Natixis Funds Trust II Oakmark Fund NCSRS Certified semi-annual shareholder report (management investment company)

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: 811-00242

Natixis Funds Trust 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)

Susan McWhan Tobin, 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) 449-2139

Date of fiscal year end: December 31

Date of reporting period: June 30, 2023

Item 1. Reports to Stockholders.

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

LOGO

Semiannual Report

June 30, 2023

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			17
Financial Statements			28
Notes to Financial Statements			59

LOGO

LOOMIS SAYLES INTERNATIONAL GROWTH FUND



Manager	Symbols

Aziz V. Hamzaogullari, CFA®	Class A	LIGGX

Loomis, Sayles & Company, L.P.	Class C	LIGCX

	Class N	LIGNX

	Class Y	LIGYX

Investment Goal

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

Average Annual Total Returns — June 30, 2023³



	6 Months			1 Year			Life of Fund			Expense Ratios⁴
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 12/15/20)
NAV		17.45	%		22.79	%		-2.20	%		1.80	%		0.95	%

Class A (Inception 12/15/20)
NAV		17.35			22.40			-2.45			2.05			1.20
With 5.75% Maximum Sales Charge		10.58			15.37			-4.69

Class C (Inception 12/15/20)
NAV		16.86			21.55			-3.18			2.79			1.95
With CDSC¹		15.86			20.55			-3.18

Class N (Inception 12/15/20)
NAV		17.45			22.84			-2.17			1.67			0.90

Comparative Performance
MSCI ACWI ex USA Index²		9.47	%		12.72	%		0.59	%

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

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

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

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. 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.

1 |

NATIXIS OAKMARK FUND



Managers	Symbols

Robert F. Bierig	Class A	NEFOX

Michael J. Mangan, CFA^®	Class C	NECOX

Michael A. Nicolas, CFA^®	Class N	NOANX

William C. Nygren, CFA^®	Class Y	NEOYX

Harris Associates L.P.

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2023³



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

Class Y
NAV		17.60	%		26.83	%		11.29	%		12.11	%		—	%		0.85	%		0.80	%

Class A
NAV		17.45			26.52			11.01			11.83			—			1.10			1.05
With 5.75% Maximum Sales Charge		10.72			19.24			9.70			11.17			—

Class C
NAV		17.03			25.57			10.17			11.16			—			1.85			1.80
With CDSC¹		16.03			24.57			10.17			11.16			—

Class N (Inception 5/1/17)
NAV		17.64			26.90			11.39			—			11.92			0.93			0.75

Comparative Performance
S&P 500^® Index²		16.89	%		19.59	%		12.31	%		12.86	%		12.58

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

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

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitations, 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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NATIXIS OAKMARK INTERNATIONAL FUND



Managers	Symbols

David G. Herro, CFA^®	Class A	NOIAX

Eric Liu, CFA^®*	Class C	NOICX

Michael L. Manelli, CFA^®	Class N	NIONX

Harris Associates L.P.	Class Y	NOIYX

*	Effective August 1, 2023, Eric Liu serves as portfolio manager of the Fund.

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2023⁴



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 5/1/17)
NAV¹		17.92	%		22.97	%		3.01	%		4.66	%		—	%		1.13	%		0.90	%

Class A
NAV		17.74			22.64			2.77			4.50			—			1.38			1.15
With 5.75% Maximum Sales Charge		11.00			15.56			1.55			3.88			—

Class C
NAV		17.31			21.81			2.00			3.88			—			2.13			1.90
With CDSC²		16.31			20.81			2.00			3.88			—

Class N (Inception 5/1/17)
NAV		17.98			23.01			3.08			—			3.20			1.02			0.85

Comparative Performance
MSCI World ex USA Index (Net)³		11.29	%		17.41	%		4.58	%		5.40	%		5.36

1	Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class.

2	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

3	MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Funds 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 Funds expense limitations.

3 |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND



Managers	Symbols

Robert F. Bierig	Class A	NEFSX

Michael J. Mangan, CFA^®, CPA	Class C	NECCX

Michael A. Nicolas, CFA^®	Class N	NESNX

William C. Nygren, CFA^®	Class Y	NESYX

Harris Associates L.P.



Aziz V. Hamzaogullari, CFA^®

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks long-term growth of capital.

Average Annual Total Returns — June 30, 2023⁴



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		24.23	%		30.36	%		11.90	%		14.07	%		—	%		0.84	%		0.84	%

Class A
NAV		24.09			30.07			11.62			13.79			—			1.09			1.09
With 5.75% Maximum Sales Charge		16.96			22.60			10.31			13.11			—

Class C
NAV		23.67			29.06			10.79			13.10			—			1.84			1.84
With CDSC¹		22.67			28.07			10.79			13.10			—

Class N (Inception 5/1/17)
NAV		24.26			30.45			11.98			—			13.17			1.31			0.78

Comparative Performance
S&P 500^® Index²		16.89	%		19.59	%		12.31	%		12.86	%		12.58
Russell 1000^® Index³		16.68	%		19.36	%		11.92	%		12.64	%		12.28

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

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

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VAUGHAN NELSON MID CAP FUND



Managers	Symbols

Dennis G. Alff, CFA^®	Class A	VNVAX

Chad D. Fargason	Class C	VNVCX

Chris D. Wallis, CFA^®	Class N	VNVNX

Vaughan Nelson Investment Management, L.P.	Class Y	VNVYX

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2023³



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

Class Y
NAV		5.30	%		10.00	%		6.97	%		7.92	%		—	%		0.96	%		0.90	%

Class A
NAV		5.19			9.71			6.70			7.64			—			1.21			1.15
With 5.75% Maximum Sales Charge		-0.86			3.38			5.44			7.01			—

Class C
NAV		4.79			8.90			5.90			7.00			—			1.96			1.90
With CDSC¹		3.79			7.90			5.90			7.00			—

Class N (Inception 5/1/13)
NAV		5.36			10.08			7.05			7.99			8.34			0.87			0.85

Comparative Performance
Russell Midcap^® Value Index²		5.23	%		10.50	%		6.84	%		9.03	%		9.04

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

2	Russell Midcap^® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap^® Index companies with lower price-to-book ratios and lower 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.

5 |

VAUGHAN NELSON SMALL CAP VALUE FUND



Managers		Symbols

James Eisenman, CFA^®		Class A NEFJX

Chris D. Wallis, CFA^®		Class C NEJCX

Vaughan Nelson Investment Management, L.P.		Class N VSCNX

		Class Y NEJYX

Investment Goal

The Fund seeks capital appreciation.

Average Annual Total Returns — June 30, 2023³



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

Class Y
NAV		14.68	%		18.51	%		9.15	%		10.13	%		—	%		1.12	%		1.00	%

Class A
NAV		14.57			18.27			8.88			9.86			—			1.37	%		1.25
With 5.75% Maximum Sales Charge		7.95			11.45			7.60			9.20			—

Class C
NAV		14.15			17.39			8.04			9.20			—			2.12			2.00
With CDSC¹		13.15			16.39			8.04			9.20			—

Class N (Inception 5/1/17)
NAV		14.73			18.60			9.23			—			8.89			1.10			0.95

Comparative Performance
Russell 2000^® Value Index²		2.50	%		6.01	%		3.54	%		7.29	%		4.89

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

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

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

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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.

7 |

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2023 through June 30, 2023. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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


LOOMIS SAYLES INTERNATIONAL GROWTH FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE 6/30/2023		EXPENSES PAID DURING PERIOD^*1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,173.50		$6.47
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$1,168.60		$10.49
Hypothetical (5% return before expenses)		$1,000.00		$1,015.13		$ 9.74
Class N
Actual		$1,000.00		$1,174.50		$ 4.85
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$ 4.51
Class Y
Actual		$1,000.00		$1,174.50		$ 5.12
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$ 4.76

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE 6/30/2023		EXPENSES PAID DURING PERIOD^*1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,174.50		$5.66
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26
Class C
Actual		$1,000.00		$1,170.30		$9.69
Hypothetical (5% return before expenses)		$1,000.00		$1,015.87		$9.00
Class N
Actual		$1,000.00		$1,176.40		$4.05
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76
Class Y
Actual		$1,000.00		$1,176.00		$4.32
Hypothetical (5% return before expenses)		$1,000.00		$1,020.83		$4.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% 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 (181), divided by 365 (to reflect the half-year period).


NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE6/30/2023		EXPENSES PAID DURING PERIOD^*1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,177.40		$6.21
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76
Class C
Actual		$1,000.00		$1,173.10		$10.24
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$ 9.49
Class N
Actual		$1,000.00		$1,179.80		$ 4.59
Hypothetical (5% return before expenses)		$1,000.00		$1,020.58		$ 4.26
Class Y
Actual		$1,000.00		$1,179.20		$ 4.86
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$ 4.51

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% 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 (181), divided by 365 (to reflect the half-year period).

9 |


NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE6/30/2023		EXPENSES PAID DURING PERIOD^*1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,240.90		$6.28
Hypothetical (5% return before expenses)		$1,000.00		$1,019.19		$5.66
Class C
Actual		$1,000.00		$1,236.70		$10.43
Hypothetical (5% return before expenses)		$1,000.00		$1,015.47		$ 9.39
Class N
Actual		$1,000.00		$1,242.60		$ 4.50
Hypothetical (5% return before expenses)		$1,000.00		$1,020.78		$ 4.06
Class Y
Actual		$1,000.00		$1,242.30		$ 4.89
Hypothetical (5% return before expenses)		$1,000.00		$1,020.43		$ 4.41

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 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 (181), divided by 365 (to reflect the half-year period).


VAUGHAN NELSON MID CAP FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE6/30/2023		EXPENSES PAID DURING PERIOD^*1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,051.90		$5.85
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76
Class C
Actual		$1,000.00		$1,047.90		$9.65
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$9.49
Class N
Actual		$1,000.00		$1,053.60		$4.33
Hypothetical (5% return before expenses)		$1,000.00		$1,020.58		$4.26
Class Y
Actual		$1,000.00		$1,053.00		$4.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE6/30/2023		EXPENSES PAID DURING PERIOD^*1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,145.70		$ 6.65
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$ 6.26
Class C
Actual		$1,000.00		$1,141.50		$10.62
Hypothetical (5% return before expenses)		$1,000.00		$1,014.88		$ 9.99
Class N
Actual		$1,000.00		$1,147.30		$ 5.06
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$ 4.76
Class Y
Actual		$1,000.00		$1,146.80		$ 5.32
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$ 5.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% 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 (181), divided by 365 (to reflect the half-year period).

11 |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and, with respect to Natixis Oakmark Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund, sub-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.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers, as applicable (collectively, 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 and sub-advisory fees and other expenses, including information comparing the Funds’ advisory and sub-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, including how profitability is determined for the Funds, 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’ respective 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, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting, 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 and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.

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. The information received by the Trustees generally includes, where available, 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, total return information for various periods, performance rankings provided by a third-party data provider for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. 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 2023. In the case of Natixis U.S. Equity Opportunities Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective July 1, 2023. 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 Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the 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

| 12

increases in the services provided resulting from new regulatory requirements, such as recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.

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 the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. The Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third-party rating organization that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2022, each Fund’s one-, three- and five-year performance, as applicable, 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 International Growth Fund		9	%		N/A			N/A
Natixis Oakmark Fund		94	%		12	%		38	%
Natixis Oakmark International Fund		94	%		95	%		100	%
Natixis U.S. Equity Opportunities Fund		87	%		77	%		67	%
Vaughan Nelson Mid Cap Fund		19	%		49	%		61	%
Vaughan Nelson Small Cap Value Fund		13	%		8	%		16	%

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund had outperformed its relevant benchmark for the one-year period ended December 31, 2022; (3) that the Fund’s longer-term (three-year and five-year) performance was stronger relative to its category; (4) that the Fund’s long-term (10-year) performance was stronger relative to its category; (5) relatively recent changes to the Fund’s portfolio management team; and (6) that the Fund’s shorter-term performance has been strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.

The Trustees also considered each Adviser’s 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, sub-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

13 |

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 and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, and 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 all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for all of the Funds under their expense limitation agreements. They further noted that management had proposed to reduce the advisory fee rate and the expense limitations on all share classes for Natixis U.S. Equity Opportunities Fund effective as of July 1, 2023. The Trustees further noted that the Loomis Sayles International Growth Fund, Natixis Oakmark International Fund, Vaughan Nelson Small Cap Value Fund, and Vaughan Nelson Mid Cap Fund had total advisory fee rates that were at or below the medians of their peer groups of funds.

The Trustees noted that each of Natixis Oakmark Fund and Natixis U.S. Equity Opportunities Fund had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) that management had proposed to reduce the expense limitations and advisory fee of Natixis U.S. Equity Opportunities Fund; (2) that the advisory fee was only six basis points higher than the median of a peer group of funds for Natixis Oakmark Fund; and (3) the quality of the services and the reputation and performance of the portfolio management team. The Board also considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.

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 relevant 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. The Board also noted the competitive nature of the global asset management industry.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were 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, which reduced the total expenses borne by shareholders. With respect to economies of scale, the Trustees noted that Natixis Oakmark Fund, Natixis Oakmark International Fund and Vaughan Nelson Mid Cap Fund had breakpoints in their advisory fees and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitations for Natixis U.S. Equity Opportunities 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 certain Advisers had made into their businesses.

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

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

•

The effect of various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign central bank policies, and lingering effects of the Covid-19 crisis, as applicable, 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.

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•

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 considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, including the reduction in the advisory fee schedule for Natixis U.S. Equity Opportunities Fund described above, should be continued through June 30, 2024.

15 |

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through June 30, 2023)

Effective December 1, 2018 (December 15, 2020 for the Loomis Sayles International Growth 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 (“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”). None of the Funds has established an HLIM.

During the period from January 1, 2022 to December 31, 2022, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

During the period January 1, 2023 through June 30, 2023, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

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 Programs, assessed their adequacy and effectiveness and described any material changes made to the Programs.

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Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles International Growth Fund


Shares		Description	Value (†)
	Common Stocks — 97.4% of Net Assets
		Australia — 7.3%
	41,038	WiseTech Global Ltd.	$	2,201,206

		Belgium — 1.9%
	10,059	Anheuser-Busch InBev SA		570,118

		Brazil — 9.4%
	389,250	Ambev SA, ADR		1,237,815
	1,324	MercadoLibre, Inc.(a)		1,568,410

				2,806,225

		Canada — 2.9%
	13,492	Shopify, Inc., Class A(a)		871,583

		China — 24.7%
	4,275	Alibaba Group Holding Ltd., ADR(a)(b)		356,321
	5,210	Baidu, Inc., ADR(a)(b)		713,301
	70,200	Budweiser Brewing Co. APAC Ltd.		181,654
	571,000	Dali Foods Group Co. Ltd.		255,433
	4,000	Kweichow Moutai Co. Ltd., Class A		931,679
	4,513	NXP Semiconductors NV		923,721
	30,200	Tencent Holdings Ltd.(b)		1,280,515
	30,161	Trip.com Group Ltd., ADR(a)(b)		1,055,635
	50,648	Vipshop Holdings Ltd., ADR(a)(b)		835,692
	15,284	Yum China Holdings, Inc.		863,546

				7,397,497

		Denmark — 5.5%
	10,296	Novo Nordisk AS, Class B		1,663,213

		France — 4.9%
	3,100	EssilorLuxottica SA		584,568
	7,894	Sodexo SA		869,266

				1,453,834

		Germany — 3.2%
	6,937	SAP SE		947,646

		Japan — 4.3%
	30,200	FANUC Corp.		1,060,190
	6,500	Unicharm Corp.		241,702

				1,301,892

		Macau — 0.9%
	44,000	Galaxy Entertainment Group Ltd.(a)		280,312

		Netherlands — 3.7%
	633	Adyen NV(a)		1,096,146

		Switzerland — 4.8%
	8,178	CRISPR Therapeutics AG(a)		459,113
	9,599	Novartis AG, (Registered)		967,765

				1,426,878

		United Kingdom — 6.2%
	8,068	Diageo PLC		346,851
	11,862	Reckitt Benckiser Group PLC		891,438
	12,106	Unilever PLC		630,988

				1,869,277

		United States — 17.7%
	9,176	Block, Inc.(a)		610,847
	17,315	Doximity, Inc., Class A(a)		589,056
	22,283	Experian PLC		855,243
	8,521	Nestle SA, (Registered)		1,025,004
	3,218	Roche Holding AG		983,002
	4,773	Tesla, Inc.(a)		1,249,428

				5,312,580

		Total Common Stocks (Identified Cost $30,186,743)		29,198,407

Principal Amount		Description	Value (†)
	Short-Term Investments — 2.3%
$	699,162	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $699,296 on 7/03/2023 collateralized by $824,800 U.S. Treasury Note, 0.500% due 5/31/2027 valued at $713,146 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $699,162)	$	699,162


		Total Investments — 99.7% (Identified Cost $30,885,905)		29,897,569
		Other assets less liabilities — 0.3%		83,875

		Net Assets — 100.0%	$	29,981,444


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Security invests in variable interest entities based in China.

	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 June 30, 2023 (Unaudited)


Pharmaceuticals	12.0	%
Beverages	10.8
Software	10.5
Hotels, Restaurants & Leisure	10.2
Broadline Retail	9.3
Interactive Media & Services	6.7
Financial Services	5.7
Food Products	4.2
Automobiles	4.2
Household Products	3.8
Machinery	3.5
Semiconductors & Semiconductor Equipment	3.1
IT Services	2.9
Professional Services	2.8
Personal Care Products	2.1
Health Care Technology	2.0
Health Care Equipment & Supplies	2.0
Biotechnology	1.6
Short-Term Investments	2.3

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2023 (Unaudited)


United States Dollar	40.3	%
Euro	15.8
Swiss Franc	9.9
Australian Dollar	7.3
British Pound	6.9
Hong Kong Dollar	6.6
Danish Krone	5.5
Japanese Yen	4.3
Yuan Renminbi	3.1

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks – 94.1% of Net Assets
		Automobile Components – 2.8%
	146,367	BorgWarner, Inc.	$	7,158,810
	75,687	Magna International, Inc.		4,271,774

				11,430,584

		Automobiles – 2.4%
	252,860	General Motors Co.		9,750,282

		Banks – 9.6%
	305,636	Bank of America Corp.		8,768,697
	164,618	Citigroup, Inc.		7,579,013
	4,560	First Citizens BancShares, Inc., Class A		5,852,532
	200,200	Truist Financial Corp.		6,076,070
	264,004	Wells Fargo & Co.		11,267,690

				39,544,002

		Broadline Retail – 3.3%
	67,900	Amazon.com, Inc.(a)		8,851,444
	104,065	eBay, Inc.		4,650,665

				13,502,109

		Building Products – 3.7%
	6,369	Carlisle Cos., Inc.		1,633,840
	89,600	Fortune Brands Innovations, Inc.		6,446,720
	124,300	Masco Corp.		7,132,334

				15,212,894

		Capital Markets – 14.0%
	161,582	Bank of New York Mellon Corp.		7,193,631
	150,239	Charles Schwab Corp.		8,515,546
	20,898	Goldman Sachs Group, Inc.		6,740,441
	87,266	Intercontinental Exchange, Inc.		9,868,039
	208,810	KKR & Co., Inc.		11,693,360
	15,521	Moody’s Corp.		5,396,962
	112,266	State Street Corp.		8,215,626

				57,623,605

		Chemicals – 1.0%
	35,666	Celanese Corp.		4,130,123

		Consumer Finance – 6.9%
	328,654	Ally Financial, Inc.		8,876,944
	35,373	American Express Co.		6,161,977
	122,406	Capital One Financial Corp.		13,387,544

				28,426,465

		Consumer Staples Distribution & Retail – 1.6%
	136,700	Kroger Co.		6,424,900

		Electronic Equipment, Instruments & Components – 1.1%
	33,365	TE Connectivity Ltd.		4,676,438

		Entertainment – 2.4%
	35,300	Walt Disney Co.(a)		3,151,584
	522,500	Warner Bros. Discovery, Inc.(a)		6,552,150

				9,703,734

		Financial Services – 3.2%
	69,069	Fiserv, Inc.(a)		8,713,054
	43,900	Global Payments, Inc.		4,325,028

				13,038,082

		Health Care Equipment & Supplies – 0.2%
	20,108	Baxter International, Inc.		916,120

		Health Care Providers & Services – 1.2%
	16,119	HCA Healthcare, Inc.		4,891,794

		Hotels, Restaurants & Leisure – 2.0%
	1,673	Booking Holdings, Inc.(a)		4,517,652
	25,728	Hilton Worldwide Holdings, Inc.		3,744,711

				8,262,363

		Household Durables – 1.7%
	91,700	PulteGroup, Inc.		7,123,256

		Insurance – 4.6%
	148,635	American International Group, Inc.		8,552,458
	22,737	Reinsurance Group of America, Inc.		3,153,395
	29,663	Willis Towers Watson PLC		6,985,636

				18,691,489

		Interactive Media & Services – 6.7%
	122,220	Alphabet, Inc., Class A(a)		14,629,734
	25,466	Meta Platforms, Inc., Class A(a)		7,308,233
	209,100	Pinterest, Inc., Class A(a)		5,716,794

				27,654,761

		Life Sciences Tools & Services – 0.9%
	16,162	IQVIA Holdings, Inc.(a)		3,632,733

		Machinery – 2.4%
	36,649	PACCAR, Inc.		3,065,689
	17,800	Parker-Hannifin Corp.		6,942,712

				10,008,401

		Media – 5.3%
	21,374	Charter Communications, Inc., Class A(a)		7,852,167
	233,142	Comcast Corp., Class A		9,687,050
	49,600	Liberty Broadband Corp., Class C(a)		3,973,456

				21,512,673

		Oil, Gas & Consumable Fuels – 6.6%
	205,972	APA Corp.		7,038,063
	104,530	ConocoPhillips		10,830,353
	80,860	EOG Resources, Inc.		9,253,619

				27,122,035

		Professional Services – 1.4%
	24,300	Equifax, Inc.		5,717,790

		Real Estate Management & Development – 2.2%
	111,918	CBRE Group, Inc., Class A(a)		9,032,902

		Software – 5.1%
	67,300	Oracle Corp.		8,014,757
	34,600	Salesforce, Inc.(a)		7,309,596
	24,780	Workday, Inc., Class A(a)		5,597,554

				20,921,907

		Tobacco – 1.8%
	161,314	Altria Group, Inc.		7,307,524

		Total Common Stocks (Identified Cost $343,422,159)		386,258,966


Principal Amount
	Short-Term Investments – 2.6%
$	10,430,365	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $10,432,365 on 7/03/2023 collateralized by $11,298,300 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $10,638,974 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $10,430,365)		10,430,365


		Total Investments – 96.7% (Identified Cost $353,852,524)		396,689,331
		Other assets less liabilities – 3.3%		13,691,715

		Net Assets – 100.0%	$	410,381,046


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

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Oakmark Fund – (continued)

Industry Summary at June 30, 2023 (Unaudited)


Capital Markets	14.0	%
Banks	9.6
Consumer Finance	6.9
Interactive Media & Services	6.7
Oil, Gas & Consumable Fuels	6.6
Media	5.3
Software	5.1
Insurance	4.6
Building Products	3.7
Broadline Retail	3.3
Financial Services	3.2
Automobile Components	2.8
Machinery	2.4
Automobiles	2.4
Entertainment	2.4
Real Estate Management & Development	2.2
Hotels, Restaurants & Leisure	2.0
Other Investments, less than 2% each	10.9
Short-Term Investments	2.6

Total Investments	96.7
Other assets less liabilities	3.3

Net Assets	100.0	%

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Oakmark International Fund


Shares		Description	Value (†)
	Common Stocks — 94.3% of Net Assets
		Australia — 0.2%
	66,720	Orica Ltd.	$	660,978

		Belgium — 1.6%
	110,300	Anheuser-Busch InBev SA		6,251,521

		Canada — 1.9%
	161,400	Open Text Corp.		6,713,070
	12,699	Restaurant Brands International, Inc.		984,427

				7,697,497

		China — 4.4%
	747,300	Alibaba Group Holding Ltd.(a)		7,779,264
	106,975	Prosus NV		7,834,220
	122,808	Vipshop Holdings Ltd., ADR(a)		2,026,332

				17,639,816

		Denmark — 1.0%
	19,600	DSV AS		4,116,812

		France — 16.0%
	203,205	Accor SA		7,561,549
	192,791	BNP Paribas SA		12,166,261
	38,800	Capgemini SE		7,346,492
	84,600	Danone SA		5,184,580
	53,063	Edenred		3,554,391
	14,610	Kering SA		8,067,630
	68,198	Publicis Groupe SA		5,473,315
	282,725	Valeo SA		6,075,556
	229,651	Worldline SA(a)		8,409,825

				63,839,599

		Germany — 26.4%
	32,600	Adidas AG		6,328,574
	38,710	Allianz SE, (Registered)		9,016,480
	182,030	Bayer AG, (Registered)		10,076,277
	73,200	Bayerische Motoren Werke AG		9,004,116
	45,400	Brenntag SE		3,542,020
	120,073	Continental AG		9,071,564
	232,107	Daimler Truck Holding AG		8,365,630
	178,400	Fresenius Medical Care AG & Co. KGaA		8,525,935
	313,000	Fresenius SE & Co. KGaA		8,681,608
	65,702	Henkel AG & Co. KGaA		4,625,038
	149,014	Mercedes-Benz Group AG, (Registered)		11,994,331
	50,800	SAP SE		6,939,658
	38,600	Siemens AG, (Registered)		6,434,654
	385,000	thyssenkrupp AG		3,015,489

				105,621,374

		Hong Kong — 1.8%
	508,400	Prudential PLC		7,180,329

		India — 0.8%
	263,075	Axis Bank Ltd.		3,174,355

		Indonesia — 0.1%
	1,283,000	Bank Mandiri Persero Tbk PT		446,493

		Ireland — 1.8%
	66,938	Ryanair Holdings PLC, ADR(a)		7,403,343

		Italy — 2.7%
	4,115,000	Intesa Sanpaolo SpA		10,788,504

		Japan — 3.3%
	33,400	Fujitsu Ltd.		4,324,725
	179,000	Komatsu Ltd.		4,841,594
	121,100	Recruit Holdings Co. Ltd.		3,864,945

				13,031,264

		Korea — 2.0%
	55,950	NAVER Corp.		7,832,153

		Luxembourg — 1.0%
	64,100	Eurofins Scientific SE	$	4,073,418

		Netherlands — 2.7%
	37,300	Akzo Nobel NV		3,049,393
	85,544	EXOR NV		7,636,900

				10,686,293

		Spain — 1.6%
	82,430	Amadeus IT Group SA(a)		6,277,075

		Sweden — 3.5%
	109,600	Sandvik AB		2,139,851
	348,403	SKF AB, B Shares		6,071,097
	274,700	Volvo AB, B Shares		5,684,919

				13,895,867

		Switzerland — 6.2%
	3,700	Cie Financiere Richemont SA, Class A (Registered)		628,512
	1,170,680	Glencore PLC		6,637,612
	93,821	Holcim AG, (Registered)		6,324,209
	52,300	Novartis AG, (Registered)		5,272,855
	11,700	Schindler Holding AG		2,747,237
	10,799	Swatch Group AG		3,157,542

				24,767,967

		United Kingdom — 14.1%
	77,800	Ashtead Group PLC		5,393,939
	735,892	CNH Industrial NV		10,613,486
	120,100	Compass Group PLC		3,363,173
	355,777	Informa PLC		3,284,948
	218,963	Liberty Global PLC, Class A(a)		3,691,716
	22,232,800	Lloyds Banking Group PLC		12,324,716
	41,600	Reckitt Benckiser Group PLC		3,126,272
	1,340,482	Schroders PLC		7,457,940
	96,200	Smiths Group PLC		2,012,671
	502,700	WPP PLC		5,269,196

				56,538,057

		United States — 1.2%
	15,890	Roche Holding AG		4,853,917

		Total Common Stocks (Identified Cost $345,999,403)		376,776,632


	Preferred Stocks — 1.6%
		Korea — 1.6%
	145,900	Samsung Electronics Co. Ltd., 1.822%, (KRW) (Identified Cost $7,968,900)		6,620,835


Principal Amount
	Short-Term Investments — 3.1%
$	12,272,396	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $12,274,749 on 7/03/2023 collateralized by $13,293,700 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $12,517,931 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $12,272,396)		12,272,396


		Total Investments — 99.0% (Identified Cost $366,240,699)		395,669,863
		Other assets less liabilities – 1.0%		3,992,355

		Net Assets — 100.0%	$	399,662,218

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Oakmark International Fund – (continued)


	(†)			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.
	KRW			South Korean Won

Industry Summary at June 30, 2023 (Unaudited)


Machinery	10.2	%
Banks	9.8
Automobiles	5.2
Pharmaceuticals	5.0
Financial Services	4.9
Hotels, Restaurants & Leisure	4.5
Textiles, Apparel & Luxury Goods	4.5
Broadline Retail	4.4
Health Care Providers & Services	4.3
Insurance	4.1
Automobile Components	3.8
Media	3.5
Software	3.4
IT Services	2.9
Metals & Mining	2.4
Trading Companies & Distributors	2.2
Industrial Conglomerates	2.1
Interactive Media & Services	2.0
Household Products	2.0
Other Investments, less than 2% each	14.7
Short-Term Investments	3.1

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2023 (Unaudited)


Euro	56.7	%
British Pound	14.0
United States Dollar	6.5
Swiss Franc	5.7
South Korean Won	3.6
Swedish Krona	3.5
Japanese Yen	3.3
Other, less than 2% each	5.7

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 95.5% of Net Assets
		Aerospace & Defense — 2.1%
	87,477	Boeing Co.(a)	$	18,471,643

		Air Freight & Logistics — 0.6%
	45,085	Expeditors International of Washington, Inc.		5,461,146

		Automobile Components — 0.4%
	96,569	Mobileye Global, Inc., Class A(a)		3,710,181

		Automobiles — 3.9%
	411,300	General Motors Co.		15,859,728
	69,098	Tesla, Inc.(a)		18,087,784

				33,947,512

		Banks — 3.8%
	286,105	Citigroup, Inc.		13,172,274
	471,900	Wells Fargo & Co.		20,140,692

				33,312,966

		Beverages — 2.3%
	12,368	Boston Beer Co., Inc., Class A(a)		3,814,786
	291,655	Monster Beverage Corp.(a)		16,752,663

				20,567,449

		Biotechnology — 2.5%
	51,495	Alnylam Pharmaceuticals, Inc.(a)		9,780,960
	58,260	CRISPR Therapeutics AG(a)		3,270,716
	11,914	Regeneron Pharmaceuticals, Inc.(a)		8,560,686

				21,612,362

		Broadline Retail — 4.6%
	46,738	Alibaba Group Holding Ltd., ADR(a)		3,895,613
	281,648	Amazon.com, Inc.(a)		36,715,633

				40,611,246

		Building Products — 1.4%
	220,600	Masco Corp.		12,658,028

		Capital Markets — 10.6%
	256,545	Charles Schwab Corp.		14,540,971
	14,236	FactSet Research Systems, Inc.		5,703,653
	36,400	Goldman Sachs Group, Inc.		11,740,456
	148,900	Intercontinental Exchange, Inc.		16,837,612
	363,000	KKR & Co., Inc.		20,328,000
	11,777	MSCI, Inc.		5,526,828
	88,854	SEI Investments Co.		5,297,476
	178,700	State Street Corp.		13,077,266

				93,052,262

		Consumer Finance — 4.4%
	568,400	Ally Financial, Inc.		15,352,484
	210,985	Capital One Financial Corp.		23,075,429

				38,427,913

		Consumer Staples Distribution & Retail — 1.0%
	196,700	Kroger Co.		9,244,900

		Entertainment — 4.3%
	40,784	Netflix, Inc.(a)		17,964,944
	91,579	Walt Disney Co.(a)		8,176,173
	890,100	Warner Bros. Discovery, Inc.(a)		11,161,854

				37,302,971

		Financial Services — 4.6%
	68,506	Block, Inc.(a)		4,560,445
	119,100	Fiserv, Inc.(a)		15,024,465
	63,975	PayPal Holdings, Inc.(a)		4,269,052
	69,782	Visa, Inc., Class A		16,571,829

				40,425,791

		Health Care Equipment & Supplies — 0.5%
	13,399	Intuitive Surgical, Inc.(a)		4,581,654

		Health Care Providers & Services — 1.0%
	28,000	HCA Healthcare, Inc.		8,497,440

		Health Care Technology — 1.6%
	217,096	Doximity, Inc., Class A(a)		7,385,606
	32,963	Veeva Systems, Inc., Class A(a)		6,517,774

				13,903,380

		Hotels, Restaurants & Leisure — 2.0%
	76,152	Starbucks Corp.		7,543,617
	95,952	Yum China Holdings, Inc.		5,421,288
	30,280	Yum! Brands, Inc.		4,195,294

				17,160,199

		Insurance — 1.4%
	52,100	Willis Towers Watson PLC		12,269,550

		Interactive Media & Services — 9.9%
	331,947	Alphabet, Inc., Class A(a)		39,734,056
	39,520	Alphabet, Inc., Class C(a)		4,780,734
	148,651	Meta Platforms, Inc., Class A(a)		42,659,864

				87,174,654

		IT Services — 0.7%
	93,815	Shopify, Inc., Class A(a)		6,060,449

		Life Sciences Tools & Services — 0.7%
	33,581	Illumina, Inc.(a)		6,296,102

		Machinery — 1.7%
	7,406	Deere & Co.		3,000,837
	31,200	Parker-Hannifin Corp.		12,169,248

				15,170,085

		Media — 3.9%
	50,810	Charter Communications, Inc., Class A(a)		18,666,070
	370,180	Comcast Corp., Class A		15,380,979

				34,047,049

		Oil, Gas & Consumable Fuels — 5.3%
	364,541	APA Corp.		12,456,366
	169,600	ConocoPhillips		17,572,256
	142,838	EOG Resources, Inc.		16,346,381

				46,375,003

		Pharmaceuticals — 1.6%
	36,053	Novartis AG, ADR		3,638,108
	36,675	Novo Nordisk AS, ADR		5,935,116
	108,976	Roche Holding AG, ADR		4,162,883

				13,736,107

		Real Estate Management & Development — 1.8%
	193,600	CBRE Group, Inc., Class A(a)		15,625,456

		Semiconductors & Semiconductor Equipment — 4.3%
	74,093	NVIDIA Corp.		31,342,821
	54,405	QUALCOMM, Inc.		6,476,371

				37,819,192

		Software — 11.0%
	55,860	Autodesk, Inc.(a)		11,429,515
	37,221	Microsoft Corp.		12,675,239
	276,438	Oracle Corp.		32,921,001
	98,702	Salesforce, Inc.(a)		20,851,785
	80,543	Workday, Inc., Class A(a)		18,193,858

				96,071,398

		Textiles, Apparel & Luxury Goods — 0.3%
	357,738	Under Armour, Inc., Class A(a)		2,582,868

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		Tobacco — 1.3%
	247,200	Altria Group, Inc.	$	11,198,160

		Total Common Stocks (Identified Cost $604,792,826)		837,375,116


Principal Amount
	Short-Term Investments — 3.0%
$	25,958,224	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $25,963,200 on 7/03/2023 collateralized by $24,619,600 U.S. Treasury Note, 0.500% due 5/31/2027 valued at $21,286,810; $5,512,300 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $5,190,623 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $25,958,224)		25,958,224


		Total Investments — 98.5% (Identified Cost $630,751,050)		863,333,340
		Other assets less liabilities — 1.5%		13,203,788

		Net Assets — 100.0%	$	876,537,128


	(†)	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 June 30, 2023 (Unaudited)


Software	11.0	%
Capital Markets	10.6
Interactive Media & Services	9.9
Oil, Gas & Consumable Fuels	5.3
Broadline Retail	4.6
Financial Services	4.6
Consumer Finance	4.4
Semiconductors & Semiconductor Equipment	4.3
Entertainment	4.3
Media	3.9
Automobiles	3.9
Banks	3.8
Biotechnology	2.5
Beverages	2.3
Aerospace & Defense	2.1
Hotels, Restaurants & Leisure	2.0
Other Investments, less than 2% each	16.0
Short-Term Investments	3.0

Total Investments	98.5
Other assets less liabilities	1.5

Net Assets	100.0	%

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Vaughan Nelson Mid Cap Fund


Shares		Description	Value (†)
	Common Stocks — 95.8% of Net Assets
		Aerospace & Defense — 1.2%
	15,450	Axon Enterprise, Inc.(a)	$	3,014,604

		Banks — 0.6%
	57,700	Bank of NT Butterfield & Son Ltd.		1,578,672

		Building Products — 1.1%
	10,850	Allegion PLC		1,302,217
	45,350	AZEK Co., Inc.(a)		1,373,651

				2,675,868

		Capital Markets — 9.9%
	7,505	Ares Management Corp., Class A		723,107
	154,482	Brightsphere Investment Group, Inc.		3,236,398
	28,210	Cboe Global Markets, Inc.		3,893,262
	17,735	FactSet Research Systems, Inc.		7,105,528
	3,815	MSCI, Inc.		1,790,341
	129,825	Nasdaq, Inc.		6,471,776
	9,897	Raymond James Financial, Inc.		1,027,012

				24,247,424

		Chemicals — 1.8%
	38,405	Axalta Coating Systems Ltd.(a)		1,260,068
	19,295	FMC Corp.		2,013,240
	12,855	LyondellBasell Industries NV, Class A		1,180,475

				4,453,783

		Commercial Services & Supplies — 4.4%
	70,180	Republic Services, Inc.		10,749,471

		Communications Equipment — 3.4%
	28,805	Motorola Solutions, Inc.		8,447,930

		Construction & Engineering — 1.6%
	84,660	WillScot Mobile Mini Holdings Corp.(a)		4,045,901

		Construction Materials — 2.2%
	24,020	Vulcan Materials Co.		5,415,069

		Consumer Staples Distribution & Retail — 2.6%
	104,395	Performance Food Group Co.(a)		6,288,755

		Containers & Packaging — 1.4%
	6,445	Avery Dennison Corp.		1,107,251
	25,990	Crown Holdings, Inc.		2,257,751

				3,365,002

		Diversified Consumer Services — 0.7%
	16,170	Grand Canyon Education, Inc.(a)		1,668,906

		Electric Utilities — 4.7%
	112,495	Alliant Energy Corp.		5,903,737
	98,080	Evergy, Inc.		5,729,834

				11,633,571

		Electrical Equipment — 3.7%
	31,590	AMETEK, Inc.		5,113,789
	4,035	Hubbell, Inc.		1,337,844
	52,010	nVent Electric PLC		2,687,357

				9,138,990

		Electronic Equipment, Instruments & Components — 1.6%
	9,415	CDW Corp.		1,727,653
	13,385	Keysight Technologies, Inc.(a)		2,241,318

				3,968,971

		Financial Services — 0.3%
	8,912	Apollo Global Management, Inc.		684,531

		Health Care Equipment & Supplies — 2.8%
	9,320	Cooper Cos., Inc.		3,573,567
	39,780	Hologic, Inc.(a)		3,220,987

				6,794,554

		Health Care Providers & Services — 4.6%
	58,265	AmerisourceBergen Corp.		11,211,934

		Hotels, Restaurants & Leisure — 0.5%
	29,585	Aramark		1,273,634

		Household Products — 2.4%
	57,640	Church & Dwight Co., Inc.		5,777,257

		Independent Power & Renewable Electricity Producers — 1.9%
	181,710	Vistra Corp.		4,769,887

		Insurance — 6.6%
	53,040	Allstate Corp.		5,783,482
	26,895	Arthur J Gallagher & Co.		5,905,335
	32,150	Reinsurance Group of America, Inc.		4,458,883

				16,147,700

		Life Sciences Tools & Services — 3.0%
	8,225	Agilent Technologies, Inc.		989,056
	61,485	Avantor, Inc.(a)		1,262,902
	22,867	IQVIA Holdings, Inc.(a)		5,139,816

				7,391,774

		Machinery — 2.4%
	23,080	Crane Co.		2,056,890
	42,595	Otis Worldwide Corp.		3,791,381

				5,848,271

		Media — 1.0%
	14,980	Nexstar Media Group, Inc.		2,494,919

		Metals & Mining — 0.5%
	74,465	Constellium SE(a)		1,280,798

		Mortgage Real Estate Investment Trusts (REITs) — 1.7%
	437,915	Rithm Capital Corp.		4,094,505

		Multi-Utilities — 7.0%
	69,245	Ameren Corp.		5,655,239
	97,920	CMS Energy Corp.		5,752,800
	65,085	WEC Energy Group, Inc.		5,743,101

				17,151,140

		Oil, Gas & Consumable Fuels — 3.0%
	18,830	Diamondback Energy, Inc.		2,473,509
	18,200	Hess Corp.		2,474,290
	11,480	Pioneer Natural Resources Co.		2,378,426

				7,326,225

		Professional Services — 8.3%
	19,735	CACI International, Inc., Class A(a)		6,726,477
	4,535	Equifax, Inc.		1,067,086
	76,000	Maximus, Inc.		6,422,760
	101,550	SS&C Technologies Holdings, Inc.		6,153,930

				20,370,253

		Semiconductors & Semiconductor Equipment — 1.2%
	5,600	Monolithic Power Systems, Inc.		3,025,288

		Software — 3.1%
	18,170	Tyler Technologies, Inc.(a)		7,567,260

		Specialty Retail — 4.1%
	2,962	AutoZone, Inc.(a)		7,385,332
	5,440	Ulta Beauty, Inc.(a)		2,560,037

				9,945,369

		Textiles, Apparel & Luxury Goods — 0.5%
	22,610	Skechers USA, Inc., Class A(a)		1,190,643

		Total Common Stocks (Identified Cost $192,179,171)		235,038,859

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Vaughan Nelson Mid Cap Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 8.3%
$	20,350,076	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $20,353,976 on 7/03/2023 collateralized by $22,043,500 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $20,757,126 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $20,350,076)	$	20,350,076


		Total Investments — 104.1% (Identified Cost $212,529,247)		255,388,935
		Other assets less liabilities — (4.1)%		(10,050,777	)

		Net Assets — 100.0%	$	245,338,158


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

	REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2023 (Unaudited)


Capital Markets	9.9	%
Professional Services	8.3
Multi-Utilities	7.0
Insurance	6.6
Electric Utilities	4.7
Health Care Providers & Services	4.6
Commercial Services & Supplies	4.4
Specialty Retail	4.1
Electrical Equipment	3.7
Communications Equipment	3.4
Software	3.1
Life Sciences Tools & Services	3.0
Oil, Gas & Consumable Fuels	3.0
Health Care Equipment & Supplies	2.8
Consumer Staples Distribution & Retail	2.6
Machinery	2.4
Household Products	2.4
Construction Materials	2.2
Other Investments, less than 2% each	17.6
Short-Term Investments	8.3

Total Investments	104.1
Other assets less liabilities	(4.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 90.2% of Net Assets
		Banks – 0.8%
	29,920	Cadence Bank	$	587,629
	46,555	Old National Bancorp		648,977
	23,320	United Bankshares, Inc.		691,904
	35,350	United Community Banks, Inc.		883,396

				2,811,906

		Building Products – 1.4%
	44,145	Advanced Drainage Systems, Inc.		5,022,818

		Capital Markets – 4.3%
	96,675	Artisan Partners Asset Management, Inc., Class A		3,800,294
	53,665	Cboe Global Markets, Inc.		7,406,307
	82,775	Moelis & Co., Class A		3,753,018

				14,959,619

		Chemicals – 5.5%
	177,480	Chemours Co.		6,547,237
	573,930	Element Solutions, Inc.		11,019,456
	118,290	Mativ Holdings, Inc.		1,788,545

				19,355,238

		Consumer Staples Distribution & Retail – 1.5%
	89,520	Performance Food Group Co.(a)		5,392,685

		Electronic Equipment, Instruments & Components – 9.8%
	54,215	Advanced Energy Industries, Inc.		6,042,262
	120,990	Coherent Corp.(a)		6,168,070
	64,330	Fabrinet(a)		8,355,180
	94,110	Insight Enterprises, Inc.(a)		13,772,058

				34,337,570

		Energy Equipment & Services – 1.0%
	292,250	Patterson-UTI Energy, Inc.		3,498,233

		Gas Utilities – 2.8%
	72,390	Southwest Gas Holdings, Inc.		4,607,624
	83,560	Spire, Inc.		5,301,046

				9,908,670

		Ground Transportation – 3.0%
	35,625	Landstar System, Inc.		6,859,237
	10,970	Saia, Inc.(a)		3,756,238

				10,615,475

		Health Care Providers & Services – 3.5%
	36,645	Amedisys, Inc.(a)		3,350,819
	23,275	AMN Healthcare Services, Inc.(a)		2,539,768
	79,795	Tenet Healthcare Corp.(a)		6,493,717

				12,384,304

		Hotels, Restaurants & Leisure – 4.4%
	182,710	Bally’s Corp.(a)		2,842,968
	317,430	Everi Holdings, Inc.(a)		4,590,038
	255,899	International Game Technology PLC		8,160,619

				15,593,625

		Household Durables – 3.9%
	58,805	Installed Building Products, Inc.		8,242,109
	22,610	Meritage Homes Corp.		3,216,724
	36,995	Skyline Champion Corp.(a)		2,421,323

				13,880,156

		Industrial REITs – 1.8%
	171,685	STAG Industrial, Inc.		6,160,058

		Insurance – 3.0%
	99,880	First American Financial Corp.		5,695,158
	51,195	Selective Insurance Group, Inc.		4,912,160

				10,607,318

		Life Sciences Tools & Services – 1.3%
	219,565	Avantor, Inc.(a)	$	4,509,865

		Machinery – 5.7%
	32,445	Alamo Group, Inc.		5,966,960
	63,115	Federal Signal Corp.		4,041,253
	61,785	Franklin Electric Co., Inc.		6,357,677
	19,985	Watts Water Technologies, Inc., Class A		3,671,844

				20,037,734

		Marine Transportation – 2.0%
	91,985	Kirby Corp.(a)		7,078,246

		Media – 2.0%
	215,405	Gray Television, Inc.		1,697,391
	322,925	TEGNA, Inc.		5,244,302

				6,941,693

		Mortgage Real Estate Investment Trusts (REITs) – 2.3%
	316,045	MFA Financial, Inc.		3,552,346
	166,920	PennyMac Mortgage Investment Trust		2,250,081
	176,610	Two Harbors Investment Corp.		2,451,347

				8,253,774

		Office REITs – 1.0%
	164,145	Equity Commonwealth		3,325,578

		Oil, Gas & Consumable Fuels – 4.3%
	61,325	Antero Resources Corp.(a)		1,412,315
	17,090	Chord Energy Corp.		2,628,442
	78,380	Comstock Resources, Inc.		909,208
	71,275	Murphy Oil Corp.		2,729,832
	69,070	PDC Energy, Inc.		4,913,640
	235,475	Permian Resources Corp.		2,580,806

				15,174,243

		Personal Care Products – 0.6%
	180,380	Coty, Inc., Class A(a)		2,216,870

		Professional Services – 3.7%
	60,920	ASGN, Inc.(a)		4,607,380
	23,765	ExlService Holdings, Inc.(a)		3,589,941
	79,320	Kforce, Inc.		4,970,191

				13,167,512

		Semiconductors & Semiconductor Equipment – 6.9%
	120,385	Ichor Holdings Ltd.(a)		4,514,438
	52,160	MKS Instruments, Inc.		5,638,496
	156,820	Rambus, Inc.(a)		10,063,139
	103,630	Ultra Clean Holdings, Inc.(a)		3,985,610

				24,201,683

		Specialized REITs – 1.6%
	160,815	National Storage Affiliates Trust		5,601,186

		Specialty Retail – 1.1%
	11,735	RH(a)		3,867,739

		Textiles, Apparel & Luxury Goods – 2.0%
	115,815	Capri Holdings Ltd.(a)		4,156,600
	206,145	Wolverine World Wide, Inc.		3,028,270

				7,184,870

		Trading Companies & Distributors – 9.0%
	85,000	Beacon Roofing Supply, Inc.(a)		7,053,300
	213,095	Core & Main, Inc., Class A(a)		6,678,397
	82,115	GATX Corp.		10,571,485
	67,200	Rush Enterprises, Inc., Class A		4,081,728
	8,730	Watsco, Inc.		3,330,233

				31,715,143

		Total Common Stocks (Identified Cost $277,628,528)		317,803,811

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2023

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
	Exchange-Traded Funds – 4.6%
	114,675	iShares^® Russell 2000 Value Index ETF (Identified Cost $15,338,316)	$	16,146,240


Principal Amount
	Short-Term Investments – 5.2%
$	18,469,682	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $18,473,222 on 7/03/2023 collateralized by $20,006,600 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $18,839,091 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $18,469,682)		18,469,682


		Total Investments – 100.0% (Identified Cost $311,436,526)		352,419,733
		Other assets less liabilities – (0.0)%		(35,088	)

		Net Assets – 100.0%	$	352,384,645


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

	ETF	Exchange-Traded Fund
	REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2023 (Unaudited)


Electronic Equipment, Instruments & Components	9.8	%
Trading Companies & Distributors	9.0
Semiconductors & Semiconductor Equipment	6.9
Machinery	5.7
Chemicals	5.5
Hotels, Restaurants & Leisure	4.4
Oil, Gas & Consumable Fuels	4.3
Capital Markets	4.3
Household Durables	3.9
Professional Services	3.7
Health Care Providers & Services	3.5
Ground Transportation	3.0
Insurance	3.0
Gas Utilities	2.8
Mortgage Real Estate Investment Trusts (REITs)	2.3
Textiles, Apparel & Luxury Goods	2.0
Marine Transportation	2.0
Media	2.0
Other Investments, less than 2% each	12.1
Short-Term Investments	5.2
Exchange-Traded Funds	4.6

Total Investments	100.0
Other assets less liabilities	(0.0	)*

Net Assets	100.0	%

*	Less than 0.1%

See accompanying notes to financial statements.

27 |

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)


	International Growth Fund			Natixis Oakmark Fund		Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	30,885,905		$	353,852,524	$	366,240,699		$	630,751,050
Net unrealized appreciation (depreciation)		(988,336	)		42,836,807		29,429,164			232,582,290

Investments at value		29,897,569			396,689,331		395,669,863			863,333,340
Cash		—			—		—			5,270
Foreign currency at value (identified cost $58,836, $0, $1,378 and $0, respectively)		58,953			—		1,366			—
Receivable for Fund shares sold		—			1,265,213		410,227			11,335,973
Receivable for securities sold		—			19,125,213		1,010,662			18,580,403
Dividends and interest receivable		13,157			309,740		223,848			501,389
Tax reclaims receivable		73,811			—		4,771,965			507,057
Prepaid expenses (Note 7)		292			419		421			564

TOTAL ASSETS		30,043,782			417,389,916		402,088,352			894,263,996

LIABILITIES
Payable for securities purchased		—			5,550,431		1,581,345			16,119,089
Payable for Fund shares redeemed		—			169,457		242,020			413,751
Foreign taxes payable (Note 2)		—			—		107,720			—
Management fees payable (Note 5)		9,075			210,485		211,322			493,409
Deferred Trustees’ fees (Note 5)		7,855			976,928		132,999			525,912
Administrative fees payable (Note 5)		1,132			15,494		14,950			32,533
Payable to distributor (Note 5d)		38			2,418		7,381			3,380
Audit and tax services fees payable		24,370			23,371		24,319			23,912
Other accounts payable and accrued expenses		19,868			60,286		104,078			114,882

TOTAL LIABILITIES		62,338			7,008,870		2,426,134			17,726,868

NET ASSETS	$	29,981,444		$	410,381,046	$	399,662,218		$	876,537,128

NET ASSETS CONSIST OF:
Paid-in capital	$	31,630,692		$	367,301,234	$	509,050,024		$	609,709,311
Accumulated earnings (loss)		(1,649,248	)		43,079,812		(109,387,806	)		266,827,817

NET ASSETS	$	29,981,444		$	410,381,046	$	399,662,218		$	876,537,128

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	147,148		$	221,649,668	$	145,004,902		$	576,962,428

Shares of beneficial interest		15,994			8,756,368		9,836,771			16,058,630

Net asset value and redemption price per share	$	9.20		$	25.31	$	14.74		$	35.93

Offering price per share (100/94.25 of net asset value) (Note 1)	$	9.76		$	26.85	$	15.64		$	38.12

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	921		$	51,903,292	$	35,882,795		$	30,466,483

Shares of beneficial interest		101			2,649,108		2,485,673			2,042,230

Net asset value and offering price per share	$	9.08	*	$	19.59	$	14.44		$	14.92

Class N shares:
Net assets	$	25,061,455		$	575,755	$	247,305		$	207,869

Shares of beneficial interest		2,717,489			20,951		16,829			4,441

Net asset value, offering and redemption price per share	$	9.22		$	27.48	$	14.70		$	46.80	*

Class Y shares:
Net assets	$	4,771,920		$	136,252,331	$	218,527,216		$	268,900,348

Shares of beneficial interest		517,586			4,974,520		14,882,654			5,764,849

Net asset value, offering and redemption price per share	$	9.22		$	27.39	$	14.68		$	46.64

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

See accompanying notes to financial statements.

| 28

Statements of Assets and Liabilities (continued)

June 30, 2023 (Unaudited)


	Vaughan Nelson Mid Cap Fund			Vaughan Nelson Small Cap Value Fund
ASSETS
Investments at cost	$	212,529,247		$	311,436,526
Net unrealized appreciation		42,859,688			40,983,207

Investments at value		255,388,935			352,419,733
Cash		4,902			—
Receivable for Fund shares sold		104,486			2,879,704
Dividends and interest receivable		244,715			250,433
Prepaid expenses (Note 7)		376			359

TOTAL ASSETS		255,743,414			355,550,229

LIABILITIES
Payable for securities purchased		9,883,998			2,440,852
Payable for Fund shares redeemed		10,433			222,190
Management fees payable (Note 5)		142,228			202,760
Deferred Trustees’ fees (Note 5)		293,541			230,446
Administrative fees payable (Note 5)		9,342			11,944
Payable to distributor (Note 5d)		2,049			759
Audit and tax services fees payable		24,104			23,393
Other accounts payable and accrued expenses		39,561			33,240

TOTAL LIABILITIES		10,405,256			3,165,584

NET ASSETS	$	245,338,158		$	352,384,645

NET ASSETS CONSIST OF:
Paid-in capital	$	220,714,914		$	314,613,332
Accumulated earnings		24,623,244			37,771,313

NET ASSETS	$	245,338,158		$	352,384,645

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	34,750,567		$	100,035,703

Shares of beneficial interest		1,681,821			5,755,728

Net asset value and redemption price per share	$	20.66		$	17.38

Offering price per share (100/94.25 of net asset value) (Note 1)	$	21.92		$	18.44

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	6,237,366		$	4,429,434

Shares of beneficial interest		335,339			731,738

Net asset value and offering price per share	$	18.60		$	6.05

Class N shares:
Net assets	$	60,861,462		$	2,011,211

Shares of beneficial interest		2,895,967			108,457

Net asset value, offering and redemption price per share	$	21.02	��	$	18.54

Class Y shares:
Net assets	$	143,488,763		$	245,908,297

Shares of beneficial interest		6,815,788			13,278,496

Net asset value, offering and redemption price per share	$	21.05		$	18.52

See accompanying notes to financial statements.

29 |

Statements of Operations

For the Six Months Ended June 30, 2023 (Unaudited)


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	245,569		$	3,050,355		$	9,738,483		$	4,579,335
Interest		6,363			196,810			88,850			205,795
Less net foreign taxes withheld		(33,497	)		(9,108	)		(1,187,559	)		(53,084	)

		218,435			3,238,057			8,639,774			4,732,046

Expenses
Management fees (Note 5)		105,406			1,282,495			1,526,552			2,749,420
Service and distribution fees (Note 5)		178			519,728			365,490			831,829
Administrative fees (Note 5)		6,515			87,894			89,719			182,005
Trustees’ fees and expenses (Note 5)		10,327			40,885			22,370			45,492
Transfer agent fees and expenses (Notes 5 and 6)		4,924			167,302			322,803			279,155
Audit and tax services fees		22,229			21,627			22,287			22,131
Custodian fees and expenses		6,215			8,017			50,232			21,447
Legal fees		506			8,130			7,613			15,788
Registration fees		24,591			41,919			39,270			62,611
Shareholder reporting expenses		2,595			24,353			27,071			26,944
Miscellaneous expenses		28,263			25,046			43,673			36,170

Total expenses		211,749			2,227,396			2,517,080			4,272,992
Less waiver and/or expense reimbursement (Note 5)		(83,950	)		(189,933	)		(407,126	)		(834	)

Net expenses		127,799			2,037,463			2,109,954			4,272,158

Net investment income		90,636			1,200,594			6,529,820			459,888

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(96,186	)		10,067,990			(8,443,987	)		41,703,999
Foreign currency transactions (Note 2c)		554			—			(22,748	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		4,388,402			49,687,838			64,191,482			129,653,607
Foreign currency translations (Note 2c)		1,380			—			97,500			1,691

Net realized and unrealized gain on investments and foreign currency transactions		4,294,150			59,755,828			55,822,247			171,359,297

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,384,786		$	60,956,422		$	62,352,067		$	171,819,185

See accompanying notes to financial statements.

| 30

Statements of Operations (continued)

For the Six Months Ended June 30, 2023 (Unaudited)


	Vaughan Nelson Mid Cap Fund			Vaughan Nelson Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	1,617,569		$	2,035,153
Interest		218,386			205,335

		1,835,955			2,240,488

Expenses
Management fees (Note 5)		971,354			1,020,613
Service and distribution fees (Note 5)		76,445			103,075
Administrative fees (Note 5)		60,018			55,638
Trustees’ fees and expenses (Note 5)		21,945			23,189
Transfer agent fees and expenses (Notes 5 and 6)		94,199			125,468
Audit and tax services fees		22,068			21,618
Custodian fees and expenses		7,808			12,065
Legal fees		5,592			4,003
Registration fees		25,371			54,400
Shareholder reporting expenses		14,372			16,378
Miscellaneous expenses		21,156			20,636

Total expenses		1,320,328			1,457,083
Less waiver and/or expense reimbursement (Note 5)		(96,215	)		(153,727	)

Net expenses		1,224,113			1,303,356

Net investment income		611,842			937,132

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments		6,505,018			(1,388,631	)
Net change in unrealized appreciation (depreciation) on:
Investments		5,848,214			35,756,235

Net realized and unrealized gain on investments		12,353,232			34,367,604

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	12,965,074		$	35,304,736

See accompanying notes to financial statements.

31 |

Statements of Changes in Net Assets


	International Growth Fund						Natixis Oakmark Fund
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022
FROM OPERATIONS:
Net investment income	$	90,636		$	132,158		$	1,200,594		$	2,868,356
Net realized gain (loss) on investments and foreign currency transactions		(95,632	)		(90,706	)		10,067,990			42,131,981
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		4,389,782			(4,318,331	)		49,687,838			(116,959,779	)

Net increase (decrease) in net assets resulting from operations		4,384,786			(4,276,879	)		60,956,422			(71,959,442	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		—			(565	)		(1,772	)		(28,746,130	)
Class C		—			—			(570	)		(9,213,071	)
Class N		—			(155,851	)		(4	)		(73,284	)
Class Y		—			(21,469	)		(965	)		(15,943,567	)

Total distributions		—			(177,885	)		(3,311	)		(53,976,052	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		1,015,832			5,709,899			960,378			102,236,626

Net increase (decrease) in net assets		5,400,618			1,255,135			61,913,489			(23,698,868	)
NET ASSETS
Beginning of the period		24,580,826			23,325,691			348,467,557			372,166,425

End of the period	$	29,981,444		$	24,580,826		$	410,381,046		$	348,467,557

See accompanying notes to financial statements.

| 32

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund						Natixis U.S. Equity Opportunities Fund
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022
FROM OPERATIONS:
Net investment income	$	6,529,820		$	6,273,158		$	459,888		$	1,128,941
Net realized gain (loss) on investments and foreign currency transactions		(8,466,735	)		(25,614,988	)		41,703,999			79,629,441
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		64,288,982			(63,395,171	)		129,655,298			(306,110,093	)

Net increase (decrease) in net assets resulting from operations		62,352,067			(82,737,001	)		171,819,185			(225,351,711	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(5,737	)		(2,112,696	)		(1,034,935	)		(85,070,822	)
Class C		(1,700	)		(316,972	)		(134,413	)		(10,955,220	)
Class N		(11	)		(4,576	)		(274	)		(20,693	)
Class Y		(8,802	)		(4,025,613	)		(298,450	)		(26,488,550	)

Total distributions		(16,250	)		(6,459,857	)		(1,468,072	)		(122,535,285	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(22,587,406	)		(86,758,283	)		(27,640,476	)		5,882,691

Net increase (decrease) in net assets		39,748,411			(175,955,141	)		142,710,637			(342,004,305	)
NET ASSETS
Beginning of the period		359,913,807			535,868,948			733,826,491			1,075,830,796

End of the period	$	399,662,218		$	359,913,807		$	876,537,128		$	733,826,491

See accompanying notes to financial statements.

33 |

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Mid Cap Fund						Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022
FROM OPERATIONS:
Net investment income	$	611,842		$	2,267,209		$	937,132		$	82,819
Net realized gain (loss) on investments		6,505,018			(21,324,989	)		(1,388,631	)		4,298,905
Net change in unrealized appreciation (depreciation) on investments		5,848,214			(18,052,025	)		35,756,235			(19,344,302	)

Net increase (decrease) in net assets resulting from operations		12,965,074			(37,109,805	)		35,304,736			(14,962,578	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		—			(1,087,431	)		—			(3,939,067	)
Class C		—			(262,976	)		—			(240,247	)
Class N		—			(2,652,401	)		—			(77,738	)
Class Y		—			(5,985,855	)		—			(5,400,412	)

Total distributions		—			(9,988,663	)		—			(9,657,464	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(29,847,604	)		(58,219,497	)		126,545,376			65,258,561

Net increase (decrease) in net assets		(16,882,530	)		(105,317,965	)		161,850,112			40,638,519
NET ASSETS
Beginning of the period		262,220,688			367,538,653			190,534,533			149,896,014

End of the period	$	245,338,158		$	262,220,688		$	352,384,645		$	190,534,533

See accompanying notes to financial statements.

| 34

Financial Highlights

For a share outstanding throughout each period.


	International Growth Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	7.84		$	9.57		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			0.02			(0.01	)		0.01
Net realized and unrealized gain (loss)		1.34			(1.71	)		(0.41	)		0.13

Total from Investment Operations		1.36			(1.69	)		(0.42	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.04	)		(0.01	)		(0.01	)
Net realized capital gains		—			—			(0.13	)		—

Total Distributions		—			(0.04	)		(0.14	)		(0.01	)

Net asset value, end of the period	$	9.20		$	7.84		$	9.57		$	10.13

Total return(b)(c)		17.35	%(d)		(17.71	)%		(4.07	)%		1.37	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	147		$	125		$	113		$	1
Net expenses(e)		1.20	%(f)		1.20	%		1.20	%		1.20	%(f)
Gross expenses		1.90	%(f)		2.05	%		2.71	%		13.05	%(f)
Net investment income (loss)		0.37	%(f)		0.26	%		(0.07	)%		1.28	%(f)
Portfolio turnover rate		2	%		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

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

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

(d)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

35 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	7.77		$	9.51		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.02			(0.09	)		0.00	(b)
Net realized and unrealized gain (loss)		1.33			(1.76	)		(0.40	)		0.13

Total from Investment Operations		1.31			(1.74	)		(0.49	)		0.13

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.00	)(b)		(0.00	)(b)
Net realized capital gains		—			—			(0.13	)		—

Total Distributions		—			—			(0.13	)		(0.00	)

Net asset value, end of the period	$	9.08		$	7.77		$	9.51		$	10.13

Total return(c)(d)		16.86	%(e)		(18.30	)%		(4.79	)%		1.33	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1		$	38		$	1
Net expenses(f)		1.95	%(g)		1.95	%		1.95	%		1.95	%(g)
Gross expenses		2.51	%(g)		2.79	%		3.46	%		13.78	%(g)
Net investment income (loss)		(0.42	)%(g)		0.21	%		(0.90	)%		0.55	%(g)
Portfolio turnover rate		2	%		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

(b)	Amount rounds to less than $0.01 per share.

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

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

(e)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 36

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	7.85		$	9.58		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.05			0.03			0.01
Net realized and unrealized gain (loss)		1.34			(1.72	)		(0.42	)		0.13

Total from Investment Operations		1.37			(1.67	)		(0.39	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.06	)		(0.03	)		(0.01	)
Net realized capital gains		—			—			(0.13	)		—

Total Distributions		—			(0.06	)		(0.16	)		(0.01	)

Net asset value, end of the period	$	9.22		$	7.85		$	9.58		$	10.13

Total return(b)		17.45	%(c)		(17.47	)%		(3.77	)%		1.38	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,061		$	21,331		$	22,953		$	15,206
Net expenses(d)		0.90	%(e)		0.90	%		0.90	%		0.90	%(e)
Gross expenses		1.48	%(e)		1.67	%		1.58	%		6.48	%(e)
Net investment income		0.66	%(e)		0.62	%		0.29	%		1.43	%(e)
Portfolio turnover rate		2	%		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

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

(c)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

37 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	7.85		$	9.58		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02			0.04			0.02			0.01
Net realized and unrealized gain (loss)		1.35			(1.72	)		(0.41	)		0.13

Total from Investment Operations		1.37			(1.68	)		(0.39	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.05	)		(0.03	)		(0.01	)
Net realized capital gains		—			—			(0.13	)		—

Total Distributions		—			(0.05	)		(0.16	)		(0.01	)

Net asset value, end of the period	$	9.22		$	7.85		$	9.58		$	10.13

Total return(b)		17.45	%(c)		(17.50	)%		(3.81	)%		1.38	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,772		$	3,124		$	222		$	12
Net expenses(d)		0.95	%(e)		0.95	%		0.95	%		0.95	%(e)
Gross expenses		1.65	%(e)		1.80	%		2.46	%		12.58	%(e)
Net investment income		0.55	%(e)		0.47	%		0.19	%		1.63	%(e)
Portfolio turnover rate		2	%		11	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

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

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

(c)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 38

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	21.55		$	29.04		$	23.20		$	22.45		$	19.44		$	24.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.17			0.07			0.11	(b)		0.18	(c)		0.10
Net realized and unrealized gain (loss)		3.68			(4.00	)		7.81			2.78			4.93			(3.28	)

Total from Investment Operations		3.76			(3.83	)		7.88			2.89			5.11			(3.18	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.20	)		(0.05	)		(0.12	)		(0.21	)		(0.08	)
Net realized capital gains		—			(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(0.00	)		(3.66	)		(2.04	)		(2.14	)		(2.10	)		(2.10	)

Net asset value, end of the period	$	25.31		$	21.55		$	29.04		$	23.20		$	22.45		$	19.44

Total return(e)		17.45	%(f)(g)		(13.30	)%(f)		33.97	%(f)		13.01	%(b)		26.77	%(c)		(13.01	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	221,650		$	192,750		$	222,435		$	170,702		$	181,417		$	164,748
Net expenses		1.05	%(h)(i)		1.05	%(h)		1.12	%(h)(j)		1.20	%(k)		1.17	%		1.13	%
Gross expenses		1.15	%(i)		1.10	%		1.14	%		1.20	%(k)		1.17	%		1.13	%
Net investment income		0.66	%(i)		0.65	%		0.25	%		0.53	%(b)		0.85	%(c)		0.41	%
Portfolio turnover rate		25	%		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%.

(d)	Amount rounds to less than $0.01 per share.

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

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

(g)	Periods less than one year are not annualized.

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

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

(j)	Effective July 1, 2021, the expense limit decreased from 1.30% to 1.05%.

(k)	Includes refund of prior year service fee of 0.01%.

See accompanying notes to financial statements.

39 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	16.74		$	23.50		$	19.17		$	18.92		$	16.66		$	21.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.01	)		(0.02	)		(0.12	)		(0.04	)(b)		0.02	(c)		(0.07	)
Net realized and unrealized gain (loss)		2.86			(3.23	)		6.44			2.31			4.20			(2.83	)

Total from Investment Operations		2.85			(3.25	)		6.32			2.27			4.22			(2.90	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.05	)		(0.00	)(d)		—			(0.07	)		—
Net realized capital gains		—			(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(0.00	)		(3.51	)		(1.99	)		(2.02	)		(1.96	)		(2.02	)

Net asset value, end of the period	$	19.59		$	16.74		$	23.50		$	19.17		$	18.92		$	16.66

Total return(e)		17.03	%(f)(g)		(13.97	)%(f)		32.99	%(f)		12.15	%(b)		25.82	%(c)		(13.63	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	51,903		$	51,987		$	50,042		$	35,940		$	54,384		$	53,606
Net expenses		1.80	%(h)(i)		1.80	%(h)		1.87	%(h)(j)		1.95	%		1.92	%		1.88	%
Gross expenses		1.90	%(i)		1.85	%		1.89	%		1.95	%		1.92	%		1.88	%
Net investment income (loss)		(0.10	)%(i)		(0.10	)%		(0.49	)%		(0.23	)%(b)		0.12	%(c)		(0.33	)%
Portfolio turnover rate		25	%		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 11.85% and the ratio of net investment loss to average net assets would have been (0.46)%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 25.50% and the ratio of net investment loss to average net assets would have been (0.12)%.

(d)	Amount rounds to less than $0.01 per share.

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

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

(g)	Periods less than one year are not annualized.

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

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

(j)	Effective July 1, 2021, the expense limit decreased from 2.05% to 1.80%.

See accompanying notes to financial statements.

| 40

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	23.36		$	31.13		$	24.72		$	23.78		$	20.49		$	25.91

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.26			0.23			0.18	(b)		0.22	(c)		0.22
Net realized and unrealized gain (loss)		4.00			(4.29	)		8.31			2.98			5.25			(3.45	)

Total from Investment Operations		4.12			(4.03	)		8.54			3.16			5.47			(3.23	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.28	)		(0.14	)		(0.20	)		(0.29	)		(0.17	)
Net realized capital gains		—			(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(0.00	)		(3.74	)		(2.13	)		(2.22	)		(2.18	)		(2.19	)

Net asset value, end of the period	$	27.48		$	23.36		$	31.13		$	24.72		$	23.78		$	20.49

Total return(e)		17.64	%(f)		(13.06	)%		34.54	%		13.41	%(b)		27.16	%(c)		(12.60	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	576		$	517		$	682		$	364		$	801		$	10
Net expenses(g)		0.75	%(h)		0.75	%		0.80	%(i)		0.86	%		0.83	%		0.75	%
Gross expenses		1.12	%(h)		0.93	%		1.55	%		1.05	%		1.25	%		3.79	%
Net investment income		0.96	%(h)		0.93	%		0.79	%		0.85	%(b)		0.93	%(c)		0.88	%
Portfolio turnover rate		25	%		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.14, total return would have been 13.13% and the ratio of net investment income to average net assets would have been 0.67%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%.

(d)	Amount rounds to less than $0.01 per share.

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

(f)	Periods less than one year are not annualized.

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

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

(i)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.75%.

See accompanying notes to financial statements.

41 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	23.29		$	31.04		$	24.68		$	23.75		$	20.46		$	25.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.25			0.17			0.17	(b)		0.27	(c)		0.17
Net realized and unrealized gain (loss)		3.98			(4.28	)		8.31			2.95			5.17			(3.44	)

Total from Investment Operations		4.10			(4.03	)		8.48			3.12			5.44			(3.27	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.26	)		(0.13	)		(0.17	)		(0.26	)		(0.15	)
Net realized capital gains		—			(3.46	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)

Total Distributions		(0.00	)		(3.72	)		(2.12	)		(2.19	)		(2.15	)		(2.17	)

Net asset value, end of the period	$	27.39		$	23.29		$	31.04		$	24.68		$	23.75		$	20.46

Total return		17.60	%(e)(f)		(13.10	)%(e)		34.35	%(e)		13.28	%(b)		27.06	%(c)(e)		(12.76	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	136,252		$	103,213		$	99,008		$	37,595		$	46,836		$	53,829
Net expenses		0.80	%(g)(h)		0.80	%(g)		0.86	%(g)(i)		0.95	%		0.91	%(g)		0.88	%
Gross expenses		0.90	%(h)		0.85	%		0.89	%		0.95	%		0.92	%		0.88	%
Net investment income		0.91	%(h)		0.89	%		0.56	%		0.79	%(b)		1.16	%(c)		0.68	%
Portfolio turnover rate		25	%		69	%		23	%		22	%		15	%		39	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.12, total return would have been 13.00% and the ratio of net investment income to average net assets would have been 0.55%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%.

(d)	Amount rounds to less than $0.01 per share.

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

(f)	Periods less than one year are not annualized.

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

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

(i)	Effective July 1, 2021, the expense limit decreased from 1.05% to 0.80%.

See accompanying notes to financial statements.

| 42

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	12.52		$	15.15		$	14.15		$	13.63		$	11.29		$	15.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.24			0.19			0.27	(b)		(0.00	)(c)		0.37	(d)		0.25
Net realized and unrealized gain (loss)		1.98			(2.60	)		0.96			0.55	(e)		2.38			(4.02	)

Total from Investment Operations		2.22			(2.41	)		1.23			0.55			2.75			(3.77	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.22	)		(0.23	)		(0.03	)		(0.41	)		(0.29	)
Net realized capital gains		—			—			—			—			—			(0.23	)

Total Distributions		(0.00	)		(0.22	)		(0.23	)		(0.03	)		(0.41	)		(0.52	)

Net asset value, end of the period	$	14.74		$	12.52		$	15.15		$	14.15		$	13.63		$	11.29

Total return(f)		17.74	%(g)(h)		(15.91	)%(g)		8.73	%(b)(g)		4.06	%(g)		24.35	%(d)		(24.15	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	145,005		$	120,316		$	152,900		$	131,630		$	172,906		$	257,551
Net expenses		1.15	%(i)(j)		1.15	%(i)		1.17	%(i)(k)		1.29	%(i)(l)		1.29	%		1.31	%
Gross expenses		1.36	%(j)		1.38	%		1.34	%		1.36	%		1.29	%		1.31	%
Net investment income (loss)		3.37	%(j)		1.48	%		1.73	%(b)		(0.03	)%		2.91	%(d)		1.72	%
Portfolio turnover rate		14	%		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.13, total return would have been 7.74% and the ratio of net investment income to average net assets would have been 0.84%.

(c)	Amount rounds to less than $0.01 per share.

(d)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%.

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

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

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

(h)	Periods less than one year are not annualized.

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

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

(k)	Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%.

(l)	Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%.

See accompanying notes to financial statements.

43 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	12.31		$	14.86		$	13.85		$	13.41		$	11.11		$	15.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.17			0.10			0.13	(b)		(0.08	)		0.26	(c)		0.13
Net realized and unrealized gain (loss)		1.96			(2.55	)		0.97			0.52	(d)		2.34			(3.92	)

Total from Investment Operations		2.13			(2.45	)		1.10			0.44			2.60			(3.79	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(e)		(0.10	)		(0.09	)		—			(0.30	)		(0.17	)
Net realized capital gains		—			—			—			—			—			(0.23	)

Total Distributions		(0.00	)		(0.10	)		(0.09	)		—			(0.30	)		(0.40	)

Net asset value, end of the period	$	14.44		$	12.31		$	14.86		$	13.85		$	13.41		$	11.11

Total return(f)		17.31	%(g)(h)		(16.50	)%(g)		7.92	%(b)(g)		3.28	%(g)		23.44	%(c)		(24.74	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	35,883		$	39,202		$	69,335		$	96,772		$	179,533		$	212,618
Net expenses		1.90	%(i)(j)		1.90	%(i)		1.93	%(i)(k)		2.05	%(i)(l)		2.04	%		2.07	%
Gross expenses		2.11	%(j)		2.13	%		2.09	%		2.11	%		2.04	%		2.07	%
Net investment income (loss)		2.45	%(j)		0.78	%		0.85	%(b)		(0.76	)%		2.09	%(c)		0.94	%
Portfolio turnover rate		14	%		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.02, total return would have been 6.98% and the ratio of net investment income to average net assets would have been 0.13%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%.

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

(e)	Amount rounds to less than $0.01 per share.

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

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

(h)	Periods less than one year are not annualized.

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

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

(k)	Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%.

(l)	Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%.

See accompanying notes to financial statements.

| 44

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	12.46		$	15.08		$	14.09		$	13.56		$	11.25		$	15.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.32			0.38	(b)		0.04			0.33	(c)		0.28
Net realized and unrealized gain (loss)		1.98			(2.68	)		0.89			0.56	(d)		2.45			(4.02	)

Total from Investment Operations		2.24			(2.36	)		1.27			0.60			2.78			(3.74	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(e)		(0.26	)		(0.28	)		(0.07	)		(0.47	)		(0.36	)
Net realized capital gains		—			—			—			—			—			(0.23	)

Total Distributions		(0.00	)		(0.26	)		(0.28	)		(0.07	)		(0.47	)		(0.59	)

Net asset value, end of the period	$	14.70		$	12.46		$	15.08		$	14.09		$	13.56		$	11.25

Total return(f)		17.98	%(g)		(15.65	)%		9.01	%(b)		4.44	%		24.75	%(c)		(23.94	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	247		$	222		$	704		$	290		$	811		$	758
Net expenses(h)		0.85	%(i)		0.85	%		0.87	%(j)		0.92	%(k)		0.94	%		0.99	%
Gross expenses		1.64	%(i)		1.01	%		1.25	%		1.17	%		1.08	%		1.02	%
Net investment income		3.67	%(i)		2.56	%		2.49	%(b)		0.37	%		2.56	%(c)		2.04	%
Portfolio turnover rate		14	%		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.11, total return would have been 8.09% and the ratio of net investment income to average net assets would have been 0.70%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%.

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

(e)	Amount rounds to less than $0.01 per share.

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

(g)	Periods less than one year are not annualized.

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

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

(j)	Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(k)	Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%.

See accompanying notes to financial statements.

45 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	12.45		$	15.07		$	14.08		$	13.56		$	11.25		$	15.56

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.22			0.30	(b)		0.04			0.37	(c)		0.26
Net realized and unrealized gain (loss)		1.98			(2.58	)		0.96			0.55	(d)		2.40			(3.99	)

Total from Investment Operations		2.23			(2.36	)		1.26			0.59			2.77			(3.73	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(e)		(0.26	)		(0.27	)		(0.07	)		(0.46	)		(0.35	)
Net realized capital gains		—			—			—			—			—			(0.23	)

Total Distributions		(0.00	)		(0.26	)		(0.27	)		(0.07	)		(0.46	)		(0.58	)

Net asset value, end of the period	$	14.68		$	12.45		$	15.07		$	14.08		$	13.56		$	11.25

Total return		17.92	%(f)(g)		(15.71	)%(f)		8.97	%(b)(f)		4.32	%(f)		24.64	%(c)		(23.93	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	218,527		$	200,175		$	312,930		$	275,468		$	244,586		$	215,123
Net expenses		0.90	%(h)(i)		0.90	%(h)		0.92	%(h)(j)		1.03	%(h)(k)		1.04	%		1.07	%
Gross expenses		1.11	%(i)		1.13	%		1.09	%		1.11	%		1.04	%		1.07	%
Net investment income		3.54	%(i)		1.66	%		1.96	%(b)		0.41	%		2.91	%(c)		1.85	%
Portfolio turnover rate		14	%		33	%		37	%		63	%		28	%		50	%

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

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.17, total return would have been 8.04% and the ratio of net investment income to average net assets would have been 1.07%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%.

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

(e)	Amount rounds to less than $0.01 per share.

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

(g)	Periods less than one year are not annualized.

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

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

(j)	Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%.

(k)	Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%.

See accompanying notes to financial statements.

| 46

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	29.01		$	43.12		$	39.04		$	36.53		$	31.00		$	36.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.01			0.03			(0.11	)		(0.05	)		0.15	(b)		0.08
Net realized and unrealized gain (loss)		6.97			(8.89	)		8.99			7.66			9.34			(2.51	)

Total from Investment Operations		6.98			(8.86	)		8.88			7.61			9.49			(2.43	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		—			—			(0.17	)		(0.05	)
Net realized capital gains		(0.06	)		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(0.06	)		(5.25	)		(4.80	)		(5.10	)		(3.96	)		(3.47	)

Net asset value, end of the period	$	35.93		$	29.01		$	43.12		$	39.04		$	36.53		$	31.00

Total return(c)		24.09	%(d)		(21.15	)%		23.14	%		22.09	%		31.03	%(b)		(6.48	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	576,962		$	512,392		$	733,423		$	649,754		$	616,922		$	523,665
Net expenses		1.13	%(e)		1.12	%		1.14	%		1.17	%		1.17	%		1.16	%
Gross expenses		1.13	%(e)		1.12	%		1.14	%		1.17	%		1.17	%		1.16	%
Net investment income (loss)		0.08	%(e)		0.09	%		(0.25	)%		(0.14	)%		0.42	%(b)		0.20	%
Portfolio turnover rate		17	%		46	%		18	%		26	%		12	%		23	%

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

(b)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%.

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

(d)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

47 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	12.12		$	21.82		$	21.89		$	22.65		$	20.42		$	25.73

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.12	)		(0.24	)		(0.19	)		(0.07	)(b)		(0.14	)
Net realized and unrealized gain (loss)		2.91			(4.36	)		4.97			4.53			6.10			(1.75	)

Total from Investment Operations		2.86			(4.48	)		4.73			4.34			6.03			(1.89	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			(0.01	)		—
Net realized capital gains		(0.06	)		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(0.06	)		(5.22	)		(4.80	)		(5.10	)		(3.80	)		(3.42	)

Net asset value, end of the period	$	14.92		$	12.12		$	21.82		$	21.89		$	22.65		$	20.42

Total return(c)		23.67	%(d)		(21.77	)%		22.27	%		21.15	%		30.06	%(b)		(7.18	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	30,466		$	29,356		$	57,492		$	63,126		$	77,924		$	78,783
Net expenses		1.88	%(e)		1.87	%		1.89	%		1.92	%		1.92	%		1.91	%
Gross expenses		1.88	%(e)		1.87	%		1.89	%		1.92	%		1.92	%		1.91	%
Net investment loss		(0.67	)%(e)		(0.66	)%		(0.99	)%		(0.87	)%		(0.31	)%(b)		(0.54	)%
Portfolio turnover rate		17	%		46	%		18	%		26	%		12	%		23	%

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

(b)	Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%.

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

(d)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	37.72		$	54.14		$	47.84		$	43.61		$	36.37		$	42.63

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.18			0.03			0.13			0.19	(b)		0.25
Net realized and unrealized gain (loss)		9.06			(11.23	)		11.07			9.20			11.14			(2.91	)

Total from Investment Operations		9.14			(11.05	)		11.10			9.33			11.33			(2.66	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.15	)		—			—			(0.30	)		(0.18	)
Net realized capital gains		(0.06	)		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(0.06	)		(5.37	)		(4.80	)		(5.10	)		(4.09	)		(3.60	)

Net asset value, end of the period	$	46.80		$	37.72		$	54.14		$	47.84		$	43.61		$	36.37

Total return(c)		24.26	%(d)		(20.88	)%		23.53	%		22.48	%		31.44	%(b)		(6.11	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	208		$	167		$	177		$	172		$	654		$	1
Net expenses(e)		0.81	%(f)		0.81	%		0.83	%		0.84	%		0.83	%		0.76	%
Gross expenses		1.70	%(f)		1.34	%		1.38	%		1.13	%		1.42	%		13.35	%
Net investment income		0.40	%(f)		0.41	%		0.06	%		0.31	%		0.44	%(b)		0.56	%
Portfolio turnover rate		17	%		46	%		18	%		26	%		12	%		23	%

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

(b)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%.

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

(d)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	37.60		$	53.99		$	47.74		$	43.56		$	36.33		$	42.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.15			0.00	(b)		0.05			0.29	(c)		0.20
Net realized and unrealized gain (loss)		9.03			(11.20	)		11.05			9.23			10.99			(2.92	)

Total from Investment Operations		9.10			(11.05	)		11.05			9.28			11.28			(2.72	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.12	)		—			—			(0.26	)		(0.14	)
Net realized capital gains		(0.06	)		(5.22	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)

Total Distributions		(0.06	)		(5.34	)		(4.80	)		(5.10	)		(4.05	)		(3.56	)

Net asset value, end of the period	$	46.64		$	37.60		$	53.99		$	47.74		$	43.56		$	36.33

Total return		24.23	%(d)		(20.95	)%		23.48	%		22.36	%		31.36	%(c)(e)		(6.24	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	268,900		$	191,912		$	284,738		$	243,302		$	283,864		$	296,255
Net expenses		0.88	%(f)		0.87	%		0.89	%		0.92	%		0.91	%(g)		0.91	%
Gross expenses		0.88	%(f)		0.87	%		0.89	%		0.92	%		0.92	%		0.91	%
Net investment income		0.32	%(f)		0.35	%		0.00	%(h)		0.13	%		0.69	%(c)		0.45	%
Portfolio turnover rate		17	%		46	%		18	%		26	%		12	%		23	%

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

(b)	Amount rounds to less than $0.01 per share.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%.

(d)	Periods less than one year are not annualized.

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

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

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

(h)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	19.64		$	22.70		$	21.79		$	22.42		$	17.37		$	22.65

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.11			0.05			0.07			0.03			0.09
Net realized and unrealized gain (loss)		0.99			(2.53	)		4.52			1.96			5.21			(3.71	)

Total from Investment Operations		1.02			(2.42	)		4.57			2.03			5.24			(3.62	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.13	)		(0.04	)		(0.04	)		(0.02	)		(0.15	)
Net realized capital gains		—			(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		—			(0.64	)		(3.66	)		(2.66	)		(0.19	)		(1.66	)

Net asset value, end of the period	$	20.66		$	19.64		$	22.70		$	21.79		$	22.42		$	17.37

Total return(b)		5.19	%(c)(d)		(10.80	)%(c)		21.32	%(c)		10.46	%(c)		30.21	%(c)		(16.10	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	34,751		$	33,507		$	37,849		$	30,567		$	33,434		$	43,769
Net expenses		1.15	%(e)(f)		1.15	%(e)		1.17	%(e)(g)		1.20	%(e)		1.25	%(e)(h)(i)		1.24	%
Gross expenses		1.24	%(f)		1.21	%		1.23	%		1.29	%		1.28	%(h)		1.24	%
Net investment income		0.28	%(f)		0.55	%		0.22	%		0.35	%		0.16	%		0.42	%
Portfolio turnover rate		28	%		53	%		71	%		52	%		52	%		44	%

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

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

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%.

See accompanying notes to financial statements.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	17.75		$	20.58		$	20.15		$	21.06		$	16.43		$	21.50

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.04	)		(0.13	)		(0.08	)		(0.10	)		(0.08	)
Net realized and unrealized gain (loss)		0.90			(2.28	)		4.18			1.79			4.90			(3.48	)

Total from Investment Operations		0.85			(2.32	)		4.05			1.71			4.80			(3.56	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.00	)(b)		—			(0.00	)(b)		—
Net realized capital gains		—			(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		—			(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Net asset value, end of the period	$	18.60		$	17.75		$	20.58		$	20.15		$	21.06		$	16.43

Total return(c)		4.79	%(d)(e)		(11.46	)%(d)		20.44	%(d)		9.60	%(d)		29.25	%(d)		(16.71	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	6,237		$	7,405		$	11,436		$	14,023		$	21,932		$	23,967
Net expenses		1.90	%(f)(g)		1.90	%(f)		1.93	%(f)(h)		1.95	%(f)		1.99	%(f)(i)(j)		1.98	%
Gross expenses		1.99	%(g)		1.96	%		1.98	%		2.04	%		2.02	%(i)		1.98	%
Net investment loss		(0.51	)%(g)		(0.22	)%		(0.56	)%		(0.42	)%		(0.50	)%		(0.36	)%
Portfolio turnover rate		28	%		53	%		71	%		52	%		52	%		44	%

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

(b)	Amount rounds to less than $0.01 per share.

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

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%.

(j)	Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%.

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	19.95		$	23.05		$	22.07		$	22.66		$	17.54		$	22.87

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.17			0.14			0.13			0.11			0.17
Net realized and unrealized gain (loss)		1.01			(2.57	)		4.58			2.00			5.27			(3.75	)

Total from Investment Operations		1.07			(2.40	)		4.72			2.13			5.38			(3.58	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.19	)		(0.12	)		(0.10	)		(0.09	)		(0.24	)
Net realized capital gains		—			(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		—			(0.70	)		(3.74	)		(2.72	)		(0.26	)		(1.75	)

Net asset value, end of the period	$	21.02		$	19.95		$	23.05		$	22.07		$	22.66		$	17.54

Total return		5.36	%(b)(c)		(10.54	)%(b)		21.70	%(b)		10.83	%(b)		30.67	%(b)		(15.78	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	60,861		$	72,804		$	91,416		$	17,965		$	18,262		$	70,902
Net expenses		0.85	%(d)(e)		0.85	%(d)		0.86	%(d)(f)		0.90	%(d)		0.92	%(d)(g)(h)		0.88	%
Gross expenses		0.89	%(e)		0.87	%		0.89	%		0.94	%		0.93	%(g)		0.88	%
Net investment income		0.56	%(e)		0.84	%		0.55	%		0.65	%		0.51	%		0.76	%
Portfolio turnover rate		28	%		53	%		71	%		52	%		52	%		44	%

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

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

(c)	Periods less than one year are not annualized.

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

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

(f)	Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%.

(h)	Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	19.99		$	23.09		$	22.10		$	22.69		$	17.57		$	22.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.16			0.11			0.12			0.10			0.15
Net realized and unrealized gain (loss)		1.01			(2.57	)		4.60			2.00			5.26			(3.75	)

Total from Investment Operations		1.06			(2.41	)		4.71			2.12			5.36			(3.60	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.18	)		(0.10	)		(0.09	)		(0.07	)		(0.21	)
Net realized capital gains		—			(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)

Total Distributions		—			(0.69	)		(3.72	)		(2.71	)		(0.24	)		(1.72	)

Net asset value, end of the period	$	21.05		$	19.99		$	23.09		$	22.10		$	22.69		$	17.57

Total return		5.30	%(b)(c)		(10.58	)%(b)		21.65	%(b)		10.76	%(b)		30.52	%(b)		(15.85	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	143,489		$	148,505		$	226,838		$	227,501		$	298,705		$	453,085
Net expenses		0.90	%(d)(e)		0.90	%(d)		0.93	%(d)(f)		0.95	%(d)		1.00	%(d)(g)(h)		0.99	%
Gross expenses		0.99	%(e)		0.96	%		0.98	%		1.04	%		1.02	%(g)		0.99	%
Net investment income		0.52	%(e)		0.78	%		0.45	%		0.60	%		0.48	%		0.66	%
Portfolio turnover rate		28	%		53	%		71	%		52	%		52	%		44	%

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

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

(c)	Periods less than one year are not annualized.

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

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

(f)	Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%.

(h)	Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	15.17		$	17.87		$	16.69		$	15.45		$	12.48		$	18.71

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.05			(0.02	)		0.00	(b)(c)		0.00	(c)		0.02			0.01
Net realized and unrealized gain (loss)		2.16			(1.78	)		4.98			1.33			3.06			(2.76	)

Total from Investment Operations		2.21			(1.80	)		4.98			1.33			3.08			(2.75	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.01	)		(0.00	)(c)		(0.03	)		(0.00	)(c)
Net realized capital gains		—			(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		—			(0.90	)		(3.80	)		(0.09	)		(0.11	)		(3.48	)

Net asset value, end of the period	$	17.38		$	15.17		$	17.87		$	16.69		$	15.45		$	12.48

Total return(d)		14.57	%(e)(f)		(10.19	)%(e)		30.24	%(b)(e)		8.91	%(e)		24.66	%(e)		(14.84	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	100,036		$	66,339		$	81,493		$	61,571		$	67,525		$	66,376
Net expenses		1.25	%(g)(h)		1.25	%(g)		1.27	%(g)(i)		1.32	%(g)(j)		1.40	%(g)(k)		1.38	%
Gross expenses		1.38	%(h)		1.37	%		1.43	%		1.53	%		1.47	%		1.38	%
Net investment income (loss)		0.58	%(h)		(0.12	)%		0.01	%(b)		0.02	%		0.12	%		0.03	%
Portfolio turnover rate		29	%		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.05), total return would have been 29.95% and the ratio of net investment loss to average net assets would have been (0.25)%.

(c)	Amount rounds to less than $0.01 per share.

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

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

(f)	Periods less than one year are not annualized.

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

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

(i)	Effective July 1, 2021, the expense limit decreased from 1.30% to 1.25%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%.

(k)	Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	5.30		$	6.94		$	8.34		$	7.84		$	6.41		$	11.67

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.00	)(b)		(0.04	)		(0.06	)(c)		(0.05	)		(0.05	)		(0.09	)
Net realized and unrealized gain (loss)		0.75			(0.70	)		2.45			0.64			1.57			(1.69	)

Total from Investment Operations		0.75			(0.74	)		2.39			0.59			1.52			(1.78	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.00	)(b)		(0.01	)		(0.00	)(b)
Net realized capital gains		—			(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		—			(0.90	)		(3.79	)		(0.09	)		(0.09	)		(3.48	)

Net asset value, end of the period	$	6.05		$	5.30		$	6.94		$	8.34		$	7.84		$	6.41

Total return(d)		14.15	%(e)(f)		(11.01	)%(e)		29.45	%(c)(e)		8.08	%(e)		23.69	%(e)		(15.51	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,429		$	2,118		$	966		$	983		$	1,450		$	3,480
Net expenses		2.00	%(g)(h)		2.00	%(g)		2.03	%(g)(i)		2.07	%(g)(j)		2.16	%(g)(k)		2.12	%
Gross expenses		2.13	%(h)		2.12	%		2.19	%		2.28	%		2.23	%		2.12	%
Net investment loss		(0.12	)%(h)		(0.74	)%		(0.67	)%(c)		(0.71	)%		(0.68	)%		(0.83	)%
Portfolio turnover rate		29	%		63	%		92	%		105	%		61	%		70	%

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

(b)	Amount rounds to less than $0.01 per share.

(c)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.10), total return would have been 29.09% and the ratio of net investment loss to average net assets would have been (0.99)%.

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

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

(f)	Periods less than one year are not annualized.

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

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

(i)	Effective July 1, 2021, the expense limit decreased from 2.05% to 2.00%.

(j)	Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%.

(k)	Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	16.16		$	18.96		$	17.52		$	16.20		$	13.08		$	19.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.04			0.01	(b)		0.04			0.08			0.08
Net realized and unrealized gain (loss)		2.30			(1.91	)		5.29			1.42			3.20			(2.86	)

Total from Investment Operations		2.38			(1.87	)		5.30			1.46			3.28			(2.78	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		(0.07	)		(0.05	)		(0.08	)		(0.03	)
Net realized capital gains		—			(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		—			(0.93	)		(3.86	)		(0.14	)		(0.16	)		(3.51	)

Net asset value, end of the period	$	18.54		$	16.16		$	18.96		$	17.52		$	16.20		$	13.08

Total return(c)		14.73	%(d)		(9.95	)%		30.64	%(b)		9.27	%		25.08	%		(14.48	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,011		$	1,493		$	1,383		$	23		$	21		$	1
Net expenses(e)		0.95	%(f)		0.95	%		0.97	%(g)		1.02	%(h)		1.03	%(i)		0.96	%
Gross expenses		1.12	%(f)		1.10	%		1.19	%		6.54	%		11.80	%		15.17	%
Net investment income		0.88	%(f)		0.22	%		0.03	%(b)		0.31	%		0.52	%		0.43	%
Portfolio turnover rate		29	%		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 30.37% and the ratio of net investment income to average net assets would have been 0.03%.

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	16.15		$	18.95		$	17.51		$	16.19		$	13.08		$	19.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.04			0.06	(b)		0.04			0.05			0.04
Net realized and unrealized gain (loss)		2.29			(1.91	)		5.23			1.41			3.21			(2.84	)

Total from Investment Operations		2.37			(1.87	)		5.29			1.45			3.26			(2.80	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		(0.06	)		(0.04	)		(0.07	)		(0.01	)
Net realized capital gains		—			(0.90	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)

Total Distributions		—			(0.93	)		(3.85	)		(0.13	)		(0.15	)		(3.49	)

Net asset value, end of the period	$	18.52		$	16.15		$	18.95		$	17.51		$	16.19		$	13.08

Total return		14.68	%(c)(d)		(9.98	)%(c)		30.61	%(b)(c)		9.23	%(c)		24.88	%(c)		(14.61	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	245,908		$	120,585		$	66,054		$	49,315		$	44,482		$	58,538
Net expenses		1.00	%(e)(f)		1.00	%(e)		1.02	%(e)(g)		1.07	%(e)(h)		1.15	%(e)(i)		1.12	%
Gross expenses		1.13	%(f)		1.12	%		1.18	%		1.28	%		1.23	%		1.12	%
Net investment income		0.88	%(f)		0.22	%		0.28	%(b)		0.26	%		0.35	%		0.22	%
Portfolio turnover rate		29	%		63	%		92	%		105	%		61	%		70	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.00, total return would have been 30.26% and the ratio of net investment income to average net assets would have been 0.01%.

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2021, the expense limit decreased from 1.05% to 1.00%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.09% to 1.05%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%.

See accompanying notes to financial statements.

| 58

Notes to Financial Statements

June 30, 2023 (Unaudited)

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

Loomis Sayles Funds II:

Loomis Sayles International Growth Fund (“International Growth Fund”)

Natixis Funds Trust I:

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund (“U.S. Equity Opportunities Fund”)

Vaughan Nelson Small Cap Value Fund (“Small Cap Value Fund”)

Natixis Funds Trust II:

Natixis Oakmark Fund

Vaughan Nelson Mid Cap Fund (“Mid Cap Fund”)

Each Fund is a diversified investment company, except for International Growth Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

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

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

a. Valuation. Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

59 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service.

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

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

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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

| 60

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

e. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries (“EU reclaims”) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as a reduction of foreign taxes withheld in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service ("IRS"), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.

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

61 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2022 was as follows:


	2022 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
International Growth Fund	$	177,885	$	—	$	177,885
Natixis Oakmark Fund		2,835,653		51,140,399		53,976,052
Natixis Oakmark International Fund		6,459,857		—		6,459,857
U.S. Equity Opportunities Fund		1,935,796		120,599,489		122,535,285
Mid Cap Fund		2,282,950		7,705,713		9,988,663
Small Cap Value Fund		2,901,818		6,755,646		9,657,464

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

As of December 31, 2022, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			U.S. Equity Opportunities Fund		Mid Cap Fund			Small Cap Value Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(318,617	)	$	—		$	(7,975,554	)	$	—	$	(16,690,689	)	$	—
Long-term:
No expiration date		—			—			(112,759,862	)		—		(5,472,473	)		—

Total capital loss carryforward		(318,617	)		—			(120,735,416	)		—		(22,163,162	)		—

Late-year ordinary and post-October capital loss deferrals*	$	—		$	(5,213,543	)	$	—		$	—	$	—		$	(581,338	)

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

As of June 30, 2023, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			U.S. Equity Opportunities Fund			Mid Cap Fund			Small Cap Value Fund
Federal tax cost	$	30,885,905		$	353,852,524		$	366,240,699		$	630,751,050		$	212,529,247		$	311,436,526

Gross tax appreciation	$	3,496,147		$	51,291,946		$	62,182,594		$	263,766,123		$	46,474,188		$	49,445,371
Gross tax depreciation		(4,484,483	)		(8,455,139	)		(32,753,430	)		(31,183,833	)		(3,614,500	)		(8,462,164	)

Net tax appreciation (depreciation)	$	(988,336	)	$	42,836,807		$	29,429,164		$	232,582,290		$	42,859,688		$	40,983,207

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a

| 62

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

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

•

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

•

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

•

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

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

The Funds’ pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

63 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2023, at value:

International Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	2,201,206	$	—	$	2,201,206
Belgium		—		570,118		—		570,118
China		4,748,216		2,649,281		—		7,397,497
Denmark		—		1,663,213		—		1,663,213
France		—		1,453,834		—		1,453,834
Germany		—		947,646		—		947,646
Japan		—		1,301,892		—		1,301,892
Macau		—		280,312		—		280,312
Netherlands		—		1,096,146		—		1,096,146
Switzerland		459,113		967,765		—		1,426,878
United Kingdom		—		1,869,277		—		1,869,277
United States		2,449,331		2,863,249		—		5,312,580
All Other Common Stocks(a)		3,677,808		—		—		3,677,808

Total Common Stocks	$	11,334,468	$	17,863,939	$	—	$	29,198,407

Short-Term Investments		—		699,162		—		699,162

Total	$	11,334,468	$	18,563,101	$	—	$	29,897,569

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

Natixis Oakmark Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	386,258,966	$	—	$	—	$	386,258,966
Short-Term Investments		—		10,430,365		—		10,430,365

Total	$	386,258,966	$	10,430,365	$	—	$	396,689,331

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

| 64

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Natixis Oakmark International Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	660,978	$	—	$	660,978
Belgium		—		6,251,521		—		6,251,521
China		2,026,332		15,613,484		—		17,639,816
Denmark		—		4,116,812		—		4,116,812
France		—		63,839,599		—		63,839,599
Germany		—		105,621,374		—		105,621,374
Hong Kong		—		7,180,329		—		7,180,329
India		—		3,174,355		—		3,174,355
Indonesia		—		446,493		—		446,493
Italy		—		10,788,504		—		10,788,504
Japan		—		13,031,264		—		13,031,264
Korea		—		7,832,153		—		7,832,153
Luxembourg		—		4,073,418		—		4,073,418
Netherlands		—		10,686,293		—		10,686,293
Spain		—		6,277,075		—		6,277,075
Sweden		—		13,895,867		—		13,895,867
Switzerland		—		24,767,967		—		24,767,967
United Kingdom		3,691,716		52,846,341		—		56,538,057
United States		—		4,853,917		—		4,853,917
All Other Common Stocks(a)		15,100,840		—		—		15,100,840

Total Common Stocks		20,818,888		355,957,744		—		376,776,632

Preferred Stocks(a)		—		6,620,835		—		6,620,835
Short-Term Investments		—		12,272,396		—		12,272,396

Total	$	20,818,888	$	374,850,975	$	—	$	395,669,863

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

U.S. Equity Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	837,375,116	$	—	$	—	$	837,375,116
Short-Term Investments		—		25,958,224		—		25,958,224

Total	$	837,375,116	$	25,958,224	$	—	$	863,333,340

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

Mid Cap Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	235,038,859	$	—	$	—	$	235,038,859
Short-Term Investments		—		20,350,076		—		20,350,076

Total	$	235,038,859	$	20,350,076	$	—	$	255,388,935

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

65 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	317,803,811	$	—	$	—	$	317,803,811
Exchange-Traded Funds		16,146,240		—		—		16,146,240
Short-Term Investments		—		18,469,682		—		18,469,682

Total	$	333,950,051	$	18,469,682	$	—	$	352,419,733

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

4. Purchases and Sales of Securities. For the six months ended June 30, 2023, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
International Growth Fund	$	1,169,196	$	484,712
Natixis Oakmark Fund		89,699,553		100,118,683
Natixis Oakmark International Fund		51,650,126		72,805,170
U.S. Equity Opportunities Fund		132,617,779		196,010,504
Mid Cap Fund		66,942,641		100,618,266
Small Cap Value Fund		189,677,826		65,925,352

5. Management Fees and Other Transactions with Affiliates.

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

Under the terms of the management agreement, International Growth Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $150 million			Next $50 million			Next $300 million			Next $500 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund		0.70	%		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Natixis Oakmark International Fund		0.85	%		0.75	%		0.75	%		0.75	%		0.70	%		0.70	%
U.S. Equity Opportunities Fund		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Mid Cap Fund		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.70	%
Small Cap Value Fund		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%

Effective July 1, 2023, U.S. Equity Opportunities Fund pays a management fee at the annual rate of 0.67% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.


Natixis Oakmark Fund		Harris Associates L.P. (“Harris”)
Natixis Oakmark International Fund		Harris
U.S. Equity Opportunities Fund		Harris Loomis Sayles
Mid Cap Fund		Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Small Cap Value Fund		Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

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Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


		Percentage of Average Daily Net Assets
Fund	Subadviser	First $150 million			Next $50 million			Next $800 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund	Harris		0.52	%		0.52	%		0.50	%		0.50	%		0.50	%
Natixis Oakmark International Fund	Harris		0.60	%		0.50	%		0.50	%		0.45	%		0.45	%
U.S. Equity Opportunities Fund
Large Cap Value Segment	Harris		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%
All Cap Growth Segment	Loomis Sayles		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Mid Cap Fund	Vaughan Nelson		0.47	%		0.47	%		0.47	%		0.47	%		0.44	%
Small Cap Value Fund	Vaughan Nelson		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Effective July 1, 2023, U.S. Equity Opportunities Fund Large Cap Value Segment has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:


			Percentage of Average Daily Net Assets
Fund	Subadviser		First $150 million			Next $50 million			Next $800 million			Next $500 million			Over $1.5 billion
U.S. Equity Opportunities Fund
Large Cap Value Segment		Harris		0.51	%		0.51	%		0.51	%		0.51	%		0.51	%

Loomis Sayles and Natixis Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2024, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
International Growth Fund		1.20	%		1.95	%		0.90	%		0.95	%
Natixis Oakmark Fund		1.05	%		1.80	%		0.75	%		0.80	%
Natixis Oakmark International Fund		1.15	%		1.90	%		0.85	%		0.90	%
U.S. Equity Opportunities Fund		1.15	%		1.90	%		0.85	%		0.90	%
Mid Cap Fund		1.15	%		1.90	%		0.85	%		0.90	%
Small Cap Value Fund		1.25	%		2.00	%		0.95	%		1.00	%

Effective July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements for U.S. Equity Opportunities Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
	Class A			Class C			Class N			Class Y
U.S. Equity Opportunities Fund		1.12	%		1.87	%		0.82	%		0.87	%

This new undertaking is in effect until April 30, 2025, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

67 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Loomis Sayles and Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2023, the management fees and waiver of management fees for each Fund were as follows:


	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
International Growth Fund	$	105,406	$	83,101	$	22,305		0.75	%		0.16	%
Natixis Oakmark Fund		1,282,495		189,094		1,093,401		0.68	%		0.58	%
Natixis Oakmark International Fund		1,526,552		406,269		1,120,283		0.79	%		0.58	%
U.S. Equity Opportunities Fund		2,749,420		—		2,749,420		0.70	%		0.70	%
Mid Cap Fund		971,354		95,200		876,154		0.75	%		0.68	%
Small Cap Value Fund		1,020,613		152,847		867,766		0.85	%		0.72	%

¹	Management fee waivers are subject to possible recovery until December 31, 2024.

No expenses were recovered for any of the Funds during the six months ended June 30, 2023 under the terms of the expense limitation agreements.

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2023, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
International Growth Fund	$	174	$	1	$	3
Natixis Oakmark Fund		258,277		65,363		196,088
Natixis Oakmark International Fund		169,515		48,994		146,981
U.S. Equity Opportunities Fund		683,170		37,165		111,494
Mid Cap Fund		42,038		8,602		25,805
Small Cap Value Fund		86,257		4,205		12,613

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225%

| 68

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2023, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
International Growth Fund	$	6,515
Natixis Oakmark Fund		87,894
Natixis Oakmark International Fund		89,719
U.S. Equity Opportunities Fund		182,005
Mid Cap Fund		60,018
Small Cap Value Fund		55,638

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

For the six months ended June 30, 2023, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
International Growth Fund	$	1,570
Natixis Oakmark Fund		94,365
Natixis Oakmark International Fund		303,685
U.S. Equity Opportunities Fund		139,448
Mid Cap Fund		81,796
Small Cap Value Fund		88,381

As of June 30, 2023, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
International Growth Fund	$	38
Natixis Oakmark Fund		2,418
Natixis Oakmark International Fund		7,381
U.S. Equity Opportunities Fund		3,380
Mid Cap Fund		2,049
Small Cap Value Fund		759

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

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2023 was as follows:


Fund	Commissions
Natixis Oakmark Fund	$	22,000
Natixis Oakmark International Fund		2,995
U.S. Equity Opportunities Fund		6,969
Mid Cap Fund		626
Small Cap Value Fund		3,220

69 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

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

g. Affiliated Ownership. As of June 30, 2023, Natixis and affiliates held shares of International Growth Fund representing 98.06% of the Fund’s net assets.

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

h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2024 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2023, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


	Reimbursement of Transfer Agency Expenses
Fund	Class N
International Growth Fund	$	849
Natixis Oakmark Fund		839
Natixis Oakmark International Fund		857
U.S. Equity Opportunities Fund		834
Mid Cap Fund		1,015
Small Cap Value Fund		880

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

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Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

For the six months ended June 30, 2023, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
International Growth Fund	$	125	$	1	$	849	$	3,949
Natixis Oakmark Fund		90,959		23,118		839		52,386
Natixis Oakmark International Fund		112,727		32,648		857		176,571
U.S. Equity Opportunities Fund		193,974		10,568		834		73,779
Mid Cap Fund		16,778		3,435		1,015		72,971
Small Cap Value Fund		35,551		1,778		880		87,259

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2023, U.S. Equity Opportunities Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $2,850,000 at a weighted average interest rate of 5.43%. Interest expense incurred on the line of credit was $1,720.

8. Risk. The Funds’ investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

International Growth Fund may invest to a significant extent in variable interest entity (“VIE”) structures. VIE structures can vary, but generally consist of a U.S.-listed company with contractual arrangements, through one or more wholly-owned special purpose vehicles, with a Chinese company that ultimately provides the U.S.-listed company with contractual rights to obtain economic benefits from the Chinese company. The VIE structure enables foreign investors, such as the Fund, to obtain investment exposure similar to that of an equity owner in a Chinese company in situations in which the Chinese government has restricted or prohibited the ownership of such company by foreign investors. The Fund’s exposure to VIE structures may pose additional risks because the VIE structure is not formally recognized under Chinese law. The Chinese government may cease to tolerate VIE structures at any time or impose new restrictions. In addition, Chinese companies using the VIE structure, and listed on stock exchanges in the U.S., could also face delisting or other ramifications for failure to meet the expectations and/or requirements of the U.S. Securities and Exchange Commission, the Public Company Accounting Oversight Board, or other U.S. regulators. Any of these risks could reduce the liquidity and value of these investments or render them valueless.

International Growth Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

71 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

economies. These and any related events could significantly impact a Fund’s performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.

9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Account Holders		Percentage of Ownership
Natixis Oakmark International Fund		1		21.41	%
U.S. Equity Opportunities Fund		1		6.52	%
Mid Cap Fund		2		24.99	%
Small Cap Value Fund		1		7.59	%

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

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


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
International Growth Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,394		$	12,250			4,118		$	33,249
Issued in connection with the reinvestment of distributions		—			—			71			565
Redeemed		(1,353	)		(11,699	)		—			—

Net change		41		$	551			4,189		$	33,814

Class C
Redeemed		—		$	—			(3,928	)	$	(33,853	)

Net change		—		$	—			(3,928	)	$	(33,853	)

Class N
Issued from the sale of shares		—		$	—			319,693		$	2,500,000
Issued in connection with the reinvestment of distributions		—			—			2,314			18,351

Net change		—		$	—			322,007		$	2,518,351

Class Y
Issued from the sale of shares		119,836		$	1,017,450			374,914		$	3,190,418
Issued in connection with the reinvestment of distributions		—			—			2,707			21,469
Redeemed		(246	)		(2,169	)		(2,822	)		(20,300	)

Net change		119,590		$	1,015,281			374,799		$	3,191,587

Increase from capital share transactions		119,631		$	1,015,832			697,067		$	5,709,899


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
Natixis Oakmark Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		440,143		$	10,346,715			1,251,455		$	32,636,811
Issued in connection with the reinvestment of distributions		69			1,612			1,168,653			25,751,399
Redeemed		(629,050	)		(14,822,401	)		(1,134,294	)		(28,656,218	)

Net change		(188,838	)	$	(4,474,074	)		1,285,814		$	29,731,992

| 72

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

10. Capital Shares (continued).


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
Natixis Oakmark Fund	Shares			Amount			Shares			Amount
Class C
Issued from the sale of shares		167,742		$	3,082,038			1,217,488		$	26,738,602
Issued in connection with the reinvestment of distributions		29			523			492,676			8,476,261
Redeemed		(624,080	)		(11,323,146	)		(734,433	)		(14,940,011	)

Net change		(456,309	)	$	(8,240,585	)		975,731		$	20,274,852

Class N
Issued from the sale of shares		159		$	4,093			58		$	1,547
Issued in connection with the reinvestment of distributions		—			4			3,064			73,284
Redeemed		(1,348	)		(36,120	)		(2,888	)		(81,794	)

Net change		(1,189	)	$	(32,023	)		234		$	(6,963	)

Class Y
Issued from the sale of shares		2,083,792		$	53,741,648			6,361,056		$	191,465,914
Issued in connection with the reinvestment of distributions		38			939			638,488			15,388,143
Redeemed		(1,541,558	)		(40,035,527	)		(5,757,253	)		(154,617,312	)

Net change		542,272		$	13,707,060			1,242,291		$	52,236,745

Increase (decrease) from capital share transactions		(104,064	)	$	960,378			3,504,070		$	102,236,626


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
Natixis Oakmark International Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,093,953		$	15,673,883			2,081,450		$	27,188,627
Issued in connection with the reinvestment of distributions		262			3,712			108,247			1,369,329
Redeemed		(868,265	)		(12,342,108	)		(2,674,538	)		(34,233,303	)

Net change		225,950		$	3,335,487			(484,841	)	$	(5,675,347	)

Class C
Issued from the sale of shares		46,220		$	651,104			146,028		$	1,872,215
Issued in connection with the reinvestment of distributions		116			1,608			23,961			297,840
Redeemed		(746,341	)		(10,430,300	)		(1,650,271	)		(21,038,433	)

Net change		(700,005	)	$	(9,777,588	)		(1,480,282	)	$	(18,868,378	)

Class N
Issued from the sale of shares		321		$	4,574			145,580		$	2,017,090
Issued in connection with the reinvestment of distributions		1			11			363			4,576
Redeemed		(1,277	)		(18,305	)		(174,806	)		(2,201,343	)

Net change		(955	)	$	(13,720	)		(28,863	)	$	(179,677	)

Class Y
Issued from the sale of shares		1,766,206		$	25,206,715			7,667,504		$	104,077,801
Issued in connection with the reinvestment of distributions		588			8,295			303,265			3,815,073
Redeemed		(2,957,087	)		(41,346,595	)		(12,663,967	)		(169,927,755	)

Net change		(1,190,293	)	$	(16,131,585	)		(4,693,198	)	$	(62,034,881	)

Decrease from capital share transactions		(1,665,303	)	$	(22,587,406	)		(6,687,184	)	$	(86,758,283	)

73 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

10. Capital Shares (continued).


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
U.S. Equity Opportunities Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		315,043		$	10,260,388			682,513		$	23,765,153
Issued in connection with the reinvestment of distributions		30,085			963,916			2,458,392			77,467,012
Redeemed		(1,946,926	)		(63,661,029	)		(2,488,264	)		(85,464,740	)

Net change		(1,601,798	)	$	(52,436,725	)		652,641		$	15,767,425

Class C
Issued from the sale of shares		56,413		$	770,890			188,655		$	3,147,013
Issued in connection with the reinvestment of distributions		9,417			126,002			731,774			10,169,356
Redeemed		(444,825	)		(5,969,647	)		(1,134,470	)		(19,010,339	)

Net change		(378,995	)	$	(5,072,755	)		(214,041	)	$	(5,693,970	)

Class N
Issued from the sale of shares		—		$	—			721		$	30,208
Issued in connection with the reinvestment of distributions		7			274			516			20,693
Redeemed		(4	)		(125	)		(72	)		(2,729	)

Net change		3		$	149			1,165		$	48,172

Class Y
Issued from the sale of shares		1,710,821		$	73,982,468			1,826,215		$	81,090,815
Issued in connection with the reinvestment of distributions		5,618			234,456			558,904			22,817,734
Redeemed		(1,055,057	)		(44,348,069	)		(2,555,340	)		(108,147,485	)

Net change		661,382		$	29,868,855			(170,221	)	$	(4,238,936	)

Increase (decrease) from capital share transactions		(1,319,408	)	$	(27,640,476	)		269,544		$	5,882,691


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
Mid Cap Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		96,322		$	1,937,908			254,188		$	5,207,282
Issued in connection with the reinvestment of distributions		—			—			47,991			1,002,920
Redeemed		(120,508	)		(2,409,783	)		(263,346	)		(5,258,953	)

Net change		(24,186	)	$	(471,875	)		38,833		$	951,249

Class C
Issued from the sale of shares		9,224		$	165,968			41,957		$	749,400
Issued in connection with the reinvestment of distributions		—			—			13,437			257,591
Redeemed		(91,130	)		(1,648,828	)		(193,780	)		(3,552,548	)

Net change		(81,906	)	$	(1,482,860	)		(138,386	)	$	(2,545,557	)

Class N
Issued from the sale of shares		140,598		$	2,901,047			157,734		$	3,317,147
Issued in connection with the reinvestment of distributions		—			—			125,027			2,643,594
Redeemed		(894,581	)		(18,311,963	)		(599,530	)		(12,583,501	)

Net change		(753,983	)	$	(15,410,916	)		(316,769	)	$	(6,622,760	)

Class Y
Issued from the sale of shares	��	396,155		$	8,135,700			994,932		$	20,936,431
Issued in connection with the reinvestment of distributions		—			—			271,832			5,776,106
Redeemed		(1,010,552	)		(20,617,653	)		(3,661,665	)		(76,714,966	)

Net change		(614,397	)	$	(12,481,953	)		(2,394,901	)	$	(50,002,429	)

Decrease from capital share transactions		(1,474,472	)	$	(29,847,604	)		(2,811,223	)	$	(58,219,497	)

| 74

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

10. Capital Shares (continued).


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
Small Cap Value Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,833,490		$	30,856,994			294,742		$	4,937,363
Issued in connection with the reinvestment of distributions		—			—			238,814			3,785,851
Redeemed		(450,135	)		(7,291,058	)		(720,255	)		(11,602,583	)

Net change		1,383,355		$	23,565,936			(186,699	)	$	(2,879,369	)

Class C
Issued from the sale of shares		383,287		$	2,200,813			269,996		$	1,616,908
Issued in connection with the reinvestment of distributions		—			—			43,643			240,247
Redeemed		(50,886	)		(284,515	)		(53,628	)		(323,660	)

Net change		332,401		$	1,916,298			260,011		$	1,533,495

Class N
Issued from the sale of shares		19,086		$	335,945			16,766		$	293,058
Issued in connection with the reinvestment of distributions		—			—			4,642			77,738
Redeemed		(2,989	)		(51,920	)		(1,959	)		(31,168	)

Net change		16,097		$	284,025			19,449		$	339,628

Class Y
Issued from the sale of shares		7,926,213		$	137,295,586			5,751,752		$	96,719,232
Issued in connection with the reinvestment of distributions		—			—			313,912			5,212,202
Redeemed		(2,115,681	)		(36,516,469	)		(2,083,989	)		(35,666,627	)

Net change		5,810,532		$	100,779,117			3,981,675		$	66,264,807

Increase from capital share transactions		7,542,385		$	126,545,376			4,074,436		$	65,258,561

75 |

LOGO

Semiannual Report

June 30, 2023

Loomis Sayles High Income Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			14
Financial Statements			61
Notes to Financial Statements			83

LOGO

LOOMIS SAYLES HIGH INCOME FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A NEFHX

Brian P. Kennedy		Class C NEHCX

Peter S. Sheehan		Class N LSHNX

Elaine M. Stokes		Class Y NEHYX

Todd P. Vandam, CFA^®

Loomis, Sayles & Company, L.P.

Investment Goal

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

Average Annual Total Returns — June 30, 2023³



																Expense Ratios⁴

	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		3.05	%		6.87	%		1.71	%		3.31	%		—	%		0.94	%		0.76	%

Class A
NAV		2.92			6.58			1.44			3.04			—			1.19			1.01
With 4.25% Maximum Sales Charge		-1.58			2.19			0.55			2.60			—

Class C
NAV		2.52			5.74			0.66			2.43			—			1.94			1.76
With CDSC¹		1.52			4.74			0.66			2.43			—

Class N (Inception 11/30/16)
NAV		3.07			6.90			1.80			—			2.69			1.81			0.71

Comparative Performance
Bloomberg U.S. Corporate High-Yield Bond Index²		5.38			9.06			3.36			4.43			3.97

1	Class C shares performance assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

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

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

1 |

LOOMIS SAYLES INVESTMENT GRADE BOND FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A LIGRX

Brian P. Kennedy		Class C LGBCX

Elaine M. Stokes		Class N LGBNX

Loomis, Sayles & Company, L.P.		Class Y LSIIX

		Admin Class LIGAX

Investment Goal

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

Average Annual Total Returns — June 30, 2023⁴



													Expense Ratios⁵

	6 Months			1 Year			5 Years			10 Years			Gross			Net

Class Y
NAV		2.60	%		1.20	%		2.20	%		2.62	%		0.55	%		0.49	%

Class A
NAV		2.48			0.84			1.94			2.36			0.80			0.74
With 4.25% Maximum Sales Charge		-1.91			-3.44			1.07			1.92

Class C
NAV		2.14			0.21			1.18			1.74			1.55			1.49
With CDSC¹		1.14			-0.77			1.18			1.74

Class N
NAV		2.52			1.14			2.25			2.69			0.47			0.44

Admin Class
NAV		2.36			0.59			1.67			2.12			1.05			0.99

Comparative Performance
Bloomberg U.S. Government/Credit Bond Index²		2.21			-0.70			1.03			1.66
Bloomberg U.S. Aggregate Bond Index³		2.09			-0.94			0.77			1.52

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/performance.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, and includes automatic conversion to Class A shares after eight years.

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

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

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

| 2

LOOMIS SAYLES STRATEGIC ALPHA FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A LABAX

Brian P. Kennedy		Class C LABCX

Elaine M. Stokes		Class N LASNX

Todd P. Vandam, CFA^®		Class Y LASYX

Loomis, Sayles & Company, L.P.

Investment Goal

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

Average Annual Total Returns — June 30, 2023³



																Expense Ratios⁴

	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		1.55	%		3.14	%		1.52	%		2.15	%		—	%		0.75	%		0.75	%

Class A
NAV		1.53			2.86			1.28			1.90			—			1.00			1.00
With 4.25% Maximum Sales Charge		-2.83			-1.52			0.40			1.45			—

Class C
NAV		1.03			2.08			0.51			1.28			—			1.75			1.75
With CDSC¹		0.04			1.10			0.51			1.28			—

Class N (Inception 5/1/17)
NAV		1.68			3.20			1.60			—			1.81			0.69			0.69

Comparative Performance
ICE BofA U.S. 3-Month Treasury Bill Index²		2.25			3.59			1.55			0.98			1.50
ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points²		3.74			6.60			4.54			3.97			4.49

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

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

The ICE BofA U.S. 3-Month Treasury Bill Index is an unmanaged index that is comprised of a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month. ICE BofA U.S. 3 Month Treasury Bill Index +300 basis points is created by adding 3.00% to the annual return of the ICE BofA 3-Month Treasury Bill Index.

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

3 |

LOOMIS SAYLES STRATEGIC INCOME FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A NEFZX

Brian P. Kennedy		Class C NECZX

Elaine M. Stokes		Class N NEZNX

Loomis, Sayles & Company, L.P.		Class Y NEZYX

		Admin Class NEZAX

Investment Goal

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

Average Annual Total Returns — June 30, 2023⁴



													Expense Ratios⁵

	6 Months			1 Year			5 Years			10 Years			Gross			Net

Class Y
NAV		2.38	%		3.41	%		0.51	%		2.33	%		0.73	%		0.69	%

Class A
NAV		2.25			3.23			0.26			2.08			0.98			0.94
With 4.25% Maximum Sales Charge		-2.12			-1.20			-0.61			1.63

Class C
NAV		1.84			2.38			-0.49			1.46			1.73			1.69
With CDSC¹		0.84			1.41			-0.49			1.46

Class N
NAV		2.41			3.46			0.58			2.40			0.64			0.64

Admin Class
NAV		2.14			2.89			0.01			1.82			1.23			1.19

Comparative Performance
Bloomberg U.S. Aggregate Bond Index²		2.09			-0.94			0.77			1.52
Bloomberg U.S. Universal Bond Index³		2.32			-0.04			0.98			1.80

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. 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, and includes automatic conversion to Class A shares after eight years.

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

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

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

| 4

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

5 |

UNDERSTANDING FUND EXPENSES

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

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

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


LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE 6/30/2023		EXPENSES PAID DURING PERIOD* 1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,029.20		$5.03
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01
Class C
Actual		$1,000.00		$1,025.20		$8.79
Hypothetical (5% return before expenses)		$1,000.00		$1,016.12		$8.75
Class N
Actual		$1,000.00		$1,030.70		$3.52
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class Y
Actual		$1,000.00		$1,030.50		$3.78
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE 6/30/2023		EXPENSES PAID DURING PERIOD* 1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,024.80		$3.72
Hypothetical (5% return before expenses)		$1,000.00		$1,021.13		$3.71
Class C
Actual		$1,000.00		$1,021.40		$7.47
Hypothetical (5% return before expenses)		$1,000.00		$1,017.41		$7.45
Class N
Actual		$1,000.00		$1,025.20		$2.21
Hypothetical (5% return before expenses)		$1,000.00		$1,022.61		$2.21
Class Y
Actual		$1,000.00		$1,026.00		$2.46
Hypothetical (5% return before expenses)		$1,000.00		$1,022.37		$2.46
Admin Class
Actual		$1,000.00		$1,023.60		$4.97
Hypothetical (5% return before expenses)		$1,000.00		$1,019.89		$4.96

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.44%, 0.49% and 0.99% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE 6/30/2023		EXPENSES PAID DURING PERIOD* 1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,015.30		$5.00
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01
Class C
Actual		$1,000.00		$1,010.30		$8.72
Hypothetical (5% return before expenses)		$1,000.00		$1,016.12		$8.75
Class N
Actual		$1,000.00		$1,016.80		$3.50
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class Y
Actual		$1,000.00		$1,015.50		$3.75
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76

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LOOMIS SAYLES STRATEGIC INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2023		ENDING ACCOUNT VALUE 6/30/2023		EXPENSES PAID DURING PERIOD* 1/1/2023 – 6/30/2023
Class A
Actual		$1,000.00		$1,022.50		$4.71
Hypothetical (5% return before expenses)		$1,000.00		$1,020.13		$4.71
Class C
Actual		$1,000.00		$1,018.40		$8.46
Hypothetical (5% return before expenses)		$1,000.00		$1,016.41		$8.45
Class N
Actual		$1,000.00		$1,024.10		$3.21
Hypothetical (5% return before expenses)		$1,000.00		$1,021.62		$3.21
Class Y
Actual		$1,000.00		$1,023.80		$3.46
Hypothetical (5% return before expenses)		$1,000.00		$1,021.37		$3.46
Admin Class
Actual		$1,000.00		$1,021.40		$5.96
Hypothetical (5% return before expenses)		$1,000.00		$1,018.89		$5.96

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.94%, 1.69%, 0.64%, 0.69% and 1.19% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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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.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser , including how profitability is determined for the Funds, and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay for research and other similar services, (iv) the Adviser’s 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 Adviser and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.

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. The information received by the Trustees generally includes, where available, 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, total return information for various periods, performance rankings provided by a third-party data provider for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, 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 2023. In the case of Loomis Sayles High Income Fund and Loomis Sayles Strategic Income Fund, the Board approved the Agreement for each Fund with an amendment that reduced each Fund’s advisory fee effective July 1, 2023. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Adviser 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, such as recent rules relating to the fair valuation of

9 |

investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. The Trustees also received information about how comparative peer groups are constructed. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. In addition, the Trustees reviewed data prepared by an independent third-party rating organization that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2022, each Fund’s one-, three- and five-year performance stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):


	One-Year			Three-Year			Five-Year
Loomis Sayles High Income Fund		95	%		92	%		96	%
Loomis Sayles Investment Grade Bond Fund		11	%		6	%		8	%
Loomis Sayles Strategic Alpha Fund		63	%		39	%		45	%
Loomis Sayles Strategic Income Fund		85	%		87	%		94	%

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for certain periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance for a recent calendar year was stronger relative to its category (3) that the Fund’s performance was negatively impacted by certain higher conviction positions; (4) that the Fund had outperformed its relevant performance benchmark for the one-year periods ended December 31, 2022 and December 31, 2021; and (5) that the Fund’s longer-term (three- and five-year) performance was stronger relative to its category. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.

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

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

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

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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 all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Strategic Alpha Fund were at the level of the Fund’s expense limitation. They further noted that management had proposed to reduce the expense limitation for Loomis Sayles High Income Fund and Loomis Sayles Strategic Income Fund on all share classes, effective as of July 1, 2023. The Board also considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.

The Trustees also noted that management had proposed to reduce the advisory fee rate for Loomis Sayles High Income Fund and to reduce the advisory fee schedule for Loomis Sayles Strategic Income Fund. The Trustees further noted that Loomis Sayles Strategic Alpha Fund had a total advisory fee rate that was at the median of its peer group of funds.

The Trustees noted that each of Loomis Sayles Investment Grade Bond Fund, Loomis Sayles High Income Fund, and Loomis Sayles Strategic Income Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including that: (1) the advisory fee was only four basis points higher than the median of a peer group of funds for Loomis Sayles Investment Grade Bond Fund; (2) the advisory fee was only five basis points higher than the median of a peer group of funds for Loomis Sayles High Income Fund; (3) the advisory fee was only three basis points higher than the median of a peer group of funds for Loomis Sayles Strategic Income Fund; (4) management had proposed to reduce the expense limitation and advisory fee of Loomis Sayles High Income Fund; and (5) management had proposed to reduce the Loomis Sayles Strategic Income Fund’s advisory fee schedule, which is expected to reduce the Fund’s effective advisory fee rate by one basis point, and the proposed reduction in the Fund’s expense limitation (which had also been reduced last year) would further reduce the Fund’s effective advisory fee rate.

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

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations, which reduced the total expenses borne by shareholders. With respect to economies of scale, the Trustees noted that each of Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund, and Loomis Sayles Strategic Income Fund has 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 limitations for Loomis Sayles High Income Fund and Loomis Sayles Strategic Income Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.

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

•

11 |

•

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

•

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

•

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, reflecting the reduction in the advisory fee for Loomis Sayles High Income Fund and the reduction in the advisory fee schedule for Loomis Sayles Strategic Income Fund described above, should be continued through June 30, 2024.

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LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022

(including updates through June 30, 2023)

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

During the period January 1, 2023 through June 30, 2023, 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

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Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 91.4% of Net Assets
	Non-Convertible Bonds — 86.7%
		ABS Home Equity — 0.1%
$	104,654	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD LIBOR + 0.660%, 5.817%, 9/19/2045(a)	$	59,906

		Aerospace & Defense — 1.3%
	100,000	Bombardier, Inc., 6.000%, 2/15/2028, 144A		94,510
	155,000	Bombardier, Inc., 7.125%, 6/15/2026, 144A		153,956
	35,000	Moog, Inc., 4.250%, 12/15/2027, 144A		32,388
	215,000	TransDigm, Inc., 4.875%, 5/01/2029		192,052
	135,000	TransDigm, Inc., 6.750%, 8/15/2028, 144A		135,512

				608,418

		Airlines — 1.1%
	70,000	Allegiant Travel Co., 7.250%, 8/15/2027, 144A		69,742
	465,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		451,505

				521,247

		Automotive — 2.9%
	15,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		14,135
	85,000	Ford Motor Co., 3.250%, 2/12/2032		66,868
	620,000	Ford Motor Credit Co. LLC, 2.300%, 2/10/2025		579,570
	200,000	Ford Motor Credit Co. LLC, 6.950%, 6/10/2026		200,986
	260,000	Nissan Motor Acceptance Co. LLC, 1.850%, 9/16/2026, 144A		220,574
	55,000	Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A		45,100
	85,000	Wheel Pros, Inc., 6.500%, 5/15/2029, 144A		25,619
	150,000	ZF North America Capital, Inc., 6.875%, 4/14/2028, 144A		152,157

				1,305,009

		Banking — 4.0%
	365,000	Barclays PLC, (fixed rate to 6/27/2033, variable rate thereafter), 7.119%, 6/27/2034		364,854
	235,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		198,431
	200,000	Intesa Sanpaolo SpA, 6.625%, 6/20/2033, 144A		199,266
	250,000	UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		299,660
	475,000	UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		472,000
	335,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		284,298

				1,818,509

		Brokerage — 0.1%
	35,000	Coinbase Global, Inc., 3.375%, 10/01/2028, 144A		23,410
	60,000	Coinbase Global, Inc., 3.625%, 10/01/2031, 144A		35,450

				58,860

		Building Materials — 2.4%
	90,000	Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A		78,313
	40,000	Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A		37,401
	45,000	Camelot Return Merger Sub, Inc., 8.750%, 8/01/2028, 144A		42,525
	415,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		349,390
	60,000	Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A		47,400
	120,000	Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A		100,200
	115,000	LBM Acquisition LLC, 6.250%, 1/15/2029, 144A		95,134
	60,000	MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030, 144A		49,500
	70,000	Patrick Industries, Inc., 4.750%, 5/01/2029, 144A		60,122
	50,000	Specialty Building Products Holdings LLC/SBP Finance Corp., 6.375%, 9/30/2026, 144A		47,240
		Building Materials — continued
$	65,000	Standard Industries, Inc., 4.375%, 7/15/2030, 144A	$	56,296
	45,000	Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A		42,515
	90,000	Victors Merger Corp., 6.375%, 5/15/2029, 144A		61,200

				1,067,236

		Cable Satellite — 9.4%
	210,000	Altice Financing SA, 5.000%, 1/15/2028, 144A		167,824
	240,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		193,884
	515,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		389,220
	175,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A		149,640
	240,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028, 144A		218,662
	260,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		242,124
	30,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A		29,251
	2,155,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		958,839
	405,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		188,612
	250,000	CSC Holdings LLC, 5.750%, 1/15/2030		118,042
	210,000	Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		190,183
	210,000	DISH DBS Corp., 5.125%, 6/01/2029		97,513
	130,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		104,282
	150,000	DISH DBS Corp., 5.750%, 12/01/2028, 144A		111,568
	150,000	DISH DBS Corp., 7.375%, 7/01/2028		80,250
	420,000	DISH DBS Corp., 7.750%, 7/01/2026		257,445
	135,000	Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A		78,781
	10,000	Sirius XM Radio, Inc., 3.875%, 9/01/2031, 144A		7,733
	85,000	Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A		52,456
	80,000	Viasat, Inc., 6.500%, 7/15/2028, 144A		67,800
	245,000	Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A		221,616
	380,000	Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A		348,772

				4,274,497

		Chemicals — 0.5%
	110,000	ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A		79,412
	5,000	Chemours Co., 4.625%, 11/15/2029, 144A		4,226
	170,000	Hercules LLC, 6.500%, 6/30/2029		157,486

				241,124

		Consumer Cyclical Services — 3.3%
	245,000	ADT Security Corp., 4.125%, 8/01/2029, 144A		211,619
	60,000	ANGI Group LLC, 3.875%, 8/15/2028, 144A		48,990
	5,000	Arches Buyer, Inc., 4.250%, 6/01/2028, 144A		4,351
	35,000	Arches Buyer, Inc., 6.125%, 12/01/2028, 144A		30,165
	45,000	Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A		36,987
	30,000	Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A		27,822
	160,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A		119,714
	1,035,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		952,612
	60,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		61,147

				1,493,407

		Consumer Products — 0.6%
	80,000	Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A		73,760
	110,000	Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A		94,787
	40,000	Prestige Brands, Inc., 3.750%, 4/01/2031, 144A		33,116
	75,000	Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A		61,099

				262,762

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Diversified Manufacturing — 0.4%
$	55,000	Chart Industries, Inc., 7.500%, 1/01/2030, 144A	$	56,114
	80,000	Madison IAQ LLC, 5.875%, 6/30/2029, 144A		64,793
	80,000	Resideo Funding, Inc., 4.000%, 9/01/2029, 144A		66,368

				187,275

		Electric — 1.2%
	270,000	Calpine Corp., 4.500%, 2/15/2028, 144A		244,440
	40,000	Calpine Corp., 5.250%, 6/01/2026, 144A		38,628
	5,000	Clearway Energy Operating LLC, 3.750%, 2/15/2031, 144A		4,149
	110,000	NRG Energy, Inc., 3.625%, 2/15/2031, 144A		85,871
	40,000	NRG Energy, Inc., 3.875%, 2/15/2032, 144A		30,820
	70,000	PG&E Corp., 5.000%, 7/01/2028		64,232
	25,000	PG&E Corp., 5.250%, 7/01/2030		22,407
	40,000	Talen Energy Supply LLC, 8.625%, 6/01/2030, 144A		41,400

				531,947

		Environmental — 0.5%
	150,000	Covanta Holding Corp., 4.875%, 12/01/2029, 144A		129,750
	105,000	GFL Environmental, Inc., 4.000%, 8/01/2028, 144A		93,875

				223,625

		Finance Companies — 4.1%
	115,000	Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A		81,075
	80,437	Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(b)		73,628
	80,000	Home Point Capital, Inc., 5.000%, 2/01/2026, 144A		71,727
	300,000	Navient Corp., 4.875%, 3/15/2028		256,902
	120,000	Navient Corp., 5.500%, 3/15/2029		102,308
	30,000	Navient Corp., 6.750%, 6/25/2025		29,496
	210,000	OneMain Finance Corp., 3.500%, 1/15/2027		180,168
	60,000	OneMain Finance Corp., 4.000%, 9/15/2030		46,200
	20,000	OneMain Finance Corp., 5.375%, 11/15/2029		17,003
	145,000	OneMain Finance Corp., 7.125%, 3/15/2026		142,461
	115,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A		101,200
	40,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		35,400
	15,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026		13,275
	75,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		63,035
	20,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		16,809
	230,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		186,497
	595,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		465,433

				1,882,617

		Financial Other — 2.4%
	210,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		49,810
	213,200	CFLD Cayman Investment Ltd., 2.500%, 1/31/2031, 144A		13,074
	175,600	CFLD Cayman Investment Ltd., 2.500%, 1/31/2031, 144A		23,134
	21,792	CFLD Cayman Investment Ltd., Zero Coupon, 0.000%-9.990%, 1/31/2031, 144A(c)		654
	200,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026(d)		9,599
	200,000	China Evergrande Group, 8.750%, 6/28/2025(d)		12,136
	213,776	Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(e)		18,286
	220,000	Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(d)		12,902
	5,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		4,777
	495,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		426,888
	70,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025		65,072
		Financial Other — continued
$	200,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d)	$	13,612
	200,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d)		12,377
	400,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d)		27,224
	100,000	Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A		81,120
	265,000	Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A		217,683
	200,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)		14,524
	200,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(d)		29,243
	200,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(d)		32,560
	200,000	Times China Holdings Ltd., 6.200%, 3/22/2026(d)		13,264
	400,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)		16,673
	400,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d)		14,000
	200,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d)		4,000

				1,112,612

		Food & Beverage — 1.2%
	40,000	Aramark Services, Inc., 5.000%, 2/01/2028, 144A		37,702
	65,000	HLF Financing Sarl LLC/Herbalife International, Inc., 4.875%, 6/01/2029, 144A		46,330
	145,000	Lamb Weston Holdings, Inc., 4.375%, 1/31/2032, 144A		129,525
	70,000	Performance Food Group, Inc., 4.250%, 8/01/2029, 144A		62,322
	90,000	Performance Food Group, Inc., 5.500%, 10/15/2027, 144A		86,718
	90,000	Post Holdings, Inc., 4.625%, 4/15/2030, 144A		78,872
	35,000	Post Holdings, Inc., 5.750%, 3/01/2027, 144A		34,164
	65,000	Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A		52,079

				527,712

		Gaming — 3.1%
	115,000	Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A		114,467
	200,000	Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A		165,266
	200,000	Sands China Ltd., 3.350%, 3/08/2029		166,638
	330,000	Sands China Ltd., 4.875%, 6/18/2030		293,724
	225,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		223,799
	140,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		132,261
	250,000	Wynn Macau Ltd., 5.125%, 12/15/2029, 144A		210,015
	90,000	Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A		80,657

				1,386,827

		Government Owned – No Guarantee — 0.2%
	125,000	Petroleos Mexicanos, 5.950%, 1/28/2031		91,319

		Government Sponsored — 0.2%
	75,000	Petrobras Global Finance BV, 6.500%, 7/03/2033		73,388

		Health Care REITs — 0.0%
	10,000	MPT Operating Partnership LP/MPT Finance Corp., 3.500%, 3/15/2031		6,890

		Health Insurance — 0.1%
	60,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		50,301

		Healthcare — 2.1%
	110,000	AdaptHealth LLC, 5.125%, 3/01/2030, 144A		89,100
	60,000	AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A		51,734
	225,000	CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A		177,239
	205,000	DaVita, Inc., 3.750%, 2/15/2031, 144A		163,904
	100,000	Encompass Health Corp., 4.750%, 2/01/2030		91,050
	80,000	Garden Spinco Corp., 8.625%, 7/20/2030, 144A		85,980
	35,000	Hologic, Inc., 3.250%, 2/15/2029, 144A		30,622
	180,000	LifePoint Health, Inc., 5.375%, 1/15/2029, 144A		106,317
	105,000	Medline Borrower LP, 3.875%, 4/01/2029, 144A		91,252

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Healthcare — continued
$	60,000	RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A	$	44,262
	50,000	U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A		42,812

				974,272

		Home Construction — 0.2%
	60,000	Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A		47,081
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(f)		—
	50,000	Empire Communities Corp., 7.000%, 12/15/2025, 144A		47,250

				94,331

		Independent Energy — 6.5%
	45,000	Antero Resources Corp., 5.375%, 3/01/2030, 144A		41,659
	10,000	Apache Corp., 4.750%, 4/15/2043		7,350
	120,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A		116,120
	45,000	Baytex Energy Corp., 8.500%, 4/30/2030, 144A		43,946
	135,000	Baytex Energy Corp., 8.750%, 4/01/2027, 144A		136,711
	50,000	Callon Petroleum Co., 7.500%, 6/15/2030, 144A		47,194
	55,000	Callon Petroleum Co., 8.000%, 8/01/2028, 144A		54,390
	95,000	Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A		92,621
	120,000	Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A		119,068
	40,000	Chord Energy Corp., 6.375%, 6/01/2026, 144A		39,655
	155,000	Civitas Resources, Inc., 8.375%, 7/01/2028, 144A		156,751
	70,000	Comstock Resources, Inc., 6.750%, 3/01/2029, 144A		64,046
	255,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		195,918
	5,000	Continental Resources, Inc., 4.900%, 6/01/2044		3,885
	155,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		147,352
	75,000	Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A		70,388
	45,000	Gulfport Energy Corp., 8.000%, 5/17/2026, 144A		45,212
	150,000	Matador Resources Co., 5.875%, 9/15/2026		145,357
	40,000	MEG Energy Corp., 5.875%, 2/01/2029, 144A		37,617
	60,000	Murphy Oil Corp., 5.875%, 12/01/2042		49,861
	170,000	Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A		166,600
	60,000	Northern Oil & Gas, Inc., 8.750%, 6/15/2031, 144A		58,950
	80,000	Occidental Petroleum Corp., 6.450%, 9/15/2036		82,104
	250,000	Occidental Petroleum Corp., 6.600%, 3/15/2046		257,387
	145,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		150,670
	60,000	Occidental Petroleum Corp., 7.500%, 5/01/2031		65,510
	40,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		44,592
	10,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		11,494
	40,000	Permian Resources Operating LLC, 5.375%, 1/15/2026, 144A		38,029
	60,000	Permian Resources Operating LLC, 5.875%, 7/01/2029, 144A		56,521
	50,000	Permian Resources Operating LLC, 6.875%, 4/01/2027, 144A		49,250
	45,000	Range Resources Corp., 8.250%, 1/15/2029		46,854
	15,000	SM Energy Co., 5.625%, 6/01/2025		14,658
	105,000	SM Energy Co., 6.750%, 9/15/2026		102,344
	45,000	Southwestern Energy Co., 5.375%, 2/01/2029		42,375
	75,000	Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A		65,654
	65,000	Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A		66,950

				2,935,043

		Industrial Other — 0.2%
	60,000	Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A		56,815
	50,000	Installed Building Products, Inc., 5.750%, 2/01/2028, 144A		47,092

				103,907

		Leisure — 3.9%
	295,000	Carnival Corp., 5.750%, 3/01/2027, 144A		271,574
	70,000	Cinemark USA, Inc., 5.250%, 7/15/2028, 144A		61,573
		Leisure — continued
$	10,000	NCL Corp. Ltd., 5.875%, 3/15/2026	$	9,356
	410,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		383,581
	70,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		63,001
	125,000	Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028		108,637
	170,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		156,052
	320,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		298,413
	30,000	Royal Caribbean Cruises Ltd., 11.625%, 8/15/2027, 144A		32,623
	50,000	SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A		44,754
	85,000	Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A		78,425
	75,000	Viking Cruises Ltd., 5.875%, 9/15/2027, 144A		68,934
	35,000	Viking Cruises Ltd., 7.000%, 2/15/2029, 144A		32,550
	190,000	Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A		173,850

				1,783,323

		Lodging — 1.6%
	155,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		130,035
	110,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		97,620
	160,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		138,090
	150,000	Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028		135,000
	255,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		216,961
	20,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		16,925

				734,631

		Media Entertainment — 1.3%
	310,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A(d)		10,463
	140,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A(d)		3,523
	80,000	iHeartCommunications, Inc., 4.750%, 1/15/2028		60,311
	395,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		297,785
	20,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		15,294
	55,000	Nexstar Media, Inc., 5.625%, 7/15/2027, 144A		51,265
	60,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A		54,462
	35,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		31,062
	65,000	Stagwell Global LLC, 5.625%, 8/15/2029, 144A		55,947

				580,112

		Metals & Mining — 2.6%
	120,000	ATI, Inc., 4.875%, 10/01/2029		108,023
	25,000	ATI, Inc., 5.875%, 12/01/2027		24,194
	80,000	Commercial Metals Co., 4.125%, 1/15/2030		71,192
	550,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		536,525
	5,000	GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A		4,063
	70,000	GrafTech Global Enterprises, Inc., 9.875%, 12/15/2028, 144A		69,454
	110,000	Mineral Resources Ltd., 8.125%, 5/01/2027, 144A		110,015
	190,000	Novelis Corp., 4.750%, 1/30/2030, 144A		168,854
	76,000	U.S. Steel Corp., 6.875%, 3/01/2029		75,173
	40,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		29,748

				1,197,241

		Midstream — 5.1%
	85,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A		78,980
	25,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A		25,355

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Midstream — continued
$	105,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A	$	106,143
	80,000	Buckeye Partners LP, 5.600%, 10/15/2044		57,600
	55,000	Buckeye Partners LP, 5.850%, 11/15/2043		40,700
	145,000	Cheniere Energy Partners LP, 4.000%, 3/01/2031		127,671
	65,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A		60,694
	80,000	EnLink Midstream LLC, 6.500%, 9/01/2030, 144A		79,911
	15,000	EnLink Midstream Partners LP, 5.050%, 4/01/2045		11,966
	30,000	EnLink Midstream Partners LP, 5.450%, 6/01/2047		24,660
	125,000	EnLink Midstream Partners LP, 5.600%, 4/01/2044		104,653
	65,000	EQM Midstream Partners LP, 5.500%, 7/15/2028		61,504
	41,000	EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A		40,547
	105,000	EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A		103,559
	50,000	EQM Midstream Partners LP, 6.500%, 7/15/2048		45,218
	55,000	EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A		55,526
	80,000	EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A		80,956
	80,000	Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A		74,407
	10,000	Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028		9,511
	150,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		130,875
	5,000	Hess Midstream Operations LP, 5.125%, 6/15/2028, 144A		4,679
	5,000	Holly Energy Partners LP/Holly Energy Finance Corp., 5.000%, 2/01/2028, 144A		4,612
	70,000	Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A		69,148
	105,000	Kinetik Holdings LP, 5.875%, 6/15/2030, 144A		99,801
	70,000	NuStar Logistics LP, 5.750%, 10/01/2025		68,247
	65,000	Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A		54,415
	50,000	Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029		44,360
	110,000	Targa Resources Corp., 6.125%, 3/15/2033		112,397
	40,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		36,966
	75,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		72,178
	225,000	Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033, 144A		184,249
	50,000	Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031, 144A		42,998
	160,000	Western Midstream Operating LP, 5.300%, 3/01/2048		133,556
	55,000	Western Midstream Operating LP, 5.500%, 2/01/2050		45,049
	5,000	Western Midstream Operating LP, 6.150%, 4/01/2033		5,039

				2,298,130

		Non-Agency Commercial Mortgage-Backed Securities — 2.2%
	95,154	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1 mo. USD LIBOR + 3.500%, 8.693%, 11/15/2031, 144A(a)		77,974
	214,097	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1 mo. USD LIBOR + 4.500%, 9.693%, 11/15/2031, 144A(a)		153,917
	1,020,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		551,064
	380,000	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1 mo. USD LIBOR + 3.500%, 8.694%, 11/15/2027, 144A(a)(f)(g)		84,075
	420,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1 mo. USD LIBOR + 4.400%, 9.594%, 11/15/2027, 144A(a)(f)(g)		21,000
	60,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.257%, 11/15/2059(h)		42,538
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	56,768	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044, 144A(h)	$	12,702
	80,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.473%, 12/15/2045(h)		55,000

				998,270

		Oil Field Services — 1.3%
	45,000	Precision Drilling Corp., 6.875%, 1/15/2029, 144A		40,658
	60,000	Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A		58,066
	361,563	Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A		356,591
	25,000	Transocean Titan Financing Ltd., 8.375%, 2/01/2028, 144A		25,531
	90,000	Weatherford International Ltd., 8.625%, 4/30/2030, 144A		91,372

				572,218

		Other REITs — 0.4%
	145,000	Service Properties Trust, 4.750%, 10/01/2026		125,878
	40,000	Service Properties Trust, 7.500%, 9/15/2025		39,280

				165,158

		Packaging — 0.2%
	45,000	Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A		38,419
	5,000	LABL, Inc., 5.875%, 11/01/2028, 144A		4,547
	55,000	Sealed Air Corp/Sealed Air Corp. US, 6.125%, 2/01/2028, 144A		54,595

				97,561

		Pharmaceuticals — 4.5%
	275,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		163,680
	565,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		234,475
	55,000	Bausch Health Cos., Inc., 6.125%, 2/01/2027, 144A		35,211
	200,000	Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A		181,914
	240,000	Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(d)		13,176
	30,000	Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc., 6.125%, 4/01/2029, 144A		22,200
	200,000	Grifols Escrow Issuer SA, 4.750%, 10/15/2028, 144A		173,576
	200,000	Perrigo Finance Unlimited Co., 4.650%, 6/15/2030		176,981
	325,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		288,817
	195,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		174,729
	565,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		371,391
	200,000	Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029		206,106

				2,042,256

		Property & Casualty Insurance — 1.2%
	40,000	Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029, 144A		34,528
	105,000	Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A		90,911
	100,000	AmWINS Group, Inc., 4.875%, 6/30/2029, 144A		90,298
	55,000	AssuredPartners, Inc., 5.625%, 1/15/2029, 144A		47,604
	65,000	BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A		56,390
	145,000	HUB International Ltd., 7.250%, 6/15/2030, 144A		149,727
	125,000	Liberty Mutual Group, Inc., 4.300%, 2/01/2061, 144A		78,290

				547,748

		Refining — 0.3%
	19,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A		19,641
	125,000	CVR Energy, Inc., 5.250%, 2/15/2025, 144A		120,517
	5,000	Parkland Corp., 4.500%, 10/01/2029, 144A		4,338

				144,496

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Restaurants — 1.2%
$	405,000	1011778 BC ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A	$	370,240
	125,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A		120,652
	65,000	Papa John’s International, Inc., 3.875%, 9/15/2029, 144A		55,023

				545,915

		Retailers — 1.4%
	15,000	Asbury Automotive Group, Inc., 4.500%, 3/01/2028		13,752
	90,000	Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A		79,886
	83,000	Asbury Automotive Group, Inc., 4.750%, 3/01/2030		73,753
	25,000	Bath & Body Works, Inc., 5.250%, 2/01/2028		23,768
	40,000	Bath & Body Works, Inc., 6.750%, 7/01/2036		35,989
	55,000	Bath & Body Works, Inc., 6.875%, 11/01/2035		50,324
	40,000	Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A		35,181
	35,000	Lithia Motors, Inc., 4.375%, 1/15/2031, 144A		30,212
	5,000	Macy’s Retail Holdings LLC, 5.875%, 4/01/2029, 144A		4,563
	65,000	Michaels Cos., Inc., 7.875%, 5/01/2029, 144A		43,796
	60,000	NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A		55,847
	85,000	Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A		71,183
	120,000	Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A		98,470

				616,724

		Supermarkets — 0.3%
	165,000	Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A		156,338

		Technology — 5.3%
	155,000	Block, Inc., 2.750%, 6/01/2026		141,126
	70,000	Cloud Software Group, Inc., 6.500%, 3/31/2029, 144A		62,327
	665,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		462,884
	35,000	Dun & Bradstreet Corp., 5.000%, 12/15/2029, 144A		30,861
	80,000	Elastic NV, 4.125%, 7/15/2029, 144A		69,014
	60,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		52,546
	5,000	Gartner, Inc., 3.750%, 10/01/2030, 144A		4,355
	110,000	Gen Digital, Inc., 6.750%, 9/30/2027, 144A		109,690
	160,000	GoTo Group, Inc., 5.500%, 9/01/2027, 144A		88,020
	185,000	Iron Mountain, Inc., 4.500%, 2/15/2031, 144A		158,957
	110,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		98,465
	5,000	Iron Mountain, Inc., 5.250%, 7/15/2030, 144A		4,505
	155,000	Micron Technology, Inc., 6.750%, 11/01/2029		161,121
	125,000	NCR Corp., 5.000%, 10/01/2028, 144A		111,554
	45,000	NCR Corp., 5.125%, 4/15/2029, 144A		39,837
	205,000	Neptune Bidco U.S., Inc., 9.290%, 4/15/2029, 144A		188,192
	200,000	Newfold Digital Holdings Group, Inc., 6.000%, 2/15/2029, 144A		150,028
	5,000	Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.000%, 6/15/2029, 144A		3,930
	70,000	Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A		66,650
	70,000	Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A		22,137
	40,000	Sabre Global, Inc., 11.250%, 12/15/2027, 144A		33,900
	5,000	Seagate HDD Cayman, 4.091%, 6/01/2029		4,399
	40,000	Seagate HDD Cayman, 4.875%, 6/01/2027		38,296
	90,000	Seagate HDD Cayman, 8.250%, 12/15/2029, 144A		94,002
	120,000	Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A		102,659
	50,000	Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A		44,712
	70,000	Ziff Davis, Inc., 4.625%, 10/15/2030, 144A		60,628

				2,404,795

		Transportation Services — 0.6%
	305,000	Rand Parent LLC, 8.500%, 2/15/2030, 144A		276,156

		Treasuries — 2.0%
	915,000	U.S. Treasury Notes, 0.125%, 7/15/2023		913,477

		Wireless — 1.8%
$	230,000	Altice France SA, 5.125%, 1/15/2029, 144A	$	163,966
	400,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		326,216
	25,000	SBA Communications Corp., 3.125%, 2/01/2029		21,192
	25,000	SBA Communications Corp., 3.875%, 2/15/2027		23,030
	330,000	SoftBank Group Corp., 4.625%, 7/06/2028		285,186

				819,590

		Wirelines — 1.4%
	55,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		45,059
	215,000	Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A		197,319
	65,000	Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A		38,984
	95,000	Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A		61,167
	225,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		190,870
	120,000	Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A		99,588

				632,987

		Total Non-Convertible Bonds (Identified Cost $50,268,838)		39,420,167


	Convertible Bonds — 4.7%
		Airlines — 0.5%
	215,000	Southwest Airlines Co., 1.250%, 5/01/2025		246,497

		Cable Satellite — 1.5%
	1,265,000	DISH Network Corp., 3.375%, 8/15/2026		641,988
	80,000	DISH Network Corp., Zero Coupon, 6.944%-33.164%, 12/15/2025(c)		42,503

				684,491

		Consumer Cyclical Services — 0.1%
	20,000	Zillow Group, Inc., 1.375%, 9/01/2026		25,150

		Consumer Products — 0.1%
	65,000	Beauty Health Co., 1.250%, 10/01/2026, 144A		50,984

		Gaming — 0.1%
	40,000	Penn Entertainment, Inc., 2.750%, 5/15/2026		49,560

		Healthcare — 0.7%
	60,000	Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A		77,736
	315,000	Teladoc Health, Inc., 1.250%, 6/01/2027		250,425
					��
				328,161

		Independent Energy — 0.2%
	90,000	Northern Oil & Gas, Inc., 3.625%, 4/15/2029, 144A		100,370

		Leisure — 0.2%
	85,000	NCL Corp. Ltd., 1.125%, 2/15/2027		78,173

		Pharmaceuticals — 1.0%
	325,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		326,724
	150,000	Livongo Health, Inc., 0.875%, 6/01/2025		135,510

				462,234

		Technology — 0.3%
	115,000	Unity Software, Inc., Zero Coupon, 7.197%-7.449%, 11/15/2026(c)		91,828
	20,000	Wolfspeed, Inc., 0.250%, 2/15/2028		15,320
	40,000	Wolfspeed, Inc., 1.875%, 12/01/2029, 144A		30,840

				137,988

		Total Convertible Bonds (Identified Cost $3,192,530)		2,163,608


		Total Bonds and Notes (Identified Cost $53,461,368)		41,583,775

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
	Collateralized Loan Obligations — 2.5%
$	250,000	Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3 mo. USD LIBOR + 6.600%, 11.850%, 12/19/2032, 144A(a)	$	216,385
	250,000	NYACK Park CLO Ltd., Series 2021-1A, Class E, 3 mo. USD LIBOR + 6.100%, 11.350%, 10/20/2034, 144A(a)		220,643
	250,000	Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3 mo. USD LIBOR + 6.750%, 12.010%, 10/15/2034, 144A(a)		203,177
	260,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3 mo. USD LIBOR + 6.050%, 11.310%, 10/15/2034, 144A(a)		250,618
	250,000	Palmer Square CLO Ltd., Series 2021-3A, Class E, 3 mo. USD LIBOR + 6.150%, 11.410%, 1/15/2035, 144A(a)		233,664

		Total Collateralized Loan Obligations (Identified Cost $1,260,000)		1,124,487


	Senior Loans — 0.9%
		Leisure — 0.3%
	78,174	Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(a)(i)		78,003
	29,848	Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.467%, 10/18/2028(a)(i)		29,550
		Media Entertainment — 0.5%
	247,227	MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.353%, 5/03/2028(a)(j)		236,844

		Property & Casualty Insurance — 0.1%
	55,859	USI, Inc., 2022 Incremental Term Loan, 11/22/2029(k)		55,719

		Total Senior Loans (Identified Cost $403,733)		400,116


Shares
	Preferred Stocks — 0.3%
		Technology — 0.3%
	2,657	Clarivate PLC, Series A, 5.250% (Identified Cost $136,527)		109,070


	Common Stocks — 0.1%
		Energy Equipment & Services — 0.0%
	10,149	McDermott International Ltd.(g)		1,827

		Media — 0.1%
	9,786	iHeartMedia, Inc., Class A(g)		35,621

		Oil, Gas & Consumable Fuels — 0.0%
	3,650	Battalion Oil Corp.(g)		20,841

		Total Common Stocks (Identified Cost $841,517)		58,289


	Warrants — 0.0%
	20,319	McDermott International Ltd., Tranche A, Expiration on 5/1/2024(f)(g)		—
	22,577	McDermott International Ltd., Tranche B, Expiration on 5/1/2024(f)(g)		—

		Total Warrants (Identified Cost $31,517)		—

	Other Investments — 0.0%
		Aircraft ABS — 0.0%
	100	ECAF I Blocker Ltd.(f)(g)(l) (Identified Cost $1,000,000)		—

Principal Amount		Description	Value (†)
	Short-Term Investments — 4.2%
$	1,018,394	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $1,018,589 on 7/03/2023 collateralized by $1,103,200 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $1,038,821 including accrued interest (Note 2 of Notes to Financial Statements)	$	1,018,394
	915,000	U.S. Treasury Bills, 5.170%-5.210%, 10/17/2023(m)(n)		900,963

		Total Short-Term Investments (Identified Cost $1,919,247)		1,919,357


		Total Investments — 99.4% (Identified Cost $59,053,909)		45,195,094
		Other assets less liabilities — 0.6%		293,488

		Net Assets — 100.0%	$	45,488,582


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of June 30, 2023 is disclosed.
	(b)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2023, interest payments were made in cash.
	(c)	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.
	(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(e)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2023, interest payments were made in principal.
	(f)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(g)	Non-income producing security.
	(h)	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 June 30, 2023 is disclosed.
	(i)	Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added.
	(j)	Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.50%, to which the spread is added.
	(k)	Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(l)	Securities subject to restriction on resale. At June 30, 2023, the restricted securities held by the Fund are as follows:

Acquisition
Date

Acquisition
Cost

Value

% of
Net Assets

ECAF I Blocker Ltd.

12/20/2016

$1,000,000

—

Less than 0.1


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

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles High Income Fund – (continued)


	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 June 30, 2023, the value of Rule 144A holdings amounted to $29,874,074 or 65.7% of net assets.
	ABS			Asset-Backed Securities
	LIBOR			London Interbank Offered Rate
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts
	SOFR			Secured Overnight Financing Rate

Industry Summary at June 30, 2023 (Unaudited)


Cable Satellite	10.9	%
Independent Energy	6.7
Technology	5.9
Pharmaceuticals	5.5
Midstream	5.1
Leisure	4.4
Finance Companies	4.1
Banking	4.0
Consumer Cyclical Services	3.4
Gaming	3.2
Automotive	2.9
Healthcare	2.8
Metals & Mining	2.6
Financial Other	2.4
Building Materials	2.4
Non-Agency Commercial Mortgage-Backed Securities	2.2
Treasuries	2.0
Other Investments, less than 2% each	22.2
Short-Term Investments	4.2
Collateralized Loan Obligations	2.5

Total Investments	99.4
Other assets less liabilities	0.6

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 73.7% of Net Assets
	Non-Convertible Bonds — 72.2%
		ABS Car Loan — 3.9%
$	652,595	American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A	$	651,626
	3,200,000	American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A		2,996,521
	1,785,000	American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A		1,814,805
	13,370,000	American Credit Acceptance Receivables Trust, Series 2023-2, Class C, 5.960%, 8/13/2029, 144A		13,207,933
	25,880,000	AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025		25,738,716
	12,340,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025		12,142,191
	1,395,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026		1,323,961
	11,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A		10,605,122
	1,940,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		1,882,346
	8,910,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A		8,070,887
	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A		6,292,477
	1,065,000	Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class B, 6.030%, 10/20/2027, 144A		1,047,285
	7,985,000	Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C, 7.240%, 6/20/2029, 144A		7,841,708
	2,315,000	CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026		2,297,075
	4,625,000	CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026		4,505,370
	2,550,000	CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028		2,269,130
	1,100,000	CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028		993,327
	11,965,000	CarMax Auto Owner Trust, Series 2023-1, Class D, 6.270%, 11/15/2029		11,797,418
	1,540,000	Carmax Auto Owner Trust, Series 2023-2, Class D, 6.550%, 10/15/2029		1,519,646
	1,595,000	Carvana Auto Receivables Trust, 6.690%, 7/10/2029, 144A		1,565,756
	2,525,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A		2,491,107
	275,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A		264,665
	2,970,000	Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C, 7.710%, 7/15/2033, 144A		2,982,102
	4,835,000	Credit Acceptance Auto Loan Trust, Series 2023-2A, Class C, 7.150%, 9/15/2033, 144A		4,776,463
	416,730	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A		416,262
		ABS Car Loan — continued
	1,375,117	DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A		1,364,442
	10,500,000	DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027, 144A		9,877,098
	9,695,000	DT Auto Owner Trust, Series 2023-1A, Class D, 6.440%, 11/15/2028, 144A		9,573,547
	10,700,000	DT Auto Owner Trust, Series 2023-2A, Class D, 6.620%, 2/15/2029, 144A		10,597,411
	7,410,000	Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026		7,013,602
	2,685,000	Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028		2,555,786
	4,130,000	Exeter Automobile Receivables Trust, Series 2022-3A, Class D, 6.760%, 9/15/2028		4,118,720
	2,575,000	Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028		2,573,570
	2,675,000	Exeter Automobile Receivables Trust, Series 2023-1A, Class D, 6.690%, 6/15/2029		2,664,597
	6,035,000	Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.320%, 8/15/2029		5,943,184
	3,100,000	Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029		3,093,571
	1,181,710	First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A		1,180,035
	2,660,000	First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028, 144A		2,454,233
	1,910,000	First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028, 144A		1,945,967
	4,610,000	Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A		4,505,693
	2,520,000	Flagship Credit Auto Trust, Series 2023-1, Class D, 6.460%, 5/15/2029, 144A		2,501,061
	11,331,000	Flagship Credit Auto Trust, Series 2023-2, Class D, 6.620%, 5/15/2029, 144A		11,135,316
	1,367,227	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024		1,363,326
	6,323,141	Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025		6,184,075
	13,142,935	Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025		12,814,852
	1,485,606	GLS Auto Receivables Issuer Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A		1,480,973
	4,580,000	GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D, 6.310%, 3/15/2029, 144A		4,513,668
	4,366,842	GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025		4,257,930
	14,185,661	GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026		13,710,311
	1,400,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A		1,391,103
	11,298,000	Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A		10,443,535
	8,396,000	Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A		8,272,100
	6,675,000	Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A		6,315,832
	6,568,201	Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025		6,414,025
	683,277	JPMorgan Chase Bank N.A, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A		662,240
	123,011	Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024		122,755

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	1,555,000	OneMain Direct Auto Receivables Trust, Series 2023-1A, Class D, 7.070%, 2/14/2033, 144A	$	1,523,802
	4,350,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		4,130,608
	4,970,000	Prestige Auto Receivables Trust, Series 2023-2A, Class D, 6.330%, 4/16/2029, 144A		4,888,895
	1,041,717	Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025		1,038,916
	664,098	Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025		662,827
	12,815,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028		12,731,506
	2,235,721	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026		2,196,962
	2,730,000	SFS Auto Receivables Securitization Trust, Series 2023-1A, Class C, 5.970%, 2/20/2031, 144A		2,722,648
	3,055,000	Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028, 144A		3,047,421
	7,350,000	Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 7.010%, 11/15/2028, 144A		7,391,167

				330,873,209

		ABS Credit Card — 0.2%
	15,730,000	Mercury Financial Credit Card Master Trust, Series 2023-1A, Class A, 8.040%, 9/20/2027, 144A		15,710,807
	4,007,000	Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028, 144A		3,960,202

				19,671,009

		ABS Home Equity — 4.2%
	15,451,000	American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A		15,105,160
	280,104	Brass PLC, Series 8A, Class A1, 3 mo. USD LIBOR + 0.700%, 6.018%, 11/16/2066, 144A(a)		280,064
	16,765,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(b)		15,284,629
	3,002,071	Citigroup Mortgage Loan Trust, Inc., Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(b)		2,818,403
	22,222,564	COLT Mortgage Loan Trust, Series 2021-6, Class A1, 1.907%, 12/25/2066, 144A(b)		18,703,365
	3,861,860	Connecticut Avenue Securities Trust, Series 2022- R06, Class 1M1, 30 day USD SOFR Average + 2.750%, 7.817%, 5/25/2042, 144A(a)		3,936,684
	2,434,000	CoreVest American Finance Ltd., Series 2019-1, Class D, 4.818%, 3/15/2052, 144A		2,279,506
	2,960,105	CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052, 144A		2,789,802
	2,929,000	CoreVest American Finance Ltd., Series 2019-3, Class B, 3.163%, 10/15/2052, 144A		2,494,308
	1,259,000	CoreVest American Finance Ltd., Series 2020-2, Class C, 4.758%, 5/15/2052, 144A(b)		1,161,340
	1,870,000	CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054, 144A		1,513,166
	2,883,925	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b)		2,753,687
	4,760,418	Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b)		4,372,644
		ABS Home Equity — continued
	5,826,111	Federal Home Loan Mortgage Corp., REMIC, Series 2022-DNA3, Class M1A, 30 day USD SOFR Average + 2.000%, 7.067%, 4/25/2042, 144A(a)		5,842,483
	5,363,299	Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1A, 30 day USD SOFR Average + 2.100%, 7.167%, 4/25/2043, 144A(a)		5,378,177
	9,289,919	Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R02, Class 1M1, 30 day USD SOFR Average + 2.300%, 7.367%, 1/25/2043, 144A(a)		9,324,721
	1,515,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,385,994
	13,696,000	FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A		12,252,996
	3,083,000	FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A		2,795,249
	6,000,000	FirstKey Homes Trust, Series 2021-SFR2, Class B, 1.607%, 9/17/2038, 144A		5,192,587
	10,000,000	FirstKey Homes Trust, Series 2021-SFR3, Class B, 2.435%, 12/17/2038, 144A		8,833,534
	9,710,000	FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A		8,858,267
	3,650,619	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(b)		3,406,702
	10,965,000	GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053, 144A(b)		10,910,252
	2,319,146	Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A		2,037,916
	2,426,730	Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A		2,091,049
	989,516	Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A		807,129
	10,367,218	Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A		8,945,666
	5,173,965	Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A		4,458,975
	7,655,179	Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 6.250%, 11/25/2059, 144A(b)		7,591,750
	5,254,055	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 5.882%, 10/25/2059, 144A(b)		5,158,523
	1,405,823	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b)		1,378,879
	1,990,616	Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(b)		1,807,436
	1,467,786	Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(b)		1,375,774
	2,148,535	Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(b)		2,020,710
	2,744,944	Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(b)		2,455,681
	4,594,221	Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(b)		4,297,631
	5,843,733	OBX Trust, Series 2021-NQM3, Class A1, 1.054%, 7/25/2061, 144A(b)		4,391,891
	3,860,000	Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A		3,670,140

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Home Equit y — continued
$	155,000	Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A	$	145,436
	295,000	Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A		265,587
	1,770,000	Progress Residential Trust, Series 2020-SFR3, Class D, 1.896%, 10/17/2027, 144A		1,588,188
	1,818,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		1,631,491
	5,780,000	Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A		5,059,567
	2,420,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A		2,097,530
	2,015,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		1,754,153
	3,575,000	Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A		3,081,249
	1,795,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		1,540,985
	1,400,000	Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A		1,141,925
	960,000	Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A		782,159
	1,260,000	Progress Residential Trust, Series 2023-SFR1, Class C, 4.650%, 3/17/2040, 144A		1,170,777
	1,935,000	Progress Residential Trust, Series 2023-SFR1, Class D, 4.650%, 3/17/2040, 144A		1,768,793
	3,928,904	PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(b)		3,873,624
	6,045,743	PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(b)		5,633,714
	5,309,208	PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(b)		4,944,296
	207,783	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b)		195,987
	5,490,497	PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(b)		5,046,614
	14,633,057	PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(b)		14,396,002
	378,536	Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(b)		348,111
	4,930,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(b)		4,074,926
	1,775,000	Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(b)		1,439,529
	1,943,340	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b)		1,545,330
	17,610,000	Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(b)		14,536,926
	4,775,872	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(b)		4,387,153
	3,325,000	Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(b)		2,786,317
	1,505,000	Tricon American Homes, Series 2020-SFR1, Class B, 2.049%, 7/17/2038, 144A		1,343,848
	3,950,000	Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A		3,515,502
	2,575,000	Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A		2,370,947
	886,699	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)		849,524
	6,974,991	VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b)		6,316,265
	17,859,630	VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(b)		16,182,291
		ABS Home Equity — continued
	13,655,344	Verus Securitization Trust, Series 2021-7, Class A1, 1.829%, 10/25/2066, 144A(b)		11,565,078
	2,245,866	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)		2,028,248
	8,243,054	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b)		7,451,462
	8,894,071	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)		8,172,708
	3,576,047	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)		3,347,366
	7,394,169	VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b)		6,734,517

				355,276,995

		ABS Other — 2.2%
	2,573,418	AASET LLC, Series 2022-1A, Class A, 6.000%, 5/16/2047, 144A		2,488,755
	993,984	ACHV ABS Trust, Series 2023-1PL, Class A, 6.420%, 3/18/2030, 144A		994,526
	4,319,000	ACHV ABS Trust, Series 2023-1PL, Class D, 8.470%, 3/18/2030, 144A		4,383,249
	4,605,000	Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028, 144A		4,582,086
	5,389,216	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		4,642,863
	11,270,000	BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A		10,068,182
	3,078,199	Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A		2,822,722
	6,704,688	CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A		5,836,933
	880,000	Chesapeake Funding II LLC, Series 2023-1A, Class D, 6.690%, 5/15/2035, 144A		868,428
	5,944,350	CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A		5,158,396
	3,470,697	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A		2,957,271
	18,239,000	CLI Funding VIII LLC, Series 2023-1A, Class A, 6.310%, 6/18/2048, 144A		18,114,008
	906,691	Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A		904,164
	945,000	Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A		942,621
	5,003,483	Hardee’s Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048, 144A		4,662,815
	3,161,593	Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A		2,726,867
	2,284,056	Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A		1,942,759
	7,415,360	Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425%, 11/15/2039, 144A		5,803,098
	2,795,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A		2,696,928
	3,135,000	HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A		2,916,017
	6,646,698	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		5,701,803
	8,028,639	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A		6,913,702
	8,042,974	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		7,170,408
	2,101,372	MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A		1,878,690

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Other — continued
$	7,789,297	MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A	$	6,695,827
	5,024,000	Marlette Funding Trust, Series 2023-2A, Class B, 6.540%, 6/15/2033, 144A		4,991,991
	1,040,066	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)		931,253
	363,380	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		341,355
	231,753	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A		217,336
	12,182,471	Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(b)		10,579,745
	4,675,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A		4,644,023
	6,585,000	OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A		5,875,597
	8,040,000	OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A		7,287,971
	530,000	SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A		468,882
	2,555,000	SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A		2,260,260
	3,365,000	SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A		3,291,396
	1,744,751	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		1,466,718
	591,912	Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A		542,565
	1,748,787	Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C, 7.000%, 1/20/2040, 144A		1,728,468
	240,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28 day Auction Rate Security, 8.657%, 9/15/2032(a)		238,917
	620,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28 day Auction Rate Security, 8.678%, 9/15/2032(a)		617,202
	10,523,468	Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049, 144A		10,067,232
	8,831,960	Sunnova Helios XI Issuer LLC, Series 2023-A, Class B, 5.600%, 5/20/2050, 144A		8,456,893
	3,047,352	WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A		2,422,767
	2,807,537	Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(b)		2,327,504
	3,175,786	Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A		2,516,851
	2,493,080	Willis Engine Structured Trust VI, Series 2021-A, Class B, 5.438%, 5/15/2046, 144A		1,728,921

				186,876,965

		ABS Student Loan — 0.4%
	585,174	College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A		520,962
	2,377,944	Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A		2,025,040
	2,017,646	EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A		1,735,660
	2,953,091	ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A		2,668,905
	4,226,138	Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A		3,818,252
		ABS Student Loan — continued
	732,301	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		661,618
	2,965,495	Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A		2,572,318
	560,000	Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A		404,058
	2,105,000	Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A		1,403,853
	4,790,000	Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A		3,073,842
	325,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28 day Auction Rate Security, 8.658%, 6/15/2032(a)		322,040
	243,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28 day Auction Rate Security, 8.692%, 6/15/2032(a)		241,407
	505,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28 day Auction Rate Security, 8.648%, 3/15/2033(a)		502,339
	340,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28 day Auction Rate Security, 8.693%, 3/15/2033(a)		338,209
	2,500,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A		2,379,683
	565,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A		504,530
	1,525,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A		1,371,415
	4,876,321	SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A		4,636,618
	8,269,790	SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A		7,697,696
	668,621	SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A		612,841

				37,491,286

		ABS Whole Business — 1.2%
	8,806,678	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		8,297,576
	3,595,000	Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A		3,364,845
	14,995,000	Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A		14,752,756
	8,560,475	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A		7,813,514
	2,830,183	Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A		2,604,792
	5,072,005	Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A		4,736,908
	3,981,263	Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A		3,478,748
	15,160,600	Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A		12,645,926
	12,048,300	EWC Master Issuer LLC, Series 2022-1A, Class A2, 5.500%, 3/15/2052, 144A		11,099,966
	3,905,250	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		3,724,882
	2,464,610	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		2,063,130

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Whole Business — continued
$	17,439,250	Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A	$	15,389,911
	12,451,635	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		12,260,918
	2,433,375	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A		2,202,063
	338,100	Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A		279,587

				104,715,522

		Aerospace & Defense — 0.7%
	13,620,000	BAE Systems PLC, 3.400%, 4/15/2030, 144A		12,316,193
	4,874,000	Boeing Co., 2.950%, 2/01/2030		4,236,306
	2,645,000	Boeing Co., 5.150%, 5/01/2030		2,619,476
	4,465,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		4,398,025
	6,885,000	Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025		6,620,126
	4,245,000	Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030		3,933,276
	5,005,000	Textron, Inc., 2.450%, 3/15/2031		4,127,594
	29,075,000	Textron, Inc., 3.000%, 6/01/2030		25,343,706

				63,594,702

		Airlines — 0.8%
	1,413,329	American Airlines Pass-Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025		1,399,648
	5,237,135	American Airlines Pass-Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025		5,143,129
	10,792,906	American Airlines Pass-Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030		9,131,407
	1,053,476	American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		969,092
	4,627,962	American Airlines Pass-Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031		3,900,379
	2,204,837	American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		2,071,467
	14,976,848	American Airlines Pass-Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029		12,722,833
	4,604,747	British Airways Pass-Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A		4,025,562
	2,231,422	United Airlines Pass-Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031		1,931,300
	4,757,684	United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029		4,723,238
	20,665,000	United Airlines Pass-Through Trust, Series 2023-1, 5.800%, 7/15/2037		21,055,568

				67,073,623

		Apartment REITs — 0.0%
	2,185,000	American Homes 4 Rent LP, 2.375%, 7/15/2031		1,734,945

		Automotive — 1.6%
	25,580,000	American Honda Finance Corp., MTN, 0.550%, 7/12/2024		24,303,786
	4,895,000	Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032		4,190,895
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		5,531,102
	9,966,000	General Motors Co., 5.200%, 4/01/2045		8,501,224
	16,870,000	General Motors Co., 5.400%, 4/01/2048		14,493,879
	4,295,000	General Motors Co., 5.600%, 10/15/2032		4,155,302
	200,000	General Motors Co., 5.950%, 4/01/2049		186,875
	9,600,000	General Motors Co., 6.250%, 10/02/2043		9,387,851
	2,025,000	General Motors Financial Co., Inc., 3.100%, 1/12/2032		1,637,823
		Automotive — continued
	360,000	General Motors Financial Co., Inc., 5.850%, 4/06/2030		356,855
	31,570,000	General Motors Financial Co., Inc., 6.000%, 1/09/2028		31,823,009
	4,480,000	General Motors Financial Co., Inc., 6.400%, 1/09/2033		4,553,653
	24,360,000	Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A		23,912,268
	2,895,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		2,772,656

				135,807,178

		Banking — 10.8%
	5,125,000	Ally Financial, Inc., 2.200%, 11/02/2028		4,090,336
	27,951,000	Ally Financial, Inc., 4.625%, 3/30/2025		26,907,525
	3,500,000	Ally Financial, Inc., 5.750%, 11/20/2025		3,370,715
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,515,961
	11,790,000	American Express Co., 5.850%, 11/05/2027		12,072,198
	4,360,000	American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033		4,114,093
	10,155,000	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025, 144A		10,046,496
	5,800,000	Banco Santander SA, 2.749%, 12/03/2030		4,545,533
	49,304,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		45,212,928
	11,022,000	Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036		8,432,182
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		96,519
	4,210,000	Bank of America Corp., MTN, (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033		4,118,406
	25,627,000	Bank of America Corp., Series L, 4.183%, 11/25/2027		24,344,984
	24,260,000	Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027		21,340,612
	13,685,000	Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034		13,630,743
	4,287,000	Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030		3,898,376
	41,135,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		32,550,566
	3,335,000	BBVA Bancomer SA, 1.875%, 9/18/2025, 144A		3,068,194
	14,045,000	BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A		12,552,165
	22,500,000	BNP Paribas SA, (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A		20,359,949
	460,000	Capital One Financial Corp., 4.200%, 10/29/2025		439,715
	1,230,000	Citigroup, Inc., 4.125%, 7/25/2028		1,159,357
	30,355,000	Citigroup, Inc., (fixed rate to 9/29/2025, variable rate thereafter), 5.610%, 9/29/2026		30,313,724
	7,155,000	Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A		6,370,168
	14,970,000	Credit Suisse AG, MTN, 3.700%, 2/21/2025		14,305,396
	14,200,000	Danske Bank AS, 5.375%, 1/12/2024, 144A		14,116,128
	3,390,000	Danske Bank AS, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A		3,218,200
	4,690,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		3,546,561

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	2,640,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032	$	2,229,185
	9,260,000	Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024		9,142,758
	6,235,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031		5,178,231
	19,755,000	Deutsche Bank AG, Series E, 0.962%, 11/08/2023		19,357,839
	4,980,000	Goldman Sachs Group, Inc., (fixed rate to 2/24/2032, variable rate thereafter), 3.102%, 2/24/2033		4,206,871
	61,445,000	Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028		59,406,013
	11,115,000	Goldman Sachs Group, Inc., (fixed rate to 9/10/2026, variable rate thereafter), 1.542%, 9/10/2027		9,775,087
	19,485,000	HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029		19,650,820
	8,460,000	Intesa Sanpaolo SpA, 6.625%, 6/20/2033, 144A		8,428,958
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		67,626,334
	28,715,000	JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031		27,602,826
	12,025,000	JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027		10,801,013
	4,230,000	JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033		4,133,444
	100,000	KeyBank NA, 6.950%, 2/01/2028		93,785
	25,937,000	Mitsubishi UFJ Financial Group, Inc., 3.850%, 3/01/2026		24,850,519
	18,930,000	Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038		18,684,704
	3,775,000	Morgan Stanley, (fixed rate to 10/18/2032, variable rate thereafter), 6.342%, 10/18/2033		4,015,857
	36,610,000	Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029		36,106,134
	11,262,000	Morgan Stanley, (fixed rate to 4/28/2025, variable rate thereafter), 2.188%, 4/28/2026		10,571,728
	25,560,000	Nationwide Building Society, 0.550%, 1/22/2024, 144A		24,805,469
	7,340,000	NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028		7,194,958
	15,160,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026		13,649,329
	20,295,000	Societe Generale SA, 4.250%, 4/14/2025, 144A		19,431,245
	11,950,000	Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A		9,586,222
	46,970,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		36,961,434
	26,765,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A		24,686,276
	11,923,000	Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025		10,949,669
	13,965,000	Sumitomo Mitsui Financial Group, Inc., 5.464%, 1/13/2026		13,918,385
	3,270,000	Synchrony Bank, 5.400%, 8/22/2025		3,126,382
	9,645,000	Synchrony Bank, 5.625%, 8/23/2027		9,059,838
	3,865,000	Synchrony Financial, 4.375%, 3/19/2024		3,789,487
		Banking — continued
	250,000	UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A		225,999
	8,810,000	UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		10,560,002
	1,675,000	UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		1,535,922
	12,730,000	UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		12,649,593
	11,410,000	UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A		11,451,989
	24,120,000	UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A		24,685,132
	5,578,000	UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A		4,912,651
	4,125,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		3,500,679

				918,280,497

		Brokerage — 0.3%
	19,498,000	Jefferies Financial Group, Inc., 6.250%, 1/15/2036		19,886,265
	8,760,000	Jefferies Financial Group, Inc., 6.450%, 6/08/2027		9,043,833

				28,930,098

		Building Materials — 0.9%
	33,030,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		27,808,102
	16,180,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		15,139,322
	5,955,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		5,742,104
	3,285,000	Ferguson Finance PLC, 3.250%, 6/02/2030, 144A		2,850,523
	23,975,000	Owens Corning, 7.000%, 12/01/2036		26,224,510

				77,764,561

		Cable Satellite — 1.6%
	1,110,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		838,902
	6,970,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		5,276,295
	8,340,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		6,710,867
	24,760,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062		15,233,202
	1,790,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		1,571,182
	12,605,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061		8,509,014
	28,090,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050		21,193,870
	15,755,000	CSC Holdings LLC, 3.375%, 2/15/2031, 144A		10,664,408
	4,204,000	CSC Holdings LLC, 4.125%, 12/01/2030, 144A		2,940,807
	2,275,000	CSC Holdings LLC, 4.500%, 11/15/2031, 144A		1,586,167

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Cable Satellite — continued
$	37,805,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A	$	16,820,847
	1,115,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		519,264
	1,035,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		488,696
	1,534,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		1,239,527
	3,270,000	DISH DBS Corp., 5.125%, 6/01/2029		1,518,412
	9,616,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		7,713,691
	6,160,000	DISH DBS Corp., 5.750%, 12/01/2028, 144A		4,581,706
	2,921,000	Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A		2,710,075
	200,000	Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A		180,411
	17,891,000	Time Warner Cable LLC, 4.500%, 9/15/2042		13,382,329
	15,815,000	Time Warner Cable LLC, 5.500%, 9/01/2041		13,157,055

				136,836,727

		Chemicals — 0.6%
	9,180,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		7,886,226
	6,060,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		4,896,867
	2,240,000	Celanese U.S. Holdings LLC, 6.330%, 7/15/2029		2,224,586
	1,645,000	Celanese U.S. Holdings LLC, 6.379%, 7/15/2032		1,659,267
	27,205,000	CF Industries, Inc., 4.500%, 12/01/2026, 144A		26,238,494
	3,740,000	FMC Corp., 3.450%, 10/01/2029		3,271,630
	3,862,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		3,052,409

				49,229,479

		Construction Machinery — 0.5%
	2,470,000	Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A		2,388,153
	5,305,000	Ashtead Capital, Inc., 5.550%, 5/30/2033, 144A		5,171,231
	23,395,000	Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024		22,843,489
	5,730,000	John Deere Capital Corp., MTN, 0.900%, 1/10/2024		5,591,157
	8,900,000	John Deere Capital Corp., MTN, 1.250%, 1/10/2025		8,387,210

				44,381,240

		Consumer Cyclical Services — 0.9%
	26,845,000	Expedia Group, Inc., 2.950%, 3/15/2031		22,621,101
	34,931,000	Expedia Group, Inc., 3.250%, 2/15/2030		30,402,197
	1,025,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		943,408
	8,430,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		8,388,356
	5,015,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,129,608
	7,805,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		7,954,169

				75,438,839

		Consumer Products — 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		7,673,940
	6,970,000	Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A		6,029,557

				13,703,497

		Diversified Manufacturing — 0.0%
	4,113,000	GE Capital Funding LLC, 4.550%, 5/15/2032		3,993,350

		Electric — 1.2%
	7,435,000	AES Corp., 2.450%, 1/15/2031		6,009,604
	3,695,000	AES Corp., 3.950%, 7/15/2030, 144A		3,312,633
	13,862,726	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		12,261,036
	11,318,000	Calpine Corp., 3.750%, 3/01/2031, 144A		9,168,729
	13,025,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		12,792,929
		Electric — continued
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		9,480,280
	2,355,000	IPALCO Enterprises, Inc., 4.250%, 5/01/2030		2,130,640
	9,641,000	NRG Energy, Inc., 4.450%, 6/15/2029, 144A		8,521,186
	6,185,000	Pacific Gas & Electric Co., 3.250%, 6/01/2031		5,029,419
	7,265,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		5,183,443
	4,540,000	Pacific Gas & Electric Co., 4.550%, 7/01/2030		4,108,818
	2,050,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		1,993,639
	9,000,000	Southern California Edison Co., 5.300%, 3/01/2028		8,999,004
	10,835,000	Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A		9,922,337

				98,913,697

		Finance Companies — 4.0%
	26,609,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		23,007,544
	9,900,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032		8,099,177
	860,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027		787,626
	6,084,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028		6,033,673
	4,995,000	Air Lease Corp., 3.125%, 12/01/2030		4,160,976
	2,235,000	Air Lease Corp., 3.250%, 10/01/2029		1,933,336
	10,270,000	Air Lease Corp., 3.375%, 7/01/2025		9,733,625
	340,000	Air Lease Corp., 4.625%, 10/01/2028		319,561
	6,791,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		5,678,800
	12,430,000	Aircastle Ltd., 4.125%, 5/01/2024		12,095,075
	8,070,000	Aircastle Ltd., 4.400%, 9/25/2023		8,028,810
	10,260,000	Ares Capital Corp., 2.875%, 6/15/2028		8,484,676
	14,460,000	Ares Capital Corp., 3.200%, 11/15/2031		11,084,515
	7,560,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		6,733,454
	7,510,000	Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A		7,351,087
	6,475,000	Aviation Capital Group LLC, 6.250%, 4/15/2028, 144A		6,455,834
	14,460,000	Aviation Capital Group LLC, 6.375%, 7/15/2030, 144A		14,338,768
	8,135,000	Barings BDC, Inc., 3.300%, 11/23/2026		7,086,720
	27,825,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027		23,493,205
	2,929,000	FS KKR Capital Corp., 3.125%, 10/12/2028		2,384,414
	20,360,000	GATX Corp., 5.450%, 9/15/2033		20,032,120
	7,275,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		6,276,353
	10,036,000	Owl Rock Capital Corp., 2.625%, 1/15/2027		8,519,162
	32,061,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		26,123,679
	13,940,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		11,539,294
	29,600,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		26,196,000
	23,570,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		19,809,831
	7,445,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		6,257,284
	21,485,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		17,421,273
	25,002,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		19,557,564
	12,180,000	SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028, 144A		12,014,321

				341,037,757

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Financial Other — 0.1%
$	2,310,000	CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025(c)	$	255,186
	720,000	CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(c)		80,870
	6,220,000	Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031		1,702,849
	1,110,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		872,127
	2,050,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(d)		193,984
	3,445,000	Logan Group Co. Ltd., 4.850%, 12/14/2026(d)		325,988
	6,065,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)		596,735
	400,000	Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d)		39,236
	3,495,000	Shimao Group Holdings Ltd., 4.750%, 7/03/2022(d)		264,710
	4,345,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)		329,089
	3,780,000	Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d)		377,357
	1,265,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)		91,866
	5,120,000	Times China Holdings Ltd., 5.750%, 1/14/2027(d)		339,546
	1,835,000	Times China Holdings Ltd., 6.200%, 3/22/2026(d)		121,693
	1,415,000	Times China Holdings Ltd., 6.750%, 7/08/2025(d)		93,380

				5,684,616

		Food & Beverage — 0.6%
	19,005,000	Bacardi Ltd./Bacardi-Martini BV, 5.400%, 6/15/2033, 144A		18,836,957
	4,895,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		4,151,008
	3,625,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		2,972,642
	10,660,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A		10,226,138
	13,590,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032		10,744,254
	2,065,000	Pilgrim’s Pride Corp., 4.250%, 4/15/2031		1,770,840
	1,920,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A		1,505,389

				50,207,228

		Gaming — 0.8%
	14,625,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		11,825,916
	4,880,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		3,940,178
	4,380,000	VICI Properties LP, 5.125%, 5/15/2032		4,098,122
	5,278,000	VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A		4,631,776
	21,330,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		19,953,816
	7,785,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		7,354,645
	6,760,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		6,531,818
	5,560,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		5,525,726

				63,861,997

		Government Owned – No Guarantee — 0.3%
	8,755,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		7,193,010
	12,655,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		10,587,575
		Government Owned – No Guarantee — continued
	6,700,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		6,682,818
	2,185,000	Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029		447,575
	4,210,000	Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030		858,798

				25,769,776

		Health Care REITs — 0.1%
	5,972,000	Welltower OP LLC, 6.500%, 3/15/2041		6,148,727

		Health Insurance — 0.4%
	1,370,000	Centene Corp., 2.450%, 7/15/2028		1,171,016
	24,555,000	Centene Corp., 2.500%, 3/01/2031		19,581,876
	4,145,000	Centene Corp., 2.625%, 8/01/2031		3,303,068
	2,520,000	Centene Corp., 3.000%, 10/15/2030		2,099,908
	565,000	Centene Corp., 4.625%, 12/15/2029		520,047
	4,380,000	Elevance Health, Inc., 4.100%, 5/15/2032		4,081,424

				30,757,339

		Healthcare — 1.3%
	6,325,000	Alcon Finance Corp., 5.375%, 12/06/2032, 144A		6,409,243
	19,420,000	Cigna Group, 4.375%, 10/15/2028		18,778,204
	5,240,000	CVS Health Corp., 1.750%, 8/21/2030		4,181,173
	7,210,000	CVS Health Corp., 3.250%, 8/15/2029		6,474,769
	3,380,000	CVS Health Corp., 5.250%, 1/30/2031		3,369,392
	313,647	CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A		304,065
	287,228	CVS Pass-Through Trust, 6.036%, 12/10/2028		286,458
	9,794,526	CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A		8,917,916
	1,028,949	CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		887,719
	685,000	Encompass Health Corp., 4.750%, 2/01/2030		623,694
	5,280,000	HCA, Inc., 2.375%, 7/15/2031		4,222,611
	2,671,000	HCA, Inc., 3.500%, 9/01/2030		2,341,264
	10,120,000	HCA, Inc., 4.125%, 6/15/2029		9,364,934
	16,050,000	HCA, Inc., 4.500%, 2/15/2027		15,482,931
	28,645,000	HCA, Inc., 5.500%, 6/01/2033		28,596,346

				110,240,719

		Home Construction — 0.2%
	5,370,000	MDC Holdings, Inc., 3.966%, 8/06/2061		3,204,255
	12,384,000	MDC Holdings, Inc., 6.000%, 1/15/2043		11,169,638
	6,130,000	Meritage Homes Corp., 3.875%, 4/15/2029, 144A		5,408,784

				19,782,677

		Independent Energy — 3.0%
	6,782,000	Aker BP ASA, 2.000%, 7/15/2026, 144A		6,090,835
	7,360,000	Aker BP ASA, 3.100%, 7/15/2031, 144A		6,090,572
	9,925,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		8,821,159
	16,455,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		14,633,556
	50,613,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		38,886,181
	40,965,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		38,943,682
	4,685,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		4,013,067
	4,090,000	Diamondback Energy, Inc., 6.250%, 3/15/2033		4,230,974
	6,910,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		6,236,275
	9,035,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		7,894,331
	1,625,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,494,041
	9,675,000	EQT Corp., 3.625%, 5/15/2031, 144A		8,321,395
	15,955,000	EQT Corp., 3.900%, 10/01/2027		14,750,710
	1,970,000	EQT Corp., 5.000%, 1/15/2029		1,854,735

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Independent Energy — continued
$	25,820,000	EQT Corp., 5.700%, 4/01/2028	$	25,483,500
	1,461,000	EQT Corp., 6.125%, 2/01/2025		1,452,789
	14,690,000	Hess Corp., 4.300%, 4/01/2027		14,089,112
	4,675,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		4,575,282
	4,030,000	Marathon Oil Corp., 6.800%, 3/15/2032		4,169,094
	6,090,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		6,012,353
	11,260,000	Ovintiv, Inc., 6.500%, 8/15/2034		11,284,248
	1,110,000	Ovintiv, Inc., 7.375%, 11/01/2031		1,190,367
	1,750,000	Southwestern Energy Co., 4.750%, 2/01/2032		1,542,339
	5,600,000	Var Energi ASA, 7.500%, 1/15/2028, 144A		5,755,289
	13,015,000	Var Energi ASA, 8.000%, 11/15/2032, 144A		13,770,000

				251,585,886

		Leisure — 0.2%
	5,010,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		4,687,174
	6,665,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		6,480,580
	4,205,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		3,921,329

				15,089,083

		Life Insurance — 1.7%
	11,800,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		10,091,623
	18,770,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		17,369,848
	21,550,000	Athene Global Funding, 2.550%, 11/19/2030, 144A		16,684,442
	7,385,000	Athene Holding Ltd., 3.500%, 1/15/2031		6,102,088
	8,255,000	CNO Financial Group, Inc., 5.250%, 5/30/2029		7,809,148
	19,600,000	Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A		19,057,914
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		9,401,142
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		35,159,911
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		6,805,148
	2,872,000	Penn Mutual Life Insurance Co., 6.650%, 6/15/2034, 144A		2,949,701
	14,489,000	Penn Mutual Life Insurance Co., 7.625%, 6/15/2040, 144A		15,674,658

				147,105,623

		Local Authorities — 0.2%
	14,455,000	Province of Quebec, CN, 0.600%, 7/23/2025		13,226,184

		Lodging — 0.1%
	1,795,000	Marriott International, Inc., Series FF, 4.625%, 6/15/2030		1,718,679
	3,525,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		2,963,815
	975,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		841,488
	3,215,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		2,735,405
	1,395,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,180,519
	1,795,000	Travel & Leisure Co., 6.000%, 4/01/2027		1,742,406
	235,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		233,214

				11,415,526

		Media Entertainment — 1.8%
	5,195,000	Electronic Arts, Inc., 1.850%, 2/15/2031		4,207,845
	2,610,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		1,967,644
	6,265,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		4,790,842
	27,080,000	Meta Platforms, Inc., 4.950%, 5/15/2033		27,059,050
	3,105,000	Netflix, Inc., 4.875%, 4/15/2028		3,070,749
		Media Entertainment — continued
	27,310,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		26,875,599
	15,315,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		15,371,727
	11,295,000	Netflix, Inc., 5.875%, 11/15/2028		11,665,499
	16,970,000	Netflix, Inc., 6.375%, 5/15/2029		17,954,260
	11,520,000	Warnermedia Holdings, Inc., 3.755%, 3/15/2027		10,745,467
	4,125,000	Warnermedia Holdings, Inc., 4.054%, 3/15/2029		3,770,745
	30,385,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032		26,947,711

				154,427,138

		Metals & Mining — 2.2%
	3,220,000	Alcoa Nederland Holding BV, 4.125%, 3/31/2029, 144A		2,877,875
	4,390,000	Alcoa Nederland Holding BV, 6.125%, 5/15/2028, 144A		4,366,382
	550,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		453,685
	1,325,000	Anglo American Capital PLC, 2.875%, 3/17/2031, 144A		1,093,997
	6,260,000	Anglo American Capital PLC, 4.000%, 9/11/2027, 144A		5,884,384
	34,334,000	Anglo American Capital PLC, 4.500%, 3/15/2028, 144A		32,721,159
	8,785,000	Anglo American Capital PLC, 4.750%, 4/10/2027, 144A		8,490,158
	11,085,000	Anglo American Capital PLC, 5.500%, 5/02/2033, 144A		10,829,969
	11,405,000	ArcelorMittal SA, 6.750%, 3/01/2041		11,606,788
	15,655,000	ArcelorMittal SA, 6.800%, 11/29/2032		16,072,321
	3,363,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		3,310,548
	5,890,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		5,745,695
	1,399,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,397,259
	6,325,000	FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031, 144A		5,400,362
	4,740,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		4,368,081
	2,080,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		1,959,880
	5,065,000	Glencore Funding LLC, 2.500%, 9/01/2030, 144A		4,147,273
	7,820,000	Glencore Funding LLC, 2.625%, 9/23/2031, 144A		6,295,422
	6,704,000	Glencore Funding LLC, 2.850%, 4/27/2031, 144A		5,533,733
	7,688,000	Glencore Funding LLC, 3.875%, 10/27/2027, 144A		7,179,516
	39,092,000	Glencore Funding LLC, 4.000%, 3/27/2027, 144A		37,258,415
	3,770,000	Glencore Funding LLC, 5.700%, 5/08/2033, 144A		3,740,500
	4,280,000	Newcrest Finance Pty. Ltd., 3.250%, 5/13/2030, 144A		3,774,467
	1,855,000	Reliance Steel & Aluminum Co., 2.150%, 8/15/2030		1,511,470
	4,710,000	Steel Dynamics, Inc., 3.250%, 1/15/2031		4,082,198
	2,010,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,494,832

				191,596,369

		Midstream — 2.8%
	6,970,000	Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029		6,310,736
	5,562,000	Cheniere Energy Partners LP, 3.250%, 1/31/2032		4,575,579
	26,995,000	Cheniere Energy Partners LP, 4.000%, 3/01/2031		23,768,814
	3,122,000	Cheniere Energy Partners LP, 4.500%, 10/01/2029		2,865,235
	10,500,000	Cheniere Energy Partners LP, 5.950%, 6/30/2033, 144A		10,530,555

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Midstream — continued
$	13,555,000	DCP Midstream Operating LP, 3.250%, 2/15/2032	$	11,472,797
	3,045,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		2,978,751
	650,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		667,451
	25,810,000	Enbridge, Inc., 5.700%, 3/08/2033		26,164,408
	7,000,000	Energy Transfer LP, 4.950%, 6/15/2028		6,789,796
	6,405,000	Energy Transfer LP, 5.250%, 4/15/2029		6,252,831
	40,895,000	Energy Transfer LP, 5.750%, 2/15/2033		41,162,699
	6,225,000	EnLink Midstream LLC, 6.500%, 9/01/2030, 144A		6,218,090
	4,080,000	Enterprise Products Operating LLC, 5.350%, 1/31/2033		4,149,015
	1,435,000	Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A		1,282,391
	14,040,000	MPLX LP, 4.250%, 12/01/2027		13,333,429
	4,355,000	MPLX LP, 5.000%, 3/01/2033		4,171,588
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		90,612
	3,710,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		3,291,835
	2,135,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		1,595,395
	12,445,000	Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030		11,829,747
	810,000	Targa Resources Corp., 5.200%, 7/01/2027		795,243
	16,685,000	Targa Resources Corp., 6.125%, 3/15/2033		17,048,565
	4,825,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032		4,184,529
	1,955,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		1,806,694
	1,975,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		1,900,681
	4,980,000	Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033, 144A		4,078,051
	3,175,000	Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030, 144A		3,149,401
	2,170,000	Western Midstream Operating LP, 4.300%, 2/01/2030		1,948,331
	5,070,000	Western Midstream Operating LP, 5.300%, 3/01/2048		4,232,058
	5,140,000	Western Midstream Operating LP, 5.450%, 4/01/2044		4,342,150
	710,000	Western Midstream Operating LP, 5.500%, 8/15/2048		593,746
	2,870,000	Western Midstream Operating LP, 5.500%, 2/01/2050		2,350,731
	1,790,000	Western Midstream Operating LP, 6.150%, 4/01/2033		1,804,123
	4,385,000	Williams Cos., Inc., 4.650%, 8/15/2032		4,152,648

				241,888,705

		Mortgage Related — 0.0%
	547	Federal National Mortgage Association, 6.000%, 7/01/2029		562

		Non-Agency Commercial Mortgage-Backed Securities — 1.7%
	8,625,000	BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064		6,662,227
	410,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A		328,960
		Non-Agency Commercial Mortgage-Backed Securities — continued
	4,400,000	BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.147%, 5/15/2039, 144A(a)		4,361,287
	8,370,000	BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.379%, 8/15/2024, 144A(a)		8,296,105
	720,288	Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A		653,662
	681,124	Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		563,630
	559,363	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(b)		525,517
	2,010,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.477%, 12/10/2044(b)		1,638,150
	370,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		297,961
	510,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A		391,461
	12,790,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		9,243,214
	5,095,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)		4,474,658
	6,597,750	Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD LIBOR + 1.380%, 6.574%, 7/15/2038, 144A(a)		6,436,282
	5,180,091	Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD LIBOR + 1.700%, 6.894%, 7/15/2038, 144A(a)		5,040,319
	8,215,000	GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		5,876,798
	4,375,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)		3,684,844
	9,406,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)		6,999,569
	6,079,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)		4,994,302
	1,540,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		1,332,615
	3,031,000	JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048		2,826,598
	6,440,907	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.910%, 12/15/2047, 144A(b)		6,022,248
	340,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.910%, 12/15/2047, 144A(b)		301,687
	9,434,721	Med Trust, Series 2021-MDLN, Class B, 1 mo. USD LIBOR + 1.450%, 6.644%, 11/15/2038, 144A(a)		9,103,336
	7,957,809	Med Trust, Series 2021-MDLN, Class C, 1 mo. USD LIBOR + 1.800%, 6.994%, 11/15/2038, 144A(a)		7,668,323
	5,720,546	Med Trust, Series 2021-MDLN, Class D, 1 mo. USD LIBOR + 2.000%, 7.194%, 11/15/2038, 144A(a)		5,451,463
	5,050,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.284%, 8/15/2046(b)		5,031,917

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities —continued
$	1,405,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 5.102%, 10/15/2046(b)	$	1,333,028
	3,456,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(b)		2,476,431
	908,624	MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A		708,727
	4,735,000	RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(b)		4,571,762
	7,345,000	SCOTT Trust, Series 2023-SFS, Class A, 5.910%, 3/15/2040, 144A		7,253,812
	6,706,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.842%, 5/10/2063, 144A(b)(c)		33,530
	711,733	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		663,664
	4,990,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(b)		3,895,962
	2,910,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, 4.020%, 8/15/2050		2,800,690
	4,030,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059		3,476,810
	927,946	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044, 144A(b)		207,628
	1,445,629	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045		1,191,922
	4,615,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		3,379,723
	1,290,000	WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b)		1,155,914

				141,356,736

		Office REITs — 0.0%
	2,085,000	Corporate Office Properties LP, 2.750%, 4/15/2031		1,584,286

		Paper — 0.3%
	10,460,000	Suzano Austria GmbH, 3.750%, 1/15/2031		8,926,822
	16,595,000	Weyerhaeuser Co., 4.000%, 4/15/2030		15,261,925
	2,515,000	WRKCo, Inc., 4.000%, 3/15/2028		2,340,666

				26,529,413

		Pharmaceuticals — 1.0%
	4,130,000	Amgen, Inc., 5.250%, 3/02/2033		4,135,268
	16,850,000	Astrazeneca Finance LLC, 4.875%, 3/03/2028		16,840,303
	2,935,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		1,746,912
	17,300,000	Pfizer Investment Enterprises Pte. Ltd., 4.750%, 5/19/2033		17,234,818
	980,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		870,895
	11,215,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		10,049,154
	22,400,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		14,724,152
	4,335,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		4,010,189
	3,140,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		2,848,296
	6,795,000	Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029		7,002,465
	4,885,000	Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031		5,119,876

				84,582,328

		Property & Casualty Insurance — 0.3%
	16,635,000	Fidelity National Financial, Inc., 3.400%, 6/15/2030		14,525,371
	3,159,000	SiriusPoint Ltd., 4.600%, 11/01/2026, 144A		2,624,181
	14,195,000	Stewart Information Services Corp., 3.600%, 11/15/2031		10,898,671

				28,048,223

		Restaurants — 0.1%
	1,430,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A		1,380,264
	4,800,000	Starbucks Corp., 3.000%, 2/14/2032		4,166,665
	2,375,000	Yum! Brands, Inc., 4.750%, 1/15/2030, 144A		2,223,974

				7,770,903

		Retail REITs — 0.1%
	1,600,000	Brixmor Operating Partnership LP, 2.250%, 4/01/2028		1,344,032
	2,280,000	Brixmor Operating Partnership LP, 4.050%, 7/01/2030		2,055,115
	6,815,000	Simon Property Group LP, 2.650%, 7/15/2030		5,788,481

				9,187,628

		Retailers — 0.5%
	4,890,000	AutoNation, Inc., 3.850%, 3/01/2032		4,148,594
	1,960,000	AutoNation, Inc., 4.750%, 6/01/2030		1,832,612
	14,585,000	AutoZone, Inc., 4.000%, 4/15/2030		13,542,950
	5,620,000	Dollar General Corp., 3.500%, 4/03/2030		5,039,632
	5,070,000	Dollar Tree, Inc., 2.650%, 12/01/2031		4,146,360
	4,665,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		4,065,687
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,630,237
	3,145,000	Tapestry, Inc., 3.050%, 3/15/2032		2,511,449

				42,917,521

		Supermarkets — 0.0%
	325,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		328,498

		Technology — 6.4%
	5,095,000	Arrow Electronics, Inc., 2.950%, 2/15/2032		4,204,658
	13,765,000	Arrow Electronics, Inc., 6.125%, 3/01/2026		13,732,401
	11,996,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		9,201,472
	9,915,000	Broadcom, Inc., 3.187%, 11/15/2036, 144A		7,493,292
	8,265,000	Broadcom, Inc., 4.150%, 11/15/2030		7,604,206
	40,885,000	Broadcom, Inc., 4.300%, 11/15/2032		37,502,988
	2,755,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		2,473,659
	3,345,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		2,866,109
	20,662,000	CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028		17,951,972
	36,935,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		31,166,492
	10,510,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		9,639,048
	1,620,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,127,627
	3,095,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		2,440,100
	3,900,000	CommScope, Inc., 6.000%, 3/01/2026, 144A		3,634,696
	5,825,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		4,135,750
	4,210,000	Dell International LLC/EMC Corp., 5.750%, 2/01/2033		4,250,358
	30,015,000	Entegris Escrow Corp., 4.750%, 4/15/2029, 144A		27,863,708
	10,115,000	Equinix, Inc., 2.150%, 7/15/2030		8,174,444
	17,195,000	Equinix, Inc., 3.200%, 11/18/2029		15,095,896
	5,730,000	Flex Ltd., 6.000%, 1/15/2028		5,819,250

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Technology — continued
$	1,680,000	Gartner, Inc., 3.625%, 6/15/2029, 144A	$	1,478,944
	9,873,000	Global Payments, Inc., 2.900%, 5/15/2030		8,368,133
	10,714,000	Global Payments, Inc., 2.900%, 11/15/2031		8,715,980
	3,705,000	Global Payments, Inc., 5.300%, 8/15/2029		3,609,610
	8,125,000	Global Payments, Inc., 5.400%, 8/15/2032		7,917,300
	5,320,000	Jabil, Inc., 1.700%, 4/15/2026		4,759,997
	4,610,000	Jabil, Inc., 3.000%, 1/15/2031		3,917,196
	16,735,000	KLA Corp., 5.650%, 11/01/2034		17,250,523
	15,805,000	Leidos, Inc., 5.750%, 3/15/2033		15,701,380
	7,480,000	Marvell Technology, Inc., 2.450%, 4/15/2028		6,530,652
	6,390,000	Marvell Technology, Inc., 2.950%, 4/15/2031		5,356,537
	11,425,000	Microchip Technology, Inc., 0.983%, 9/01/2024		10,791,726
	14,735,000	Micron Technology, Inc., 2.703%, 4/15/2032		11,623,966
	25,479,000	Micron Technology, Inc., 4.663%, 2/15/2030		24,025,457
	10,622,000	Micron Technology, Inc., 5.327%, 2/06/2029		10,457,874
	12,445,000	Micron Technology, Inc., 5.875%, 2/09/2033		12,382,811
	37,860,000	Micron Technology, Inc., 5.875%, 9/15/2033		37,516,726
	4,135,000	Motorola Solutions, Inc., 5.600%, 6/01/2032		4,097,306
	5,185,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 2.650%, 2/15/2032		4,197,350
	3,980,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027		3,654,302
	2,225,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030		1,968,609
	1,525,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027		1,474,202
	5,085,000	Open Text Corp., 6.900%, 12/01/2027, 144A		5,176,683
	4,780,000	Oracle Corp., 2.950%, 4/01/2030		4,172,298
	25,480,000	Oracle Corp., 3.600%, 4/01/2050		18,206,963
	6,765,000	Oracle Corp., 6.150%, 11/09/2029		7,046,204
	10,585,000	Oracle Corp., 6.250%, 11/09/2032		11,235,893
	4,402,000	S&P Global, Inc., 4.250%, 5/01/2029		4,278,099
	1,740,000	Seagate HDD Cayman, 4.091%, 6/01/2029		1,530,713
	1,270,000	Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A		1,086,474
	3,555,000	SK Hynix, Inc., 6.375%, 1/17/2028, 144A		3,569,882
	1,770,000	Skyworks Solutions, Inc., 1.800%, 6/01/2026		1,580,952
	970,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		928,608
	13,665,000	TD SYNNEX Corp., 1.750%, 8/09/2026		11,909,895
	18,490,000	Trimble, Inc., 6.100%, 3/15/2033		18,734,625
	9,135,000	Verisk Analytics, Inc., 4.125%, 3/15/2029		8,719,994
	9,945,000	Verisk Analytics, Inc., 5.750%, 4/01/2033		10,411,361
	5,450,000	Western Digital Corp., 2.850%, 2/01/2029		4,354,379
	8,330,000	Western Digital Corp., 4.750%, 2/15/2026		7,934,472

				543,052,202

		Transportation Services — 0.2%
	17,545,000	ERAC USA Finance LLC, 4.900%, 5/01/2033, 144A		17,144,130

		Treasuries — 7.3%
	142,940,000	U.S. Treasury Bonds, 2.000%, 11/15/2041		104,630,964
	170,890,000	U.S. Treasury Bonds, 2.250%, 2/15/2052		123,494,726
	218,545,000	U.S. Treasury Bonds, 3.250%, 5/15/2042		195,017,265
	200,000,000	U.S. Treasury Notes, 0.125%, 8/31/2023		198,360,802

				621,503,757

		Wireless — 2.2%
	36,125,000	American Tower Corp., 5.500%, 3/15/2028		35,873,674
	2,295,000	Crown Castle, Inc., 2.250%, 1/15/2031		1,870,518
	5,045,000	Crown Castle, Inc., 2.500%, 7/15/2031		4,144,543
	3,725,000	Crown Castle, Inc., 3.300%, 7/01/2030		3,290,203
	22,660,000	Crown Castle, Inc., 3.650%, 9/01/2027		21,179,476
		Wireless — continued
	6,615,000	Crown Castle, Inc., 4.000%, 3/01/2027		6,287,621
	9,950,000	Crown Castle, Inc., 5.100%, 5/01/2033		9,777,710
	610,000	Sprint Capital Corp., 6.875%, 11/15/2028		646,596
	23,985,000	Sprint Capital Corp., 8.750%, 3/15/2032		28,988,439
	1,960,000	T-Mobile USA, Inc., 2.400%, 3/15/2029		1,684,631
	8,560,000	T-Mobile USA, Inc., 2.700%, 3/15/2032		7,070,820
	15,320,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		13,834,694
	7,565,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		6,675,343
	52,295,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		48,177,741

				189,502,009

		Wirelines — 0.1%
	5,230,000	AT&T, Inc., 2.250%, 2/01/2032		4,154,186
	857,000	Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A		596,302
	5,200,000	Verizon Communications, Inc., 2.355%, 3/15/2032		4,182,279

				8,932,767

		Total Non-Convertible Bonds (Identified Cost $6,629,243,249)		6,152,853,732


	Convertible Bonds — 1.4%
		Airlines — 0.1%
	9,180,000	Southwest Airlines Co., 1.250%, 5/01/2025		10,524,870

		Cable Satellite — 0.4%
	9,050,000	DISH Network Corp., 2.375%, 3/15/2024		8,020,563
	35,520,000	DISH Network Corp., 3.375%, 8/15/2026		18,026,400
	4,115,000	DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(e)		2,186,258

				28,233,221

		Consumer Cyclical Services — 0.1%
	1,095,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.799%, 2/15/2026(e)		830,415
	8,630,000	Uber Technologies, Inc., Zero Coupon, 0.000%-4.509%, 12/15/2025(e)		7,911,208

				8,741,623

		Electric — 0.2%
	19,145,000	PPL Capital Funding, Inc., 2.875%, 3/15/2028, 144A		18,283,475

		Healthcare — 0.3%
	26,530,000	Teladoc Health, Inc., 1.250%, 6/01/2027		21,091,350

		Pharmaceuticals — 0.3%
	5,120,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		5,029,212
	19,435,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		19,538,100
	2,935,000	Livongo Health, Inc., 0.875%, 6/01/2025		2,651,479

				27,218,791

		Total Convertible Bonds (Identified Cost $136,033,641)		114,093,330


	Municipals — 0.1%
		Virginia — 0.1%
	6,960,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $6,708,312)		6,587,228

		Total Bonds and Notes (Identified Cost $6,771,985,202)		6,273,534,290

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
	Senior Loans — 0.1%
		Leisure — 0.1%
$	3,805,385	Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(a)(f)	$	3,797,051
	2,925,152	Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.467%, 10/18/2028 (a)(f)		2,895,900

				6,692,951

		Total Senior Loans (Identified Cost $6,642,715)		6,692,951


	Collateralized Loan Obligations — 3.6%
	3,285,000	522 Funding CLO Ltd., Series 2018-3A, Class AR, 3 mo. USD LIBOR + 1.040%, 6.290%, 10/20/2031, 144A(a)		3,234,651
	1,585,000	522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD LIBOR + 2.900%, 8.173%, 4/23/2034, 144A(a)		1,419,244
	5,565,000	AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo. USD LIBOR + 1.700%, 6.950%, 7/20/2034, 144A(a)		5,404,528
	8,720,000	AIG CLO LLC, Series 2018-1A, Class A1R, 3 mo. USD LIBOR + 1.120%, 6.370%, 4/20/2032, 144A(a)		8,617,959
	3,620,000	AIG CLO LLC, Series 2021-2A, Class A, 3 mo. USD LIBOR + 1.170%, 6.420%, 7/20/2034, 144A(a)		3,556,875
	2,505,000	AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.156%, 1/17/2032, 144A(a)		2,479,015
	14,785,000	Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.650%, 6.900%, 7/20/2031, 144A(a)		14,541,846
	4,650,000	Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3 mo. USD LIBOR + 1.670%, 6.930%, 7/15/2031, 144A(a)		4,522,362
	7,655,000	Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2, 3 mo. USD LIBOR + 1.140%, 6.400%, 7/15/2032, 144A(a)		7,536,348
	3,520,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD LIBOR + 3.000%, 8.260%, 10/15/2034, 144A(a)		3,284,713
	4,075,000	ARES XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3 mo. USD LIBOR + 1.500%, 6.760%, 10/15/2030, 144A(a)		3,975,725
	1,651,667	Atrium XV, Series 15A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(a)		1,594,285
	1,170,000	Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3 mo. USD LIBOR + 1.400%, 6.779%, 11/20/2030, 144A(a)		1,139,898
	5,320,000	Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3 mo. USD LIBOR + 1.550%, 6.812%, 7/18/2030, 144A(a)		5,176,477
	2,525,000	Canyon CLO Ltd., Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.700%, 6.960%, 7/15/2031, 144A(a)		2,451,603
	3,920,000	Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD LIBOR + 1.700%, 6.960%, 10/15/2034, 144A(a)		3,900,921
	7,170,000	Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo. USD LIBOR + 1.650%, 6.900%, 10/20/2034, 144A(a)		6,963,554
	6,500,000	CIFC Funding Ltd., Series 2014-5A, Class BR2, 3 mo. USD LIBOR + 1.800%, 7.060%, 10/17/2031, 144A(a)		6,362,122
	Collateralized Loan Obligations — continued
	2,535,000	CIFC Funding Ltd., Series 2017-1A, Class B, 3 mo. USD LIBOR + 1.700%, 6.961%, 4/23/2029, 144A(a)		2,511,802
	4,415,000	CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo. USD LIBOR + 1.650%, 6.910%, 10/15/2034, 144A(a)		4,300,250
	3,335,000	Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo. USD LIBOR + 1.400%, 6.660%, 1/15/2031, 144A(a)		3,256,077
	1,250,000	Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3 mo. USD LIBOR + 1.650%, 6.905%, 10/25/2031, 144A(a)		1,214,960
	4,465,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3 mo. USD LIBOR + 1.700%, 7.079%, 11/22/2031, 144A(a)		4,348,990
	5,405,000	GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class B1, 3 mo. USD LIBOR + 1.550%, 6.800%, 4/20/2030, 144A(a)		5,306,267
	3,990,000	Golub Capital Partners CLO Ltd., Series 2019-41A, Class AR, 3 mo. USD LIBOR + 1.320%, 6.570%, 1/20/2034, 144A(a)		3,935,856
	13,735,000	Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3 mo. USD LIBOR + 1.480%, 6.730%, 4/20/2031, 144A(a)		13,319,063
	3,545,000	Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 3.050% 8.310%, 4/15/2034, 144A(a)		3,308,074
	13,180,000	Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3 mo. USD LIBOR + 1.700%, 6.973%, 10/22/2030, 144A(a)		12,940,309
	9,447,753	Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3 mo. USD LIBOR + 0.970%, 6.225%, 4/25/2029, 144A(a)		9,373,333
	4,410,000	Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, 3 mo. USD LIBOR + 1.070%, 6.330%, 7/15/2033, 144A(a)		4,357,402
	2,945,000	Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3 mo. USD LIBOR + 1.600%, 6.862%, 10/18/2031, 144A(a)		2,884,448
	6,060,000	Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo. USD SOFR + 1.272%, 6.339%, 7/25/2031, 144A(a)		6,007,024
	13,895,000	Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3 mo. USD SOFR + 1.950%, 6.936%, 4/15/2035, 144A(a)		13,492,194
	2,105,000	Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3 mo. USD LIBOR + 2.900%, 8.160%, 4/15/2034, 144A(a)		1,915,700
	545,455	Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3 mo. USD LIBOR + 1.700%, 6.961%, 10/21/2030, 144A(a)		531,903
	4,395,000	Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, 3 mo. USD LIBOR + 1.130%, 6.381%, 10/14/2035, 144A(a)		4,314,888
	6,205,000	OCP CLO Ltd., Series 2016-12A, Class BR2, 3 mo. USD SOFR + 1.810%, 6.792%, 4/18/2033, 144A(a)		6,109,604
	14,755,000	OCP CLO Ltd., Series 2020-8RA, Class A2, 3 mo. USD LIBOR + 1.550%, 6.810%, 1/17/2032, 144A(a)		14,236,937
	7,170,000	Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A2, 3 mo. USD LIBOR + 1.470%, 6.730%, 4/16/2031, 144A(a)		6,950,483

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
	Collateralized Loan Obligations — continued
$	2,000,000	Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3 mo. USD LIBOR + 1.600%, 6.860%, 7/15/2030, 144A(a)	$	1,943,684
	1,986,282	Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3 mo. USD LIBOR + 1.800%, 7.073%, 10/24/2030, 144A(a)		1,945,128
	4,155,000	Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD LIBOR + 3.300%, 8.560%, 7/15/2036, 144A(a)		3,559,360
	9,013,033	Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3 mo. USD LIBOR + 0.970%, 6.235%, 7/19/2030, 144A(a)		8,954,673
	10,050,000	OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD LIBOR + 1.150%, 6.412%, 10/18/2034, 144A(a)		9,850,025
	1,440,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD LIBOR + 1.700%, 7.079%, 5/21/2034, 144A(a)		1,404,734
	8,844,000	Palmer Square CLO Ltd., Series 2021-2A, Class A, 3 mo. USD LIBOR + 1.150%, 6.410%, 7/15/2034, 144A(a)		8,687,903
	3,538,357	Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3 mo. USD LIBOR + 0.800%, 6.050%, 7/20/2029, 144A(a)		3,512,594
	12,875,000	Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 6.949%, 4/20/2035, 144A(a)		12,445,155
	19,620,000	Post CLO Ltd., Series 2023-1A, Class A, 3 mo. USD SOFR + 1.950%, 6.829%, 4/20/2036, 144A(a)		19,572,323
	4,310,000	Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo. USD LIBOR + 1.650%, 6.900%, 1/20/2034, 144A(a)		4,194,669
	1,730,000	Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD LIBOR + 1.400%, 6.650%, 4/20/2034, 144A(a)		1,648,907
	1,015,000	Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3 mo. USD LIBOR + 1.850%, 7.105%, 10/25/2031, 144A(a)		991,601
	6,680,000	Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3 mo. USD LIBOR + 3.250%, 8.500%, 4/20/2034, 144A(a)		6,273,101
	2,695,605	Venture XXIX CLO Ltd., Series 2017-29A, Class AR, 3 mo. USD LIBOR + 0.990%, 6.311%, 9/07/2030, 144A(a)		2,660,803
	1,830,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD LIBOR + 3.750%, 9.000%, 10/20/2034, 144A(a)		1,716,187
	3,335,000	Voya CLO Ltd., Series 2013-3A, Class A2RR, 3 mo. USD SOFR + 1.961%, 6.943%, 10/18/2031, 144A(a)		3,220,820
	1,610,000	Voya CLO Ltd., Series 2016-3A, Class A3R, 3 mo. USD LIBOR + 1.750%, 7.012%, 10/18/2031, 144A(a)		1,554,635
	6,235,000	Voya CLO Ltd., Series 2018-3A, Class B, 3 mo. USD LIBOR + 1.650%, 6.910%, 10/15/2031, 144A(a)		6,021,906

		Total Collateralized Loan Obligations (Identified Cost $314,165,075)		310,935,898

	Preferred Stocks — 0.5%
	Convertible Preferred Stocks — 0.5%
		Banking — 0.5%
	17,832	Bank of America Corp., Series L, 7.250%		20,895,894
	18,269	Wells Fargo & Co., Class A, Series L, 7.500%		21,045,888

				41,941,782

		Total Convertible Preferred Stocks (Identified Cost $50,371,459)		41,941,782


		Total Preferred Stocks (Identified Cost $50,371,459)		41,941,782


Principal Amount
	Short-Term Investments — 20.8%
$	166,236,251	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $166,268,113 on 7/03/2023 collateralized by $178,641,800 U.S. Treasury Note, 2.750% due 4/30/2027 valued at $169,561,044 including accrued interest (Note 2 of Notes to Financial Statements)		166,236,251
	221,450,000	U.S. Treasury Bills, 4.692%-4.695%, 7/13/2023(g)(h)		221,142,045
	178,860,000	U.S. Treasury Bills, 4.980%, 11/16/2023(g)		175,359,908
	171,660,000	U.S. Treasury Bills, 5.101%-5.115%, 12/14/2023(g)(h)		167,575,318
	128,975,000	U.S. Treasury Bills, 5.140%, 10/17/2023(g)		126,996,451
	86,515,000	U.S. Treasury Bills, 5.170%, 12/21/2023(g)		84,361,642
	331,270,000	U.S. Treasury Bills, 5.190%, 11/24/2023(g)		324,403,657
	190,140,000	U.S. Treasury Bills, 5.200%-5.201%, 12/07/2023(g)(h)		185,821,137
	326,990,000	U.S. Treasury Bills, 5.215%, 12/28/2023(g)		318,524,115

		Total Short-Term Investments (Identified Cost $1,770,284,880)		1,770,420,524


		Total Investments — 98.7% (Identified Cost $8,913,449,331)		8,403,525,445
		Other assets less liabilities — 1.3%		114,460,613

		Net Assets — 100.0%	$	8,517,986,058


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of June 30, 2023 is disclosed.
	(b)	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 June 30, 2023 is disclosed.
	(c)	Non-income producing security.
	(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(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)	Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added.
	(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


	(h)			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 June 30, 2023, the value of Rule 144A holdings amounted to $2,780,941,286 or 32.6% of net assets.
	ABS			Asset-Backed Securities
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	REMIC			Real Estate Mortgage Investment Conduit
	SLM			Sallie Mae
	SOFR			Secured Overnight Financing Rate


At June 30, 2023, open long futures contracts were as follows:
Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures		9/20/2023		11,585	$	1,315,826,247	$	1,300,597,266	$	(15,228,981	)
CBOT 2 Year U.S. Treasury Notes Futures		9/29/2023		3,665		753,103,037		745,254,844		(7,848,193	)
CBOT 5 Year U.S. Treasury Notes Futures		9/29/2023		966		104,801,068		103,452,563		(1,348,505	)
CBOT U.S. Long Bond Futures		9/20/2023		8,415		1,063,931,909		1,067,916,094		3,984,185
CME Ultra Long Term U.S. Treasury Bond Futures		9/20/2023		1,449		194,103,053		197,380,969		3,277,916

Total									$	(17,163,578	)

At June 30, 2023, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra 10 Year U.S. Treasury Notes Futures		9/20/2023		6,613	$	786,985,202	$	783,227,188	$	3,758,014

Industry Summary at June 30, 2023 (Unaudited)


Banking	11.3	%
Treasuries	7.3
Technology	6.4
ABS Home Equity	4.2
Finance Companies	4.0
ABS Car Loan	3.9
Independent Energy	3.0
Midstream	2.8
Metals & Mining	2.2
Wireless	2.2
ABS Other	2.2
Cable Satellite	2.0
Other Investments, less than 2% each	22.8
Short-Term Investments	20.8
Collateralized Loan Obligations	3.6

Total Investments	98.7
Other assets less liabilities (including futures contracts)	1.3

Net Assets	100.0	%

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 81.8% of Net Assets
	Non-Convertible Bonds — 77.5%
		ABS Car Loan — 4.8%
$	2,660,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A	$	2,573,399
	396,263	Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A		395,348
	1,035,000	Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A		1,028,327
	165,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A		164,610
	1,565,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A		1,450,095
	2,360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026, 144A		2,138,748
	1,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A		1,103,225
	1,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A		1,673,905
	260,000	Carvana Auto Receivables Trust, 6.690%, 7/10/2029, 144A		255,233
	610,000	Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028		573,276
	1,180,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A		1,135,652
	174,604	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A		174,408
	1,110,000	DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A		1,048,839
	2,290,000	DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028, 144A		2,216,004
	1,170,294	Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A		1,162,452
	57,696	Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025		57,592
	635,000	First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A		628,667
	1,475,000	First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A		1,454,508
	3,042,471	Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A		2,997,237
	564,985	GLS Auto Receivables Issuer Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A		563,816
	3,120,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A		2,869,872
	1,889,000	Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A		1,746,135
	1,493,000	Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A		1,470,968
	740,000	Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029, 144A		746,163
	1,050,000	Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A		993,502
	910,000	Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A		900,516
	878,870	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026		863,633
		ABS Car Loan — continued
	1,675,000	Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A		1,609,081
	1,920,000	Westlake Automobile Receivables Trust, Series 2022-2A,Class D, 5.480%, 9/15/2027, 144A		1,871,040

				35,866,251

		ABS Credit Card — 0.1%
	420,000	Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028, 144A		415,095

		ABS Home Equity — 6.9%
	122,474	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034		117,634
	121,097	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034		116,362
	102,537	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		99,551
	300,000	American Homes 4 Rent Trust, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		294,064
	2,170,000	American Homes 4 Rent Trust, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A		2,141,775
	1,200,000	American Homes 4 Rent Trust, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A		1,185,086
	207,137	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		197,245
	183,106	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		178,386
	94,723	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		83,470
	2,315,000	BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(a)		1,696,162
	1,558,107	CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)		1,485,117
	337,159	Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1 mo. USD LIBOR + 2.050%, 7.200%, 1/25/2040, 144A(b)		338,423
	1,197,965	Connecticut Avenue Securities Trust, Series 2022- R06, Class 1M1, 30 day USD SOFR Average + 2.750%, 7.817%, 5/25/2042, 144A(b)		1,221,175
	1,830,000	CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A		1,639,161
	245,000	CoreVest American Finance Ltd., Series 2020-2, Class C, 4.758%, 5/15/2052, 144A(a)		225,995
	1,340,000	CoreVest American Finance Ltd., Series 2020-4, Class C, 2.250%, 12/15/2052, 144A		1,094,919
	247,817	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033		242,521
	281,213	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		275,376
	31,449	Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1, 4.379%, 9/20/2034(a)		28,535
	1,160,305	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a)		1,107,906
	1,902,145	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)		1,753,559
	105,225	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033		102,045
	338,367	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD LIBOR + 0.660%, 5.817%, 9/19/2045(b)		193,689

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	904,937	Federal Home Loan Mortgage Corp., Series 2022-DNA4, Class M1A, REMIC, 30 day USD SOFR Average + 2.200%, 7.267%, 5/25/2042, 144A(b)	$	910,711
	1,715,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,568,964
	4,165,000	FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A		3,771,982
	195,086	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)		182,051
	1,025,000	GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053, 144A(a)		1,019,882
	233,336	Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A		190,327
	364,525	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1 mo. USD LIBOR + 1.220%, 6.370%, 9/25/2034(b)		319,044
	576,158	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		555,099
	1,307,326	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 5.882%, 10/25/2059, 144A(a)		1,283,556
	260,516	Lehman XS Trust, Series 2006-2N, Class 1A1, 1 mo. USD LIBOR + 0.520%, 5.670%, 2/25/2046(b)		229,613
	181,107	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 4.750%, 5/25/2034(a)		172,938
	139,679	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		132,882
	108,136	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034		104,225
	130,788	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		128,070
	416,917	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		396,997
	18,131	Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 4.715%, 5/25/2036(a)		17,751
	245,000	Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)		203,329
	263,618	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		179,009
	486,618	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		445,416
	1,005,000	Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A		955,171
	785,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		704,467
	795,000	Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A		693,364
	570,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A		494,046
	470,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		409,157
	930,000	Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A		793,932
	400,000	Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A		340,885
	585,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		502,215
	415,000	Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A		328,925
	866,674	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a)		817,471
	2,697,160	PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a)		2,484,239
		ABS Home Equity — continued
	1,597,570	PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a)		1,484,503
	1,709,544	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1 mo. USD LIBOR + 0.310%, 5.460%, 7/25/2035(b)		1,096,880
	3,453,846	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)		3,172,729
	1,040,000	Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A		947,330
	1,170,000	Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A		991,584
	340,170	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a)		325,908
	885,604	VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(a)		801,967
	958,027	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a)		865,197
	2,605,241	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)		2,355,056
	1,429,248	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a)		1,313,327
	1,549,433	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a)		1,450,350

				50,958,705

		ABS Other — 3.3%
	277,347	AASET LLC, Series 2022-1A, Class A, 6.000%, 5/16/2047, 144A		268,223
	349,313	Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A		334,624
	2,218,114	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 7.072%, 2/15/2040, 144A(a)		452,067
	1,644,886	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		1,417,085
	2,340,000	BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A		2,090,465
	783,358	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)		720,431
	876,650	DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A		741,125
	405,414	Diamond Resorts Owner Trust, Series 2019-1A,Class B, 3.530%, 2/20/2032, 144A		384,650
	199,382	FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A		195,504
	187,241	Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A		178,476
	381,240	Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A		328,818
	836,219	Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425%, 11/15/2039, 144A		654,407
	700,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A		675,438
	1,856,045	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		1,592,189
	758,268	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		676,005
	1,292,169	MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A		944,140
	310,000	Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A		291,872

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	89,111	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(a)	$	79,788
	167,219	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		157,084
	161,910	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A		151,837
	730,000	Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A		598,077
	1,110,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A		1,102,645
	1,020,000	OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A		885,912
	810,000	OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A		642,922
	610,567	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A		575,101
	219,697	Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C, 7.000%, 1/20/2040, 144A		217,144
	945,000	SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A		788,149
	1,569,820	SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A		1,394,337
	301,985	Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A		274,137
	3,505,953	TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A		2,898,065
	1,749,701	WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A		1,391,083
	520,178	Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)		431,238
	702,715	Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A		586,767
	231,269	Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A		183,284

				24,303,089

		ABS Student Loan — 1.9%
	650,000	College Ave Student Loans LLC, Series 2021-A, Class D, 4.120%, 7/25/2051, 144A		595,157
	162,071	Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A		125,986
	962,189	Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A		880,649
	1,035,000	Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A		972,785
	1,775,000	Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042, 144A		1,650,743
	3,410,000	Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A		2,770,679
	695,000	Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A		558,453
	320,000	Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A		261,279
	1,290,000	Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A		1,064,720
		ABS Student Loan — continued
	810,000	Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062, 144A		665,295
	339,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28 day Auction Rate Security, 8.658%, 6/15/2032(b)		335,913
	1,016,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28 day Auction Rate Security, 8.648%, 3/15/2033(b)		1,010,647
	106,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28 day Auction Rate Security, 8.693%, 3/15/2033(b)		105,442
	800,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A		761,499
	407,125	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1 mo. USD LIBOR +0.750%, 5.943%, 10/15/2035, 144A(b)		403,119
	190,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A		169,665
	510,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A		458,637
	1,350,000	SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A		1,111,079

				13,901,747

		ABS Whole Business — 0.9%
	1,510,000	Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A		1,485,606
	2,967,375	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		2,483,995
	1,832,982	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		1,804,907
	977,400	Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A		873,786

				6,648,294

		Aerospace & Defense — 0.2%
	960,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		945,600
	655,000	TransDigm, Inc., 6.750%, 8/15/2028, 144A		657,483

				1,603,083

		Airlines — 0.6%
	4,552,155	United Airlines Pass-Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029		4,100,945
	493,200	United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		472,974

				4,573,919

		Automotive — 2.3%
	1,640,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		1,545,438
	4,935,000	Aptiv PLC/Aptiv Corp., 2.396%, 2/18/2025		4,683,276
	330,000	General Motors Co., 5.200%, 4/01/2045		281,497
	2,530,000	General Motors Co., 5.400%, 4/01/2048		2,173,652
	2,905,000	General Motors Co., 5.950%, 4/01/2049		2,714,361
	1,365,000	General Motors Financial Co., Inc., 1.200%, 10/15/2024		1,284,016
	765,000	General Motors Financial Co., Inc., 6.000%, 1/09/2028		771,131
	1,455,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c)		1,184,006
	1,170,000	General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(c)		999,908

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	470,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c)	$	412,587
	510,000	ZF North America Capital, Inc., 6.875%, 4/14/2028, 144A		517,334
	560,000	ZF North America Capital, Inc., 7.125%, 4/14/2030, 144A		570,259

				17,137,465

		Banking — 7.9%
	2,530,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c)		1,783,650
	2,400,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c)		1,548,000
	2,200,000	Banco Santander SA, 5.147%, 8/18/2025		2,160,728
	1,735,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c)		1,178,759
	4,460,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		3,529,246
	1,095,000	BNP Paribas SA, (fixed rate to 3/25/2024, variable rate thereafter), 6.625%, 144A(c)		1,051,612
	6,580,000	Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter), 2.014%, 1/25/2026		6,181,213
	1,330,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		1,272,659
	1,345,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		986,383
	5,280,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		3,992,716
	1,135,000	HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029		1,144,659
	6,595,000	JPMorgan Chase & Co., (fixed rate to 2/24/2025, variable rate thereafter), 2.595%, 2/24/2026		6,253,663
	7,575,000	Morgan Stanley, MTN, (fixed rate to 10/21/2024, variable rate thereafter), 1.164%, 10/21/2025		7,081,943
	6,595,000	Morgan Stanley, MTN, (fixed rate to 2/18/2025, variable rate thereafter), 2.630%, 2/18/2026		6,252,086
	3,550,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		2,793,551
	1,030,000	UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		1,234,597
	375,000	UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A		303,347
	4,570,000	UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		4,190,547
	910,000	UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		904,252
	740,000	UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A		742,723
	1,500,000	UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A		1,535,145
	2,255,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		2,035,417

				58,156,896

		Building Materials — 1.3%
$	3,145,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A	$	2,647,789
	3,360,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		3,143,889
	1,725,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		1,663,330
	2,330,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(c)		2,073,570

				9,528,578

		Cable Satellite — 4.4%
	10,810,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		10,066,757
	520,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A		507,016
	225,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		170,325
	645,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		519,006
	330,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		289,659
	6,565,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061		4,431,708
	2,000,000	CSC Holdings LLC, 3.375%, 2/15/2031, 144A		1,353,781
	400,000	CSC Holdings LLC, 4.500%, 11/15/2031, 144A		278,886
	9,810,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		4,364,833
	405,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		188,612
	405,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		191,229
	885,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		715,112
	3,210,000	DISH DBS Corp., 5.125%, 6/01/2029		1,490,551
	6,305,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		5,057,698
	1,770,000	DISH DBS Corp., 5.750%, 12/01/2028, 144A		1,316,497
	1,625,000	Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A		1,491,458

				32,433,128

		Chemicals — 0.4%
	1,045,000	Ashland, Inc., 3.375%, 9/01/2031, 144A		834,683
	1,915,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,645,112
	210,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		191,636
	455,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		359,618

				3,031,049

		Consumer Cyclical Services — 2.1%
	490,000	Expedia Group, Inc., 2.950%, 3/15/2031		412,901
	405,000	Expedia Group, Inc., 3.250%, 2/15/2030		352,492
	1,080,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc.,5.250%, 12/01/2027, 144A		1,026,000
	8,055,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		7,413,807
	680,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		676,641
	5,255,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,375,092
	320,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		326,116

				15,583,049

		Consumer Products — 0.2%
	1,605,000	Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A		1,388,442

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Electric – 0.6%
$	3,025,000	Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(c)	$	2,643,548
	1,490,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		1,063,087
	685,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		666,167

				4,372,802

		Finance Companies — 4.4%
	1,670,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		1,443,970
	510,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028		505,781
	855,000	Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(c)		596,705
	1,530,000	Ares Capital Corp., 2.875%, 6/15/2028		1,265,259
	3,400,000	Ares Capital Corp., 3.200%, 11/15/2031		2,606,318
	580,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		516,588
	1,870,000	Barings BDC, Inc., 3.300%, 11/23/2026		1,629,031
	2,535,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027		2,140,351
	698,000	FS KKR Capital Corp., 3.125%, 10/12/2028		568,221
	1,040,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		897,238
	2,125,000	OneMain Finance Corp., 3.500%, 1/15/2027		1,823,122
	140,000	OneMain Finance Corp., 4.000%, 9/15/2030		107,800
	300,000	OneMain Finance Corp., 5.375%, 11/15/2029		255,044
	5,000	OneMain Finance Corp., 6.875%, 3/15/2025		4,951
	2,415,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		1,967,770
	1,415,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		1,171,313
	7,915,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		7,004,775
	2,865,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		2,407,941
	105,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		85,140
	5,245,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		4,102,849
	1,235,000	SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028, 144A		1,218,201

				32,318,368

		Financial Other — 0.9%
	540,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025		139,682
	425,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		92,786
	430,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		133,257
	1,540,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		365,273
	485,000	Central China Real Estate Ltd.,7.250%, 7/16/2024(d)		43,776
	410,000	Central China Real Estate Ltd., 7.250%, 8/13/2024(d)		34,727
	1,000,000	Central China Real Estate Ltd.,7.650%, 8/27/2025(d)		69,960
	625,000	Central China Real Estate Ltd., 7.750%, 5/24/2024(d)		49,869
	2,379,845	CFLD Cayman Investment Ltd., 2.500%, 1/31/2031, 144A		145,932
	1,960,135	CFLD Cayman Investment Ltd., 2.500%, 1/31/2031, 144A		258,228
	239,712	CFLD Cayman Investment Ltd., Zero Coupon, 0.000%-36.271%, 1/31/2031, 144A(e)		7,191
	710,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024(d)		44,261
	645,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023(d)		29,514
	630,000	China Evergrande Group, 8.250%, 3/23/2022(d)		37,882
		Financial Other — continued
	1,020,000	China Evergrande Group, 8.750%, 6/28/2025(d)		61,894
	270,000	China Evergrande Group, 9.500%, 4/11/2022(d)		16,359
	220,000	China Evergrande Group, 9.500%, 3/29/2024(d)		13,442
	1,110,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026(f)		121,467
	480,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		377,136
	1,180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		1,127,450
	945,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		814,968
	125,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026		113,764
	515,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025		478,746
	1,875,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d)		127,613
	205,000	Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d)		13,827
	855,000	Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d)		55,515
	4,525,000	Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d)		294,532
	2,045,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d)		126,558
	2,125,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d)		144,627
	645,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026(d)		62,526
	845,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026(d)		83,464
	400,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(d)		37,851
	230,000	Logan Group Co. Ltd., 4.850%, 12/14/2026(d)		21,764
	825,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)		81,172
	725,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)		54,911
	610,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)		44,299
	410,000	Sunac China Holdings Ltd., 6.500%, 1/10/2025(d)		66,162
	2,620,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(d)		383,088
	205,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(d)		33,374
	1,090,000	Sunac China Holdings Ltd., 7.000%, 7/09/2025(d)		177,299
	210,000	Times China Holdings Ltd., 5.750%, 1/14/2027(d)		13,927
	1,085,000	Times China Holdings Ltd., 6.200%, 3/22/2026(d)		71,954
	4,400,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)		183,407
	325,000	Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(d)		13,547
	415,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d)		17,299
	555,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d)		23,134
	1,360,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d)		47,600
	210,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d)		4,200
	220,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025(d)		8,626

				6,769,840

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Food & Beverage — 0.7%
$	1,700,000	Aramark Services, Inc., 6.375%, 5/01/2025, 144A	$	1,698,432
	1,015,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		860,730
	2,980,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A		2,944,247

				5,503,409

		Gaming — 1.5%
	1,810,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		1,463,583
	2,355,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		2,342,427
	910,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		911,137
	2,670,000	VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A		2,343,092
	1,375,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		1,286,287
	1,140,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		1,076,981
	985,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		951,752
	815,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		809,976

				11,185,235

		Government Owned – No Guarantee — 0.7%
	2,350,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		1,930,734
	2,790,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		2,334,202
	845,000	Antares Holdings LP, 3.950%, 7/15/2026, 144A		740,947
	2,395,000,000	Financiera de Desarrollo Territorial SA Findeter, 7.875%, 8/12/2024, 144A, (COP)		536,161

				5,542,044

		Government Sponsored — 0.2%
	1,200,000	Petrobras Global Finance BV, 6.500%, 7/03/2033		1,174,200

		Health Care REITs — 0.0%
	455,000	National Health Investors, Inc., 3.000%, 2/01/2031		349,114

		Health Insurance — 0.1%
	150,000	Centene Corp., 2.450%, 7/15/2028		128,213
	740,000	Molina Healthcare, Inc., 4.375%, 6/15/2028, 144A		682,170

				810,383

		Healthcare — 0.1%
	475,000	Charles River Laboratories International, Inc., 4.250%, 5/01/2028, 144A		434,898

		Independent Energy — 3.8%
	3,095,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		2,750,780
	1,670,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		1,485,144
	1,905,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		1,463,619
	6,455,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		6,136,494
	1,515,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		1,367,288
	2,185,000	EQT Corp., 3.625%, 5/15/2031, 144A		1,879,302
	3,045,000	EQT Corp., 3.900%, 10/01/2027		2,815,162
	585,000	EQT Corp., 5.000%, 1/15/2029		550,772
	1,480,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		1,448,432
	740,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		711,147
	315,000	Matador Resources Co., 6.875%, 4/15/2028, 144A		311,785
		Independent Energy — continued
	3,240,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		3,198,690
	115,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		116,771
	180,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		200,664
	180,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		206,888
	320,000	Ovintiv, Inc.,6.500%, 8/15/2034		320,689
	140,000	Ovintiv, Inc., 6.500%, 2/01/2038		137,255
	695,000	Ovintiv, Inc., 6.625%, 8/15/2037		685,995
	90,000	Ovintiv, Inc., 7.200%, 11/01/2031		94,441
	85,000	Ovintiv, Inc., 7.375%, 11/01/2031		91,154
	385,000	Ovintiv, Inc., 8.125%, 9/15/2030		422,523
	380,000	Southwestern Energy Co., 4.750%, 2/01/2032		334,908
	870,000	Var Energi ASA, 7.500%, 1/15/2028, 144A		894,125
	410,000	Var Energi ASA, 8.000%, 11/15/2032, 144A		433,784

				28,057,812

		Industrial Other — 0.1%
	500,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		425,957

		Leisure — 1.3%
	1,880,000	Carnival Corp., 5.750%, 3/01/2027, 144A		1,730,709
	580,000	Carnival Corp., 6.000%, 5/01/2029, 144A		517,844
	1,560,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		1,459,479
	1,405,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		1,366,124
	570,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		513,011
	240,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		220,308
	3,090,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		2,881,548
	1,260,000	VOC Escrow Ltd., 5.000%, 2/15/2028, 144A		1,156,050

				9,845,073

		Life Insurance — 0.1%
	1,110,000	Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A		935,995

		Local Authorities – 0.0%
	67,000,000	Provincia de Buenos Aires, Argentina Badlar Floating Rate Notes + 3.750% 88.734%, 4/12/2025, 144A, (ARS)		124,720

		Lodging — 0.8%
	435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		364,937
	585,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		519,158
	1,230,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027		1,193,202
	805,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		694,767
	1,000,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		850,826
	1,330,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,125,513
	195,000	Travel & Leisure Co., 6.000%, 4/01/2027		189,287
	945,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		937,817

				5,875,507

		Media Entertainment — 2.1%
	1,815,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		1,368,304
	3,330,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		2,546,449
	1,040,000	Netflix, Inc., 4.875%, 4/15/2028		1,028,528
	1,430,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		1,407,254
	860,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		863,185
	1,325,000	Netflix, Inc., 5.875%, 11/15/2028		1,368,463
	1,705,000	Netflix, Inc., 6.375%, 5/15/2029		1,803,890

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Media Entertainment — continued
$	1,025,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A	$	930,392
	600,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		532,500
	805,000	Warnermedia Holdings, Inc., 3.755%, 3/15/2027		750,877
	855,000	Warnermedia Holdings, Inc., 4.054%, 3/15/2029		781,573
	2,555,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032		2,265,967

				15,647,382

		Metals & Mining — 1.5%
	1,885,000	ArcelorMittal SA, 6.800%, 11/29/2032		1,935,249
	4,180,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		4,114,805
	3,010,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		3,006,255
	1,930,000	FMG Resources August 2006 Pty. Ltd., 4.500%, 9/15/2027, 144A		1,797,311

				10,853,620

		Midstream — 0.9%
	165,000	EnLink Midstream LLC, 6.500%, 9/01/2030, 144A		164,817
	490,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		427,525
	640,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		629,600
	555,000	Targa Resources Corp., 6.125%, 3/15/2033		567,093
	1,460,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		1,349,244
	1,535,000	Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033, 144A		1,256,990
	815,000	Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031, 144A		700,873
	1,770,000	Western Midstream Operating LP, 3.350%, 2/01/2025		1,691,908
	15,000	Western Midstream Operating LP, 6.150%, 4/01/2033		15,118

				6,803,168

		Non-Agency Commercial Mortgage-Backed Securities — 5.5%
	2,995,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class B, 1 mo. USD LIBOR + 2.540%, 7.733%, 10/15/2037, 144A(b)		2,797,777
	2,155,000	BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 11.972%, 12/15/2038, 144A(b)		1,910,470
	2,040,000	Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.105%, 5/10/2047, 144A(a)		1,356,622
	2,585,000	Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A		2,122,104
	140,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.477%, 12/10/2044(a)		114,100
	1,890,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		1,365,885
	5,680,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,068,671
	750,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(a)		658,684
	592,699	Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250%, 7.444%, 7/15/2038, 144A(b)		575,963
	475,000	GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		339,803
		Non-Agency Commercial Mortgage-Backed Securities — continued
	796,978	GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.845%, 4/10/2031, 144A(a)		737,440
	3,195,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(a)		2,377,591
	540,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.297%, 8/10/2044, 144A(a)		375,655
	3,905,000	GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.297%, 8/10/2044, 144A(a)		1,219,368
	845,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)		694,224
	1,945,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(a)		1,841,867
	2,421,057	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.910%, 12/15/2047, 144A(a)		2,263,689
	919,401	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.385%, 6/15/2044, 144A(a)		827,461
	2,515,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(a)		1,802,148
	1,060,000	Starwood Retail Property Trust, Series 2014-STAR, Class C, 1 mo. USD LIBOR + 2.750%, 7.944%, 11/15/2027, 144A(b)(g)		391,123
	4,243,654	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1 mo. USD LIBOR + 3.500%, 8.694%, 11/15/2027, 144A(b)(f)(g)		938,908
	3,575,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1 mo. USD LIBOR + 4.400%, 9.594%, 11/15/2027, 144A(b)(f)(g)		178,750
	1,370,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.842%, 5/10/2063, 144A(a)(f)		6,850
	3,094,293	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a)		2,415,882
	1,690,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)		1,405,966
	440,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.257%, 11/15/2059(a)		311,948
	4,885,000	Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)		4,318,181
	1,632,830	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044, 144A(a)		365,346
	1,699,593	WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.992%, 6/15/2044, 144A(a)		1,168,566
	2,245,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.473%, 12/15/2045(a)		1,543,438
	1,570,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		1,149,765

				40,644,245

		Pharmaceuticals — 2.8%
	1,980,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		1,178,496
	1,325,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		563,125
	145,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		59,789
	685,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		284,275
	165,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		70,125

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — continued
$	270,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A	$	116,743
	380,000	Grifols Escrow Issuer SA, 4.750%, 10/15/2028, 144A		329,794
	795,000	Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR)		878,522
	1,225,000	Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR)		1,360,086
	1,030,000	Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR)		1,160,995
	5,755,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		5,739,979
	920,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		824,362
	10,035,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		6,596,289
	200,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		185,014
	635,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		576,009
	435,000	Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029		448,281
	305,000	Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031		319,665

				20,691,549

		Restaurants — 0.3%
	2,515,000	1011778 BC ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A		2,321,782

		Retailers — 0.3%
	2,405,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		2,096,030

		Technology — 3.6%
	1,020,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		782,386
	2,865,000	Broadcom, Inc., 4.150%, 11/15/2030		2,635,941
	2,115,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		1,812,204
	1,115,000	CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028		968,757
	485,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		409,253
	970,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		889,617
	1,615,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,124,147
	3,590,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		2,548,900
	330,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		289,001
	395,000	Global Payments, Inc., 2.900%, 11/15/2031		321,338
	225,000	Global Payments, Inc., 5.400%, 8/15/2032		219,248
	1,700,000	Leidos, Inc., 5.750%, 3/15/2033		1,688,855
	340,000	Micron Technology, Inc., 5.875%, 2/09/2033		338,301
	1,595,000	Micron Technology, Inc., 5.875%, 9/15/2033		1,580,538
	3,560,000	Micron Technology, Inc., 6.750%, 11/01/2029		3,700,589
	330,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030		291,973
	730,000	Open Text Corp., 6.900%, 12/01/2027, 144A		743,162
	1,000,000	SK Hynix, Inc., 6.500%, 1/17/2033, 144A		1,009,561
	1,980,000	Trimble, Inc., 6.100%, 3/15/2033		2,006,196
	1,210,000	VMware, Inc., 2.200%, 8/15/2031		950,818
	1,240,000	Western Digital Corp., 2.850%, 2/01/2029		990,721
	1,780,000	Western Digital Corp., 4.750%, 2/15/2026		1,695,481

				26,996,987

		Transportation Services — 0.2%
	1,640,000	Rand Parent LLC, 8.500%, 2/15/2030, 144A		1,484,905

		Treasuries — 6.1%
	697,300,000	Hungary Government Bonds, Series 23/A, 6.000%, 11/24/2023, (HUF)	$	1,994,057
	29,901,000,000	Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR)		2,032,610
	338,660,000	Republic of South Africa Government Bonds, Series 2037, 8.500%, 1/31/2037, (ZAR)		13,748,827
	12,675,000	U.S. Treasury Notes, 4.250%, 12/31/2024(h)		12,497,748
	7,735,000	U.S. Treasury Notes, 4.375%, 10/31/2024		7,641,636
	7,500,000	U.S. Treasury Notes, 4.500%, 11/30/2024		7,420,313

				45,335,191

		Wireless — 1.6%
	2,655,000	Crown Castle, Inc., 5.100%, 5/01/2033		2,609,027
	2,400,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		2,266,560
	1,695,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		1,475,328
	1,040,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		848,162
	2,745,000	SBA Communications Corp., 3.875%, 2/15/2027		2,528,711
	1,630,000	SoftBank Group Corp., 4.625%, 7/06/2028		1,408,646
	750,000	SoftBank Group Corp., 5.250%, 7/06/2031		643,392

				11,779,826

		Total Non-Convertible Bonds (Identified Cost $692,119,282)		573,908,832


	Convertible Bonds — 4.3%
		Airlines — 0.7%
	915,000	JetBlue Airways Corp., 0.500%, 4/01/2026		751,448
	3,680,000	Southwest Airlines Co., 1.250%, 5/01/2025		4,219,120

				4,970,568

		Cable Satellite — 0.8%
	1,560,000	DISH Network Corp., Zero Coupon, 0.000%-33.747%, 12/15/2025(e)		828,812
	1,170,000	DISH Network Corp., 2.375%, 3/15/2024		1,036,913
	8,125,000	DISH Network Corp., 3.375%, 8/15/2026		4,123,437

				5,989,162

		Consumer Cyclical Services — 0.3%
	235,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.987%, 2/15/2026(e)		178,217
	2,705,000	Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(e)		2,479,700

				2,657,917

		Gaming — 0.1%
	615,000	Penn Entertainment, Inc., 2.750%, 5/15/2026		761,985

		Healthcare — 0.5%
	4,960,000	Teladoc Health, Inc., 1.250%, 6/01/2027		3,943,200

		Leisure — 0.2%
	1,340,000	NCL Corp. Ltd., 1.125%, 2/15/2027		1,232,371

		Media Entertainment — 0.3%
	1,340,000	Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(e)		991,600
	1,160,000	Spotify USA, Inc., Zero Coupon, 5.189%-5.777%, 3/15/2026(e)		985,420

				1,977,020

		Pharmaceuticals — 1.0%
	2,990,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		2,936,981
	3,745,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		3,764,867

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — continued
$	855,000	Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(i)	$	611,294
	505,000	Livongo Health, Inc., 0.875%, 6/01/2025		456,217

				7,769,359

		Technology — 0.4%
	1,005,000	Splunk, Inc., 1.125%, 6/15/2027		866,813
	2,275,000	Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(e)		1,816,587

				2,683,400

		Total Convertible Bonds (Identified Cost $40,650,658)		31,984,982


		Total Bonds and Notes (Identified Cost $732,769,940)		605,893,814


	Senior Loans — 1.6%
		Cable Satellite — 0.3%
	1,930,000	Ziggo BV, 2019 EUR Term Loan H, 6 mo. EURIBOR + 3.000%, 6.102%, 1/31/2029, (EUR)(b)(j)		1,969,821

		Consumer Cyclical Services — 0.3%
	2,042,375	Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.009%, 3/03/2030(j)(k)		2,040,741

		Leisure — 0.2%
	805,909	Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR+3.250%, 8.467%, 10/18/2028(b)(l)		797,850
	1,049,590	Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(b)(l)		1,047,291

				1,845,141

		Media Entertainment — 0.5%
	2,020,000	MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.353%, 5/03/2028(b)(m)		1,935,160
	2,199,560	Playtika Holding Corp., 2021 Term Loan, 1 mo. USD LIBOR + 2.750%, 7.943%, 3/13/2028(b)(j)		2,188,848

				4,124,008

		Property & Casualty Insurance — 0.1%
	243,775	AmWINS Group, Inc., 2023 Incremental Term Loan B, 1 mo. USD SOFR +2.750%, 7.834%, 2/19/2028(b)(l)		242,912
	560,000	HUB International Ltd., 2023 Term Loan B, 6/20/2030(n)		561,014

				803,926

		Technology — 0.1%
	970,125	Open Text Corp., 2022 Term Loan B, 1 mo. USD SOFR + 3.500%, 8.703%, 1/31/2030(b)(m)		974,170

		Transportation Services — 0.1%
	553,613	Rand Parent LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.492%, 3/17/2030(b)(j)		519,012

		Total Senior Loans (Identified Cost $12,480,937)		12,276,819


	Collateralized Loan Obligations — 9.3%
	1,740,000	AGL CLO 3 Ltd., Series 2020-3A, Class D, 3 mo. USD LIBOR + 3.300%, 8.560%, 1/15/2033, 144A(b)		1,664,745
	395,000	AIG CLO LLC, Series 2021-2A, Class A, 3 mo. USD LIBOR + 1.170%, 6.420%, 7/20/2034, 144A(b)		388,112
	Collateralized Loan Obligations — continued
	3,460,000	AIMCO CLO 11 Ltd., Series 2020-11A, Class DR, 3 mo. USD LIBOR + 3.000%, 8.260%, 10/17/2034, 144A(b)		3,225,066
	1,325,000	AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.156%, 1/17/2032, 144A(b)		1,311,256
	480,000	Apidos CLO XX, Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.950%, 7.210%, 7/16/2031, 144A(b)		464,362
	3,175,000	Apidos CLO XXIII, Series 2015-23A, Class CR, 3 mo. USD LIBOR + 2.000%, 7.260%, 4/15/2033, 144A(b)		3,023,343
	500,000	ARES LIX CLO Ltd., Series 2021-59A, Class E, 3 mo. USD LIBOR + 6.250%, 11.505%, 4/25/2034, 144A(b)		449,366
	1,105,000	Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3 mo. USD LIBOR + 3.700%, 8.950%, 1/20/2034, 144A(b)		966,802
	400,000	Ballyrock CLO Ltd., Series 2018-1A, Class C, 3 mo. USD LIBOR + 3.150%, 8.400%, 4/20/2031, 144A(b)		375,587
	850,000	Barings CLO Ltd., Series 2019-4A, Class C, 3 mo. USD LIBOR + 2.800%, 8.060%, 1/15/2033, 144A(b)		833,791
	1,830,000	Basswood Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.650%, 7.900%, 4/20/2034, 144A(b)		1,660,150
	445,000	Battalion CLO XVI Ltd., Series 2019 16A, Class DR, 3 mo. USD LIBOR + 3.250%, 8.500%, 12/19/2032, 144A(b)		408,976
	915,000	Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.950%, 7.210%, 4/15/2029, 144A(b)		876,930
	455,000	Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 2.150%, 7.400%, 10/20/2029, 144A(b)		439,072
	400,000	Carbone CLO Ltd., Series 2017-1A, Class B, 3 mo. USD LIBOR + 1.800%, 7.050%, 1/20/2031, 144A(b)		390,055
	980,000	Carlyle U.S. CLO Ltd., Series 2016-4A, Class A2R, 3 mo. USD LIBOR + 1.450%, 6.700%, 10/20/2027, 144A(b)		970,274
	970,000	CarVal CLO IV Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 3.250%, 8.500%, 7/20/2034, 144A(b)		908,356
	730,000	CIFC Funding Ltd., Series 2013-2A, Class A3LR, 3 mo. USD LIBOR + 1.950%, 7.212%, 10/18/2030, 144A(b)		694,042
	265,000	CIFC Funding Ltd., Series 2014-2RA, Class A3, 3 mo. USD LIBOR + 1.900%, 7.173%, 4/24/2030, 144A(b)		255,044
	875,000	Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3 mo. USD LIBOR + 5.850%, 11.110%, 10/15/2030, 144A(b)		724,530
	250,000	Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3 mo. USD LIBOR + 1.750%, 7.012%, 4/18/2031, 144A(b)		236,963
	300,000	Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3 mo. USD LIBOR + 1.850%, 7.110%, 4/15/2029, 144A(b)		288,444
	1,405,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3 mo. USD LIBOR + 5.850%, 11.229%, 11/22/2031, 144A(b)		1,248,002

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Collateralized Loan Obligations — continued
$	2,435,000	Generate CLO 7 Ltd., Series 7A, Class D, 3 mo. USD LIBOR + 3.800%, 9.073%, 1/22/2033, 144A(b)	$	2,382,996
	650,000	Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 2.950%, 8.210%, 10/15/2030, 144A(b)		601,798
	320,000	GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3 mo. USD LIBOR + 1.900%, 7.150%, 4/20/2030, 144A(b)		310,969
	435,000	Golub Capital Partners CLO Ltd., Series 2019-41A, Class AR, 3 mo. USD LIBOR + 1.320%, 6.570%, 1/20/2034, 144A(b)		429,097
	1,640,000	Greystone CRE Notes Ltd., Series 2021-HC2, Class A, 1 mo. USD SOFR + 1.914%, 7.062%, 12/15/2039, 144A(b)		1,588,481
	1,550,000	Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3 mo. USD LIBOR + 4.160%, 9.410%, 1/20/2034, 144A(b)		1,510,937
	310,000	LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD LIBOR + 3.000%, 8.250%, 4/20/2031, 144A(b)		283,784
	475,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3 mo. USD LIBOR + 2.150%, 7.423%, 1/23/2031, 144A(b)		466,135
	300,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(b)		290,112
	3,300,000	Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD LIBOR + 1.900%, 7.173%, 1/28/2030, 144A(b)		3,151,045
	575,000	Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, 3 mo. USD LIBOR + 1.130%, 6.381%, 10/14/2035, 144A(b)		564,519
	2,100,000	Oaktree CLO Ltd., Series 2019-4A, Class E, 3 mo. USD LIBOR + 7.230%, 12.480%, 10/20/2032, 144A(b)		1,973,397
	495,000	Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3 mo. USD LIBOR + 5.750%, 11.000%, 10/20/2030, 144A(b)		421,286
	920,000	Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3 mo. USD LIBOR + 1.900%, 7.173%, 1/22/2030, 144A(b)		876,898
	445,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3 mo. USD LIBOR + 6.360%, 11.621%, 4/21/2034, 144A(b)		425,680
	1,900,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.250%, 11.500%, 7/02/2035, 144A(b)		1,822,056
	5,105,000	OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3 mo. USD LIBOR + 6.400%, 11.673%, 10/22/2036, 144A(b)		4,790,113
	1,745,000	OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3 mo. USD LIBOR + 2.000%, 7.262%, 4/18/2033, 144A(b)		1,725,019
	1,095,000	OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD LIBOR + 1.150%, 6.412%, 10/18/2034, 144A(b)		1,073,212
	2,245,000	OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3 mo. USD LIBOR + 3.050%, 8.323%, 7/23/2031, 144A(b)		2,145,962
	1,570,000	OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.950%, 7.200%, 1/20/2033, 144A(b)		1,519,568
	Collateralized Loan Obligations — continued
	2,050,000	OZLM XXIII Ltd., Series 2019-23A, Class DR, 3 mo. USD LIBOR + 3.750%, 9.010%, 4/15/2034, 144A(b)		1,878,739
	300,000	Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD LIBOR + 1.950%, 7.200%, 7/20/2030, 144A(b)		287,965
	2,610,000	Parallel Ltd., Series 2017-1A, Class CR, 3 mo. USD LIBOR + 2.000%, 7.250%, 7/20/2029, 144A(b)		2,542,751
	1,045,000	Pikes Peak CLO 1, Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.150%, 8.423%, 7/24/2031, 144A(b)		972,778
	1,190,000	Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.800%, 8.050%, 7/20/2034, 144A(b)		1,082,093
	2,110,000	Post CLO Ltd., Series 2023-1A, Class A, 3 mo. USD SOFR + 1.950%, 6.829%, 4/20/2036, 144A(b)		2,104,873
	340,000	Recette CLO Ltd., Series 2015-1A, Class DRR, 3 mo. USD LIBOR + 3.250%, 8.500%, 4/20/2034, 144A(b)		309,583
	2,565,000	Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3 mo. USD LIBOR + 1.900%, 7.160%, 10/15/2029, 144A(b)		2,517,229
	2,000,000	Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3 mo. USD LIBOR + 1.100%, 6.479%, 5/20/2031, 144A(b)		1,977,484
	1,030,000	Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD LIBOR + 1.160%, 6.420%, 4/17/2034, 144A(b)		1,010,590
	920,000	TCW CLO Ltd., Series 2018-1A,Class D, 3 mo. USD LIBOR + 2.910%, 8.165%, 4/25/2031, 144A(b)		824,426
	1,030,000	TICP CLO VII Ltd., Series 2017-7A, Class CR, 3 mo. USD LIBOR + 2.150%, 7.410%, 4/15/2033, 144A(b)		987,990
	610,000	TICP CLO XV Ltd., Series 2020-15A, Class C, 3 mo. USD LIBOR + 2.150%, 7.400%, 4/20/2033, 144A(b)		601,554
	895,000	TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3 mo. USD LIBOR + 5.750%, 11.005%, 7/25/2031, 144A(b)		788,624
	895,000	Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.100%, 6.360%, 4/15/2032, 144A(b)		882,476

		Total Collateralized Loan Obligations (Identified Cost $70,198,997)		68,925,487


Shares
	Common Stocks — 2.0%
		Aerospace & Defense — 0.0%
	549	Lockheed Martin Corp.		252,749

		Air Freight & Logistics — 0.1%
	1,745	United Parcel Service, Inc., Class B		312,791

		Banks — 0.0%
	868	JPMorgan Chase & Co.		126,242

		Beverages — 0.0%
	4,214	Coca-Cola Co.		253,767

		Biotechnology — 0.1%
	2,264	AbbVie, Inc.		305,029

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Capital Markets — 0.1%
	193	BlackRock, Inc.	$	133,390
	2,175	Morgan Stanley		185,745

				319,135

		Chemicals — 0.0%
	324	Linde PLC		123,470

		Communications Equipment — 0.0%
	1,726	Cisco Systems, Inc.		89,303

		Construction Materials — 0.2%
	240,838	Cemex SAB de CV, ADR(f)		1,705,133

		Consumer Staples Distribution & Retail — 0.1%
	229	Costco Wholesale Corp.		123,289
	1,296	Walmart, Inc.		203,705

				326,994

		Containers & Packaging — 0.0%
	655	Packaging Corp. of America		86,565

		Electric Utilities — 0.0%
	1,606	Duke Energy Corp.		144,122
	559	NextEra Energy, Inc.		41,478

				185,600

		Electrical Equipment — 0.0%
	1,245	Emerson Electric Co.		112,536

		Financial Services — 0.0%
	314	Mastercard, Inc., Class A		123,496

		Ground Transportation — 0.0%
	845	Union Pacific Corp.		172,904

		Health Care Equipment & Supplies — 0.0%
	1,897	Abbott Laboratories		206,811

		Health Care Providers & Services — 0.1%
	520	Elevance Health, Inc.		231,031
	484	UnitedHealth Group, Inc.		232,630

				463,661

		Hotels, Restaurants & Leisure — 0.0%
	2,617	Starbucks Corp.		259,240

		Household Products — 0.0%
	1,775	Procter & Gamble Co.		269,338

		IT Services — 0.0%
	604	Accenture PLC, Class A		186,382

		Life Sciences Tools & Services — 0.0%
	317	Thermo Fisher Scientific, Inc.		165,395

		Machinery — 0.1%
	492	Cummins, Inc.		120,619
	556	Deere & Co.		225,285

				345,904

		Media — 0.2%
	277,733	Altice USA, Inc., Class A(f)		838,754
	7,301	Comcast Corp., Class A		303,356

				1,142,110

		Metals & Mining — 0.0%
	4,961	Newmont Corp.		211,636

		Oil, Gas & Consumable Fuels — 0.6%
	21,232	Canadian Natural Resources Ltd.		1,194,512
	656	Devon Energy Corp.		31,711
	11,888	Diamondback Energy, Inc.		1,561,608
	6,864	EOG Resources, Inc.		785,516
	3,028	Pioneer Natural Resources Co.		627,341
	5,180	Williams Cos., Inc.		169,024

				4,369,712

		Pharmaceuticals — 0.1%
	3,363	Bristol-Myers Squibb Co.	$	215,064
	1,446	Johnson & Johnson		239,342
	308	Merck & Co., Inc.		35,540

				489,946

		Semiconductors & Semiconductor Equipment — 0.1%
	428	Broadcom, Inc.		371,260
	3,128	Microchip Technology, Inc.		280,238
	2,286	QUALCOMM, Inc.		272,125

				923,623

		Software — 0.1%
	1,110	Microsoft Corp.		377,999

		Specialized REITs — 0.0%
	1,108	American Tower Corp.		214,886

		Specialty Retail — 0.0%
	712	Home Depot, Inc.		221,176

		Technology Hardware, Storage & Peripherals — 0.1%
	1,455	Apple, Inc.		282,226

		Trading Companies & Distributors — 0.0%
	2,198	Fastenal Co.		129,660

		Total Common Stocks (Identified Cost $17,915,515)		14,755,419


	Preferred Stocks — 0.1%
	Convertible Preferred Stocks — 0.1%
		Midstream — 0.0%
	2,329	El Paso Energy Capital Trust I, 4.750%		108,182

		Technology — 0.1%
	23,100	Clarivate PLC, Series A, 5.250%		948,255

		Total Convertible Preferred Stocks (Identified Cost $2,414,274)		1,056,437


		Total Preferred Stocks (Identified Cost $2,414,274)		1,056,437


	Other Investments — 0.0%
		Aircraft ABS — 0.0%
	900	ECAF I Blocker Ltd.(f)(g)(o) (Identified Cost $9,000,000)		—


Principal Amount (‡)
	Short-Term Investments — 2.5%
$	18,291,382	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $18,294,888 on 7/03/2023 collateralized by $19,813,500 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $18,657,260 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $18,291,382)		18,291,382


		Total Investments — 97.3% (Identified Cost $863,071,045)		721,199,358
		Other assets less liabilities — 2.7%		19,717,679

		Net Assets — 100.0%	$	740,917,037

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Written Options — (0.0%)
Description	Expiration Date		Exercise Price		Shares (††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – (0.0%)
Accenture PLC, Call		8/18/2023		340.00		(300	)	$	(92,574	)	$	(1,310	)	$	(285	)
Apple, Inc., Call		8/18/2023		195.00		(800	)		(155,176	)		(2,143	)		(4,420	)
Broadcom, Inc., Call		8/18/2023		950.00		(300	)		(260,229	)		(4,580	)		(2,955	)
Cisco Systems, Inc., Call		8/18/2023		52.50		(800	)		(41,392	)		(766	)		(944	)
Comcast Corp., Call		8/18/2023		42.50		(3,600	)		(149,580	)		(2,654	)		(3,204	)
Costco Wholesale Corp., Call		8/18/2023		545.00		(100	)		(53,838	)		(487	)		(948	)
Cummins, Inc., Call		8/18/2023		250.00		(400	)		(98,064	)		(1,087	)		(2,500	)
Deere & Co., Call		8/18/2023		440.00		(400	)		(162,076	)		(2,187	)		(1,680	)
Emerson Electric Co., Call		8/18/2023		92.50		(800	)		(72,312	)		(670	)		(1,520	)
Fastenal Co., Call		8/18/2023		60.00		(1,700	)		(100,283	)		(1,508	)		(2,125	)
Home Depot, Inc., Call		8/18/2023		325.00		(400	)		(124,256	)		(1,151	)		(1,700	)
Johnson & Johnson, Call		8/18/2023		170.00		(1,000	)		(165,520	)		(1,257	)		(1,610	)
JPMorgan Chase & Co., Call		8/18/2023		150.00		(600	)		(87,264	)		(808	)		(1,203	)
Linde PLC, Call		8/18/2023		385.00		(100	)		(38,108	)		(467	)		(910	)
Lockheed Martin Corp., Call		8/18/2023		490.00		(400	)		(184,152	)		(1,641	)		(840	)
Mastercard, Inc., Call		8/18/2023		390.00		(200	)		(78,660	)		(1,383	)		(2,755	)
Merck & Co., Inc., Call		8/18/2023		115.00		(100	)		(11,539	)		(211	)		(380	)
Microchip Technology, Inc., Call		8/18/2023		92.50		(2,500	)		(223,975	)		(5,023	)		(7,750	)
Microsoft Corp., Call	��	8/18/2023		370.00		(800	)		(272,432	)		(3,174	)		(2,740	)
Procter & Gamble Co., Call		8/18/2023		155.00		(1,200	)		(182,088	)		(1,521	)		(2,082	)
QUALCOMM, Inc., Call		8/18/2023		130.00		(1,800	)		(214,272	)		(5,107	)		(3,492	)
Starbucks Corp., Call		8/18/2023		110.00		(1,800	)		(178,308	)		(1,813	)		(801	)
United Parcel Service, Inc., Call		8/18/2023		185.00		(1,200	)		(215,100	)		(2,840	)		(5,340	)
Walmart, Inc., Call		8/18/2023		160.00		(600	)		(94,308	)		(1,132	)		(1,527	)

Total											$	(44,920	)	$	(53,711	)


	(†)			See Note 2 of Notes to Financial Statements.
	(‡)			Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
	(††)			Options on securities are expressed as shares.
	(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 June 30, 2023 is disclosed.
	(b)			Variable rate security. Rate as of June 30, 2023 is disclosed.
	(c)			Perpetual bond with no specified maturity date.
	(d)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(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)			Non-income producing security.
	(g)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(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.
	(j)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.00%, to which the spread is added.
	(k)			Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2023. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.
	(l)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added.
	(m)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.50%, to which the spread is added.
	(n)			Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(o)			Securities subject to restriction on resale. At June 30, 2023, the restricted securities held by the Fund are as follows:


	Acquisition Date		Acquisition Cost		Value		% of Net Assets
ECAF I Blocker Ltd.		6/18/2015	$	9,000,000	$	—		Less than 0.1	%


	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, the value of Rule 144A holdings amounted to $411,784,158 or 55.6% of net assets.
	ABS			Asset-Backed Securities
	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.
	EURIBOR			Euro Interbank Offered Rate
	JIBAR			Johannesburg Interbank Agreed Rate
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	REMIC			Real Estate Mortgage Investment Conduit
	SAFEX			South African Futures Exchange
	SLM			Sallie Mae
	SOFR			Secured Overnight Financing Rate
	ARS			Argentine Peso
	COP			Colombian Peso
	EUR			Euro
	HUF			Hungarian Forint
	IDR			Indonesian Rupiah
	ZAR			South African Rand

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2023, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value	Currency		Expiration Date		Fund Pays¹			Fund Receives¹		Market Value		Unrealized Appreciation (Depreciation)²
330,000,000		ZAR		5/07/2030		7.58	%		3 mo. SAFEX-JIBAR	$	1,375,073	$	1,373,598

At June 30, 2023, the Fund had the following open centrally cleared credit default swap agreements:

Buy Protection


Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)		Market Value			Unrealized Appreciation (Depreciation)
CDX.NA.HY*.S40		(5.00	%)		06/20/2028		23,520,000	$	31,275	$	(687,131	)	$	(718,406	)
CDX.NA.HY*.S40		(5.00	%)		06/20/2028		37,805,000		61,042		(1,104,464	)		(1,165,506	)

Total										$	(1,791,595	)	$	(1,883,912	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

¹	Payments are made quarterly.

²	Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

At June 30, 2023, 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.		7/31/2023	EUR		S	800,000	$	891,136	$	874,070	$	17,066
Bank of America N.A.		9/05/2023	EUR		S	2,255,000		2,431,431		2,468,190		(36,759	)
Barclays Bank PLC		7/31/2023	EUR		S	1,955,000		2,177,984		2,136,007		41,977
BNP Paribas SA		8/16/2023	ZAR		S	225,060,000		11,554,397		11,907,856		(353,459	)
Goldman Sachs International		8/18/2023	EUR		S	1,795,000		1,960,350		1,962,945		(2,595	)
Morgan Stanley Capital Services LLC		7/11/2023	COP		B	2,823,469,000		637,496		675,750		38,254
Morgan Stanley Capital Services LLC		7/11/2023	COP		S	5,186,874,000		1,106,179		1,241,391		(135,212	)

Total											$	(430,728	)

At June 30, 2023, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOT 2 Year U.S. Treasury Notes Futures		9/29/2023		350	$	71,989,869	$	71,170,312	$	(819,557	)
CBOT 5 Year U.S. Treasury Notes Futures		9/29/2023		1,323		143,726,348		141,685,032		(2,041,316	)

Total									$	(2,860,873	)

At June 30, 2023, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOT U.S. Long Bond Futures		9/20/2023		25	$	3,153,955	$	3,172,656	$	(18,701	)
CME Ultra Long Term U.S. Treasury Bond Futures		9/20/2023		107		14,332,769		14,575,407		(242,638	)
Ultra 10 Year U.S. Treasury Notes Futures		9/20/2023		461		54,892,061		54,599,687		292,374

Total									$	31,035

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Industry Summary at June 30, 2023 (Unaudited)


Banking	7.9	%
ABS Home Equity	6.9
Treasuries	6.1
Non-Agency Commercial Mortgage-Backed Securities	5.5
Cable Satellite	5.5
ABS Car Loan	4.8
Finance Companies	4.4
Technology	4.2
Pharmaceuticals	3.9
Independent Energy	3.8
ABS Other	3.3
Media Entertainment	2.9
Consumer Cyclical Services	2.7
Automotive	2.3
Other Investments, less than 2% each	21.3
Collateralized Loan Obligations	9.3
Short-Term Investments	2.5

Total Investments	97.3
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	2.7

Net Assets	100.0	%

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 85.0% of Net Assets
	Non-Convertible Bonds — 76.4%
		ABS Car Loan — 1.2%
$	635,000	American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A	$	645,603
	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A		6,978,494
	5,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A		4,418,373
	940,000	First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028, 144A		957,701
	7,303,000	Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A		6,750,676
	5,578,000	Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A		5,495,685
	2,790,000	Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029, 144A		2,813,235
	4,105,000	Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A		3,884,118
	2,810,000	Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028, 144A		2,833,039
	1,540,000	Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028, 144A		1,536,179

				36,313,103

		ABS Home Equity — 4.5%
	5,965,316	510 Asset-Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a)		5,502,682
	8,555,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a)		7,799,582
	5,350,000	CoreVest American Finance Ltd., Series 2021-1, Class D, 3.247%, 4/15/2053, 144A		4,401,856
	1,510,000	CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054, 144A		1,221,861
	10,377,048	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)		9,566,447
	2,510,000	Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A		1,904,218
	7,660,000	FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A		7,154,291
	1,965,000	FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A		1,680,905
	4,070,000	GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053, 144A(a)		4,049,679
	6,766,738	Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A		5,391,341
	8,332,350	Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A		7,189,819
	4,166,175	Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A		3,590,452
	4,025,000	Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a)		3,541,736
	11,507,000	Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A		10,046,526
	3,623,000	Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A		3,086,042
	5,465,000	Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A		4,696,781
	15,160,000	Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A		12,358,279
		ABS Home Equity — continued
	6,536,632	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)		6,092,700
	2,513,000	PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a)		2,119,824
	6,581,503	PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a)		6,063,111
	4,755,477	PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a)		4,418,911
	6,194,947	PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a)		6,094,589
	8,130,000	Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a)		7,903,287
	1,120,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a)		925,744
	795,000	Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a)		667,743
	3,970,000	VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051, 144A(a)		3,301,121
	7,865,000	VCAT LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a)		6,730,641

				137,500,168

		ABS Other — 1.6%
	4,349,124	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		3,746,814
	2,766,645	Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A		2,078,962
	418,892	Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A		371,176
	60,219	HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A		55,072
	2,580,349	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A		2,211,736
	11,399,504	MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A		9,799,231
	13,113,058	Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a)		10,781,307
	1,930,000	SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A		1,887,784
	805,691	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		677,301
	9,712,500	SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A		8,329,634
	8,640,209	Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A		6,847,478

				46,786,495

		ABS Whole Business — 0.3%
	5,925,000	Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A		5,829,282
	2,278,500	Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A		1,815,493
	757,525	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		634,126
	133,313	Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A		117,646

				8,396,547

		Airlines — 1.8%
	11,997,055	Air Canada Pass-Through Trust, Series 2020-2A, Class A, 5.250%, 10/01/2030, 144A		11,681,652

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	1,053,476	American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027	$	969,093
	577,540	American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		542,605
	21,580,000	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		21,633,879
	18,028,171	United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029		17,897,647
	2,174,875	United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		2,085,683

				54,810,559

		Automotive — 0.6%
	2,845,000	General Motors Co., 5.200%, 4/01/2045		2,426,850
	2,120,000	General Motors Co., 6.250%, 10/02/2043		2,073,150
	2,765,000	General Motors Financial Co., Inc., 3.100%, 1/12/2032		2,236,336
	6,445,000	General Motors Financial Co., Inc., 6.400%, 1/09/2033		6,550,959
	540,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(b)		439,425
	865,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b)		759,335
	2,055,000	ZF North America Capital, Inc., 6.875%, 4/14/2028, 144A		2,084,551
	2,170,000	ZF North America Capital, Inc., 7.125%, 4/14/2030, 144A		2,209,754

				18,780,360

		Banking — 4.2%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		6,228,725
	8,200,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b)		5,781,000
	7,500,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b)		4,837,500
	11,885,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(b)		8,074,669
	9,000,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		7,121,796
	8,240,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		6,042,968
	16,322,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		12,342,636
	1,709,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		1,443,060
	11,025,000	Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038		10,882,137
	14,965,000	NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035		11,441,042
	2,890,000	Synchrony Bank, 5.400%, 8/22/2025		2,763,071
	5,875,000	Synchrony Bank, 5.625%, 8/23/2027		5,518,564
	545,000	UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A		492,679
		Banking — continued
	3,695,000	UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A		4,428,968
	325,000	UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A		262,901
	5,345,000	UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		4,901,197
	8,945,000	UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A		8,888,500
	7,690,000	UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A		7,718,299
	5,370,000	UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A		5,495,819
	14,800,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		12,560,013

				127,225,544

		Brokerage — 0.1%
	3,893,000	Jefferies Financial Group, Inc., 6.250%, 1/15/2036		3,970,522

		Building Materials — 1.2%
	29,325,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		24,688,847
	225,000	Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%, 144A(b)		227,868
	10,470,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(b)		9,317,717
	1,265,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		1,120,347
	1,859,000	Masco Corp., 6.500%, 8/15/2032		1,916,415
	293,000	Masco Corp., 7.750%, 8/01/2029		320,214

				37,591,408

		Cable Satellite — 5.4%
	34,275,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		25,903,941
	6,555,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		5,345,471
	7,180,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		5,435,265
	17,890,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		14,395,372
	16,530,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051		10,444,957
	920,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061		556,442
	31,240,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062		19,219,920
	4,025,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		3,532,966
	6,225,000	CSC Holdings LLC, 3.375%, 2/15/2031, 144A		4,213,643
	1,075,000	CSC Holdings LLC, 4.125%, 12/01/2030, 144A		751,990
	415,000	CSC Holdings LLC, 4.500%, 11/15/2031, 144A		289,345
	47,615,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		21,185,680

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Cable Satellite — continued
$	6,030,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A	$	2,808,219
	14,005,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		11,253,588
	1,360,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		642,151
	3,705,000	Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		3,355,378
	6,470,000	DISH DBS Corp., 5.125%, 6/01/2029		3,004,320
	22,190,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		17,800,208
	6,575,000	DISH DBS Corp., 5.750%, 12/01/2028, 144A		4,890,377
	15,865,000	DISH DBS Corp., 7.750%, 7/01/2026		9,724,690

				164,753,923

		Chemicals — 0.5%
	10,887,000	Ashland, Inc., 3.375%, 9/01/2031, 144A		8,695,881
	1,320,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,133,967
	6,735,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		5,442,310
	905,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		825,858

				16,098,016

		Construction Machinery — 0.1%
	1,530,000	Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A		1,479,301
	2,140,000	Ashtead Capital, Inc., 5.550%, 5/30/2033, 144A		2,086,039

				3,565,340

		Consumer Cyclical Services — 2.2%
	1,760,000	Expedia Group, Inc., 2.950%, 3/15/2031		1,483,075
	6,470,000	Expedia Group, Inc., 3.250%, 2/15/2030		5,631,165
	5,645,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		4,836,878
	5,575,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		4,847,414
	8,665,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		7,975,249
	10,815,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		10,761,574
	28,805,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		29,463,281

				64,998,636

		Consumer Products — 0.6%
	11,880,000	Avon Products, Inc., 8.450%, 3/15/2043		12,830,400
	6,110,000	Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A		5,285,595

				18,115,995

		Electric — 0.7%
	18,356,559	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		16,779,176
	3,570,000	Enel Generacion Chile SA, 7.875%, 2/01/2027		3,756,938

				20,536,114

		Finance Companies — 5.8%
	12,717,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		10,995,789
	4,127,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028		4,092,861
	10,600,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b)		8,846,336
	3,585,000	Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(b)		2,501,971
		Finance Companies — continued
	11,555,000	Ares Capital Corp., 3.200%, 11/15/2031		8,857,647
	2,145,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		1,910,484
	4,150,000	Aviation Capital Group LLC, 6.250%, 4/15/2028, 144A		4,137,716
	5,955,000	Barings BDC, Inc., 3.300%, 11/23/2026		5,187,636
	2,289,000	FS KKR Capital Corp., 3.125%, 10/12/2028		1,863,408
	7,875,000	GATX Corp., 5.450%, 9/15/2033		7,748,180
	14,755,000	Hercules Capital, Inc., 3.375%, 1/20/2027		12,781,659
	135,000	Navient Corp., 5.000%, 3/15/2027		120,774
	950,000	Navient Corp., 6.750%, 6/15/2026		915,994
	3,259,000	Navient Corp., MTN, 6.125%, 3/25/2024		3,233,504
	950,000	Navient Corp., Series A, MTN, 5.625%, 8/01/2033		714,400
	2,286,000	OneMain Finance Corp., 3.500%, 1/15/2027		1,961,251
	9,425,000	OneMain Finance Corp., 4.000%, 9/15/2030		7,257,250
	1,220,000	OneMain Finance Corp., 5.375%, 11/15/2029		1,037,180
	4,075,000	OneMain Finance Corp., 7.125%, 3/15/2026		4,003,656
	7,175,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		5,846,274
	14,750,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		13,645,294
	7,155,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		6,479,415
	14,740,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		13,044,900
	13,540,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		11,379,937
	37,540,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		30,439,591
	9,630,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		7,532,971

				176,536,078

		Financial Other — 1.5%
	1,650,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025		426,805
	1,120,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		244,518
	1,225,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		379,627
	6,150,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		1,458,718
	4,720,000	Central China Real Estate Ltd., 7.250%, 7/16/2024(c)		426,027
	1,260,000	Central China Real Estate Ltd., 7.250%, 8/13/2024(c)		106,723
	2,060,000	Central China Real Estate Ltd., 7.250%, 4/28/2025(c)		165,830
	3,260,000	Central China Real Estate Ltd., 7.500%, 7/14/2025(c)		254,084
	4,415,000	Central China Real Estate Ltd., 7.650%, 8/27/2025(c)		308,873
	1,305,000	Central China Real Estate Ltd., 7.750%, 5/24/2024(c)		104,126
	8,274,825	CFLD Cayman Investment Ltd., 2.500%, 1/31/2031, 144A		507,412
	6,815,475	CFLD Cayman Investment Ltd., 2.500%, 1/31/2031, 144A		897,871
	833,252	CFLD Cayman Investment Ltd., Zero Coupon, 0.000%-36.271%, 1/31/2031, 144A(d)		24,998
	1,035,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026(c)		49,676
	2,400,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024(c)		149,616
	1,240,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023(c)		56,740
	1,800,000	China Evergrande Group, 8.250%, 3/23/2022(c)		108,234

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Financial Other — continued
$	4,045,000	China Evergrande Group, 8.750%, 6/28/2025(c)	$	245,451
	1,405,000	China Evergrande Group, 9.500%, 4/11/2022(c)		85,129
	335,000	China Evergrande Group, 9.500%, 3/29/2024(c)		20,469
	4,060,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026(e)		444,286
	24,490,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		19,241,793
	190,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		181,538
	895,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		771,848
	125,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025		116,200
	6,925,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(c)		471,315
	1,415,000	Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(c)		95,442
	1,600,000	Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(c)		103,888
	8,085,000	Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(c)		526,253
	7,075,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(c)		437,848
	4,795,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(c)		326,348
	1,380,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026(c)		133,776
	3,760,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026(c)		371,389
	3,345,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(c)		316,526
	1,320,000	Logan Group Co. Ltd., 4.850%, 12/14/2026(c)		124,907
	2,210,000	Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A		1,792,752
	9,605,000	Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A		8,413,452
	2,880,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c)		283,363
	400,000	Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c)		39,236
	1,830,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c)		138,603
	280,000	Shimao Group Holdings Ltd., 5.600%, 7/15/2026(c)		27,952
	1,970,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c)		143,064
	425,000	Sunac China Holdings Ltd., 5.950%, 4/26/2024(c)		68,251
	3,610,000	Sunac China Holdings Ltd., 6.500%, 1/10/2025(c)		582,546
	8,570,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(c)		1,253,077
	290,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(c)		47,212
	4,000,000	Sunac China Holdings Ltd., 7.000%, 7/09/2025(c)		650,640
	720,000	Times China Holdings Ltd., 5.750%, 1/14/2027(c)		47,749
	4,030,000	Times China Holdings Ltd., 6.200%, 3/22/2026(c)		267,260
	23,285,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c)		970,599
		Financial Other — continued
	1,245,000	Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(c)		51,896
	9,395,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(c)		391,616
	5,345,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(c)		222,798
	3,155,000	Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(c)		131,511
	4,535,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c)		158,725
	365,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c)		7,300
	715,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025(c)		28,035

				45,401,921

		Food & Beverage — 0.5%
	11,860,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032		9,376,516
	7,245,000	Post Holdings, Inc., 4.500%, 9/15/2031, 144A		6,187,475

				15,563,991

		Gaming — 1.3%
	12,960,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		10,479,581
	3,845,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		3,104,505
	12,590,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		12,522,783
	740,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		740,925
	6,885,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		6,440,789
	5,680,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		5,366,009

				38,654,592

		Government Owned – No Guarantee — 1.1%
	495,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		406,686
	585,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		489,430
	20,000,000	Antares Holdings LP, 8.500%, 5/18/2025, 144A		19,550,347
	6,586,000	Petroleos Mexicanos, 6.625%, 6/15/2035		4,592,623
	12,239,000	Petroleos Mexicanos, 6.950%, 1/28/2060		7,632,530

				32,671,616

		Government Sponsored — 0.2%
	4,850,000	Petrobras Global Finance BV, 6.500%, 7/03/2033		4,745,725

		Health Insurance – 0.7%
	21,450,000	Centene Corp., 2.500%, 3/01/2031		17,105,731
	4,280,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		3,588,135

				20,693,866

		Healthcare — 0.6%
	17,380,000	HCA, Inc., 5.500%, 6/01/2033		17,350,480

		Home Construction — 0.3%
	8,146,000	PulteGroup, Inc., 6.000%, 2/15/2035		8,236,069

		Independent Energy — 4.0%
	12,155,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		10,809,533
	11,400,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		8,758,668

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	35,956,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A	$	34,181,839
	6,210,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		5,604,525
	8,120,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		7,094,850
	1,765,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,622,759
	7,740,000	EQT Corp., 3.625%, 5/15/2031, 144A		6,657,116
	7,670,000	EQT Corp., 3.900%, 10/01/2027		7,091,065
	1,535,000	EQT Corp., 5.000%, 1/15/2029		1,445,187
	1,460,000	EQT Corp., 5.700%, 4/01/2028		1,440,972
	2,360,000	EQT Corp., 7.000%, 2/01/2030		2,470,991
	550,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		538,268
	5,050,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		4,853,100
	1,270,000	Matador Resources Co., 6.875%, 4/15/2028, 144A		1,257,037
	10,085,000	Ovintiv, Inc., 6.500%, 8/15/2034		10,106,717
	540,000	Ovintiv, Inc., 6.500%, 2/01/2038		529,413
	2,715,000	Ovintiv, Inc., 6.625%, 8/15/2037		2,679,824
	360,000	Ovintiv, Inc., 7.200%, 11/01/2031		377,762
	1,200,000	Ovintiv, Inc., 7.375%, 11/01/2031		1,286,883
	1,495,000	Ovintiv, Inc., 8.125%, 9/15/2030		1,640,707
	17,908,000	Sanchez Energy Corp., 6.125%, 1/15/2023(c)		268,620
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021(c)		142,800
	1,295,000	Southwestern Energy Co., 4.750%, 2/01/2032		1,141,331
	3,035,000	Var Energi ASA, 7.500%, 1/15/2028, 144A		3,119,161
	6,875,000	Var Energi ASA, 8.000%, 11/15/2032, 144A		7,273,819

				122,392,947

		Leisure — 1.4%
	8,710,000	Carnival Corp., 5.750%, 3/01/2027, 144A		8,018,339
	6,065,000	Carnival Corp., 6.000%, 5/01/2029, 144A		5,415,040
	6,575,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		6,151,331
	5,085,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		4,944,298
	2,415,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		2,173,546
	230,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		211,129
	12,300,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		11,470,238
	4,960,000	VOC Escrow Ltd., 5.000%, 2/15/2028, 144A		4,550,800

				42,934,721

		Life Insurance — 1.2%
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		26,127,600
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		9,425,764

				35,553,364

		Lodging — 1.1%
	7,620,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		6,353,073
	1,745,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		1,463,944
	5,385,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		4,778,919
	4,155,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		3,586,035
	12,700,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		10,805,488
	6,640,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		5,619,100

				32,606,559

		Media Entertainment — 1.8%
	3,925,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,959,005
	5,275,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		4,033,789
	14,565,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		14,333,325
	1,805,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		1,811,686
	8,735,000	Netflix, Inc., 5.875%, 11/15/2028		9,021,526
	11,900,000	Netflix, Inc., 6.375%, 5/15/2029		12,590,200
	10,960,000	Warnermedia Holdings, Inc., 4.279%, 3/15/2032		9,720,155

				54,469,686

		Metals & Mining — 2.2%
	10,835,000	Anglo American Capital PLC, 5.500%, 5/02/2033, 144A		10,585,720
	14,335,000	ArcelorMittal SA, 6.750%, 3/01/2041		14,588,629
	30,660,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		29,908,830
	5,995,000	Glencore Funding LLC, 5.700%, 5/08/2033, 144A		5,948,090
	6,230,000	JSW Steel Ltd., 5.050%, 4/05/2032, 144A		5,036,124
	1,900,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,413,025

				67,480,418

		Midstream — 1.3%
	2,300,000	Cheniere Energy Partners LP, 3.250%, 1/31/2032		1,892,095
	1,530,000	Cheniere Energy Partners LP, 4.000%, 3/01/2031		1,347,149
	8,515,000	Energy Transfer LP, 5.750%, 2/15/2033		8,570,739
	2,530,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		2,207,425
	2,760,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		2,715,150
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		538,343
	3,515,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032		3,048,419
	880,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		813,243
	885,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		851,697
	6,105,000	Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033, 144A		4,999,298
	3,215,000	Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031, 144A		2,764,792
	1,750,000	Western Midstream Operating LP, 4.300%, 2/01/2030		1,571,234
	4,055,000	Western Midstream Operating LP, 5.300%, 3/01/2048		3,384,811
	745,000	Western Midstream Operating LP, 5.450%, 4/01/2044		629,358
	560,000	Western Midstream Operating LP, 5.500%, 8/15/2048		468,307
	2,310,000	Western Midstream Operating LP, 5.500%, 2/01/2050		1,892,052
	665,000	Western Midstream Operating LP, 6.150%, 4/01/2033		670,247

				38,364,359

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — 1.8%
$	335,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A	$	268,784
	7,375,000	BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 11.972%, 12/15/2038, 144A(f)		6,538,150
	8,684,442	Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 5.072%, 9/10/2045, 144A(a)		7,772,575
	108,459	Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		89,750
	462,266	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)		434,295
	2,925,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		2,355,503
	1,690,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		1,221,347
	1,422,774	GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.845%, 4/10/2031, 144A(a)		1,316,487
	7,680,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.668%, 3/05/2033, 144A(a)		6,058,422
	5,785,000	GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.842%, 6/10/2047, 144A(a)		4,316,726
	290,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.910%, 12/15/2047, 144A(a)		257,321
	3,110,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a)		2,398,587
	3,990,847	Med Trust, Series 2021-MDLN, Class C, 1 mo. USD LIBOR + 1.800%, 6.994%, 11/15/2038, 144A(f)		3,845,670
	1,135,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.484%, 8/15/2046(a)(g)		783,747
	2,327,292	Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.336%, 3/15/2045, 144A(a)		2,141,695
	5,285,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a)		4,126,285
	4,340,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050		3,288,419
	1,214,698	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045		1,001,519
	4,000,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.584%, 8/15/2046(a)		3,322,826
	2,612,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.584%, 8/15/2046(a)		1,934,718
	940,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		688,394

				54,161,220

		Other REITs — 0.1%
	2,735,000	EPR Properties, 3.600%, 11/15/2031		2,132,918

		Paper — 0.0%
	750,000	WestRock MWV LLC, 7.950%, 2/15/2031		849,442

		Pharmaceuticals — 2.4%
	16,925,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		10,073,760
	9,205,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		3,912,125
		Pharmaceuticals — continued
	765,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		330,771
	1,309,000	Grifols Escrow Issuer SA, 4.750%, 10/15/2028, 144A		1,136,055
	7,750,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		6,887,185
	4,695,000	Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR)		5,212,739
	3,990,000	Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR)		4,497,446
	21,480,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		14,119,410
	7,360,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		6,808,533
	8,725,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		7,914,454
	7,055,000	Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029		7,270,403
	5,070,000	Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031		5,313,771

				73,476,652

		Property & Casualty Insurance — 0.3%
	12,510,000	MBIA Insurance Corp., 3 mo. USD LIBOR + 11.260%, 16.520%, 1/15/2033, 144A(e)		375,300
	10,900,000	Stewart Information Services Corp., 3.600%, 11/15/2031		8,368,828

				8,744,128

		Restaurants — 0.3%
	8,625,000	Yum! Brands, Inc., 4.625%, 1/31/2032		7,791,295

		Retailers — 0.6%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,332,381
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,527,225
	9,430,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		8,218,528
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		6,022,627

				19,100,761

		Supermarkets — 0.1%
	2,016,000	Safeway, Inc., 7.250%, 2/01/2031		2,086,560

		Technology — 5.7%
	10,205,000	Avnet, Inc., 5.500%, 6/01/2032		9,689,605
	3,850,000	Block, Inc., 3.500%, 6/01/2031		3,188,655
	3,800,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		2,914,771
	8,435,000	Broadcom, Inc., 4.150%, 11/15/2030		7,760,615
	1,805,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		1,546,585
	9,070,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		7,653,447
	15,295,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		10,646,333
	14,915,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		11,758,996
	13,035,000	Entegris Escrow Corp., 4.750%, 4/15/2029, 144A		12,100,731
	1,215,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		1,064,049
	1,475,000	Global Payments, Inc., 2.900%, 11/15/2031		1,199,932
	2,290,000	Global Payments, Inc., 5.300%, 8/15/2029		2,231,041
	4,965,000	Global Payments, Inc., 5.400%, 8/15/2032		4,838,079
	8,790,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		7,868,248
	6,630,000	Leidos, Inc., 5.750%, 3/15/2033		6,586,533
	9,070,000	Micron Technology, Inc., 5.875%, 2/09/2033		9,024,676

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	24,180,000	Micron Technology, Inc., 5.875%, 9/15/2033	$	23,960,762
	12,925,000	Micron Technology, Inc., 6.750%, 11/01/2029		13,435,426
	5,050,000	MSCI, Inc., 3.250%, 8/15/2033, 144A		4,067,061
	2,735,000	Open Text Corp., 6.900%, 12/01/2027, 144A		2,784,312
	12,565,000	Oracle Corp., 3.950%, 3/25/2051		9,500,675
	5,200,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		4,629,479
	5,235,000	VMware, Inc., 2.200%, 8/15/2031		4,113,663
	3,725,000	Western Digital Corp., 2.850%, 2/01/2029		2,976,158
	7,515,000	Western Digital Corp., 4.750%, 2/15/2026		7,158,170

				172,698,002

		Transportation Services — 0.5%
	6,825,000	ERAC USA Finance LLC, 4.900%, 5/01/2033, 144A		6,669,061
	8,690,000	Rand Parent LLC, 8.500%, 2/15/2030, 144A		7,868,187

				14,537,248

		Treasuries — 11.6%
	116,724,000,000	Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR)		7,934,663
	165,275,000	Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR)		7,183,101
	55,170,000	U.S. Treasury Bonds, 2.250%, 2/15/2052		39,868,945
	23,325,000	U.S. Treasury Bonds, 3.250%, 5/15/2042		20,813,918
		Treasuries — continued
	26,205,000	U.S. Treasury Bonds, 3.875%, 2/15/2043		25,549,875
	12,675,000	U.S. Treasury Notes, 0.250%, 9/30/2023		12,520,945
	126,275,000	U.S. Treasury Notes, 0.500%, 11/30/2023		123,788,961
	71,835,000	U.S. Treasury Notes, 0.875%, 1/31/2024(h)		69,980,198
	45,765,000	U.S. Treasury Notes, 1.500%, 2/29/2024		44,588,697

				352,229,303
		Wireless — 2.7%
	10,420,000	Crown Castle, Inc., 5.100%, 5/01/2033		10,239,571
	10,875,000	CT Trust, 5.125%, 2/03/2032, 144A		8,755,354
	15,290,000	HTA Group Ltd., 7.000%, 12/18/2025		14,439,876
	6,140,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		5,344,256
	6,140,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		5,007,416
	7,228,000	IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A		6,581,383
	9,110,000	SBA Communications Corp., 3.125%, 2/01/2029		7,722,138
	8,849,000	SoftBank Group Corp., 4.625%, 7/06/2028		7,647,306
	4,091,000	SoftBank Group Corp., 5.250%, 7/06/2031		3,509,489
	9,360,000	Sprint Capital Corp., 8.750%, 3/15/2032		11,312,561

				80,559,350

		Wirelines — 0.3%
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		286,741
	490,000	Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A		274,140
	3,409,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		2,749,199
	6,640,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		5,632,780

				8,942,860

		Total Non-Convertible Bonds (Identified Cost $2,750,218,630)		2,310,408,861


	Convertible Bonds — 6.6%
		Airlines — 0.6%
	16,795,000	Southwest Airlines Co., 1.250%, 5/01/2025		19,255,467

		Cable Satellite — 2.1%
	125,670,000	DISH Network Corp., 3.375%, 8/15/2026		63,777,525

		Consumer Cyclical Services — 0.5%
	455,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.571%, 2/15/2026(d)		345,058
	13,205,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(d)		12,105,156
	1,200,000	Zillow Group, Inc., 1.375%, 9/01/2026		1,509,000

				13,959,214

		Consumer Products — 0.1%
	4,590,000	Beauty Health Co., 1.250%, 10/01/2026, 144A		3,600,281

		Electric — 0.2%
	7,785,000	PPL Capital Funding, Inc., 2.875%, 3/15/2028, 144A		7,434,675

		Gaming — 0.1%
	2,195,000	Penn Entertainment, Inc., 2.750%, 5/15/2026		2,719,605

		Healthcare — 1.0%
	4,105,000	Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A		5,318,405
	32,010,000	Teladoc Health, Inc., 1.250%, 6/01/2027		25,447,950

				30,766,355

		Leisure — 0.2%
	6,465,000	NCL Corp. Ltd., 1.125%, 2/15/2027		5,945,731

		Media Entertainment — 0.3%
	5,645,000	Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(d)		4,177,300
	5,100,000	Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(d)		4,332,450

				8,509,750

		Pharmaceuticals — 0.9%
	4,890,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		4,803,291
	20,960,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		21,071,190

				25,874,481

		Technology — 0.6%
	880,000	Nutanix, Inc., 0.250%, 10/01/2027		744,150
	9,590,000	Splunk, Inc., 1.125%, 6/15/2027		8,271,375
	8,430,000	Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(d)		6,731,355
	1,215,000	Wolfspeed, Inc., 0.250%, 2/15/2028		930,690
	2,350,000	Wolfspeed, Inc., 1.875%, 12/01/2029, 144A		1,811,850

				18,489,420

		Total Convertible Bonds (Identified Cost $285,409,853)		200,332,504


	Municipals — 2.0%
		Virginia — 2.0%
	62,985,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $62,979,687)		59,611,580

		Total Bonds and Notes (Identified Cost $3,098,608,170)		2,570,352,945


	Senior Loans – 0.4%
		Consumer Cyclical Services — 0.1%
	4,059,600	Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.018%, 3/03/2030(i)(j)		4,056,351

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Leisure — 0.2%
$	3,193,788	Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.467%, 10/18/2028(f)(k)	$	3,161,850
	4,143,641	Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(f)(k)		4,134,567

				7,296,417

		Property & Casualty Insurance — 0.1%
	2,235,000	HUB International Ltd., 2023 Term Loan B, 6/20/2030(l)		2,239,045

		Total Senior Loans (Identified Cost $13,506,155)		13,591,813


	Collateralized Loan Obligations — 4.4%
	6,730,000	522 Funding CLO Ltd., Series 2018-3A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.350%, 10/20/2031, 144A(f)		6,372,920
	4,475,000	AGL CLO 12 Ltd., Series 2021-12A, Class B, 3 mo. USD LIBOR + 1.600%, 6.850%, 7/20/2034, 144A(f)		4,346,192
	4,955,000	AGL CLO 12 Ltd., Series 2021-12A, Class D, 3 mo. USD LIBOR + 2.850%, 8.100%, 7/20/2034, 144A(f)		4,593,662
	1,245,000	AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.360%, 7/15/2034, 144A(f)		1,160,987
	4,390,000	AIG CLO LLC, Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.950%, 8.223%, 4/22/2034, 144A(f)		4,064,148
	3,780,000	AIG CLO LLC, Series 2021-2A, Class D, 3 mo. USD LIBOR + 3.050%, 8.300%, 7/20/2034, 144A(f)		3,503,104
	2,675,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD LIBOR + 3.000%, 8.260%, 10/15/2034, 144A(f)		2,496,195
	3,025,000	Bain Capital Credit CLO Ltd., Series 2017-2A, Class DR2, 3 mo. USD LIBOR + 3.100%, 8.355%, 7/25/2034, 144A(f)		2,844,649
	890,000	Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3 mo. USD LIBOR + 1.400%, 6.779%, 11/20/2030, 144A(f)		867,102
	1,505,000	Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3 mo. USD LIBOR + 3.000%, 8.260%, 1/17/2032, 144A(f)		1,424,764
	3,530,000	CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD LIBOR + 2.950%, 8.200%, 7/20/2032, 144A(f)		3,386,057
	3,095,000	CIFC Funding Ltd., Series 2021-5A, Class D, 3 mo. USD LIBOR + 3.250%, 8.510%, 7/15/2034, 144A(f)		2,926,189
	4,775,000	Crown City CLO I, Series 2020-1A, Class CR, 3 mo. USD LIBOR + 3.420%, 8.670%, 7/20/2034, 144A(f)		4,313,541
	5,230,000	Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.350%, 10/20/2034, 144A(f)		5,056,002
	2,890,000	Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD LIBOR + 2.850%, 8.100%, 1/20/2034, 144A(f)		2,783,074
	980,000	LCM 30 Ltd., Series 30A, Class CR, 3 mo. USD LIBOR + 2.000%, 7.250%, 4/20/2031, 144A(f)		926,839
	Collateralized Loan Obligations — continued
	2,965,000	LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD LIBOR + 3.000%, 8.250%, 4/20/2031, 144A(f)		2,714,253
	10,665,000	Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3 mo. USD LIBOR + 3.200%, 8.492%, 7/27/2031, 144A(f)		10,206,117
	990,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(f)		957,368
	6,010,000	Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.650%, 6.910%, 7/15/2034, 144A(f)		5,856,871
	8,055,000	OCP CLO Ltd., Series 2019-17A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.350%, 7/20/2032, 144A(f)		7,444,670
	7,155,000	Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 3.150%, 8.410%, 7/15/2034, 144A(f)		6,690,276
	3,125,000	Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD LIBOR + 3.300%, 8.560%, 7/15/2036, 144A(f)		2,677,016
	8,250,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD LIBOR + 1.650%, 6.900%, 7/02/2035, 144A(f)		8,038,643
	6,450,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 2.900%, 8.150%, 7/02/2035, 144A(f)		6,176,738
	9,695,000	Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3 mo. USD LIBOR + 1.500%, 6.760%, 10/17/2031, 144A(f)		9,446,944
	970,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD LIBOR + 1.700%, 7.079%, 5/21/2034, 144A(f)		946,245
	7,615,000	Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3 mo. USD LIBOR + 2.850%, 8.229%, 5/21/2034, 144A(f)		7,043,182
	12,510,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3 mo. USD LIBOR + 6.050%, 11.310%, 10/15/2034, 144A(f)		12,058,589
	400,000	THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3 mo. USD LIBOR + 2.950%, 8.200%, 1/20/2031, 144A(f)		364,669
	1,540,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD LIBOR + 3.750%, 9.000%, 10/20/2034, 144A(f)		1,444,223

		Total Collateralized Loan Obligations (Identified Cost $140,547,561)		133,131,229


Shares
	Common Stocks — 2.9%
		Aerospace & Defense — 0.1%
	3,238	Lockheed Martin Corp.		1,490,710

		Air Freight & Logistics — 0.1%
	10,294	United Parcel Service, Inc., Class B		1,845,200

		Banks — 0.0%
	5,116	JPMorgan Chase & Co.		744,071

		Beverages — 0.1%
	24,852	Coca-Cola Co.		1,496,587

		Biotechnology — 0.1%
	13,337	AbbVie, Inc.		1,796,894

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Shares		Description	Value (†)
		Capital Markets — 0.1%
	1,138	BlackRock, Inc.	$	786,517
	12,824	Morgan Stanley		1,095,170

				1,881,687

		Chemicals — 0.0%
	1,911	Linde PLC		728,244

		Communications Equipment — 0.0%
	10,176	Cisco Systems, Inc.		526,506

		Consumer Staples Distribution & Retail — 0.1%
	1,349	Costco Wholesale Corp.		726,275
	7,641	Walmart, Inc.		1,201,012

				1,927,287

		Containers & Packaging — 0.0%
	3,861	Packaging Corp. of America		510,270

		Diversified REITs — 0.1%
	170,849	NexPoint Diversified Real Estate Trust		2,139,029

		Electric Utilities — 0.0%
	9,470	Duke Energy Corp.		849,838
	3,301	NextEra Energy, Inc.		244,934

				1,094,772

		Electrical Equipment — 0.0%
	7,343	Emerson Electric Co.		663,734

		Financial Services — 0.0%
	1,853	Mastercard, Inc., Class A		728,785

		Ground Transportation — 0.0%
	4,984	Union Pacific Corp.		1,019,826

		Health Care Equipment & Supplies — 0.0%
	11,183	Abbott Laboratories		1,219,171

		Health Care Providers & Services — 0.1%
	3,065	Elevance Health, Inc.		1,361,749
	2,854	UnitedHealth Group, Inc.		1,371,746

				2,733,495

		Hotels, Restaurants & Leisure — 0.1%
	15,432	Starbucks Corp.		1,528,694

		Household Products — 0.1%
	10,459	Procter & Gamble Co.		1,587,049

		IT Services — 0.0%
	3,560	Accenture PLC, Class A		1,098,545

		Life Sciences Tools & Services — 0.0%
	1,868	Thermo Fisher Scientific, Inc.		974,629

		Machinery — 0.1%
	2,901	Cummins, Inc.		711,209
	3,280	Deere & Co.		1,329,023

				2,040,232

		Media — 0.2%
	1,317,588	Altice USA, Inc., Class A(e)		3,979,116
	43,054	Comcast Corp., Class A		1,788,893
	461,939	iHeartMedia, Inc., Class A(e)		1,681,458

				7,449,467

		Metals & Mining — 0.0%
	29,257	Newmont Corp.		1,248,104

		Oil, Gas & Consumable Fuels — 1.1%
	9,229	Battalion Oil Corp.(e)		52,698
	166,156	Canadian Natural Resources Ltd.		9,347,937
	3,866	Devon Energy Corp.		186,882
	88,672	Diamondback Energy, Inc.		11,647,954
	51,935	EOG Resources, Inc.		5,943,441
	20,854	Pioneer Natural Resources Co.		4,320,532
	30,545	Williams Cos., Inc.		996,683

				32,496,127

		Pharmaceuticals — 0.1%
	19,831	Bristol-Myers Squibb Co.		1,268,192
	8,526	Johnson & Johnson		1,411,224
	1,813	Merck & Co., Inc.		209,202

				2,888,618

		Professional Services — 0.0%
	5,336	Clarivate PLC(e)		50,852

		Semiconductors & Semiconductor Equipment — 0.2%
	2,524	Broadcom, Inc.		2,189,394
	18,448	Microchip Technology, Inc.		1,652,756
	13,480	QUALCOMM, Inc.		1,604,659

				5,446,809

		Software — 0.1%
	6,546	Microsoft Corp.		2,229,175

		Specialized REITs — 0.0%
	6,535	American Tower Corp.		1,267,398

		Specialty Retail — 0.0%
	4,198	Home Depot, Inc.		1,304,067

		Technology Hardware, Storage & Peripherals — 0.1%
	8,581	Apple, Inc.		1,664,457
	23,768	IQOR U.S., Inc.(e)		15,853

				1,680,310

		Trading Companies & Distributors — 0.0%
	12,953	Fastenal Co.		764,097

		Total Common Stocks (Identified Cost $123,842,148)		86,600,441


	Preferred Stocks — 1.7%
	Convertible Preferred Stocks — 1.3%
		Banking — 0.7%
	11,789	Bank of America Corp., Series L, 7.250%		13,814,586
	7,500	Wells Fargo & Co., Series L, Class A, 7.500%		8,640,000

				22,454,586

		Midstream — 0.4%
	238,087	El Paso Energy Capital Trust I, 4.750%		11,059,141

		Technology — 0.2%
	121,037	Clarivate PLC, Series A, 5.250%		4,968,569

		Total Convertible Preferred Stocks (Identified Cost $48,281,965)		38,482,296


	Non-Convertible Preferred Stocks — 0.4%
		Home Construction — 0.1%
	208,246	Hovnanian Enterprises, Inc., 7.625%		3,724,480

		Office REITs — 0.1%
	1,596	Highwoods Properties, Inc., Series A, 8.625%(g)		1,527,667

		Other REITs — 0.2%
	116,192	Prologis, Inc., Series Q, 8.540%		6,570,658

		Total Non-Convertible Preferred Stocks (Identified Cost $8,332,903)		11,822,805

		Total Preferred Stocks (Identified Cost $56,614,868)		50,305,101

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 3.6%
$	71,703,892	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $71,717,636 on 7/03/2023 collateralized by $77,670,600 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $73,138,041 including accrued interest (Note 2 of Notes to Financial Statements)	$	71,703,892
	15,625,000	U.S. Treasury Bills, 5.101%, 12/14/2023(m)		15,253,200
	23,455,000	U.S. Treasury Bills, 5.205%, 11/30/2023(m)		22,946,939

		Total Short-Term Investments (Identified Cost $109,900,910)		109,904,031

		Total Investments — 98.0% (Identified Cost $3,543,019,812)		2,963,885,560
		Other assets less liabilities — 2.0%		61,410,504

		Net Assets — 100.0%	$	3,025,296,064


	(†)	See Note 2 of Notes to Financial Statements.
	(‡)	Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
	(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 June 30, 2023 is disclosed.
	(b)	Perpetual bond with no specified maturity date.
	(c)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(d)	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.
	(e)	Non-income producing security.
	(f)	Variable rate security. Rate as of June 30, 2023 is disclosed.
	(g)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(h)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(i)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2023. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.
	(j)	Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.00%, to which the spread is added.
	(k)	Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added.
	(l)	Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(m)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	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 June 30, 2023, the value of Rule 144A holdings amounted to $1,307,599,182 or 43.2% of net assets.
	ABS	Asset-Backed Securities
	LIBOR	London Interbank Offered Rate
	MBIA	Municipal Bond Investors Assurance Corp.
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	SOFR	Secured Overnight Financing Rate
	EUR	Euro
	IDR	Indonesian Rupiah
	ZAR	South African Rand

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of June 30, 2023 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

At June 30, 2023, 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.	9/20/2023		EUR	$	8,149,000	$	8,825,937	$	8,926,192	$	(100,255	)

At June 30, 2023, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOT 2 Year U.S. Treasury Notes Futures		9/29/2023		916	$	188,224,338	$	186,262,875	$	(1,961,463	)
CBOT 5 Year U.S. Treasury Notes Futures		9/29/2023		1,256		136,263,116		134,509,750		(1,753,366	)
CBOT U.S. Long Bond Futures		9/20/2023		4,129		520,536,762		523,995,906		3,459,144

Total									$	(255,685	)

At June 30, 2023, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
CME Ultra Long Term U.S. Treasury Bond Futures		9/20/2023		2	$	267,668	$	272,437	$	(4,769	)
Ultra 10 Year U.S. Treasury Notes Futures		9/20/2023		1,594		189,582,287		188,789,375		792,912

Total									$	788,143

Industry Summary at June 30, 2023 (Unaudited)


Treasuries	11.6	%
Cable Satellite	7.5
Technology	6.5
Finance Companies	5.8
Banking	4.9
ABS Home Equity	4.5
Independent Energy	4.0
Pharmaceuticals	3.4
Consumer Cyclical Services	2.8
Wireless	2.7
Airlines	2.4
Metals & Mining	2.2
Media Entertainment	2.1
Tobacco	2.0
Other Investments, less than 2% each	27.6
Collateralized Loan Obligations	4.4
Short-Term Investments	3.6

Total Investments	98.0
Other assets less liabilities (including forward foreign currency and futures contracts)	2.0

Net Assets	100.0	%

See accompanying notes to financial statements.

| 60

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
ASSETS
Investments at cost	$	59,053,909		$	8,913,449,331		$	863,071,045		$	3,543,019,812
Net unrealized depreciation		(13,858,815	)		(509,923,886	)		(141,871,687	)		(579,134,252	)

Investments at value		45,195,094			8,403,525,445			721,199,358			2,963,885,560
Cash		26,985			1,065,500			60,687			1,655,483
Due from brokers (Note 2)		120,000			6,160,000			11,670,966			34,415,000
Foreign currency at value (identified cost $285, $0, $1,791,040 and $0, respectively)		286			—			1,776,560			—
Receivable for Fund shares sold		1,079			45,177,140			904,694			2,343,722
Receivable for securities sold		235,465			8,976,354			1,559,980			3,226,363
Dividends and interest receivable		711,393			64,546,299			7,795,170			33,464,308
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			97,297			—
Tax reclaims receivable		—			70,006			—			19,109
Receivable for variation margin on futures contracts (Note 2)		—			7,673,886			1,640,303			2,592,465
Prepaid expenses (Note 8)		305			2,992			582			1,458

TOTAL ASSETS		46,290,607			8,537,197,622			746,705,597			3,041,603,468

LIABILITIES
Options written, at value (premiums received $0, $0, $44,920 and $0, respectively) (Note 2)		—			—			53,711			—
Payable for securities purchased		482,306			2,321,108			2,414,799			9,052,472
Payable for Fund shares redeemed		34,623			12,505,379			1,487,440			3,383,409
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			528,025			100,255
Payable for variation margin on centrally cleared swap agreements (Note 2)		—			—			438,602			—
Foreign taxes payable (Note 2)		—			—			2,665			10,403
Management fees payable (Note 6)		9,997			2,372,596			360,223			1,341,644
Deferred Trustees’ fees (Note 6)		211,789			1,213,079			344,182			1,935,469
Administrative fees payable (Note 6)		1,733			317,717			28,811			115,883
Payable to distributor (Note 6d)		620			57,372			6,039			31,424
Audit and tax services fees payable		29,820			34,600			49,589			33,590
Other accounts payable and accrued expenses		31,137			389,713			74,474			302,855

TOTAL LIABILITIES		802,025			19,211,564			5,788,560			16,307,404

NET ASSETS	$	45,488,582		$	8,517,986,058		$	740,917,037		$	3,025,296,064

NET ASSETS CONSIST OF:
Paid-in capital	$	81,145,415		$	9,178,365,264		$	928,739,504		$	4,009,388,555
Accumulated loss		(35,656,833	)		(660,379,206	)		(187,822,467	)		(984,092,491	)

NET ASSETS	$	45,488,582		$	8,517,986,058		$	740,917,037		$	3,025,296,064

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	16,371,205		$	691,111,170		$	24,854,945		$	1,013,730,126

Shares of beneficial interest		4,695,373			71,293,350			2,734,156			87,090,815

Net asset value and redemption price per share	$	3.49		$	9.69		$	9.09		$	11.64

Offering price per share (100/95.75 of net asset value) (Note 1)	$	3.64		$	10.12		$	9.49		$	12.16

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,002,849		$	63,749,934		$	2,595,993		$	41,304,565

Shares of beneficial interest		286,262			6,664,454			286,088			3,502,821

Net asset value and offering price per share	$	3.50		$	9.57		$	9.07		$	11.79

Class N shares:
Net assets	$	135,934		$	1,081,274,827		$	130,561,732		$	210,599,335

Shares of beneficial interest		38,971			111,541,890			14,401,040			18,116,597

Net asset value, offering and redemption price per share	$	3.49		$	9.69		$	9.07		$	11.62

Class Y shares:
Net assets	$	27,978,594		$	6,552,352,777		$	582,904,367		$	1,692,704,707

Shares of beneficial interest		8,034,971			675,440,517			64,327,134			145,642,052

Net asset value, offering and redemption price per share	$	3.48		$	9.70		$	9.06		$	11.62

Admin Class shares:
Net assets	$	—		$	129,497,350		$	—		$	66,957,331

Shares of beneficial interest		—			13,401,778			—			5,775,805

Net asset value, offering and redemption price per share	$	—		$	9.66		$	—		$	11.59

See accompanying notes to financial statements.

61 |

Statements of Operations

For the Six Months Ended June 30, 2023 (Unaudited)


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
INVESTMENT INCOME
Interest	$	2,224,983		$	176,145,932		$	20,736,207		$	83,434,023
Dividends		19,667			1,504,551			332,362			3,537,482
Less net foreign taxes withheld		—			—			(8,438	)		(44,452	)

		2,244,650			177,650,483			21,060,131			86,927,053

Expenses
Management fees (Note 6)		209,319			15,733,373			2,402,066			9,198,464
Service and distribution fees (Note 6)		27,841			1,447,939			48,626			1,710,813
Administrative fees (Note 6)		16,172			1,822,556			185,509			729,014
Trustees’ fees and expenses (Note 6)		18,432			221,720			34,420			145,264
Transfer agent fees and expenses (Notes 6 and 7)		44,313			2,746,901			256,339			1,317,424
Audit and tax services fees		27,669			33,604			45,969			33,331
Custodian fees and expenses		7,944			108,299			19,108			40,968
Legal fees		2,205			143,797			18,004			68,509
Registration fees		30,408			217,725			39,699			81,322
Shareholder reporting expenses		14,494			227,384			28,456			114,199
Miscellaneous expenses		21,247			147,350			39,499			63,459

Total expenses		420,044			22,850,648			3,117,695			13,502,767
Less waiver and/or expense reimbursement (Note 6)		(130,370	)		(2,436,683	)		(93,372	)		(992,115	)

Net expenses		289,674			20,413,965			3,024,323			12,510,652

Net investment income		1,954,976			157,236,518			18,035,808			74,416,401

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(8,361,820	)		(44,419,493	)		(11,271,690	)		(62,052,883	)
Futures contracts		—			(42,686,357	)		(1,243,636	)		(5,071,467	)
Options written		—			—			(866,696	)		—
Swap agreements		65,714			—			(3,111,320	)		1,521,476
Forward foreign currency contracts (Note 2d)		—			—			535,889			(29,866	)
Foreign currency transactions (Note 2c)		—			—			(401,872	)		(51,268	)
Net change in unrealized appreciation (depreciation) on:
Investments		10,248,439			113,620,396			14,782,636			65,500,030
Futures contracts		—			(4,882,910	)		(3,170,690	)		2,502,495
Options written		—			—			(10,212	)		—
Swap agreements		(46,299	)		—			446,239			(1,408,729	)
Forward foreign currency contracts (Note 2d)		—			—			(45,120	)		(100,255	)
Foreign currency translations (Note 2c)		—			—			(51,939	)		(4,771	)

Net realized and unrealized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		1,906,034			21,631,636			(4,408,411	)		804,762

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,861,010		$	178,868,154		$	13,627,397		$	75,221,163

See accompanying notes to financial statements.

| 62

Statements of Changes in Net Assets


	High Income Fund						Investment Grade Bond Fund
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022
FROM OPERATIONS:
Net investment income	$	1,954,976		$	6,867,106		$	157,236,518		$	184,492,490
Net realized loss on investments, futures contracts and swap agreements		(8,296,106	)		(4,918,470	)		(87,105,850	)		(46,274,623	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and swap agreements		10,202,140			(21,965,553	)		108,737,486			(880,081,987	)

Net increase (decrease) in net assets resulting from operations		3,861,010			(20,016,917	)		178,868,154			(741,864,120	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(549,598	)		(998,449	)		(12,241,874	)		(19,585,504	)
Class C		(30,906	)		(62,092	)		(917,011	)		(1,336,410	)
Class N		(4,440	)		(6,400	)		(24,453,696	)		(43,794,588	)
Class Y		(1,491,807	)		(6,340,611	)		(116,002,979	)		(128,714,138	)
Admin Class		—			—			(2,176,074	)		(3,388,543	)

Total distributions		(2,076,751	)		(7,407,552	)		(155,791,634	)		(196,819,183	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(73,776,794	)		17,577,667			1,492,139,839			1,535,258,308

Net increase (decrease) in net assets		(71,992,535	)		(9,846,802	)		1,515,216,359			596,575,005
NET ASSETS
Beginning of the period		117,481,117			127,327,919			7,002,769,699			6,406,194,694

End of the period	$	45,488,582		$	117,481,117		$	8,517,986,058		$	7,002,769,699

See accompanying notes to financial statements.

63 |

Statements of Changes in Net Assets (continued)


	Strategic Alpha Fund						Strategic Income Fund
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022
FROM OPERATIONS:
Net investment income	$	18,035,808		$	42,049,297		$	74,416,401		$	144,958,020
Net realized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		(16,359,325	)		(13,794,522	)		(65,684,008	)		(35,302,562	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations		11,950,914			(134,982,810	)		66,488,770			(719,640,678	)

Net increase (decrease) in net assets resulting from operations		13,627,397			(106,728,035	)		75,221,163			(609,985,220	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(539,216	)		(1,245,882	)		(24,106,736	)		(70,707,641	)
Class C		(46,269	)		(97,863	)		(875,568	)		(3,314,576	)
Class N		(3,038,770	)		(9,392,363	)		(5,461,130	)		(14,593,929	)
Class Y		(13,278,553	)		(28,940,367	)		(42,857,511	)		(135,878,926	)
Admin Class		—			—			(1,495,396	)		(4,238,815	)

Total distributions		(16,902,808	)		(39,676,475	)		(74,796,341	)		(228,733,887	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(103,419,540	)		(466,833,178	)		(201,037,008	)		(1,002,949,085	)

Net decrease in net assets		(106,694,951	)		(613,237,688	)		(200,612,186	)		(1,841,668,192	)
NET ASSETS
Beginning of the period		847,611,988			1,460,849,676			3,225,908,250			5,067,576,442

End of the period	$	740,917,037		$	847,611,988		$	3,025,296,064		$	3,225,908,250

See accompanying notes to financial statements.

| 64

Financial Highlights

For a share outstanding throughout each period.


	High Income Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	3.50		$	4.29		$	4.35		$	4.25		$	3.99		$	4.25		$	4.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.19			0.17			0.20			0.20			0.05			0.20
Net realized and unrealized gain (loss)		0.00	(b)		(0.77	)		(0.05	)		0.12	(c)		0.27			(0.24	)		(0.14	)

Total from Investment Operations		0.10			(0.58	)		0.12			0.32			0.47			(0.19	)		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(0.21	)		(0.18	)		(0.22	)		(0.21	)		(0.06	)		(0.18	)
Net realized capital gains		—			—			—			—			—			(0.01	)		—

Total Distributions		(0.11	)		(0.21	)		(0.18	)		(0.22	)		(0.21	)		(0.07	)		(0.18	)

Net asset value, end of the period	$	3.49		$	3.50		$	4.29		$	4.35		$	4.25		$	3.99		$	4.25

Total return(d)(e)		2.92	%(f)		(13.66	)%		2.87	%		8.16	%		11.94	%		(4.54	)%(f)		1.41	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	16,371		$	19,108		$	20,470		$	41,547		$	23,199		$	23,125		$	26,175
Net expenses(g)		1.00	%(h)		1.00	%		1.00	%		1.00	%		1.03	%(i)		1.05	%(h)		1.05	%
Gross expenses		1.37	%(h)		1.18	%		1.19	%		1.22	%		1.18	%		1.27	%(h)		1.16	%
Net investment income		5.48	%(h)		5.13	%		3.83	%		4.91	%		4.84	%		5.13	%(h)		4.73	%
Portfolio turnover rate		17	%		53	%		67	%		99	%(j)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

(b)	Amount rounds to less than $0.01 per share.

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

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

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

(f)	Periods less than one year are not annualized.

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

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

(i)	Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	3.51		$	4.31		$	4.37		$	4.27		$	4.00		$	4.27		$	4.38

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.16			0.14			0.17			0.17			0.05			0.17
Net realized and unrealized gain (loss)		0.01			(0.78	)		(0.05	)		0.12	(b)		0.28			(0.26	)		(0.13	)

Total from Investment Operations		0.09			(0.62	)		0.09			0.29			0.45			(0.21	)		0.04

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.18	)		(0.15	)		(0.19	)		(0.18	)		(0.05	)		(0.15	)
Net realized capital gains		—			—			—			—			—			(0.01	)		—

Total Distributions		(0.10	)		(0.18	)		(0.15	)		(0.19	)		(0.18	)		(0.06	)		(0.15	)

Net asset value, end of the period	$	3.50		$	3.51		$	4.31		$	4.37		$	4.27		$	4.00		$	4.27

Total return(c)(d)		2.52	%(e)		(14.50	)%		2.07	%		7.30	%		11.32	%		(4.95	)%(e)		0.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,003		$	1,182		$	1,795		$	2,933		$	3,836		$	5,351		$	6,248
Net expenses(f)		1.75	%(g)		1.75	%		1.75	%		1.75	%		1.78	%(h)		1.80	%(g)		1.80	%
Gross expenses		2.12	%(g)		1.93	%		1.94	%		1.97	%		1.93	%		2.02	%(g)		1.91	%
Net investment income		4.70	%(g)		4.34	%		3.14	%		4.24	%		4.11	%		4.38	%(g)		3.99	%
Portfolio turnover rate		17	%		53	%		67	%		99	%(i)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

(i)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	3.50		$	4.29		$	4.36		$	4.25		$	3.99		$	4.25		$	4.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.20			0.18			0.21			0.22			0.06			0.20
Net realized and unrealized gain (loss)		0.01			(0.77	)		(0.05	)		0.14	(b)		0.26			(0.25	)		(0.12	)

Total from Investment Operations		0.11			(0.57	)		0.13			0.35			0.48			(0.19	)		0.08

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.22	)		(0.20	)		(0.24	)		(0.22	)		(0.06	)		(0.19	)
Net realized capital gains		—			—			—			—			—			(0.01	)		—

Total Distributions		(0.12	)		(0.22	)		(0.20	)		(0.24	)		(0.22	)		(0.07	)		(0.19	)

Net asset value, end of the period	$	3.49		$	3.50		$	4.29		$	4.36		$	4.25		$	3.99		$	4.25

Total return(c)		3.07	%(d)		(13.40	)%		2.95	%		8.73	%		12.28	%		(4.47	)%(d)		1.96	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	136		$	132		$	105		$	14,783		$	11,977		$	10,417		$	10,338
Net expenses(e)		0.70	%(f)		0.70	%		0.70	%		0.70	%		0.72	%(g)		0.75	%(f)		0.75	%
Gross expenses		2.35	%(f)		1.80	%		0.86	%		0.88	%		0.82	%		0.89	%(f)		0.79	%
Net investment income		5.79	%(f)		5.46	%		4.10	%		5.28	%		5.13	%		5.45	%(f)		4.65	%
Portfolio turnover rate		17	%		53	%		67	%		99	%(h)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

(h)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	3.49		$	4.28		$	4.34		$	4.25		$	3.98		$	4.24		$	4.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.20			0.18			0.22			0.21			0.06			0.21
Net realized and unrealized gain (loss)		0.01			(0.77	)		(0.05	)		0.10	(b)		0.28			(0.25	)		(0.14	)

Total from Investment Operations		0.11			(0.57	)		0.13			0.32			0.49			(0.19	)		0.07

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.22	)		(0.19	)		(0.23	)		(0.22	)		(0.06	)		(0.19	)
Net realized capital gains		—			—			—			—			—			(0.01	)		—

Total Distributions		(0.12	)		(0.22	)		(0.19	)		(0.23	)		(0.22	)		(0.07	)		(0.19	)

Net asset value, end of the period	$	3.48		$	3.49		$	4.28		$	4.34		$	4.25		$	3.98		$	4.24

Total return(c)		3.05	%(d)		(13.47	)%		3.15	%		8.19	%		12.52	%		(4.49	)%(d)		1.68	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	27,979		$	97,059		$	104,957		$	53,456		$	108,315		$	97,585		$	127,699
Net expenses(e)		0.75	%(f)		0.75	%		0.75	%		0.75	%		0.77	%(g)		0.80	%(f)		0.80	%
Gross expenses		1.12	%(f)		0.93	%		0.95	%		0.98	%		0.93	%		1.02	%(f)		0.91	%
Net investment income		5.67	%(f)		5.39	%		4.16	%		5.32	%		5.07	%		5.39	%(f)		4.98	%
Portfolio turnover rate		17	%		53	%		67	%		99	%(h)		48	%		17	%		55	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%.

(h)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	9.63		$	11.22		$	11.65		$	11.33		$	10.77		$	10.98		$	11.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.28			0.26			0.32			0.35			0.08			0.30
Net realized and unrealized gain (loss)		0.06			(1.58	)		(0.26	)		0.94			0.58			(0.16	)		(0.28	)

Total from Investment Operations		0.24			(1.30	)		0.00	(b)		1.26			0.93			(0.08	)		0.02

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.28	)		(0.26	)		(0.32	)		(0.36	)		(0.08	)		(0.21	)
Net realized capital gains		—			(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.18	)		(0.29	)		(0.43	)		(0.94	)		(0.37	)		(0.13	)		(0.34	)

Net asset value, end of the period	$	9.69		$	9.63		$	11.22		$	11.65		$	11.33		$	10.77		$	10.98

Total return(c)(d)		2.48	%(e)		(11.62	)%		0.07	%		11.41	%		8.78	%		(0.66	)%(e)		0.19	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	691,111		$	641,311		$	793,271		$	872,976		$	772,485		$	721,110		$	777,391
Net expenses(f)		0.74	%(g)		0.75	%(h)		0.75	%		0.76	%(i)		0.77	%(j)		0.78	%(g)		0.80	%(k)
Gross expenses		0.81	%(g)		0.80	%		0.79	%		0.80	%		0.81	%		0.82	%(g)		0.82	%
Net investment income		3.76	%(g)		2.71	%		2.24	%		2.73	%		3.10	%		3.09	%(g)		2.73	%
Portfolio turnover rate		14	%		31	%		27	%		70	%(l)		44	%(m)		39	%(m)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

(b)	Amount rounds to less than $0.01 per share.

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

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%.

(i)	Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%.

(j)	Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

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

(l)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(m)

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

See accompanying notes to financial statements.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	9.51		$	11.07		$	11.51		$	11.20		$	10.65		$	10.86		$	11.19

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.20			0.17			0.23			0.26			0.06			0.22
Net realized and unrealized gain (loss)		0.06			(1.55	)		(0.26	)		0.93			0.58			(0.16	)		(0.28	)

Total from Investment Operations		0.20			(1.35	)		(0.09	)		1.16			0.84			(0.10	)		(0.06	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.20	)		(0.18	)		(0.23	)		(0.28	)		(0.06	)		(0.14	)
Net realized capital gains		—			(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.14	)		(0.21	)		(0.35	)		(0.85	)		(0.29	)		(0.11	)		(0.27	)

Net asset value, end of the period	$	9.57		$	9.51		$	11.07		$	11.51		$	11.20		$	10.65		$	10.86

Total return(b)(c)		2.14	%(d)		(12.26	)%		(0.70	)%		10.61	%		7.94	%		(0.86	)%(d)		(0.53	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	63,750		$	56,520		$	80,099		$	132,606		$	204,395		$	366,068		$	412,788
Net expenses(e)		1.49	%(f)		1.50	%(g)		1.50	%		1.51	%(h)		1.52	%(i)		1.53	%(f)		1.55	%(j)
Gross expenses		1.56	%(f)		1.55	%		1.54	%		1.55	%		1.56	%		1.57	%(f)		1.57	%
Net investment income		3.02	%(f)		1.94	%		1.50	%		2.01	%		2.35	%		2.34	%(f)		1.96	%
Portfolio turnover rate		14	%		31	%		27	%		70	%(k)		44	%(l)		39	%(l)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

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

(k)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l)

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	9.64		$	11.22		$	11.65		$	11.33		$	10.78		$	10.98		$	11.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.31			0.29			0.35			0.38			0.09			0.34
Net realized and unrealized gain (loss)		0.04			(1.57	)		(0.25	)		0.94			0.58			(0.15	)		(0.28	)

Total from Investment Operations		0.24			(1.26	)		0.04			1.29			0.96			(0.06	)		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.31	)		(0.30	)		(0.35	)		(0.40	)		(0.09	)		(0.25	)
Net realized capital gains		—			(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.19	)		(0.32	)		(0.47	)		(0.97	)		(0.41	)		(0.14	)		(0.38	)

Net asset value, end of the period	$	9.69		$	9.64		$	11.22		$	11.65		$	11.33		$	10.78		$	10.98

Total return		2.52	%(b)(c)		(11.26	)%(b)		0.37	%(b)		11.74	%(b)		9.11	%		(0.58	)%(c)		0.50	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,081,275		$	1,348,621		$	1,473,020		$	1,188,772		$	1,367,172		$	1,216,690		$	1,251,189
Net expenses		0.44	%(d)(e)		0.45	%(d)(f)		0.45	%(d)		0.46	%(d)(g)		0.47	%(h)		0.48	%(e)		0.47	%(i)
Gross expenses		0.47	%(e)		0.47	%		0.47	%		0.47	%		0.47	%		0.48	%(e)		0.47	%
Net investment income		4.04	%(e)		3.02	%		2.53	%		3.04	%		3.40	%		3.40	%(e)		3.05	%
Portfolio turnover rate		14	%		31	%		27	%		70	%(j)		44	%(k)		39	%(k)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

(c)	Periods less than one year are not annualized.

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

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

(f)	Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%.

(g)	Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%.

(h)	Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

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

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	9.64		$	11.22		$	11.66		$	11.34		$	10.78		$	10.99		$	11.31

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.30			0.29			0.35			0.37			0.09			0.33
Net realized and unrealized gain (loss)		0.05			(1.56	)		(0.27	)		0.94			0.59			(0.16	)		(0.28	)

Total from Investment Operations		0.25			(1.26	)		0.02			1.29			0.96			(0.07	)		0.05

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.31	)		(0.29	)		(0.35	)		(0.39	)		(0.09	)		(0.24	)
Net realized capital gains		—			(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.19	)		(0.32	)		(0.46	)		(0.97	)		(0.40	)		(0.14	)		(0.37	)

Net asset value, end of the period	$	9.70		$	9.64		$	11.22		$	11.66		$	11.34		$	10.78		$	10.99

Total return(b)		2.60	%(c)		(11.31	)%		0.24	%		11.68	%		9.04	%		(0.59	)%(c)		0.43	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	6,552,353		$	4,833,608		$	3,920,635		$	3,704,948		$	3,118,505		$	2,912,537		$	3,001,906
Net expenses(d)		0.49	%(e)		0.49	%(f)		0.50	%		0.51	%(g)		0.52	%(h)		0.53	%(e)		0.55	%(i)
Gross expenses		0.56	%(e)		0.55	%		0.54	%		0.55	%		0.56	%		0.57	%(e)		0.57	%
Net investment income		4.04	%(e)		3.01	%		2.49	%		2.98	%		3.35	%		3.35	%(e)		2.98	%
Portfolio turnover rate		14	%		31	%		27	%		70	%(j)		44	%(k)		39	%(k)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

(c)	Periods less than one year are not annualized.

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

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

(f)	Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%.

(g)	Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%.

(h)	Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

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

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

See accompanying notes to financial statements.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Admin Class
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018
Net asset value, beginning of the period	$	9.60		$	11.18		$	11.62		$	11.30		$	10.75		$	10.95		$	11.28

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.25			0.23			0.29			0.32			0.08			0.28
Net realized and unrealized gain (loss)		0.06			(1.56	)		(0.26	)		0.94			0.58			(0.15	)		(0.28	)

Total from Investment Operations		0.23			(1.31	)		(0.03	)		1.23			0.90			(0.07	)		0.00	(b)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.26	)		(0.24	)		(0.29	)		(0.34	)		(0.08	)		(0.20	)
Net realized capital gains		—			(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)

Total Distributions		(0.17	)		(0.27	)		(0.41	)		(0.91	)		(0.35	)		(0.13	)		(0.33	)

Net asset value, end of the period	$	9.66		$	9.60		$	11.18		$	11.62		$	11.30		$	10.75		$	10.95

Total return(c)		2.36	%(d)		(11.80	)%		(0.26	)%		11.17	%		8.43	%		(0.63	)%(d)		(0.07	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	129,497		$	122,710		$	139,169		$	125,460		$	111,439		$	111,864		$	115,301
Net expenses(e)		0.99	%(f)		1.00	%(g)		1.00	%		1.01	%(h)		1.02	%(i)		1.03	%(f)		1.02	%(j)(k)
Gross expenses		1.06	%(f)		1.05	%		1.04	%		1.05	%		1.06	%		1.07	%(f)		1.05	%(k)
Net investment income		3.51	%(f)		2.47	%		1.98	%		2.48	%		2.85	%		2.85	%(f)		2.56	%
Portfolio turnover rate		14	%		31	%		27	%		70	%(l)		44	%(m)		39	%(m)		3	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

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

(b)	Amount rounds to less than $0.01 per share.

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2022, the expense limit decreased from 1.00% to 0.99%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

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

(k)	Includes refund of prior year service fee of 0.02%.

(l)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(m)

See accompanying notes to financial statements.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	9.14		$	10.34		$	10.43		$	9.69		$	9.62		$	9.92

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.34			0.26			0.28			0.30			0.33
Net realized and unrealized gain (loss)		(0.06	)		(1.20	)		(0.15	)		0.67			0.04			(0.30	)

Total from Investment Operations		0.14			(0.86	)		0.11			0.95			0.34			0.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.34	)		(0.20	)		(0.21	)		(0.27	)		(0.33	)

Net asset value, end of the period	$	9.09		$	9.14		$	10.34		$	10.43		$	9.69		$	9.62

Total return(b)		1.53	%(c)(d)		(8.29	)%		1.07	%		9.97	%		3.58	%		0.39	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	24,855		$	29,797		$	41,765		$	36,067		$	48,815		$	36,528
Net expenses		1.00	%(e)(f)		1.00	%		0.97	%		0.99	%		0.99	%		1.00	%(g)
Gross expenses		1.03	%(f)		1.00	%		0.97	%		0.99	%		0.99	%		1.00	%(g)
Net investment income		4.25	%(f)		3.59	%		2.45	%		2.81	%		3.10	%		3.29	%
Portfolio turnover rate		18	%		46	%(h)		218	%(h)		498	%		414	%		379	%

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

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

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Includes fee/expense recovery of less than 0.01%.

(h)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	9.13		$	10.32		$	10.40		$	9.66		$	9.58		$	9.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.27			0.18			0.21			0.23			0.26
Net realized and unrealized gain (loss)		(0.07	)		(1.19	)		(0.15	)		0.66			0.04			(0.31	)

Total from Investment Operations		0.09			(0.92	)		0.03			0.87			0.27			(0.05	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.27	)		(0.11	)		(0.13	)		(0.19	)		(0.25	)

Net asset value, end of the period	$	9.07		$	9.13		$	10.32		$	10.40		$	9.66		$	9.58

Total return(b)		1.03	%(c)(d)		(8.90	)%		0.30	%		9.12	%		2.87	%(c)		(0.42	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,596		$	3,309		$	4,266		$	8,962		$	16,337		$	26,883
Net expenses		1.75	%(e)(f)		1.75	%		1.73	%		1.74	%		1.73	%(g)		1.75	%(h)
Gross expenses		1.78	%(f)		1.75	%		1.73	%		1.74	%		1.74	%		1.75	%(h)
Net investment income		3.50	%(f)		2.84	%		1.68	%		2.14	%		2.33	%		2.61	%
Portfolio turnover rate		18	%		46	%(i)		218	%(i)		498	%		414	%		379	%

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

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

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

(d)	Periods less than one year are not annualized.

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

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

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

(h)	Includes fee/expense recovery of less than 0.01%.

(i)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	9.12		$	10.32		$	10.41		$	9.67		$	9.60		$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.37			0.29			0.31			0.33			0.34
Net realized and unrealized gain (loss)		(0.06	)		(1.19	)		(0.15	)		0.67			0.04			(0.28	)

Total from Investment Operations		0.15			(0.82	)		0.14			0.98			0.37			0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.38	)		(0.23	)		(0.24	)		(0.30	)		(0.36	)

Net asset value, end of the period	$	9.07		$	9.12		$	10.32		$	10.41		$	9.67		$	9.60

Total return		1.68	%(b)		(8.00	)%		1.38	%		10.36	%		3.92	%		0.68	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	130,562		$	164,264		$	484,005		$	527,494		$	297,300		$	255,226
Net expenses		0.70	%(c)		0.69	%		0.67	%		0.68	%		0.67	%		0.70	%(d)
Gross expenses		0.70	%(c)		0.69	%		0.67	%		0.68	%		0.67	%		0.70	%(d)
Net investment income		4.55	%(c)		3.81	%		2.74	%		3.13	%		3.39	%		3.44	%
Portfolio turnover rate		18	%		46	%(e)		218	%(e)		498	%		414	%		379	%

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

(b)	Periods less than one year are not annualized.

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

(d)	Includes fee/expense recovery of 0.01%.

(e)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Net asset value, beginning of the period	$	9.12		$	10.31		$	10.41		$	9.67		$	9.59		$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.37			0.28			0.30			0.32			0.35
Net realized and unrealized gain (loss)		(0.07	)		(1.19	)		(0.15	)		0.68			0.06			(0.31	)

Total from Investment Operations		0.14			(0.82	)		0.13			0.98			0.38			0.04

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.37	)		(0.23	)		(0.24	)		(0.30	)		(0.35	)

Net asset value, end of the period	$	9.06		$	9.12		$	10.31		$	10.41		$	9.67		$	9.59

Total return		1.55	%(b)(c)		(7.97	)%		1.32	%		10.19	%		3.96	%		0.53	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	582,904		$	650,242		$	930,815		$	742,493		$	938,271		$	1,186,322
Net expenses		0.75	%(d)(e)		0.75	%		0.72	%		0.74	%		0.74	%		0.75	%(f)
Gross expenses		0.78	%(e)		0.75	%		0.72	%		0.74	%		0.74	%		0.75	%(f)
Net investment income		4.51	%(e)		3.83	%		2.70	%		3.05	%		3.33	%		3.51	%
Portfolio turnover rate		18	%		46	%(g)		218	%(g)		498	%		414	%		379	%

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

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

(c)	Periods less than one year are not annualized.

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

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

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class A
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.65		$	14.19		$	14.03		$	13.58		$	14.25		$	14.39		$	14.84

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.27			0.44			0.26			0.10			0.47			0.57			0.52
Net realized and unrealized gain (loss)		(0.01	)(b)		(2.24	)		0.27			0.63			(0.66	)		(0.16	)		(0.33	)

Total from Investment Operations		0.26			(1.80	)		0.53			0.73			(0.19	)		0.41			0.19

LESS DISTRIBUTIONS FROM:
Net investment income		(0.27	)		(0.74	)		(0.37	)		(0.16	)		(0.45	)		(0.48	)		(0.57	)
Net realized capital gains		—			—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.27	)		(0.74	)		(0.37	)		(0.28	)		(0.48	)		(0.55	)		(0.64	)

Net asset value, end of the period	$	11.64		$	11.65		$	14.19		$	14.03		$	13.58		$	14.25		$	14.39

Total return(c)		2.25	%(d)(e)		(12.80	)%(d)		3.85	%(d)		5.37	%(e)		(1.39	)%		3.02	%		1.34	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,013,730		$	1,067,151		$	1,512,939		$	1,682,562		$	1,683,547		$	1,835,813		$	1,986,300
Net expenses		0.94	%(f)(g)		0.95	%(f)(h)		0.96	%(f)(i)		0.97	%(g)		0.97	%(j)		0.96	%		0.96	%
Gross expenses		1.01	%(g)		0.98	%		0.97	%		0.97	%(g)		0.97	%		0.96	%		0.96	%
Net investment income		4.59	%(g)		3.45	%		1.85	%		2.78	%(g)		3.42	%		4.03	%		3.57	%
Portfolio turnover rate		14	%		23	%		99	%(k)		30	%(l)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2022, the expense limit decreased from 0.95% to 0.94%.

(i)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(k)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(l)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class C
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.80		$	14.36		$	14.18		$	13.72		$	14.39		$	14.52		$	14.97

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.23			0.34			0.16			0.07			0.38			0.47			0.41
Net realized and unrealized gain (loss)		(0.01	)(b)		(2.26	)		0.28			0.64			(0.68	)		(0.16	)		(0.33	)

Total from Investment Operations		0.22			(1.92	)		0.44			0.71			(0.30	)		0.31			0.08

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.64	)		(0.26	)		(0.13	)		(0.34	)		(0.37	)		(0.46	)
Net realized capital gains		—			—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.23	)		(0.64	)		(0.26	)		(0.25	)		(0.37	)		(0.44	)		(0.53	)

Net asset value, end of the period	$	11.79		$	11.80		$	14.36		$	14.18		$	13.72		$	14.39		$	14.52

Total return(c)		1.84	%(d)(e)		(13.48	)%(d)		3.13	%(d)		5.17	%(e)		(2.18	)%		2.27	%		0.60	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	41,305		$	52,977		$	120,091		$	259,780		$	277,896		$	676,602		$	1,153,853
Net expenses		1.69	%(f)(g)		1.70	%(f)(h)		1.71	%(f)(i)		1.72	%(g)		1.72	%(j)		1.71	%		1.71	%
Gross expenses		1.76	%(g)		1.73	%		1.72	%		1.72	%(g)		1.72	%		1.71	%		1.71	%
Net investment income		3.81	%(g)		2.62	%		1.12	%		2.04	%(g)		2.75	%		3.30	%		2.79	%
Portfolio turnover rate		14	%		23	%		99	%(k)		30	%(l)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2022, the expense limit decreased from 1.70% to 1.69%.

(i)	Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%.

(j)	Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(k)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(l)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class N
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.63		$	14.17		$	14.01		$	13.57		$	14.24		$	14.38		$	14.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29			0.47			0.31			0.11			0.52			0.61			0.56
Net realized and unrealized gain (loss)		(0.01	)(b)		(2.23	)		0.27			0.62			(0.66	)		(0.16	)		(0.32	)

Total from Investment Operations		0.28			(1.76	)		0.58			0.73			(0.14	)		0.45			0.24

LESS DISTRIBUTIONS FROM:
Net investment income		(0.29	)		(0.78	)		(0.42	)		(0.17	)		(0.50	)		(0.52	)		(0.62	)
Net realized capital gains		—			—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.29	)		(0.78	)		(0.42	)		(0.29	)		(0.53	)		(0.59	)		(0.69	)

Net asset value, end of the period	$	11.62		$	11.63		$	14.17		$	14.01		$	13.57		$	14.24		$	14.38

Total return		2.41	%(c)(d)		(12.55	)%		4.19	%		5.39	%(d)		(1.06	)%		3.37	%		1.67	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	210,599		$	220,229		$	280,661		$	247,697		$	212,804		$	202,989		$	176,456
Net expenses		0.64	%(e)(f)		0.64	%(g)		0.65	%(h)		0.65	%(f)		0.64	%(i)		0.63	%		0.63	%
Gross expenses		0.67	%(f)		0.64	%		0.65	%		0.65	%(f)		0.64	%		0.63	%		0.63	%
Net investment income		4.89	%(f)		3.77	%		2.17	%		3.13	%(f)		3.77	%		4.36	%		3.91	%
Portfolio turnover rate		14	%		23	%		99	%(j)		30	%(k)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

(d)	Periods less than one year are not annualized.

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

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

(g)	Effective July 1, 2022, the expense limit decreased from 0.65% to 0.64%.

(h)	Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%.

(i)	Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(j)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class Y
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.63		$	14.17		$	14.01		$	13.56		$	14.23		$	14.38		$	14.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.28			0.47			0.30			0.11			0.51			0.60			0.55
Net realized and unrealized gain (loss)		(0.00	)(b)(c)		(2.24	)		0.27			0.62			(0.66	)		(0.17	)		(0.32	)

Total from Investment Operations		0.28			(1.77	)		0.57			0.73			(0.15	)		0.43			0.23

LESS DISTRIBUTIONS FROM:
Net investment income		(0.29	)		(0.77	)		(0.41	)		(0.16	)		(0.49	)		(0.51	)		(0.61	)
Net realized capital gains		—			—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.29	)		(0.77	)		(0.41	)		(0.28	)		(0.52	)		(0.58	)		(0.68	)

Net asset value, end of the period	$	11.62		$	11.63		$	14.17		$	14.01		$	13.56		$	14.23		$	14.38

Total return		2.38	%(d)(e)		(12.60	)%(d)		4.12	%(d)		5.44	%(e)		(1.14	)%		3.22	%		1.66	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,692,705		$	1,816,763		$	3,058,635		$	3,693,954		$	3,774,113		$	4,316,010		$	5,118,016
Net expenses		0.69	%(f)(g)		0.70	%(f)(h)		0.71	%(f)(i)		0.72	%(g)		0.72	%(j)		0.71	%		0.71	%
Gross expenses		0.76	%(g)		0.73	%		0.72	%		0.72	%(g)		0.72	%		0.71	%		0.71	%
Net investment income		4.83	%(g)		3.68	%		2.10	%		3.03	%(g)		3.68	%		4.28	%		3.82	%
Portfolio turnover rate		14	%		23	%		99	%(k)		30	%(l)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

(c)	Amount rounds to less than $0.01 per share.

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2022, the expense limit decreased from 0.70% to 0.69%.

(i)	Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(k)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(l)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Admin Class
	Six Months Ended June 30, 2023 (Unaudited)			Year Ended December 31, 2022			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018
Net asset value, beginning of the period	$	11.60		$	14.14		$	13.97		$	13.53		$	14.20		$	14.34		$	14.79

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.40			0.23			0.09			0.44			0.53			0.48
Net realized and unrealized gain (loss)		(0.00	)(b)(c)		(2.23	)		0.28			0.62			(0.66	)		(0.16	)		(0.33	)

Total from Investment Operations		0.25			(1.83	)		0.51			0.71			(0.22	)		0.37			0.15

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.71	)		(0.34	)		(0.15	)		(0.42	)		(0.44	)		(0.53	)
Net realized capital gains		—			—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)

Total Distributions		(0.26	)		(0.71	)		(0.34	)		(0.27	)		(0.45	)		(0.51	)		(0.60	)

Net asset value, end of the period	$	11.59		$	11.60		$	14.14		$	13.97		$	13.53		$	14.20		$	14.34

Total return		2.14	%(d)(e)		(13.07	)%(d)		3.68	%(d)		5.24	%(e)		(1.64	)%		2.78	%		1.09	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	66,957		$	68,788		$	95,250		$	105,172		$	103,197		$	121,903		$	133,220
Net expenses		1.19	%(f)(g)		1.20	%(f)(h)		1.21	%(f)(i)		1.22	%(g)		1.22	%(j)		1.20	%(k)		1.20	%(k)
Gross expenses		1.26	%(g)		1.23	%		1.22	%		1.22	%(g)		1.22	%		1.20	%(k)		1.20	%(k)
Net investment income		4.34	%(g)		3.20	%		1.60	%		2.53	%(g)		3.19	%		3.80	%		3.33	%
Portfolio turnover rate		14	%		23	%		99	%(l)		30	%(m)		30	%		13	%		6	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

(c)	Amount rounds to less than $0.01 per share.

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

(e)	Periods less than one year are not annualized.

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

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

(h)	Effective July 1, 2022, the expense limit decreased from 1.20% to 1.19%.

(i)	Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

(k)	Includes refund of prior year service fee of 0.01%.

(l)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(m)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 82

Notes to Financial Statements

June 30, 2023 (Unaudited)

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

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (“High Income Fund”)

Loomis Sayles Investment Grade Bond Fund (“Investment Grade Bond Fund”)

Loomis Sayles Strategic Income Fund (“Strategic Income Fund”)

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (“Strategic Alpha Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

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

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Domestic, exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price.

83 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value (“NAV”) per share.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations (“CLOs”) are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

| 84

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

For the six months ended June 30, 2023, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:


Strategic Alpha Fund	$	1,108,435
Strategic Income Fund		52,184

d. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

e. Futures Contracts. A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

85 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

f. Option Contracts. A Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

g. Swap Agreements. A Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap

| 86

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

h. Swaptions. A Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption. Swaptions outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

i. Due from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund and Investment Grade Bond Fund represents cash pledged as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Income Fund represents cash pledged as collateral for forward foreign currency contracts and as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for options, and forward foreign currency contracts and as initial margin for centrally cleared swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

87 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

k. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, defaulted and/or non-income producing securities, distribution re-designations, deferred Trustees’ fees, return of capital distributions received, capital gain distributions received, swap adjustments and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted and/or non-income producing securities, swap adjustments, wash sales, futures contract mark-to-market, return of capital distributions received, capital gain distributions received, trust preferred securities, perpetual bond adjustments, corporate actions and foreign currency gains and losses. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2022 was as follows:


	2022 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Fund	$	7,407,552	$	—	$	7,407,552
Investment Grade Bond Fund		188,970,523		7,848,660		196,819,183
Strategic Alpha Fund		39,676,475		—		39,676,475
Strategic Income Fund		228,733,887		—		228,733,887

As of December 31, 2022, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(2,656,925	)	$	(14,154,589	)	$	(5,764,902	)	$	(40,712,873	)
Long-term:
No expiration date		(9,780,510	)		(36,976,259	)		(15,860,436	)		(256,973,935	)

Total capital loss carryforward	$	(12,437,435	)	$	(51,130,848	)	$	(21,625,338	)	$	(297,686,808	)

Late-year ordinary and post-October capital loss deferrals*	$	—		$	—		$	(354,313	)	$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses.

| 88

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

As of June 30, 2023, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Unrealized appreciation (depreciation)
Investments	$	(13,974,149	)	$	(532,085,879	)	$	(132,167,022	)	$	(588,681,691	)
Foreign currency translations		—			—			(15,023,100	)		(172,563	)

Total unrealized appreciation (depreciation)	$	(13,974,149	)	$	(532,085,879	)	$	(147,190,122	)	$	(588,854,254	)

As of June 30, 2023, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Federal tax cost	$	59,169,243		$	8,922,205,760		$	864,130,341		$	3,553,156,843

Gross tax appreciation	$	244,155		$	49,257,196		$	7,119,690		$	34,233,922
Gross tax depreciation		(14,218,304	)		(581,343,075	)		(153,830,344	)		(623,073,002	)

Net tax depreciation	$	(13,974,149	)	$	(532,085,879	)	$	(146,710,654	)	$	(588,839,080	)

The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.

l. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m. Loan Participations. A Fund’s investment in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

n. Collateralized Loan Obligations. A Fund may invest in CLOs. A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

o. Equity Linked Notes. Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal

89 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

p. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

q. When-Issued and Delayed Delivery Transactions. A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2023.

r. Stripped Securities. A Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

s. Unfunded Loan Commitments. A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments. Unfunded loan commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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

u. New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”) in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which was expected to occur no later than June 30,

| 90

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

2023. In January 2021, FASB issued Accounting Standard Update 2021-01 (“ASU 2021-01”), which is an update of ASU 2020-04. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation than LIBOR. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. In December 2022, FASB issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. As of June 30, 2023, LIBOR has ceased to be published on a representative basis, and will be replaced by an alternative reference rate at the next reset date subsequent to June 30, 2023 for all investments for which LIBOR is the current reference rate. Management has elected to apply the optional expedients when appropriate and account for such modifications by prospectively adjusting the effective interest rate.

•

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

•

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

91 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2023, at value:

High Income Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	—		$	893,195	$	105,075	$	998,270
All Other Non-Convertible Bonds(a)		—			38,421,897		—		38,421,897

Total Non-Convertible Bonds		—			39,315,092		105,075		39,420,167

Convertible Bonds(a)		—			2,163,608		—		2,163,608

Total Bonds and Notes		—			41,478,700		105,075		41,583,775

Collateralized Loan Obligations		—			1,124,487		—		1,124,487
Senior Loans(a)		—			400,116		—		400,116
Preferred Stocks(a)		109,070			—		—		109,070
Common Stocks(a)		58,289			—		—		58,289
Other Investments(a)		—			—		—		—
Warrants		—			—		—		—
Short-Term Investments		—			1,919,357		—		1,919,357

Total	$	167,359		$	44,922,660	$	105,075	$	45,195,094

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. Investment Grade Bond Fund Asset Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Bonds and Notes(a)	$	—		$	6,273,534,290	$	—	$	6,273,534,290
Senior Loans(a)		—			6,692,951		—		6,692,951
Collateralized Loan Obligations		—			310,935,898		—		310,935,898
Preferred Stocks(a)		41,941,782			—		—		41,941,782
Short-Term Investments		—			1,770,420,524		—		1,770,420,524

Total Investments		41,941,782			8,361,583,663		—		8,403,525,445

Futures Contracts (unrealized appreciation)		11,020,115			—		—		11,020,115

Total	$	52,961,897		$	8,361,583,663	$	—	$	8,414,545,560


Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(24,425,679	)	$	—	$	—	$	(24,425,679	)

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

| 92

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	—		$	39,135,464		$	1,508,781	$	40,644,245
All Other Non-Convertible Bonds(a)		—			533,264,587			—		533,264,587

Total Non-Convertible Bonds		—			572,400,051			1,508,781		573,908,832

Convertible Bonds(a)		—			31,984,982			—		31,984,982

Total Bonds and Notes		—			604,385,033			1,508,781		605,893,814

Senior Loans(a)		—			12,276,819			—		12,276,819
Collateralized Loan Obligations		—			68,925,487			—		68,925,487
Common Stocks(a)		14,755,419			—			—		14,755,419
Preferred Stocks(a)		1,056,437			—			—		1,056,437
Other Investments(a)		—			—			—		—
Short-Term Investments		—			18,291,382			—		18,291,382

Total Investments		15,811,856			703,878,721			1,508,781		721,199,358

Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—			1,373,598			—		1,373,598
Forward Foreign Currency Contracts (unrealized appreciation)		—			97,297			—		97,297
Futures Contracts (unrealized appreciation)		292,374			—			—		292,374

Total	$	16,104,230		$	705,349,616		$	1,508,781	$	722,962,627


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(53,711	)	$	—		$	—	$	(53,711	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(1,883,912	)		—		(1,883,912	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(528,025	)		—		(528,025	)
Futures Contracts (unrealized depreciation)		(3,122,212	)		—			—		(3,122,212	)

Total	$	(3,175,923	)	$	(2,411,937	)	$	—	$	(5,587,860	)

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

93 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Strategic Income Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	—		$	53,377,473		$	783,747	$	54,161,220
All Other Non-Convertible Bonds(a)		—			2,256,247,641			—		2,256,247,641

Total Non-Convertible Bonds		—			2,309,625,114			783,747		2,310,408,861

Convertible Bonds(a)		—			200,332,504			—		200,332,504
Municipals(a)		—			59,611,580			—		59,611,580

Total Bonds and Notes		—			2,569,569,198			783,747		2,570,352,945

Senior Loans(a)		—			13,591,813			—		13,591,813
Collateralized Loan Obligations		—			133,131,229			—		133,131,229
Common Stocks
Technology Hardware, Storage & Peripherals		1,664,457			15,853			—		1,680,310
All Other Common Stocks(a)		84,920,131			—			—		84,920,131

Total Common Stocks		86,584,588			15,853			—		86,600,441

Preferred Stocks
Convertible Preferred Stocks(a)		38,482,296			—			—		38,482,296
Non-Convertible Preferred Stocks
Home Construction		3,724,480			—			—		3,724,480
Office REITs		—			—			1,527,667		1,527,667
Other REITs		—			6,570,658			—		6,570,658

Total Non-Convertible Preferred Stocks		3,724,480			6,570,658			1,527,667		11,822,805

Total Preferred Stocks		42,206,776			6,570,658			1,527,667		50,305,101

Short-Term Investments		—			109,904,031			—		109,904,031

Total Investments		128,791,364			2,832,782,782			2,311,414		2,963,885,560

Futures Contracts (unrealized appreciation)		4,252,056			—			—		4,252,056

Total	$	133,043,420		$	2,832,782,782		$	2,311,414	$	2,968,137,616


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(100,255	)	$	—	$	(100,255	)
Futures Contracts (unrealized depreciation)		(3,719,598	)		—			—		(3,719,598	)

Total	$	(3,719,598	)	$	(100,255	)	$	—	$	(3,819,853	)

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

| 94

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2022 and/or June 30, 2023:

High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2022		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2023		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	—	$	—	$	—		$	—	$	—	$	—	$	—	$	—	$	—
Non-Agency Commercial Mortgage-Backed Securities		142,115		—		—		(37,040	)		—		—		—		—		105,075		(37,040	)
Other Investments
Aircraft ABS		6,825		—		—		(6,825	)		—		—		—		—		—		(6,825	)
Warrants		95		—		—		(95	)		—		—		—		—		—		(95	)

Total	$	149,035	$	—	$	—	$	(43,960	)	$	—	$	—	$	—	$	—	$	105,075	$	(43,960	)

Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2022		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2023		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	1,992,567	$	—	$	—	$	(483,786	)	$	—	$	—	$	—	$	—	$	1,508,781	$	(483,786	)
Other Investments
Aircraft ABS		61,425		—		—		(61,425	)		—		—		—		—		—		(61,425	)

Total	$	2,053,992	$	—	$	—	$	(545,211	)	$	—	$	—	$	—	$	—	$	1,508,781	$	(545,211	)

95 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Strategic Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2022		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2023		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	—	$	—	$	—	$	(53,903	)	$	—	$	—	$	837,650	$	—		$	783,747	$	(53,903	)
Property & Casualty Insurance		1,251,000		—		—		—			—		—		—		(1,251,000	)		—		—
Preferred Stocks
Non-Convertible Preferred Stocks
Office REITs		1,651,680		—		—		(124,013	)		—		—		—		—			1,527,667		(124,013	)

Total	$	2,902,680	$	—	$	—	$	(177,916	)	$	—	$	—	$	837,650	$	(1,251,000	)	$	2,311,414	$	(177,916	)

A debt security valued at $837,650 was transferred from Level 2 to Level 3 during the period ended June 30, 2023. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2023, this security was fair valued as determined by the Fund’s valuation designee as an independent pricing service was unable to price the security.

A debt security valued at $1,251,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2023. At December 31, 2022, this security was fair valued as determined by the Fund’s valuation designee as an independent pricing service did not provide a reliable price for the security. At June 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

The Funds are subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the six months ended June 30, 2023, High Income Fund, Strategic Alpha Fund and Strategic Income Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure. Strategic Alpha Fund also engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2023, the Funds engaged in forward foreign currency contracts for hedging purposes and Strategic Alpha Fund also engaged in forward foreign currency contracts to gain exposure to foreign currencies.

Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge

| 96

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2023, Strategic Alpha Fund engaged in futures contracts and interest rate swap agreements for hedging purposes, yield curve management and to manage duration and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2023, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the six months ended June 30, 2023, the Fund engaged in option contracts for hedging purposes and to gain investment exposure.

Transactions in derivative instruments for High Income Fund during the six months ended June 30, 2023, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Swap agreements
Credit contracts	$	65,714


Net Change in Unrealized Appreciation (Depreciation) on:	Swap agreements
Credit contracts	$	(46,299	)

The following is a summary of derivative instruments for Investment Grade Bond Fund as of June 30, 2023, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	11,020,115


Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded liability derivatives
Interest rate contracts	$	(24,425,679	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Investment Grade Bond Fund during the six months ended June 30, 2023, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	(42,686,357	)

Net Change in Unrealized

Appreciation (Depreciation) on:

Futures
contracts

Interest rate contracts

(4,882,910

)

97 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2023, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts¹			Swaps agreements at value²			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	97,297		$	—		$	—		$	97,297
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—		$	292,374		$	1,375,073		$	1,667,447

Total asset derivatives	$	97,297		$	292,374		$	1,375,073		$	1,764,744


Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹			Swap agreements at value²			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	—		$	(528,025	)	$	—		$	—		$	(528,025	)
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(3,122,212	)	$	—		$	(3,122,212	)
Credit contracts		—			—			—			(1,791,595	)		(1,791,595	)
Equity contracts		(53,711	)		—			—			—			(53,711	)

Total exchange-traded/cleared liability derivatives	$	(53,711	)	$	—		$	(3,122,212	)	$	(1,791,595	)	$	(4,967,518	)

Total liability derivatives	$	(53,711	)	$	(528,025	)	$	(3,122,212	)	$	(1,791,595	)	$	(5,495,543	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2023, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Investments¹		Futures contracts			Options written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	—	$	(1,243,636	)	$	—		$	(59,583	)	$	—
Foreign exchange contracts		—		—			—			—			535,889
Credit contracts		—		—			—			(3,051,737	)		—
Equity contracts		1,701,612		—			(866,696	)		—			—

Total	$	1,701,612	$	(1,243,636	)	$	(866,696	)	$	(3,111,320	)	$	535,889

¹	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

| 98

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Options written			Swap agreements		Forward foreign currency contracts
Interest rate contracts	$	(3,170,690	)	$	—		$	125,660	$	—
Foreign exchange contracts		—			—			—		(45,120	)
Credit contracts		—			—			320,579		—
Equity contracts		—			(10,212	)		—		—

Total	$	(3,170,690	)	$	(10,212	)	$	446,239	$	(45,120	)

The following is a summary of derivative instruments for Strategic Income Fund as of June 30, 2023, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	4,252,056


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(100,255	)	$	—
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(3,719,598	)

Total liability derivatives	$	(100,255	)	$	(3,719,598	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Income Fund during the six months ended June 30, 2023, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	(5,071,467	)	$	—		$	—
Foreign exchange contracts		—			—			(29,866	)
Credit contracts		—			1,521,476			—

Total	$	(5,071,467	)	$	1,521,476		$	(29,866	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	2,502,495		$	—		$	—
Foreign exchange contracts		—			—			(100,255	)
Credit contracts		—			(1,408,729	)		—

Total	$	2,502,495		$	(1,408,729	)	$	(100,255	)

99 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2023:


High Income Fund	Credit Default Swaps
Average Notional Amount Outstanding		0.22	%
Highest Notional Amount Outstanding		0.00	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2023		0.00	%


Investment Grade Bond Fund	Futures
Average Notional Amount Outstanding		38.78	%
Highest Notional Amount Outstanding		50.27	%
Lowest Notional Amount Outstanding		31.06	%
Notional Amount Outstanding as of June 30, 2023		49.28	%


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		4.27	%		26.70	%		9.75	%		2.26	%
Highest Notional Amount Outstanding		7.27	%		38.49	%		12.65	%		2.37	%
Lowest Notional Amount Outstanding		2.65	%		22.92	%		7.62	%		2.17	%
Notional Amount Outstanding as of June 30, 2023		2.87	%		38.49	%		8.28	%		2.37	%


Strategic Income Fund	Forwards			Futures			Credit Default Swaps
Average Notional Amount Outstanding		0.16	%		21.43	%		0.16	%
Highest Notional Amount Outstanding		0.30	%		34.51	%		0.00	%
Lowest Notional Amount Outstanding		0.00	%		9.06	%		0.00	%
Notional Amount Outstanding as of June 30, 2023		0.30	%		34.17	%		0.00	%

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2023:


Strategic Alpha Fund	Call Options Written*			Put Options Purchased*			Put Options Written*
Average Market Value of Underlying Instruments		2.12	%		9.11	%		9.11	%
Highest Market Value of Underlying Instruments		12.08	%		67.38	%		67.38	%
Lowest Market Value of Underlying Instruments		0.39	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2023		0.44	%		0.00	%		0.00	%

*	Market value of underlying instruments is determined by multiplying option shares by the price of the option’s underlying security.

| 100

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

Amounts outstanding at the end of the prior period, if applicable, are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2023, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:


Strategic Alpha Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America N.A.	$	17,066		$	(17,066	)	$	—		$	—	$	—
Barclays Bank PLC		41,977			—			41,977			—		41,977
Morgan Stanley Capital Services LLC		38,254			(38,254	)		—			—		—

	$	97,297		$	(55,320	)	$	41,977		$	—	$	41,977


Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America N.A.	$	(36,759	)	$	17,066		$	(19,693	)	$	—	$	(19,693	)
BNP Paribas SA		(353,459	)		—			(353,459	)		—		(353,459	)
Goldman Sachs International		(2,595	)		—			(2,595	)		—		(2,595	)
Morgan Stanley Capital Services LLC		(135,212	)		38,254			(96,958	)		96,958		—

	$	(528,025	)	$	55,320		$	(472,705	)	$	96,958	$	(375,747	)

Strategic Income Fund
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America N.A.	$	(100,255	)	$	—		$	(100,255	)	$	30,000	$	(70,255	)

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank and Trust Company (“State Street Bank”).

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required

to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or

101 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.

5. Purchases and Sales of Securities. For the six months ended June 30, 2023, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
High Income Fund	$	—	$	1,387,991	$	11,925,685	$	79,820,748
Investment Grade Bond Fund		19,481,982		203,516,978		2,005,048,964		710,165,946
Strategic Alpha Fund		54,946,429		66,637,498		78,337,009		157,218,845
Strategic Income Fund		26,999,339		163,036,395		393,217,780		583,098,469

6. Management Fees and Other Transactions with Affiliates.

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

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


	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $1.05 billion			Next $750 million			Next $13 billion			Next $10 billion			Over $25 billion
High Income Fund		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
Investment Grade Bond Fund		0.40	%		0.40	%		0.40	%		0.40	%		0.38	%		0.38	%
Strategic Alpha Fund		0.60	%		0.60	%		0.55	%		0.55	%		0.55	%		0.55	%
Strategic Income Fund		0.65	%		0.60	%		0.60	%		0.55	%		0.54	%		0.53	%

Effective July 1, 2023, High Income Fund and Strategic Income Fund pay a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $1.05 billion			Next $750 million			Next $13 billion			Next $10 billion			Over $25 billion
High Income Fund		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%
Strategic Income Fund		0.64	%		0.59	%		0.59	%		0.54	%		0.54	%		0.53	%

Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2024, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
High Income Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Investment Grade Bond Fund		0.74	%		1.49	%		0.44	%		0.49	%		0.99	%
Strategic Alpha Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Strategic Income Fund		0.94	%		1.69	%		0.64	%		0.69	%		1.19	%

| 102

Notes to Financial Statements (continued)

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Effective July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements for High Income Fund and Strategic Income Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
High Income Fund		0.95	%		1.70	%		0.65	%		0.70	%		—
Strategic Income Fund		0.93	%		1.68	%		0.63	%		0.68	%		1.18	%

This new undertaking is in effect until April 30, 2025, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For six months ended June 30, 2023, the management fees and waivers of management fees for each Fund were as follows:


	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
High Income Fund	$	209,319	$	129,467	$	79,852		0.60	%		0.23	%
Investment Grade Bond Fund		15,733,373		2,436,683		13,296,690		0.40	%		0.34	%
Strategic Alpha Fund		2,402,066		93,372		2,308,694		0.60	%		0.58	%
Strategic Income Fund		9,198,464		992,115		8,206,349		0.58	%		0.52	%

¹	Management fee waivers are subject to possible recovery until December 31, 2024.

No expenses were recovered for any of the Funds during the six months ended June 30, 2023 under the terms of the expense limitation agreements.

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Investment Grade Bond Fund and Strategic Income Fund have adopted a Distribution Plan relating to their Admin Class shares (the “Admin Class Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

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

103 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

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

For six months ended June 30, 2023, the service and distribution fees for each Fund were as follows:


	Service Fees						Distribution Fees
Fund	Class A		Class C		Admin Class		Class C		Admin Class
High Income Fund	$	22,195	$	1,412	$	—	$	4,234	$	—
Investment Grade Bond Fund		829,648		75,692		157,762		227,075		157,762
Strategic Alpha Fund		34,164		3,615		—		10,847		—
Strategic Income Fund		1,306,230		58,676		84,940		176,027		84,940

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

For the six months ended June 30, 2023, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
High Income Fund	$	16,172
Investment Grade Bond Fund		1,822,556
Strategic Alpha Fund		185,509
Strategic Income Fund		729,014

For the six months ended June 30, 2023, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
High Income Fund	$	29,949
Investment Grade Bond Fund		2,550,207
Strategic Alpha Fund		228,802
Strategic Income Fund		1,210,004

| 104

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)


Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	620
Investment Grade Bond Fund		57,372
Strategic Alpha Fund		6,039
Strategic Income Fund		31,424

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

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2023 were as follows:


Fund	Commissions
High Income Fund	$	248
Investment Grade Bond Fund		27,939
Strategic Alpha Fund		226
Strategic Income Fund		5,519

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

g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2024 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2023, Natixis Advisors reimbursed High Income Fund $903 for transfer agency expenses related to Class N shares.

h. Affiliated Ownership. As of June 30, 2023, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.09% and 0.44%, respectively, of the Funds’ net assets.

105 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

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

For the six months ended June 30, 2023, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y		Admin Class
High Income Fund	$	10,889	$	688	$	903	$	31,833	$	—
Investment Grade Bond Fund		273,956		25,012		5,230		2,390,595		52,108
Strategic Alpha Fund		10,611		1,121		1,465		243,142		—
Strategic Income Fund		470,191		21,166		1,746		793,751		30,570

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2023, none of the Funds had borrowings under this agreement.

9. Risk. The Funds’ investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These and any related events could significantly impact a Fund’s performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.

10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Account Holders		Percentage of Ownership
High Income Fund		2		34.07	%
Strategic Alpha Fund		3		30.31	%

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

| 106

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

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

High Income Fund


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		154,617		$	547,536			1,722,338		$	6,259,813
Issued in connection with the reinvestment of distributions		138,581			485,013			236,475			869,986
Redeemed		(1,064,100	)		(3,717,105	)		(1,262,111	)		(4,688,427	)

Net change		(770,902	)	$	(2,684,556	)		696,702		$	2,441,372

Class C
Issued from the sale of shares		15,411		$	53,704			81,001		$	295,199
Issued in connection with the reinvestment of distributions		6,332			22,256			11,401			42,287
Redeemed		(71,880	)		(253,453	)		(172,520	)		(656,278	)

Net change		(50,137	)	$	(177,493	)		(80,118	)	$	(318,792	)

Class N
Issued from the sale of shares		148		$	522			11,783		$	43,666
Issued in connection with the reinvestment of distributions		1,270			4,440			1,742			6,400
Redeemed		(218	)		(769	)		(317	)		(1,187	)

Net change		1,200		$	4,193			13,208		$	48,879

Class Y
Issued from the sale of shares		1,428,506		$	5,103,043			15,154,075		$	60,435,670
Issued in connection with the reinvestment of distributions		329,470			1,154,538			982,330			3,614,206
Redeemed		(21,553,211	)		(77,176,519	)		(12,813,646	)		(48,643,668	)

Net change		(19,795,235	)	$	(70,918,938	)		3,322,759		$	15,406,208

Increase (decrease) from capital share transactions		(20,615,074	)	$	(73,776,794	)		3,952,551		$	17,577,667

107 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

11. Capital Shares (continued).

Investment Grade Bond Fund


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		11,025,024		$	107,942,872			15,784,832		$	157,415,568
Issued in connection with the reinvestment of distributions		984,305			9,601,586			1,516,060			15,218,475
Redeemed		(7,278,540	)		(71,286,443	)		(21,470,097	)		(218,163,158	)

Net change		4,730,789		$	46,258,015			(4,169,205	)	$	(45,529,115	)

Class C
Issued from the sale of shares		1,798,387		$	17,394,382			2,006,302		$	19,429,909
Issued in connection with the reinvestment of distributions		87,728			844,699			124,380			1,234,946
Redeemed		(1,164,398	)		(11,265,348	)		(3,420,390	)		(34,069,845	)

Net change		721,717		$	6,973,733			(1,289,708	)	$	(13,404,990	)

Class N
Issued from the sale of shares		39,013,101		$	381,969,478			48,529,515		$	490,256,225
Issued in connection with the reinvestment of distributions		2,259,423			22,052,318			4,084,214			40,970,231
Redeemed		(69,699,868	)		(682,217,233	)		(43,974,606	)		(443,131,271	)

Net change		(28,427,344	)	$	(278,195,437	)		8,639,123		$	88,095,185

Class Y
Issued from the sale of shares		231,861,352		$	2,278,077,594			312,218,522		$	3,118,482,571
Issued in connection with the reinvestment of distributions		10,235,033			99,886,657			10,979,300			109,867,774
Redeemed		(68,008,935	)		(666,917,432	)		(171,175,077	)		(1,725,580,019	)

Net change		174,087,450		$	1,711,046,819			152,022,745		$	1,502,770,326

Admin Class
Issued from the sale of shares		1,033,656		$	10,067,560			1,308,463		$	13,205,817
Issued in connection with the reinvestment of distributions		222,288			2,161,676			336,224			3,362,150
Redeemed		(630,566	)		(6,172,527	)		(1,315,130	)		(13,241,065	)

Net change		625,378		$	6,056,709			329,557		$	3,326,902

Increase from capital share transactions		151,737,990		$	1,492,139,839			155,532,512		$	1,535,258,308

| 108

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

11. Capital Shares (continued).

Strategic Alpha Fund


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		187,986		$	1,739,741			790,735		$	7,604,611
Issued in connection with the reinvestment of distributions		48,245			439,907			113,177			1,055,866
Redeemed		(760,429	)		(7,053,924	)		(1,683,281	)		(15,940,481	)

Net change		(524,198	)	$	(4,874,276	)		(779,369	)	$	(7,280,004	)

Class C
Issued from the sale of shares		21,396		$	197,621			118,937		$	1,122,473
Issued in connection with the reinvestment of distributions		4,474			40,747			8,630			80,131
Redeemed		(102,243	)		(944,223	)		(178,261	)		(1,704,999	)

Net change		(76,373	)	$	(705,855	)		(50,694	)	$	(502,395	)

Class N
Issued from the sale of shares		698,161		$	6,440,058			7,829,851		$	75,848,874
Issued in connection with the reinvestment of distributions		128,822			1,171,868			307,854			2,864,537
Redeemed		(4,435,146	)		(40,977,598	)		(37,027,196	)		(360,872,876	)

Net change		(3,608,163	)	$	(33,365,672	)		(28,889,491	)	$	(282,159,465	)

Class Y
Issued from the sale of shares		9,333,161		$	86,359,157			34,791,067		$	332,916,955
Issued in connection with the reinvestment of distributions		1,309,659			11,901,843			2,762,887			25,702,413
Redeemed		(17,640,845	)		(162,734,737	)		(56,471,363	)		(535,510,682	)

Net change		(6,998,025	)	$	(64,473,737	)		(18,917,409	)	$	(176,891,314	)

Decrease from capital share transactions		(11,206,759	)	$	(103,419,540	)		(48,636,963	)	$	(466,833,178	)

109 |

Notes to Financial Statements (continued)

June 30, 2023 (Unaudited)

11. Capital Shares (continued).

Strategic Income Fund


	Six Months Ended June 30, 2023						Year Ended December 31, 2022
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		3,341,461		$	39,527,604			8,678,765		$	109,989,319
Issued in connection with the reinvestment of distributions		1,455,657			17,056,428			4,093,782			49,939,363
Redeemed		(9,326,874	)		(110,098,285	)		(27,767,324	)		(347,469,778	)

Net change		(4,529,756	)	$	(53,514,253	)		(14,994,777	)	$	(187,541,096	)

Class C
Issued from the sale of shares		163,718		$	1,969,663			619,032		$	7,749,499
Issued in connection with the reinvestment of distributions		62,602			743,391			230,317			2,856,357
Redeemed		(1,214,858	)		(14,546,624	)		(4,723,388	)		(60,569,472	)

Net change		(988,538	)	$	(11,833,570	)		(3,874,039	)	$	(49,963,616	)

Class N
Issued from the sale of shares		1,142,475		$	13,637,613			1,623,182		$	20,719,348
Issued in connection with the reinvestment of distributions		442,988			5,182,467			1,134,602			13,826,399
Redeemed		(2,400,935	)		(28,234,554	)		(3,626,974	)		(45,975,564	)

Net change		(815,472	)	$	(9,414,474	)		(869,190	)	$	(11,429,817	)

Class Y
Issued from the sale of shares		13,757,991		$	162,801,496			33,766,614		$	425,134,342
Issued in connection with the reinvestment of distributions		2,643,523			30,930,829			8,220,421			100,514,524
Redeemed		(26,967,499	)		(318,200,305	)		(101,610,881	)		(1,269,402,412	)

Net change		(10,565,985	)	$	(124,467,980	)		(59,623,846	)	$	(743,753,546	)

Admin Class
Issued from the sale of shares		166,379		$	1,952,997			213,005		$	2,734,769
Issued in connection with the reinvestment of distributions		126,106			1,471,318			343,699			4,173,218
Redeemed		(445,833	)		(5,231,046	)		(1,365,053	)		(17,168,997	)

Net change		(153,348	)	$	(1,806,731	)		(808,349	)	$	(10,261,010	)

Decrease from capital share transactions		(17,053,099	)	$	(201,037,008	)		(80,170,201	)	$	(1,002,949,085	)

| 110

(b) Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.


(a)		(1) Not applicable.

(a)		(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002, filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		August 22, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		August 22, 2023

By:		/s/ Matthew J. Block
Name:		Matthew J. Block
Title:		Treasurer and Principal Financial and Accounting Officer
Date:		August 22, 2023

Natixis Funds Trust II Oakmark Fund (NEFOX) N-CSRSCertified semi-annual shareholder report (management investment company)