, 4/15/2030   3,097,175 
 1,695,000   Tenet Healthcare Corp., 6.875%, 11/15/2031   1,945,012 
 420,000   Terminix Co. LLC (The), 7.450%, 8/15/2027   509,250 
 100,000   Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR)   118,400 
 245,000   Thermo Fisher Scientific, Inc., EMTN, 1.875%, 10/01/2049, (EUR)(b)   298,213 
 90,000   Time Warner Cable LLC, 4.500%, 9/15/2042   98,491 
 85,000   Time Warner Cable LLC, 5.500%, 9/01/2041   104,175 
 400,000   TopBuild Corp., 4.125%, 2/15/2032, 144A   404,000 
 1,635,000   Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022(b)   1,655,913 
 635,000   TransDigm, Inc., 5.500%, 11/15/2027   652,463 
 50,000   TransDigm, Inc., 7.500%, 3/15/2027   52,375 
 2,615,000   TransDigm, Inc., 8.000%, 12/15/2025, 144A   2,788,244 

 

See accompanying notes to financial statements.

 

|  56


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
  United States — continued

 

$615,000   Travel & Leisure Co., 4.625%, 3/01/2030, 144A  $631,913 
 75,000   Travel & Leisure Co., 6.000%, 4/01/2027   83,117 
 90,000   Travel & Leisure Co., 6.625%, 7/31/2026, 144A   102,489 
 5,000   TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024   5,500 
 775,000   TriNet Group, Inc., 3.500%, 3/01/2029, 144A   776,938 
 68,117   U.S. Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026   71,663 
 263,253   U.S. Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026   263,781 
 4,366,097   U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(b)(g)   4,427,040 
 4,407,647   U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(b)(g)   4,902,991 
 12,489,112   U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(b)(g)   13,068,035 
 36,290,000   U.S. Treasury Note, 0.125%, 1/31/2023(h)   36,271,572 
 10,300,000   U.S. Treasury Note, 0.125%, 3/31/2023   10,289,941 
 9,320,000   U.S. Treasury Note, 0.125%, 4/30/2023(b)   9,307,622 
 23,105,000   U.S. Treasury Note, 0.125%, 5/31/2023   23,067,996 
 13,295,000   U.S. Treasury Note, 0.750%, 3/31/2026(b)   13,201,000 
 35,000,000   U.S. Treasury Note, 0.875%, 6/30/2026   34,876,953 
 5,130,000   U.S. Treasury Note, 1.500%, 11/30/2021   5,142,123 
 8,590,000   U.S. Treasury Note, 1.625%, 10/31/2026(b)   8,853,740 
 14,060,000   U.S. Treasury Note, 1.625%, 8/15/2029(b)   14,320,330 
 10,235,000   U.S. Treasury Note, 1.750%, 11/15/2029(b)(h)   10,518,062 
 4,515,000   U.S. Treasury Note, 1.875%, 3/31/2022(b)   4,555,564 
 4,700,000   U.S. Treasury Note, 2.875%, 5/15/2028(b)   5,183,770 
 13,090,000   Uber Technologies, Inc., 4.500%, 8/15/2029, 144A   13,179,994 
 10,745,000   Uber Technologies, Inc., 6.250%, 1/15/2028, 144A   11,523,905 
 1,080,000   Uber Technologies, Inc., 7.500%, 9/15/2027, 144A   1,179,225 
 357,118   United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027   355,643 
 2,337,237   United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(b)   2,606,440 
 195,000   United Airlines, Inc., 4.375%, 4/15/2026, 144A   200,119 
 290,000   United Airlines, Inc., 4.625%, 4/15/2029, 144A   299,701 
 390,000   Verizon Communications, Inc., 2.850%, 9/03/2041   380,628 
 3,095,000   Verizon Communications, Inc., Series MPLE, 2.500%, 5/16/2030, (CAD)   2,425,858 
 60,000   Weyerhaeuser Co., 6.950%, 10/01/2027   76,687 
 315,000   Weyerhaeuser Co., 7.375%, 3/15/2032   448,566 
 1,595,000   Yum! Brands, Inc., 4.625%, 1/31/2032   1,702,662 
    

 

 

 
     535,610,174 
    

 

 

 
  Uruguay — 0.1%

 

 1,415,000   Uruguay Government International Bond, 4.375%, 1/23/2031(b)   1,636,066 
 86,955,000   Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU)   2,057,367 
    

 

 

 
     3,693,433 
    

 

 

 
  Total Non-Convertible Bonds
(Identified Cost $1,351,965,492)
   1,379,237,164 
    

 

 

 
    
 Convertible Bonds — 2.0% 
  United States — 2.0%

 

 3,485,000   BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024   3,565,804 
 18,255,000   BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027   18,270,031 
  United States — continued

 

5,315,000   DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025, 144A(c)  6,351,425 
 545,000   DISH Network Corp., 2.375%, 3/15/2024   531,034 
 21,905,000   DISH Network Corp., 3.375%, 8/15/2026   22,770,248 
 4,220,000   Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(c)   4,556,127 
 805,000   Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%-0.979%, 4/01/2026, 144A(i)   731,534 
 305,000   JetBlue Airways Corp., 0.500%, 4/01/2026, 144A   298,852 
 1,345,000   Livongo Health, Inc., 0.875%, 6/01/2025   1,776,866 
 6,525,000   Palo Alto Networks, Inc., 0.375%, 6/01/2025   10,773,255 
 810,000   Peloton Interactive, Inc., Zero Coupon, 0.519%-1.734%, 2/15/2026, 144A(i)   713,031 
 155,000   Penn National Gaming, Inc., 2.750%, 5/15/2026   494,605 
 6,745,000   Southwest Airlines Co., 1.250%, 5/01/2025(b)   10,075,344 
 820,000   Splunk, Inc., 1.125%, 6/15/2027   804,113 
 9,500,000   Teladoc Health, Inc., 1.250%, 6/01/2027   9,542,147 
 1,100,000   Twitter, Inc., Zero Coupon, 0.000%-1.483%, 3/15/2026, 144A(i)   1,021,174 
 3,275,000   Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(c)   3,185,365 
 170,000   Zynga, Inc., Zero Coupon, 0.779%-0.859%, 12/15/2026, 144A(i)   164,156 
    

 

 

 
  Total Convertible Bonds
(Identified Cost $93,156,750)
   95,625,111 
    

 

 

 
    
 Municipals — 0.0% 
  United States — 0.0%

 

 125,000   Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046
(Identified Cost $124,989)
   130,525 
    

 

 

 
    
  Total Bonds and Notes
(Identified Cost $1,445,247,231)
   1,474,992,800 
    

 

 

 
    
 Senior Loans — 0.1% 
  United States — 0.1%

 

 521,874   Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.500%, 8/02/2028(j)   523,048 
 441,893   Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(j)   442,392 
 469,394   Medline Industries, Inc., USD Term Loan B, 9/20/2028(k)   468,366 
 496,133   United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(j)   499,179 
    

 

 

 
  Total Senior Loans
(Identified Cost $1,919,951)
   1,932,985 
    

 

 

 
    
Shares          
 Preferred Stocks — 0.0% 
 Convertible Preferred Stocks — 0.0% 
  United States — 0.0%

 

 38,952   El Paso Energy Capital Trust I, 4.750% (Identified Cost $1,828,520)   1,930,072 
    

 

 

 

 

See accompanying notes to financial statements.

 

57  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
   Description  Value (†) 
 Short-Term Investments — 0.9% 
$45,159,597   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $45,159,597 on 10/01/2021 collateralized by $46,301,600 U.S. Treasury Note, 1.250% due 9/30/2028 valued at $46,062,869 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $45,159,597)
  $45,159,597 
    

 

 

 
    
  Total Investments — 99.6%
(Identified Cost $3,778,502,923)
   4,855,887,463 
  Other assets less liabilities — 0.4%   21,556,871 
    

 

 

 
  Net Assets — 100.0%  $4,877,444,334 
    

 

 

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

 

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

 

 (††)   Amount shown represents units. One unit represents a principal amount of 1,000.

 

 (†††)   Amount shown represents principal amount including inflation adjustments.

 

 (††††)   Amount shown represents units. One unit represents a principal amount of 100.

 

 (a)   Non-income producing security.

 

 (b)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

 (c)   Interest rate represents annualized yield at time of purchase; not a coupon rate.

 

 (d)   Illiquid security. (Unaudited)

 

 (e)   Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2021, the value of these securities amounted to $8,767,057 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.

 

 (f)   Perpetual bond with no specified maturity date.

 

 (g)   Treasury Inflation Protected Security (TIPS).

 

 (h)   Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

 (i)   Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.

 

 (j)   Variable rate security. Rate as of September 30, 2021 is disclosed.

 

 (k)   Position is unsettled. Contract rate was not determined at September 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

 

 144A   All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021, the value of Rule 144A holdings amounted to $353,199,824 or 7.2% 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.
 CPI   Consumer Price Index
 EMTN   Euro Medium Term Note
 GMTN   Global Medium Term Note
 LIBOR   London Interbank Offered Rate
 MTN   Medium Term Note
  
 AUD   Australian Dollar
 BRL   Brazilian Real
 CAD   Canadian Dollar
 CNH   Chinese Yuan Renminbi Offshore
 CNY   Chinese Yuan Renminbi
 COP   Colombian Peso
 EUR   Euro
 GBP   British Pound
 IDR   Indonesian Rupiah
 ILS   Israeli Shekel
 INR   Indian Rupee
 JPY   Japanese Yen
 KRW   South Korean Won
 MXN   Mexican Peso
 MYR   Malaysian Ringgit
 NOK   Norwegian Krone
 NZD   New Zealand Dollar
 PLN   Polish Zloty
 RON   Romanian Leu
 SEK   Swedish Krona
 SGD   Singapore Dollar
 UYU   Uruguayan Peso
 ZAR   South African Rand

 

See accompanying notes to financial statements.

 

|  58


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Global Allocation Fund – (continued)

 

At September 30, 2021, the Fund had the following open forward foreign currency contracts:

 

Counterparty  Delivery
Date
   Currency
Bought/
Sold (B/S)
  Units
of
Currency
   In Exchange
for
   Notional
Value
   Unrealized
Appreciation
(Depreciation)
 
Bank of America, N.A.   12/15/2021   KRW   B    5,850,000,000   $5,020,597   $4,935,617   $(84,980
Bank of America, N.A.   12/15/2021   MXN   S    256,059,000    12,673,239    12,277,219    396,020 
Bank of America, N.A.   12/02/2021   BRL   S    27,000,000    5,060,255    4,910,704    149,551 
Citibank, N.A.   12/15/2021   ZAR   S    71,581,000    4,913,746    4,706,949    206,797 
Credit Suisse International   12/15/2021   CAD   S    254,417,000    200,926,697    200,863,281    63,416 
Credit Suisse International   12/15/2021   COP   S    38,844,665,000    10,113,165    10,152,288    (39,123
Credit Suisse International   12/15/2021   GBP   B    12,371,000    17,114,957    16,670,387    (444,570
Credit Suisse International   12/15/2021   JPY   B    11,200,164,000    101,668,095    100,696,676    (971,419
HSBC Bank USA   12/15/2021   AUD   B    18,075,000    13,467,231    13,071,622    (395,609
Morgan Stanley Capital Services, Inc.   12/15/2021   EUR   B    144,681,000    171,509,820    167,839,265    (3,670,555
Morgan Stanley Capital Services, Inc.   12/15/2021   NZD   S    6,003,000    4,274,376    4,141,899    132,477 
UBS AG   12/15/2021   IDR   S    105,333,420,000    7,321,634    7,307,646    13,988 
UBS AG   12/15/2021   SEK   B    7,350,000    856,151    840,125    (16,026
              

 

 

 
Total              $(4,660,033
              

 

 

 

At September 30, 2021, the Fund had the following open forward cross currency contracts:

 

Counterparty  Settlement
Date
   Deliver/Units
of Currency
   Receive/Units
of Currency
   Notional
Value
   Unrealized
Appreciation
(Depreciation)
 
Morgan Stanley Capital Services, Inc.   12/15/2021   NOK   30,959,000    EUR    2,996,891   $3,476,586   $(62,832
              

 

 

 

At September 30, 2021, open short futures contracts were as follows:

 

Financial Futures  Expiration
Date
   Contracts  Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 
Ultra 10 Year U.S. Treasury Note   12/21/2021   185  $27,299,811   $26,871,250   $428,561 
Ultra Long U.S. Treasury Bond   12/21/2021   40   7,882,086    7,642,500    239,586 
          

 

 

 
Total          $668,147 
          

 

 

 

 

Industry Summary at September 30, 2021

 

Treasuries

   12.9

Semiconductors & Semiconductor Equipment

   8.9 

IT Services

   6.5 

Interactive Media & Services

   5.3 

Software

   5.2 

Internet & Direct Marketing Retail

   4.1 

Life Sciences Tools & Services

   4.0 

Hotels, Restaurants & Leisure

   4.0 

Chemicals

   3.9 

Machinery

   3.3 

Capital Markets

   3.2 

Health Care Equipment & Supplies

   3.1 

Banking

   2.2 

Health Care Providers & Services

   2.2 

Food & Staples Retailing

   2.0 

Other Investments, less than 2% each

   27.9 

Short-Term Investments

   0.9 
  

 

 

 

Total Investments

   99.6 

Other assets less liabilities (including forward foreign currency and futures contracts)

   0.4 
  

 

 

 

Net Assets

   100.0
  

 

 

 

Currency Exposure Summary at September 30, 2021

 

United States Dollar

   75.2

Canadian Dollar

   6.4 

Euro

   5.7 

New Taiwan Dollar

   2.2 

Other, less than 2% each

   10.1 
  

 

 

 

Total Investments

   99.6 

Other assets less liabilities (including forward foreign currency and futures contracts)

   0.4 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

59  |


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Growth Fund

 

    
Shares
   Description  Value (†) 
 Common Stocks — 99.0% of Net Assets 
  Aerospace & Defense — 4.1%

 

 2,563,845   Boeing Co. (The)(a)  $563,892,069 
    

 

 

 
  Air Freight & Logistics — 2.1%

 

 2,461,694   Expeditors International of Washington, Inc.   293,261,606 
    

 

 

 
  Beverages — 3.0%

 

 4,701,484   Monster Beverage Corp.(a)   417,632,824 
    

 

 

 
  Biotechnology — 5.0%

 

 642,511   Regeneron Pharmaceuticals, Inc.(a)   388,834,807 
 1,682,068   Vertex Pharmaceuticals, Inc.(a)   305,110,314 
    

 

 

 
   693,945,121 
    

 

 

 
  Capital Markets — 2.9%

 

 546,105   FactSet Research Systems, Inc.   215,591,332 
 3,103,806   SEI Investments Co.   184,055,696 
    

 

 

 
   399,647,028 
    

 

 

 
  Communications Equipment — 1.8%

 

 4,532,387   Cisco Systems, Inc.   246,697,824 
    

 

 

 
  Energy Equipment & Services — 1.5%

 

 6,727,536   Schlumberger NV   199,404,167 
    

 

 

 
  Entertainment — 3.1%

 

 2,539,005   Walt Disney Co. (The)(a)   429,523,476 
    

 

 

 
  Health Care Equipment & Supplies — 1.4%

 

 199,487   Intuitive Surgical, Inc.(a)   198,320,001 
    

 

 

 
  Health Care Technology — 0.9%

 

 1,736,498   Cerner Corp.   122,457,839 
    

 

 

 
  Hotels, Restaurants & Leisure — 4.6%

 

 3,068,017   Starbucks Corp.   338,432,955 
 2,064,960   Yum China Holdings, Inc.   119,994,826 
 1,452,062   Yum! Brands, Inc.   177,601,703 
    

 

 

 
   636,029,484 
    

 

 

 
  Household Products — 1.2%

 

 2,148,239   Colgate-Palmolive Co.   162,363,904 
    

 

 

 
  Interactive Media & Services — 13.5%

 

 185,959   Alphabet, Inc., Class A(a)   497,165,106 
 185,703   Alphabet, Inc., Class C(a)   494,956,063 
 2,535,412   Facebook, Inc., Class A(a)   860,493,478 
    

 

 

 
   1,852,614,647 
    

 

 

 
  Internet & Direct Marketing Retail — 9.4%

 

 2,727,205   Alibaba Group Holding Ltd., Sponsored ADR(a)   403,762,700 
 269,186   Amazon.com, Inc.(a)   884,286,778 
    

 

 

 
   1,288,049,478 
    

 

 

 
  IT Services — 5.9%

 

 510,413   Automatic Data Processing, Inc.   102,041,767 
 3,204,895   Visa, Inc., Class A   713,890,361 
    

 

 

 
   815,932,128 
    

 

 

 
  Life Sciences Tools & Services — 2.2%

 

 749,729   Illumina, Inc.(a)   304,097,580 
    

 

 

 
  Machinery — 2.6%

 

 1,080,265   Deere & Co.   361,964,394 
    

 

 

 
  Pharmaceuticals — 6.2%

 

 4,501,930   Novartis AG, Sponsored ADR   368,167,835 
 1,507,774   Novo Nordisk A/S, Sponsored ADR   144,761,382 
 7,478,844   Roche Holding AG, Sponsored ADR   340,063,037 
    

 

 

 
   852,992,254 
    

 

 

 
  Semiconductors & Semiconductor Equipment — 8.5%

 

 4,384,032   NVIDIA Corp.   908,196,069 
 1,982,057   QUALCOMM, Inc.   255,645,712 
    

 

 

 
   1,163,841,781 
    

 

 

 
  Software — 19.1%

 

 2,088,760   Autodesk, Inc.(a)  595,651,689 
 2,279,290   Microsoft Corp.   642,577,437 
 7,165,695   Oracle Corp.   624,347,005 
 2,117,114   salesforce.com, Inc.(a)   574,203,659 
 756,354   Workday, Inc., Class A(a)   189,005,301 
    

 

 

 
   2,625,785,091 
    

 

 

 
  Total Common Stocks
(Identified Cost $7,044,124,379)
   13,628,452,696 
    

 

 

 
    
Principal
Amount
          
 Short-Term Investments — 0.9%  
$130,851,234   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $130,851,234 on 10/01/2021 collateralized by $112,570,100 U.S. Treasury Inflation Indexed Note, 0.250% due 7/15/2029 valued at $133,468,279 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $130,851,234)
   130,851,234 
    

 

 

 
    
  Total Investments — 99.9%
(Identified Cost $7,174,975,613)
   13,759,303,930 
  Other assets less liabilities — 0.1%   9,330,227 
    

 

 

 
  Net Assets — 100.0%  $13,768,634,157 
    

 

 

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

 

 (a)   Non-income producing security.

 

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

 

Industry Summary at September 30, 2021

 

Software

   19.1

Interactive Media & Services

   13.5 

Internet & Direct Marketing Retail

   9.4 

Semiconductors & Semiconductor Equipment

   8.5 

Pharmaceuticals

   6.2 

IT Services

   5.9 

Biotechnology

   5.0 

Hotels, Restaurants & Leisure

   4.6 

Aerospace & Defense

   4.1 

Entertainment

   3.1 

Beverages

   3.0 

Capital Markets

   2.9 

Machinery

   2.6 

Life Sciences Tools & Services

   2.2 

Air Freight & Logistics

   2.1 

Other Investments, less than 2% each

   6.8 

Short-Term Investments

   0.9 
  

 

 

 

Total Investments

   99.9 

Other assets less liabilities

   0.1 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  60


Portfolio of Investments – as of September 30, 2021

Loomis Sayles Intermediate Duration Bond Fund

 

Principal
Amount
   Description  Value (†) 
 Bonds and Notes — 95.6% of Net Assets  
  ABS Car Loan — 7.6%

 

$754,600   American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A  $760,840 
 90,000   American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A   90,646 
 135,000   American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A   135,385 
 240,000   American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A   241,827 
 385,000   American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A   385,399 
 510,000   AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024   514,704 
 480,000   AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024   486,965 
 423,830   AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024   426,080 
 333,554   AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024   334,757 
 110,000   AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024   110,390 
 265,000   AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026   267,102 
 125,000   AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.060%, 8/18/2026   125,832 
 215,000   AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027   214,575 
 100,000   Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A   100,791 
 140,000   Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A   149,227 
 266,086   Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A   268,446 
 397,682   Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024   401,589 
 488,317   CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024   492,788 
 485,000   CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025   486,699 
 220,000   Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028   219,439 
 90,730   CPS Auto Receivables Trust, Series 2020-A, Class B, 2.360%, 2/15/2024, 144A   91,009 
 595,000   Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A   603,431 
 435,000   Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A   441,098 
 585,000   Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A   600,170 
 315,000   Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A   318,116 
 265,000   Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A   265,146 
 17,852   Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024   17,870 
 405,000   Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025   406,111 
 585,000   Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025   585,131