Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% | ||||||||
Accelerated Assets, Series 2018-1, Class B | ||||||||
$ | 657,101 | 4.510%, 12/02/33 (A) | $ | 679,889 | ||||
Adams Outdoor Advertising, Series 2018-1, Class C | ||||||||
5,200,000 | 7.356%, 11/15/48 (A) | 5,414,105 | ||||||
Affirm Asset Securitization Trust, Series 2021-A, Class D | ||||||||
750,000 | 3.490%, 08/15/25 (A) | 761,518 | ||||||
AGL CLO, Series 2019-1A, Class D | ||||||||
850,000 | 3.984%, VAR ICE LIBOR USD 3 Month+3.850%, 10/20/32 (A) | 845,111 | ||||||
AGL CLO, Series 2020-3A, Class D | ||||||||
2,100,000 | 3.426%, VAR ICE LIBOR USD 3 Month+3.300%, 01/15/33 (A) | 2,100,370 | ||||||
AGL CLO, Series 2021-7A, Class ER | ||||||||
2,345,000 | 6.476%, VAR ICE LIBOR USD 3 Month+6.350%, 07/15/34 (A) | 2,339,137 | ||||||
AIG CLO, Series 2019-1A, Class E | ||||||||
270,000 | 6.746%, VAR ICE LIBOR USD 3 Month+6.620%, 04/15/32 (A) | 267,473 | ||||||
AIG CLO, Series 2021-2A, Class E | ||||||||
2,500,000 | 3.130%, 07/20/34 (A) | 2,493,750 | ||||||
AIG CLO, Series 2021-1A, Class ER | ||||||||
1,000,000 | 6.734%, VAR ICE LIBOR USD 3 Month+6.600%, 04/20/32 (A) | 997,462 | ||||||
AIMCO CLO Series, Series 2021-AA, Class DR | ||||||||
665,000 | 3.284%, VAR ICE LIBOR USD 3 Month+3.150%, 04/20/34 (A) | 668,080 | ||||||
Allegro CLO VI, Series 2018-2A, Class D | ||||||||
250,000 | 2.884%, VAR ICE LIBOR USD 3 Month+2.750%, 01/17/31 (A) | 246,163 | ||||||
American Homes 4 Rent, Series 2014-SFR2, Class E | ||||||||
4,610,000 | 6.231%, 10/17/36 (A) | 5,069,192 | ||||||
American Homes 4 Rent, Series 2015-SFR1, Class F | ||||||||
3,966,000 | 5.885%, 04/17/52 (A) | 4,364,575 | ||||||
Anchorage Capital CLO, Series 2017-1A, Class CR | ||||||||
250,000 | 3.329%, VAR ICE LIBOR USD 3 Month+3.200%, 10/13/30 (A) | 251,371 | ||||||
Atrium XV, Series 15A, Class D | ||||||||
845,000 | 3.138%, VAR ICE LIBOR USD 3 Month+3.000%, 01/23/31 (A) | 843,727 | ||||||
Avis Budget Rental Car Funding AESOP, Series 2021-1A, Class D | ||||||||
5,000,000 | 3.710%, 08/20/27 (A) | 5,025,683 | ||||||
B&M CLO, Series 2018-1A, Class CR | ||||||||
276,229 | 2.726%, VAR ICE LIBOR USD 3 Month+2.600%, 04/16/26 (A) | 276,114 | ||||||
Ballyrock CLO, Series 2018-1A, Class C | ||||||||
250,000 | 3.284%, VAR ICE LIBOR USD 3 Month+3.150%, 04/20/31 (A) | 249,904 | ||||||
Barings CLO, Series 2018-2A, Class C | ||||||||
620,000 | 2.826%, VAR ICE LIBOR USD 3 Month+2.700%, 04/15/30 (A) | 624,318 | ||||||
Battalion CLO XIV, Series 2019-14A, Class E | ||||||||
755,000 | 6.814%, VAR ICE LIBOR USD 3 Month+6.680%, 04/20/32 (A) | 753,565 |
1 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% (continued) | ||||||||
Bayview Opportunity Master Fund IVA Trust, Series 2017-SPL5, Class B3 | ||||||||
$ | 1,400,000 | 4.150%, 06/28/57 (A) (B) | $ | 1,448,584 | ||||
Business Jet Securities, Series 2019-1, Class A | ||||||||
2,031,725 | 4.212%, 07/15/34 (A) | 2,096,264 | ||||||
Business Jet Securities, Series 2021-1A, Class C | ||||||||
498,034 | 5.067%, 04/15/36 (A) | 502,856 | ||||||
CAL Funding IV, Series 2020-1A, Class B | ||||||||
957,042 | 3.500%, 09/25/45 (A) | 978,849 | ||||||
CarVal CLO III, Series 2019-2A, Class D | ||||||||
1,550,000 | 3.834%, VAR ICE LIBOR USD 3 Month+3.700%, 07/20/32 (A) | 1,541,177 | ||||||
Castlelake Aircraft Structured Trust, Series 2021-1A, Class A | ||||||||
371,505 | 3.474%, 01/15/46 (A) | 384,579 | ||||||
Castlelake Aircraft Structured Trust, Series 2021-1R, Class B | ||||||||
740,000 | 3.924%, 08/15/41 (A) | 741,547 | ||||||
CIFC Funding, Series 2018-1A, Class D | ||||||||
365,000 | 2.784%, VAR ICE LIBOR USD 3 Month+2.650%, 04/18/31 (A) | 359,709 | ||||||
Citigroup Commercial Mortgage Trust, Series GC21, Class D | ||||||||
2,095,000 | 4.945%, 05/10/47 (A) (B) | 1,949,437 | ||||||
CLI Funding VI, Series 2020-3A, Class B | ||||||||
949,375 | 3.300%, 10/18/45 (A) | 967,705 | ||||||
CLI Funding VIII, Series 2021-1A, Class B | ||||||||
1,538,469 | 2.380%, 02/18/46 (A) | 1,538,955 | ||||||
Corevest American Finance Trust, Series 2020-2, Class D | ||||||||
1,211,000 | 4.698%, 05/15/52 (A) (B) | 1,353,030 | ||||||
CoreVest American Finance Trust, Series 2017-1, Class D | ||||||||
1,715,000 | 4.358%, 10/15/49 (A) | 1,744,210 | ||||||
CoreVest American Finance Trust, Series 2019-1, Class E | ||||||||
575,000 | 5.489%, 03/15/52 (A) | 644,710 | ||||||
Diamond Resorts Owner Trust, Series 2017-1A, Class C | ||||||||
1,101,956 | 6.070%, 10/22/29 (A) | 1,122,598 | ||||||
Diamond Resorts Owner Trust, Series 2018-1, Class C | ||||||||
782,249 | 4.530%, 01/21/31 (A) | 806,129 | ||||||
Dryden Senior Loan Fund, Series 2018-45A, Class ER | ||||||||
575,000 | 5.976%, VAR ICE LIBOR USD 3 Month+5.850%, 10/15/30 (A) | 564,925 | ||||||
Elmwood CLO VIII, Series 2021-1A, Class D | ||||||||
715,000 | 3.134%, VAR ICE LIBOR USD 3 Month+3.000%, 01/20/34 (A) | 713,922 | ||||||
Extended Stay America Trust, Series ESH, Class F | ||||||||
500,000 | 3.794%, VAR ICE LIBOR USD 1 Month+3.700%, 07/15/38 (A) | 505,168 | ||||||
Falcon Aerospace, Series 2017-1, Class A | ||||||||
724,398 | 4.581%, 02/15/42 (A) | 721,726 |
2 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% (continued) | ||||||||
FAN Engine Securitization, Series 2013-1A, Class 1A | ||||||||
$ | 2,631,393 | 4.625%, 10/15/43 (A) (C) (D) | $ | 1,447,266 | ||||
First Investors Auto Owner Trust, Series 2019-2A, Class E | ||||||||
2,620,000 | 3.880%, 01/15/26 (A) | 2,698,887 | ||||||
First Investors Auto Owner Trust, Series 2021-1A, Class E | ||||||||
660,000 | 3.350%, 04/15/27 (A) | 667,454 | ||||||
FirstKey Homes Trust, Series 2020-SFR2, Class F1 | ||||||||
2,450,000 | 3.017%, 10/19/37 (A) | 2,513,360 | ||||||
FirstKey Homes Trust, Series 2020-SFR1, Class F2 | ||||||||
2,305,000 | 4.284%, 08/17/37 (A) | 2,388,465 | ||||||
Galaxy XXIX CLO, Series 2018-29A, Class D | ||||||||
265,000 | 2.556%, VAR ICE LIBOR USD 3 Month+2.400%, 11/15/26 (A) | 264,774 | ||||||
Galaxy XXVI CLO, Series 2018-26A, Class E | ||||||||
400,000 | 6.000%, VAR ICE LIBOR USD 3 Month+5.850%, 11/22/31 (A) | 398,984 | ||||||
Gallatin CLO VIII, Series 2017-1A, Class D | ||||||||
250,000 | 3.376%, VAR ICE LIBOR USD 3 Month+3.250%, 07/15/27 (A) | 250,648 | ||||||
GCA Holdings, Series 2014-1, Class C | ||||||||
2,193,348 | 6.000%, 01/05/30 (A) (C) (D) | 2,193,348 | ||||||
GCA Holdings, Series 2014-1, Class D | ||||||||
997,685 | 7.500%, 01/05/30 (A) (C) (D) | 997,685 | ||||||
GCA Holdings, Series 2014-1, Class E | ||||||||
3,160,000 | 0.656%, 01/05/30 (A) (C) (D) | 469,102 | ||||||
Gilbert Park CLO, Series 2017-1A, Class D | ||||||||
315,000 | 3.076%, VAR ICE LIBOR USD 3 Month+2.950%, 10/15/30 (A) | 315,023 | ||||||
Goldentree Loan Management US CLO, Series 2017-2A, Class D | ||||||||
250,000 | 2.784%, VAR ICE LIBOR USD 3 Month+2.650%, 11/28/30 (A) | 250,033 | ||||||
Greenwood Park CLO, Series 2018-1A, Class D | ||||||||
285,000 | 2.626%, VAR ICE LIBOR USD 3 Month+2.500%, 04/15/31 (A) | 281,147 | ||||||
Harbor Park CLO, Series 2018-1A, Class D | ||||||||
400,000 | 3.034%, VAR ICE LIBOR USD 3 Month+2.900%, 01/20/31 (A) | 399,397 | ||||||
Hayfin US XII, Series 2019-2A, Class E | ||||||||
280,000 | 7.034%, VAR ICE LIBOR USD 3 Month+6.900%, 07/20/32 (A) | 277,390 | ||||||
Hilton Grand Vacations Trust, Series 2018-AA, Class C | ||||||||
231,137 | 4.000%, 02/25/32 (A) | 241,228 | ||||||
Home Partners of America Trust, Series 2021-1, Class F | ||||||||
690,000 | 3.325%, 09/19/41 (A) | 690,515 | ||||||
JPMorgan Chase Bank, Series 2021-1, Class F | ||||||||
1,000,000 | 4.280%, 09/25/28 (A) | 1,001,062 | ||||||
JPMorgan Chase Bank, Series 2021-2, Class F | ||||||||
1,200,000 | 4.393%, 12/26/28 (A) | 1,203,424 |
3 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% (continued) | ||||||||
Kestrel Aircraft Funding, Series 2018-1A, Class A | ||||||||
$ | 2,316,825 | 4.250%, 12/15/38 (A) | $ | 2,311,114 | ||||
KKR CLO, Series 2018-23, Class F | ||||||||
840,000 | 7.984%, VAR ICE LIBOR USD 3 Month+7.850%, 10/20/31 (A) | 781,188 | ||||||
KKR CLO, Series 2019-24, Class E | ||||||||
860,000 | 6.514%, VAR ICE LIBOR USD 3 Month+6.380%, 04/20/32 (A) | 852,481 | ||||||
Lehman XS Trust, Series 2006-2N, Class 1A1 | ||||||||
616,034 | 0.609%, VAR ICE LIBOR USD 1 Month+0.520%, 02/25/46 | 566,584 | ||||||
Madison Park Funding XII, Series 2014-12A, Class E | ||||||||
830,000 | 5.234%, VAR ICE LIBOR USD 3 Month+5.100%, 07/20/26 (A) | 826,905 | ||||||
Madison Park Funding XXI, Series 2019-21A, Class DR | ||||||||
1,000,000 | 7.686%, VAR ICE LIBOR USD 3 Month+7.560%, 10/15/32 (A) | 1,002,289 | ||||||
Magnetite XXIX, Series 2021-29A, Class E | ||||||||
850,000 | 5.876%, VAR ICE LIBOR USD 3 Month+5.750%, 01/15/34 (A) | 847,844 | ||||||
MAPS, Series 2018-1A, Class B | ||||||||
1,182,774 | 5.193%, 05/15/43 (A) | 1,102,019 | ||||||
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C | ||||||||
4,000,000 | 4.210%, 03/20/26 (A) | 4,002,715 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series C11, Class B | ||||||||
2,755,000 | 4.354%, 08/15/46 (B) | 2,040,919 | ||||||
Oaktree CLO, Series 2019-4A, Class E | ||||||||
265,000 | 7.364%, VAR ICE LIBOR USD 3 Month+7.230%, 10/20/32 (A) | 265,258 | ||||||
OCP CLO, Series 2018-15A, Class D | ||||||||
645,000 | 5.984%, VAR ICE LIBOR USD 3 Month+5.850%, 07/20/31 (A) | 640,887 | ||||||
OCP CLO, Series 2021-17A, Class ER | ||||||||
1,000,000 | 6.634%, VAR ICE LIBOR USD 3 Month+6.500%, 07/20/32 (A) | 997,463 | ||||||
Octagon Investment Partners, Series 2018-3A, Class E | ||||||||
280,000 | 5.884%, VAR ICE LIBOR USD 3 Month+5.750%, 10/20/30 (A) | 275,250 | ||||||
OHA Credit Funding, Series 2019-4A, Class E | ||||||||
270,000 | 6.284%, VAR ICE LIBOR USD 3 Month+6.100%, 10/22/32 (A) | 269,991 | ||||||
OHA Credit Funding, Series 2021-8A, Class D | ||||||||
1,880,000 | 3.038%, VAR ICE LIBOR USD 3 Month+2.850%, 01/18/34 (A) | 1,877,035 | ||||||
OHA Credit Funding, Series 2021-2A, Class ER | ||||||||
445,000 | 6.494%, VAR ICE LIBOR USD 3 Month+6.360%, 04/21/34 (A) | 434,510 | ||||||
OHA Credit Funding, Series 2021-3A, Class ER | ||||||||
2,415,000 | 0.000%, VAR ICE LIBOR USD 3 Month+6.250%, 07/02/35 (A)(F) | 2,408,777 | ||||||
OneMain Financial Issuance Trust, Series 2015-3A, Class C | ||||||||
1,000,000 | 5.820%, 11/20/28 (A) | 1,001,200 | ||||||
OneMain Financial Issuance Trust, Series 2018-1A, Class D | ||||||||
1,745,000 | 4.080%, 03/14/29 (A) | 1,787,036 |
4 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% (continued) | ||||||||
OneMain Financial Issuance Trust, Series 2020-1A, Class C | ||||||||
$ | 2,565,000 | 5.810%, 05/14/32 (A) | $ | 2,776,559 | ||||
Orange Lake Timeshare Trust, Series 2019-A, Class D | ||||||||
1,494,483 | 4.930%, 04/09/38 (A) | 1,545,800 | ||||||
Palmer Square CLO, Series 2019-1A, Class C | ||||||||
1,000,000 | 3.904%, VAR ICE LIBOR USD 3 Month+3.750%, 11/14/32 (A) | 1,002,071 | ||||||
Palmer Square CLO, Series 2021-1A, Class CR4 | ||||||||
1,740,000 | 2.975%, VAR ICE LIBOR USD 3 Month+2.850%, 05/21/34 (A) | 1,737,380 | ||||||
Pikes Peak CLO, Series 2018-1A, Class D | ||||||||
510,000 | 3.275%, VAR ICE LIBOR USD 3 Month+3.150%, 07/24/31 (A) | 514,199 | ||||||
Pikes Peak CLO, Series 2019-3A, Class E | ||||||||
650,000 | 6.985%, VAR ICE LIBOR USD 3 Month+6.860%, 04/25/30 (A) | 649,922 | ||||||
Pikes Peak CLO, Series 2021-4A, Class ER | ||||||||
1,990,000 | 7.040%, VAR ICE LIBOR USD 3 Month+6.610%, 07/15/34 (A) | 1,967,193 | ||||||
Planet Fitness Master Issuer, Series 2018-1A, Class A2II | ||||||||
4,643,688 | 4.666%, 09/05/48 (A) | 4,812,114 | ||||||
Prestige Auto Receivables Trust, Series 2019-1A, Class E | ||||||||
1,415,000 | 3.900%, 05/15/26 (A) | 1,456,203 | ||||||
Prestige Auto Receivables Trust, Series 2020-1A, Class E | ||||||||
2,740,000 | 3.670%, 02/15/28 (A) | 2,836,980 | ||||||
Progress Residential Trust, Series 2020-SFR3, Class F | ||||||||
645,000 | 2.796%, 10/17/27 (A) | 651,638 | ||||||
Progress Residential Trust, Series 2021-SFR4, Class F | ||||||||
1,750,000 | 3.407%, 05/17/38 (A) | 1,770,177 | ||||||
Progress Residential Trust, Series 2021-SFR2, Class F | ||||||||
2,450,000 | 3.395%, 04/19/38 (A) | 2,458,620 | ||||||
Progress Residential Trust, Series 2021-SFR1, Class F | ||||||||
360,000 | 2.757%, 04/17/38 (A) | 356,983 | ||||||
Progress Residential Trust, Series 2021-SFR3, Class F | ||||||||
905,000 | 3.436%, 05/17/26 (A) | 921,413 | ||||||
PRPM, Series 2020-2, Class A2 | ||||||||
685,000 | 5.000%, 08/25/25 (A) | 689,059 | ||||||
PRPM, Series 2020-3, Class A2 | ||||||||
640,000 | 5.071%, 09/25/25 (A) | 644,434 | ||||||
PRPM, Series 2020-4, Class A2 | ||||||||
1,290,000 | 3.436%, 10/25/25 (A) | 1,300,946 | ||||||
PRPM, Series 2020-5, Class A2 | ||||||||
1,695,000 | 5.437%, 11/25/25 (A) | 1,707,266 | ||||||
PRPM, Series 2021-1, Class A2 | ||||||||
1,055,000 | 3.720%, 01/25/26 (A) (B) | 1,058,803 |
5 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% (continued) | ||||||||
PRPM, Series 2021-2, Class A2 | ||||||||
$ | 980,000 | 3.770%, 03/25/26 (A) (B) | $ | 982,455 | ||||
PRPM, Series 2021-4, Class A2 | ||||||||
555,000 | 3.474%, 04/25/26 (A) | 557,444 | ||||||
Rockford Tower CLO, Series 2017-3A, Class D | ||||||||
250,000 | 2.784%, VAR ICE LIBOR USD 3 Month+2.650%, 10/20/30 (A) | 247,589 | ||||||
Rockland Park CLO, Series 2021-1A, Class E | ||||||||
2,450,000 | 2.840%, 04/20/34 (A) | 2,443,537 | ||||||
RR, Series 2018-3A, Class CR2 | ||||||||
250,000 | 2.626%, VAR ICE LIBOR USD 3 Month+2.500%, 01/15/30 (A) | 246,242 | ||||||
SCF Equipment Leasing, Series 2019-1A, Class E | ||||||||
2,524,126 | 5.490%, 04/20/30 (A) | 2,484,525 | ||||||
SCF Equipment Leasing, Series 2021-1A, Class E | ||||||||
755,000 | 3.560%, 08/20/32 (A) | 755,160 | ||||||
Sierra Timeshare, Series 2020-2A, Class D | ||||||||
626,083 | 6.590%, 07/20/37 (A) | 662,582 | ||||||
Sierra Timeshare Receivables Funding, Series 2021-1A, Class D | ||||||||
1,219,963 | 3.170%, 11/20/37 (A) | 1,232,037 | ||||||
S-Jets, Series 2017-1, Class A | ||||||||
1,116,911 | 3.967%, 08/15/42 (A) | 1,108,486 | ||||||
S-Jets, Series 2017-1, Class B | ||||||||
785,122 | 5.682%, 08/15/42 (A) | 717,145 | ||||||
Springleaf Funding Trust, Series 2017-AA, Class C | ||||||||
700,000 | 3.860%, 07/15/30 (A) | 701,426 | ||||||
Sprite, Series 2017-1, Class A | ||||||||
423,399 | 4.250%, 12/15/37 (A) | 421,635 | ||||||
Textainer Marine Containers VII, Series 2021-1A, Class B | ||||||||
720,167 | 2.520%, 02/20/46 (A) | 720,810 | ||||||
THL Credit Wind River, Series 2018-3A, Class D | ||||||||
280,000 | 3.084%, VAR ICE LIBOR USD 3 Month+2.950%, 01/20/31 (A) | 278,643 | ||||||
TIF Funding II, Series 2021-1A, Class B | ||||||||
403,725 | 2.540%, 02/20/46 (A) | 402,733 | ||||||
TRESTLES CLO II, Series 2018-2A, Class D | ||||||||
415,000 | 5.875%, VAR ICE LIBOR USD 3 Month+5.750%, 07/25/31 (A) | 411,678 | ||||||
Tricon American Homes Trust, Series 2017-SFR1, Class F | ||||||||
2,755,000 | 5.151%, 09/17/34 (A) | 2,787,452 | ||||||
Tricon American Homes Trust, Series 2020-SFR1, Class F | ||||||||
160,000 | 4.882%, 07/17/38 (A) | 170,515 | ||||||
VOLT XCIV, Series 2021-NPL3, Class A2 | ||||||||
1,630,000 | 4.949%, 02/27/51 (A) | 1,630,460 |
6 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Asset-Backed Securities — 60.7% (continued) | ||||||||
VOLT XCVI, Series 2021-NPL5, Class A2 | ||||||||
$ | 640,000 | 4.826%, 03/27/51 (A) | $ | 641,134 | ||||
Welk Resorts, Series 2019-AA, Class D | ||||||||
460,308 | 4.030%, 06/15/38 (A) | 474,872 | ||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A | ||||||||
2,250,122 | 4.750%, 09/15/43 (A) | 2,251,119 | ||||||
Willis Engine Structured Trust V, Series 2020-A, Class A | ||||||||
1,146,736 | 3.228%, 03/15/45 (A) | 1,159,118 | ||||||
|
| |||||||
Total Asset-Backed Securities | ||||||||
(Cost $152,561,951) | 152,544,801 | |||||||
|
| |||||||
Commercial Mortgage-Backed Obligations — 21.3% | ||||||||
CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1 | ||||||||
991,448 | 3.593%, VAR ICE LIBOR USD 1 Month+3.500%, 11/15/31 (A) | 854,331 | ||||||
CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2 | ||||||||
2,414,176 | 4.593%, VAR ICE LIBOR USD 1 Month+4.500%, 11/15/31 (A) | 2,041,669 | ||||||
COMM Mortgage Trust, Series 2012-LC4, Class D | ||||||||
1,605,000 | 5.553%, 12/10/44 (A) (B) | 1,121,728 | ||||||
COMM Mortgage Trust, Series 2012-CCRE3, Class D | ||||||||
1,005,000 | 4.750%, 10/15/45 (A) (B) | 668,337 | ||||||
COMM Mortgage Trust, Series 2012-CR2, Class E | ||||||||
1,000,000 | 4.831%, 08/15/45 (A) (B) | 829,765 | ||||||
Credit Suisse Commercial Mortgage Securities, Series 2019-SKLZ, Class D | ||||||||
455,000 | 3.693%, VAR ICE LIBOR USD 1 Month+3.600%, 01/15/34 (A) | 448,905 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class AM | ||||||||
7,625 | 5.859%, 09/15/40 (B) | 7,594 | ||||||
CSMC OA, Series 2014-USA, Class C | ||||||||
895,000 | 4.336%, 09/15/37 (A) | 890,420 | ||||||
CSMC OA, Series 2014-USA, Class E | ||||||||
5,475,000 | 4.373%, 09/15/37 (A) | 4,940,058 | ||||||
CSMC Trust, Series 2021-RPL1, Class A2 | ||||||||
1,850,000 | 3.937%, 09/27/60 (A) | 1,857,034 | ||||||
GS Mortgage Securities Trust, Series GC13, Class C | ||||||||
610,000 | 4.085%, 07/10/46 (A) (B) | 573,827 | ||||||
Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10 | ||||||||
3,375,000 | 4.155%, 08/05/34 (A) | 3,081,103 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C1, Class D | ||||||||
592,000 | 6.016%, 06/15/43 (A) (B) | 474,266 |
7 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Commercial Mortgage-Backed Obligations — 21.3% (continued) | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class D | ||||||||
$ | 3,000,000 | 5.435%, 08/15/46 (A) (B) | $ | 2,672,593 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series C3, Class C | ||||||||
155,000 | 5.360%, 02/15/46 (A) (B) | 143,861 | ||||||
JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1 | ||||||||
1,340,464 | 6.000%, 09/25/34 | 1,401,954 | ||||||
Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1 | ||||||||
1,170,366 | 3.438%, 05/25/59 (A) | 1,171,522 | ||||||
Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1 | ||||||||
98,972 | 3.750%, 01/25/59 (A) | 99,053 | ||||||
Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2 | ||||||||
520,000 | 3.500%, 04/25/61 (A) | 522,317 | ||||||
Lehman Mortgage Trust, Series 2007-9, Class 1A1 | ||||||||
826,786 | 6.000%, 10/25/37 | 897,730 | ||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class E | ||||||||
2,930,000 | 5.211%, 06/15/44 (A) (B) | 2,261,606 | ||||||
Morgan Stanley Capital I Trust, Series 2013-ALTM, Class E | ||||||||
2,500,000 | 3.705%, 02/05/35 (A) (B) | 1,991,533 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5 | ||||||||
143,732 | 5.500%, 11/25/35 | 149,961 | ||||||
Motel 6 Trust, Series 2017-M6MZ, Class M | ||||||||
2,678,552 | 7.020%, VAR ICE LIBOR USD 1 Month+6.927%, 08/15/24 (A) | 2,591,801 | ||||||
MSBAM Commercial Mortgage Securities Trust, Series CKSV, Class C | ||||||||
215,000 | 4.283%, 10/15/30 (A) (B) | 171,377 | ||||||
MSBAM Commercial Mortgage Securities Trust, Series CKSV, Class D | ||||||||
400,000 | 4.283%, 10/15/30 (A) (B) | 243,612 | ||||||
RBS Commercial Funding Trust, Series 2013-SMV, Class F | ||||||||
2,000,000 | 3.584%, 03/11/31 (A) (B) | 1,805,966 | ||||||
Starwood Retail Property Trust, Series 2014-STAR, Class E | ||||||||
3,185,000 | 4.493%, VAR ICE LIBOR USD 1 Month+4.400%, 11/15/27 (A) (C) (D) | 297,349 | ||||||
Starwood Retail Property Trust, Series 2014-STAR, Class F | ||||||||
3,785,000 | 3.787%, VAR ICE LIBOR USD 1 Month+3.694%, 11/15/27 (A) (C) (D) | 235,380 | ||||||
Starwood Retail Property Trust, Series STAR, Class A | ||||||||
375,160 | 1.563%, VAR ICE LIBOR USD 1 Month+1.470%, 11/15/27 (A) | 247,606 | ||||||
Towd Point Mortgage Trust, Series 2017-5, Class M2 | ||||||||
640,000 | 1.589%, VAR ICE LIBOR USD 1 Month+1.500%, 02/25/57 (A) | 649,805 |
8 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Commercial Mortgage-Backed Obligations – 21.3% (continued) | ||||||||
Towd Point Mortgage Trust, Series 2018-4, Class A2 | ||||||||
$ | 1,100,000 | 3.000%, 06/25/58 (A) (B) | $ | 1,171,987 | ||||
Towd Point Mortgage Trust, Series 2018-5, Class M1 | ||||||||
505,000 | 3.250%, 07/25/58 (A) (B) | 531,013 | ||||||
Towd Point Mortgage Trust, Series 2019-2, Class M1 | ||||||||
890,000 | 3.750%, 12/25/58 (A) (B) | 949,256 | ||||||
Towd Point Mortgage Trust, Series 2020-4, Class M1 | ||||||||
2,300,000 | 2.875%, 10/25/60 (A) | 2,407,575 | ||||||
UBS Commercial Mortgage Trust, Series 2018-C14, Class C | ||||||||
1,885,000 | 5.268%, 12/15/51 (B) | 2,024,319 | ||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E | ||||||||
866,000 | 4.886%, 05/10/63 (A) (B) | 81,404 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class C | ||||||||
2,902,000 | 5.057%, 06/15/49 (B) | 2,794,886 | ||||||
Wells Fargo Commercial Mortgage Trust, Series LC16, Class C | ||||||||
1,485,000 | 4.458%, 08/15/50 | 1,111,502 | ||||||
Wells Fargo Commercial Mortgage Trust, Series C36, Class C | ||||||||
500,000 | 4.185%, 11/15/59 (B) | 445,762 | ||||||
WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D | ||||||||
3,182,123 | 5.425%, 03/15/44 (A) (B) | 1,550,330 | ||||||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class B | ||||||||
360,000 | 4.738%, 06/15/45 (B) | 337,981 | ||||||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E | ||||||||
3,985,000 | 4.803%, 06/15/45 (A) (B) | 757,150 | ||||||
WFRBS Commercial Mortgage Trust, Series C7, Class C | ||||||||
100,000 | 4.803%, 06/15/45 (B) | 72,072 | ||||||
WFRBS Commercial Mortgage Trust, Series C24, Class C | ||||||||
255,000 | 4.290%, 11/15/47 (B) | 238,452 | ||||||
WFRBS Commercial Mortgage Trust, Series C10, Class C | ||||||||
2,130,000 | 4.361%, 12/15/45 (B) | 1,852,728 | ||||||
WFRBS Commercial Mortgage Trust, Series C7, Class D | ||||||||
1,450,000 | 4.803%, 06/15/45 (A) (B) | 752,077 | ||||||
WFRBS Commercial Mortgage Trust, Series C4, Class E | ||||||||
1,680,000 | 4.964%, 06/15/44 (A) (B) | 1,058,705 | ||||||
|
|
| ||||||
Total Commercial Mortgage-Backed Obligations | ||||||||
(Cost $61,631,792) | 53,481,262 | |||||||
|
|
|
9 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Residential Mortgage-Backed Obligations — 14.3% | ||||||||
Alternative Loan Trust, Series 2004-J3, Class 1A1 | ||||||||
$ | 354,361 | 5.500%, 04/25/34 | $ | 361,990 | ||||
Alternative Loan Trust, Series 2004-J10, Class 2CB1 | ||||||||
952,979 | 6.000%, 09/25/34 | 990,508 | ||||||
Alternative Loan Trust, Series 2004-28CB, Class 5A1 | ||||||||
179,608 | 5.750%, 01/25/35 | 181,693 | ||||||
Alternative Loan Trust, Series 2005-J1, Class 2A1 | ||||||||
123,325 | 5.500%, 02/25/25 | 125,302 | ||||||
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1 | ||||||||
507,397 | 5.500%, 10/25/33 | 525,123 | ||||||
Banc of America Funding Trust, Series 2005-7, Class 3A1 | ||||||||
700,090 | 5.750%, 11/25/35 | 762,415 | ||||||
Banc of America Funding Trust, Series 2007-4, Class 5A1 | ||||||||
151,329 | 5.500%, 11/25/34 | 151,026 | ||||||
CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1 | ||||||||
256,002 | 2.586%, 08/25/34 (B) | 260,439 | ||||||
Citigroup Mortgage Loan Trust, Series 2005-3, Class 2A3 | ||||||||
836,381 | 2.645%, 08/25/35 (B) | 775,508 | ||||||
Citigroup Mortgage Loan Trust, Series 2009-10, Class 6A2 | ||||||||
221,808 | 2.595%, 09/25/34 (A) (B) | 231,337 | ||||||
Citigroup Mortgage Loan Trust, Series 2010-9, Class 2A2 | ||||||||
799,041 | 2.520%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.400%, 11/25/35 (A) | 780,614 | ||||||
Citigroup Mortgage Loan Trust, Series 2019-RP1, Class M3 | ||||||||
1,005,000 | 4.000%, 01/25/66 (A) (B) | 1,107,442 | ||||||
Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11 | ||||||||
243,903 | 5.500%, 08/25/34 | 250,186 | ||||||
Deutsche Mortgage Securities Mortgage Loan Trust, Series 2004-1, Class 3A5 | ||||||||
1,602,509 | 6.160%, 12/25/33 | 1,646,910 | ||||||
Deutsche Mortgage Securities Mortgage Loan Trust, Series 2004-4, Class 7AR1 | ||||||||
439,398 | 0.439%, VAR ICE LIBOR USD 1 Month+0.350%, 06/25/34 | 420,569 | ||||||
FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B1 | ||||||||
2,000,000 | 3.050%, VAR SOFR30A+3.000%, 12/25/50 (A) | 2,016,013 | ||||||
FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B1 | ||||||||
1,500,000 | 6.089%, VAR ICE LIBOR USD 1 Month+6.000%, 08/25/50 (A) | 1,599,363 | ||||||
FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B1 | ||||||||
1,000,000 | 5.189%, VAR ICE LIBOR USD 1 Month+5.100%, 06/25/50 (A) | 1,045,700 |
10 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Residential Mortgage-Backed Obligations – 14.3% (continued) | ||||||||
FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B1 | ||||||||
$ | 2,000,000 | 3.550%, VAR SOFR30A+3.500%, 10/25/33 (A) | $ | 2,075,544 | ||||
GS Mortgage Securities Trust, Series 2011-GC5, Class D | ||||||||
4,942,728 | 5.184%, 08/10/44 (A) (B) | 2,520,890 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1 | ||||||||
46,979 | 2.250%, 07/25/35 (B) | 46,899 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A | ||||||||
976,959 | 2.954%, 10/25/34 (B) | 957,007 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2005-AR11, Class A3 | ||||||||
1,272,778 | 2.986%, 08/25/35 (B) | 1,166,006 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1 | ||||||||
3,140,975 | 0.509%, VAR ICE LIBOR USD 1 Month+0.420%, 02/25/46 | 2,507,501 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1 | ||||||||
1,300,605 | 2.629%, 03/25/35 (B) | 1,283,796 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1 | ||||||||
1,897,070 | 2.707%, 03/25/35 (B) | 1,853,420 | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1 | ||||||||
553,178 | 2.638%, 04/25/36 (B) | 554,758 | ||||||
MASTR Alternative Loan Trust, Series 2003-9, Class 4A1 | ||||||||
376,233 | 5.250%, 11/25/33 | 386,158 | ||||||
MASTR Alternative Loan Trust, Series 2004-2, Class 8A4 | ||||||||
2,571,195 | 5.500%, 03/25/34 | 2,623,405 | ||||||
MASTR Alternative Loan Trust, Series 2004-5, Class 1A1 | ||||||||
382,313 | 5.500%, 06/25/34 | 392,897 | ||||||
MASTR Alternative Loan Trust, Series 2004-5, Class 2A1 | ||||||||
449,498 | 6.000%, 06/25/34 | 463,820 | ||||||
MASTR Alternative Loan Trust, Series 2004-8, Class 2A1 | ||||||||
983,160 | 6.000%, 09/25/34 | 1,011,284 | ||||||
Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M3 | ||||||||
730,000 | 2.500%, 11/25/60 (A) (B) | 725,840 | ||||||
RFMSI Series Trust, Series 2005-SA1, Class 1A1 | ||||||||
1,994,433 | 4.060%, 03/25/35 (B) | 1,287,446 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1 | ||||||||
3,935,913 | 0.399%, VAR ICE LIBOR USD 1 Month+0.310%, 07/25/35 | 2,890,316 | ||||||
|
|
| ||||||
Total Residential Mortgage-Backed Obligations | ||||||||
(Cost $37,294,057) | 35,979,125 | |||||||
|
|
|
11 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
Principal Amount | Description | Value | ||||||
Other Investment — 0.4% | ||||||||
ECAF I BLOCKER LTD | ||||||||
$ | 900 | 0.000%, 03/15/40 (C) (D) (F) | $ | 1,100,250 | ||||
|
|
| ||||||
Total Other Investment | ||||||||
(Cost $9,000,000) | 1,100,250 | |||||||
|
|
| ||||||
Shares | ||||||||
Short-Term Investment — 2.1% | ||||||||
5,221,705 | Dreyfus Treasury Prime Cash Management, Institutional Class , 0.010%(E) | 5,221,705 | ||||||
|
|
| ||||||
Total Short-Term Investment | ||||||||
(Cost $5,221,705) | 5,221,705 | |||||||
|
|
| ||||||
Total Investments — 98.8% | ||||||||
(Cost $265,709,505) | 248,327,143 | |||||||
Other Assets and Liabilities, net — 1.2% | 2,992,578 | |||||||
|
|
| ||||||
Net Assets — 100.0% | $ | 251,319,721 | ||||||
|
|
|
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of these securities at July 31, 2021 was $204,156,066, representing 81.2% of Net Assets of the Portfolio. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(C) | Level 3 security in accordance with fair value hierarchy. |
(D) | Security is fair valued using methods determined in good faith by the Fair Value Committee of the Board of Trustees. The total value of such securities as of July 31, 2021, was $6,740,380 and represented 2.7% of net assets. |
(E) | The rate shown is the 7-day effective yield as of July 31, 2021. |
(F) | There is currently no rate available. |
Cl — Class
CLO — Collateralized Loan Obligation
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
ICE— Intercontinental Exchange
LIBOR— London Interbank Offered Rate
Ltd. — Limited
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
VAR — Variable Rate
12 |
Portfolio of Investments — as of July 31, 2021 (Unaudited)
Loomis Sayles Full Discretion Institutional Securitized Fund
The following is a summary of the inputs used as of July 31, 2021 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities | $ | — | $ | 147,437,400 | $ | 5,107,401 | $ | 152,544,801 | ||||||||
Commercial Mortgage-Backed Obligations | — | 52,948,533 | 532,729 | 53,481,262 | ||||||||||||
Residential Mortgage-Backed Obligations | — | 35,979,125 | — | 35,979,125 | ||||||||||||
Other Investment | — | — | 1,100,250 | 1,100,250 | ||||||||||||
Short-Term Investment | 5,221,705 | — | — | 5,221,705 | ||||||||||||
|
|
| ||||||||||||||
Total Investments in Securities | $ | 5,221,705 | $ | 236,365,058 | $ | 6,740,380 | $ | 248,327,143 | ||||||||
|
|
|
The following is a reconciliation of Level 3 assets for which unobservable inputs were used to determine fair value:
Investments in Asset-Backed Securities | Investments in Residential Mortgage-Backed Obligations | Investments in Commercial Mortgage-Backed Obligation | Investments in Other Investments | Total | ||||||||||||||||
| ||||||||||||||||||||
Balance as of November 1, 2020 | $ | 3,264,198 | $ | 47,723 | $ | 1,639,436 | $ | 1,071,000 | $ | 6,022,357 | ||||||||||
Accrued discounts/ premiums | 14,772 | 229 | 25,270 | — | 40,271 | |||||||||||||||
Realized gain/(loss) | (409,072 | ) | 190 | — | — | (408,882 | ) | |||||||||||||
Change in unrealized appreciation/ (depreciation) | 3,463,777 | 718 | (1,131,977 | ) | 29,250 | 2,361,768 | ||||||||||||||
Purchases | 637,321 | — | — | — | 637,321 | |||||||||||||||
Sales | (1,863,595 | ) | (1,960 | ) | — | — | (1,865,555 | ) | ||||||||||||
Net transfer into Level 3 | — | — | — | — | — | |||||||||||||||
Net transfer out of Level 3 | — | (46,900 | ) | — | — | (46,900 | ) | |||||||||||||
|
|
| ||||||||||||||||||
Ending Balance as of July 31, 2021 | 5,107,401 | — | 532,729 | 1,100,250 | 6,740,380 | |||||||||||||||
|
|
| ||||||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 2,747,692 | $ | — | $ | (1,131,977 | ) | $ | 29,250 | $ | 1,644,965 | |||||||||
|
|
|
For the period ended July 31, 2021, there were transfers between Level 2 and Level 3 assets and liabilities due to changes in the availability of observable inputs used to determine fair value. Transfers between Level 2 and Level 3 are a result of a change, in the normal course of business, between the use of valuation methods used by third party pricing services (Level 2) and the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). All transfers, if any, are recognized by the Fund at the end of each period.
For the period ended July 31, 2021, there have been no significant changes to the Fund’s fair value methodologies.
Amounts designated as “-“ are $0.
For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent financial statements.
13 |