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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: 811-04323

 

 

Natixis Funds Trust I

(Exact name of Registrant as specified in charter)

 

 

399 Boylston Street,

Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

 

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30

Date of reporting period: March 31, 2013

 

 

 

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Item 1. Reports to Stockholders.

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

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SEMIANNUAL REPORT

March 31, 2013

LOGO

 

Loomis Sayles Core Plus Bond Fund

Loomis Sayles High Income Fund

Loomis Sayles International Bond Fund

Loomis Sayles Limited Term Government

and Agency Fund

 

TABLE OF CONTENTS

Portfolio Review  page 1   

Portfolio of Investments  page 14

Financial Statements  page 56

Notes to Financial Statements  page 69

Table of Contents

LOOMIS SAYLES CORE PLUS BOND FUND

 

Managers   Symbols   
Peter W. Palfrey, CFA   Class A    NEFRX
Richard G. Raczkowski   Class B    NERBX
Loomis, Sayles & Company, L.P.   Class C    NECRX
  Class N    NERNX
  Class Y    NERYX

 

 

Objective

Seeks high total investment return through a combination of current income and capital appreciation

 

 

Strategy

Under normal market conditions, the Fund will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in bonds, which include debt securities of any maturity. In addition, the Fund normally will invest primarily in investment-grade securities. The Fund may also invest up to 20% of its assets, at the time of purchase, in bonds rated below investment-grade.

 

 

 

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Average Annual Total Returns — March 31, 2013 3

 

           
       6 Months      1 Year      5 Years      10 Years      Since
Class N
Inception 		 
   
Class A (Inception 11/7/73)                 
NAV      2.16 %       9.10 %       8.97 %       6.97 %       — % 
With 4.50% Maximum Sales Charge      -2.45         4.17         7.96         6.48         —   
   
Class B (Inception 9/13/93)                 
NAV      1.82         8.29         8.15         6.18         —   
With CDSC 1      -3.11         3.29         7.86         6.18         —   
   
Class C (Inception 12/30/94)                 
NAV      1.70         8.29         8.15         6.17         —   
With CDSC 1      0.72         7.29         8.15         6.17         —   
   
Class N (Inception 2/1/13)                 
NAV      —         —         —         —         0.55   
   
Class Y (Inception 12/30/94)                 
NAV      2.28         9.39         9.25         7.26         —   
   
Comparative Performance                 
Barclays U.S. Aggregate Bond Index 2      0.09         3.77         5.47         5.02         0.67   

Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. 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. Unlike a fund, an index is not managed and does not reflect fees and expenses.

 

1 Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

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

 

3 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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LOOMIS SAYLES HIGH INCOME FUND

 

 

Managers   Symbols   
Matthew J. Eagan, CFA   Class A    NEFHX
Kathleen C. Gaffney, CFA*   Class B    NEHBX
Elaine M. Stokes   Class C    NEHCX
Loomis, Sayles & Company, L.P.   Class Y    NEHYX

 

* Effective October 22, 2012, Kathleen Gaffney no longer serves as a portfolio manager of the Fund.

 

 

Objective

Seeks high current income plus the opportunity for capital appreciation to produce a high total return

 

 

Strategy

Under normal market conditions, the Fund will invest at least 65% of its assets in below investment-grade fixed-income securities. The Fund will normally invest at least 65% of its assets in U.S. corporate or U.S. dollar denominated foreign fixed-income securities. The Fund may also invest up to 20% of its assets in foreign currency-denominated fixed-income securities, including those in emerging markets and related currency hedging transactions.

 

 

 

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Average Annual Total Returns — March 31, 2013 3

 

           
      6 Months     1 Year     5 Years     10 Years     Since
Class N
Inception 		 
   
Class A (Inception 2/22/84)            
NAV     8.11 %      15.16 %      9.40 %      9.56 %      —   
With 4.50% Maximum Sales Charge     3.17        9.95        8.38        9.06        —   
   
Class B (Inception 9/20/93)            
NAV     7.89        14.21        8.59        8.73        —   
With CDSC 1     2.89        9.21        8.30        8.73        —   
   
Class C (Inception 3/2/98)            
NAV     7.68        14.25        8.62        8.73        —   
With CDSC 1     6.68        13.25        8.62        8.73        —   
   
Class Y (Inception 2/29/08)            
NAV     8.49        15.45        9.68        —        9.38 % 
   
Comparative Performance            
Barclays U.S. Corporate High-Yield Bond Index 2     6.28        13.13        11.65        10.12        11.37   

Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. 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. Unlike a fund, an index is not managed and does not reflect fees and expenses.

 

1 Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2 Barclays U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.

 

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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LOOMIS SAYLES INTERNATIONAL BOND FUND

 

Managers   Symbols   
Kenneth M. Buntrock, CFA, CIC   Class A    LSIAX
David W. Rolley, CFA   Class C    LSICX
Lynda L. Schweitzer, CFA   Class Y    LSIYX
Loomis, Sayles & Company, L.P.   

 

 

Objective

Seeks high total return through a combination of high current income and capital appreciation

 

 

Strategy

Under normal market conditions, the Fund expects to invest at least 80% of its net assets (plus any borrowings made for investment purposes) in fixed income securities. The Fund is non-diversified, which means that it may invest a greater percentage of its assets in a particular issuer and may invest in fewer issuers than a diversified fund. The Fund invests primarily (at least 65% of its net assets) in fixed-income securities of issuers located outside the United States, including issuers located in emerging market countries. The Fund invests primarily in investment-grade fixed-income securities. The Fund may invest up to 35% of its assets in below investment-grade fixed-income securities.

 

 

 

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Average Annual Total Returns — March 31, 2013 3

 

         
       6 Months      1 Year      5 Years      Since
Class N
Inception 		 
   
Class A (Inception 2/1/08)              
NAV      -2.83 %       1.52 %       4.42 %       5.23 % 
With 4.50% Maximum Sales Charge      -7.19         -3.00         3.46         4.30   
   
Class C (Inception 2/1/08)              
NAV      -3.22         0.73         3.60         4.42   
With CDSC 1      -4.16         -0.24         3.60         4.42   
   
Class Y (Inception 2/1/08)              
NAV      -2.71         1.78         4.67         5.48   
   
Comparative Performance              
Barclays Global Aggregate EX-USD Bond Index 2      -4.51         -0.71         2.47         3.48   

Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. 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. Unlike a fund, an index is not managed and does not reflect fees and expenses.

 

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

 

2 Barclays Global Aggregate ex-USD Bond Index is an unmanaged index that provides a broad-based measure of the international investment-grade fixed-rate debt markets.

 

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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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Managers   Symbols   
Christopher T. Harms   Class A    NEFLX
Kurt Wagner, CFA, CIC   Class B    NELBX

Clifton V. Rowe, CFA

  Class C    NECLX
Loomis, Sayles & Company, L.P.   Class Y    NELYX

 

 

Objective

Seeks a high current return consistent with preservation of capital

 

 

Strategy

Invests at least 80% of its net assets in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities

 

 

 

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Average Annual Total Returns — March 31, 2013 3

 

         
      6 Months     1 Year     5 Years     10 Years  
   
Class A (Inception 1/3/89)          
NAV     0.28 %      2.32 %      4.27 %      3.61 % 
With 3.00% Maximum Sales Charge     -2.71        -0.76        3.64        3.30   
   
Class B (Inception 9/27/93)          
NAV     -0.18        1.56        3.48        2.84   
With CDSC 1     -5.13        -3.44        3.12        2.84   
   
Class C (Inception 12/30/94)          
NAV     -0.09        1.56        3.51        2.86   
With CDSC 1     -1.09        0.56        3.51        2.86   
   
Class Y (Inception 3/31/94)          
NAV     0.32        2.58        4.52        3.87   
   
Comparative Performance          
Barclays U.S. 1-5 Year Government Bond Index 2     0.21        1.24        2.71        3.32   

Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. 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. Unlike a fund, an index is not managed and does not reflect fees and expenses.

 

1 Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2 Barclays U.S. 1-5 Year Government Bond Index is an unmanaged index that includes U.S. Treasury and agency securities with remaining maturities of one to five years.

 

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

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 Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.

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

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC’s) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2012 is available from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from October 1, 2012 (February 1, 2013 for Class N) through March 31, 2013. 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 below for your class.

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

 

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LOOMIS SAYLES CORE PLUS BOND FUND   BEGINNING
ACCOUNT VALUE
10/1/2012 		    ENDING
ACCOUNT VALUE
3/31/2013 		    EXPENSES PAID
DURING PERIOD
10/1/2012 – 3/31/2013 		 
Class A        
Actual     $1,000.00        $1,021.60        $3.98 1  
Hypothetical (5% return before expenses)     $1,000.00        $1,020.99        $3.98 * 
Class B        
Actual     $1,000.00        $1,018.20        $7.75 1  
Hypothetical (5% return before expenses)     $1,000.00        $1,017.25        $7.75 * 
Class C        
Actual     $1,000.00        $1,017.00        $7.74 1  
Hypothetical (5% return before expenses)     $1,000.00        $1,017.25        $7.75 * 
Class N        
Actual     $1,000.00        $1,005.50 2       $0.96 2  
Hypothetical (5% return before expenses)     $1,000.00        $1,021.94        $3.02 * 
Class Y        
Actual     $1,000.00        $1,022.80        $2.72 1  
Hypothetical (5% return before expenses)     $1,000.00        $1,022.24        $2.72 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.79%, 1.54%, 1.54%, 0.60% and 0.54% for Class A, B, 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 (182), divided by 365 (to reflect the half-year period).

 

1  

Actual expenses for Class A, B, C and Y are equal to the Fund’s annualized expense ratio: 0.79%, 1.54%, 1.54% and 0.54%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

2  

Class N commenced operations on February 1, 2013. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.60%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (58), divided by 365 (to reflect the partial period).

 

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LOOMIS SAYLES HIGH INCOME FUND   BEGINNING
ACCOUNT VALUE
10/1/2012 		    ENDING
ACCOUNT VALUE
3/31/2013 		    EXPENSES PAID
DURING PERIOD*
10/1/2012 – 3/31/2013 		 
Class A        
Actual     $1,000.00        $1,081.10        $5.97   
Hypothetical (5% return before expenses)     $1,000.00        $1,019.20        $5.79   
Class B        
Actual     $1,000.00        $1,078.90        $9.85   
Hypothetical (5% return before expenses)     $1,000.00        $1,015.46        $9.55   
Class C        
Actual     $1,000.00        $1,076.80        $9.84   
Hypothetical (5% return before expenses)     $1,000.00        $1,015.46        $9.55   
Class Y        
Actual     $1,000.00        $1,084.90        $4.68   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.44        $4.53   

 

* Expenses are equal to the Fund’s annualized expense ratio: 1.15%, 1.90%, 1.90% and 0.90% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES INTERNATIONAL
BOND FUND 		  BEGINNING
ACCOUNT VALUE
10/1/2012 		    ENDING
ACCOUNT VALUE
3/31/2013 		    EXPENSES PAID
DURING PERIOD*
10/1/2012 – 3/31/2013 		 
Class A        
Actual     $1,000.00        $971.70        $5.16   
Hypothetical (5% return before expenses)     $1,000.00        $1,019.70        $5.29   
Class C        
Actual     $1,000.00        $967.80        $8.83   
Hypothetical (5% return before expenses)     $1,000.00        $1,015.96        $9.05   
Class Y        
Actual     $1,000.00        $972.90        $3.93   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.94        $4.03   

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80% and 0.80% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

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LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND 		  BEGINNING
ACCOUNT VALUE
10/1/2012 		    ENDING
ACCOUNT VALUE
3/31/2013 		    EXPENSES PAID
DURING PERIOD*
10/1/2012 – 3/31/2013 		 
Class A        
Actual     $1,000.00        $1,002.80        $4.54   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.39        $4.58   
Class B        
Actual     $1,000.00        $998.20        $8.27   
Hypothetical (5% return before expenses)     $1,000.00        $1,016.65        $8.35   
Class C        
Actual     $1,000.00        $999.10        $8.27   
Hypothetical (5% return before expenses)     $1,000.00        $1,016.65        $8.35   
Class Y        
Actual     $1,000.00        $1,003.20        $3.30   
Hypothetical (5% return before expenses)     $1,000.00        $1,021.64        $3.33   

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.91%, 1.66%, 1.66% and 0.66% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

 

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Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡) 		     Description    Value (†)  
  Bonds and Notes — 95.3% of Net Assets   
  Non-Convertible Bonds — 95.2%   
   ABS Car Loan — 2.9%   
$ 445,936       AmeriCredit Automobile Receivables Trust, Series 2011-2, Class A3, 1.610%, 10/08/2015    $ 447,513   
  780,000       AmeriCredit Automobile Receivables Trust, Series 2011-3, Class A3, 1.170%, 1/08/2016      782,532   
  2,410,000       AmeriCredit Automobile Receivables Trust, Series 2011-4, Class A3, 1.170%, 5/09/2016      2,423,130   
  1,033,333       Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class A, 3.630%, 8/20/2014, 144A      1,038,512   
  1,620,000       Avis Budget Rental Car Funding AESOP LLC, Series 2011-1A, Class A, 1.850%, 11/20/2014, 144A      1,631,214   
  1,650,000       Avis Budget Rental Car Funding AESOP LLC, Series 2011-2A, Class A, 2.370%, 11/20/2014, 144A      1,685,178   
  1,950,000       Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A      1,989,844   
  4,175,000       Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.920%, 9/20/2019, 144A      4,202,622   
  1,535,000       Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A      1,543,954   
  2,795,000       Capital Auto Receivables Asset Trust, Series 2013-1, Class A3, 0.790%, 6/20/2017      2,798,829   
  239,906       Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A      252,980   
  2,000,000       First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A      1,998,860   
  7,130,000       Santander Drive Auto Receivables Trust, Series 2012-1, Class 1A3, 1.490%, 10/15/2015      7,186,462   
  4,195,000       Santander Drive Auto Receivables Trust, Series 2012-3, Class B, 1.940%, 12/15/2016      4,259,171   
  3,385,000       Santander Drive Auto Receivables Trust, Series 2012-4, Class C, 2.940%, 12/15/2017      3,516,108   
  2,090,000       Santander Drive Auto Receivables Trust, Series 2012-5, Class C, 2.700%, 8/15/2018      2,181,287   
  4,085,000       Santander Drive Auto Receivables Trust, Series 2012-6, Class B, 1.330%, 5/15/2017      4,107,235   
  2,875,000       Santander Drive Auto Receivables Trust, Series 2012-6, Class C, 1.940%, 3/15/2018      2,909,511   
  1,665,000       SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017      1,667,664   
  1,625,000       SMART Trust/Australia, Series 2013-1US, Class A3A, 0.840%, 9/14/2016      1,625,905   
  850,000       SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018      850,455   
     

 

 

 
        49,098,966   
     

 

 

 
   ABS Credit Card — 0.7%   
  1,580,000       World Financial Network Credit Card Master Trust, Series 2009-D, Class A, 4.660%, 5/15/2017      1,599,455   
  500,000       World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019      535,063   

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   ABS Credit Card — continued   
$ 9,300,000       World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(b)    $ 10,095,466   
     

 

 

 
        12,229,984   
     

 

 

 
   ABS Home Equity — 0.1%   
  564,305       Chase Mortgage Finance Corp., Series 2007-A1, Class 2A3, 2.988%, 2/25/2037(c)      561,873   
  430,681       Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(c)      442,168   
     

 

 

 
        1,004,041   
     

 

 

 
   ABS Other — 0.2%   
  2,290,000       Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016      2,318,687   
  1,775,000       DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A      1,801,848   
     

 

 

 
        4,120,535   
     

 

 

 
   Aerospace & Defense — 0.5%   
  2,370,000       Bombardier, Inc., 5.750%, 3/15/2022, 144A      2,432,212   
  1,480,000       Bombardier, Inc., 7.500%, 3/15/2018, 144A      1,689,050   
  3,625,000       Oshkosh Corp., 8.250%, 3/01/2017      3,946,719   
     

 

 

 
        8,067,981   
     

 

 

 
   Airlines — 0.3%   
  3,285,000       Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 10/29/2024      3,416,400   
  1,140,141       Continental Airlines Pass Through Trust, Series 2010-1, Class A, 4.750%, 1/12/2021      1,251,305   
     

 

 

 
        4,667,705   
     

 

 

 
   Automotive — 2.9%   
  7,885,000       Ford Motor Credit Co. LLC, 5.000%, 5/15/2018      8,684,618   
  510,000       Ford Motor Credit Co. LLC, 5.625%, 9/15/2015      555,312   
  8,420,000       Ford Motor Credit Co. LLC, 6.625%, 8/15/2017      9,819,564   
  880,000       Ford Motor Credit Co. LLC, 7.000%, 10/01/2013      906,160   
  1,830,000       Ford Motor Credit Co. LLC, 7.000%, 4/15/2015      2,019,297   
  6,575,000       Ford Motor Credit Co. LLC, 8.000%, 12/15/2016      7,882,689   
  5,200,000       General Motors Financial Co., Inc., 6.750%, 6/01/2018      5,889,000   
  2,290,000       Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A      2,436,871   
  5,450,000       Kia Motors Corp., 3.625%, 6/14/2016, 144A      5,762,111   
  5,750,000       Toyota Motor Credit Corp., MTN, 1.750%, 5/22/2017(b)      5,873,694   
     

 

 

 
        49,829,316   
     

 

 

 
   Banking — 7.5%   
  9,560,000       Ally Financial, Inc., 5.500%, 2/15/2017      10,341,463   
  7,800,000       Ally Financial, Inc., 6.250%, 12/01/2017      8,722,764   
  9,090,000       Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A      9,612,675   
  3,950,000       Banco Santander Chile, 3.875%, 9/20/2022, 144A      3,986,158   
  14,305,000       Bank of America Corp., MTN, 5.000%, 5/13/2021      16,034,632   
  1,365,000       Bear Stearns Cos., Inc. (The), 6.400%, 10/02/2017      1,629,547   

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Banking — continued   
$ 3,795,000       Citigroup, Inc., 4.050%, 7/30/2022    $ 3,920,322   
  3,375,000       Citigroup, Inc., 6.000%, 8/15/2017      3,940,559   
  1,115,000       Citigroup, Inc., 6.125%, 5/15/2018      1,328,333   
  6,555,000       Citigroup, Inc., 6.500%, 8/19/2013      6,702,206   
  2,585,000       Goldman Sachs Group, Inc. (The), 5.750%, 1/24/2022      3,005,642   
  2,205,000       Goldman Sachs Group, Inc. (The), 6.000%, 6/15/2020      2,602,374   
  3,555,000       Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037      3,983,694   
  3,035,000       Goldman Sachs Group, Inc. (The), 7.500%, 2/15/2019      3,796,985   
  6,285,000       Hana Bank, 4.250%, 6/14/2017, 144A      6,876,664   
  9,985,000       JPMorgan Chase & Co., 6.000%, 1/15/2018      11,865,695   
  3,650,000       Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018      4,405,623   
  1,015,000       Morgan Stanley, 5.375%, 10/15/2015      1,108,530   
  9,645,000       Morgan Stanley, 5.750%, 1/25/2021      11,145,646   
  630,000       Morgan Stanley, GMTN, 5.500%, 1/26/2020      721,826   
  660,000       Morgan Stanley, GMTN, 5.500%, 7/28/2021      756,629   
  2,530,000       Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018      3,024,367   
  6,930,000       PKO Finance AB, 4.630%, 9/26/2022, 144A      7,179,549   
     

 

 

 
        126,691,883   
     

 

 

 
   Building Materials — 0.2%   
  3,640,000       USG Corp., 6.300%, 11/15/2016      3,858,400   
     

 

 

 
   Chemicals — 2.2%   
  4,590,000       Ashland, Inc., 3.875%, 4/15/2018, 144A      4,647,375   
  8,125,000       Braskem America Finance Co., 7.125%, 7/22/2041, 144A      8,389,062   
  2,735,000       Methanex Corp., 3.250%, 12/15/2019      2,758,743   
  2,130,000       Methanex Corp., 5.250%, 3/01/2022      2,375,355   
  6,035,000       Mexichem SAB de CV, 6.750%, 9/19/2042, 144A      6,691,306   
  1,380,000       Olin Corp., 5.500%, 8/15/2022      1,426,575   
  4,190,000       PolyOne Corp., 5.250%, 3/15/2023, 144A      4,221,425   
  840,000       RPM International, Inc., 3.450%, 11/15/2022      832,569   
  4,510,000       RPM International, Inc., 6.125%, 10/15/2019      5,295,186   
     

 

 

 
        36,637,596   
     

 

 

 
   Collateralized Mortgage Obligations — 0.2%   
  3,530,000       FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      3,720,489   
     

 

 

 
   Commercial Mortgage-Backed Securities — 5.0%   
  198,505       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.619%, 4/10/2049(c)      202,130   
  1,670,000       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.609%, 4/10/2049(c)      1,927,581   
  593,591       Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A2, 5.663%, 6/11/2040(c)      599,995   
  1,000,000       Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.053%, 12/10/2049(c)      1,183,352   
  100,955       Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046      100,885   

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Commercial Mortgage-Backed Securities — continued   
$ 2,500,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049    $ 2,845,900   
  2,780,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.680%, 6/15/2039(c)      3,191,857   
  3,500,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.764%, 9/15/2039(c)      4,032,651   
  1,865,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040      2,152,042   
  5,790,000       Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.024%, 2/15/2041(c)      6,784,380   
  425,000       Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.866%, 7/10/2038(c)      479,812   
  705,000       Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049      814,151   
  8,235,000       Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039      9,387,027   
  13,285,000       GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.787%, 8/10/2045(c)      15,201,627   
  3,000,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3, 5.336%, 5/15/2047      3,377,850   
  2,300,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-C1, Class A4, 5.716%, 2/15/2051      2,662,708   
  2,650,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047      3,005,974   
  2,500,000       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048      2,827,832   
  365,000       Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.575%, 4/12/2049(c)      407,271   
  1,900,000       Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044      2,122,146   
  2,930,000       Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049      3,353,256   
  305,000       Morgan Stanley Capital I, Series 2007-T27, Class A4, 5.651%, 6/11/2042(c)      356,804   
  1,175,000       Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.275%, 1/11/2043(c)      1,417,781   
  1,000,000       Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048      1,126,272   
  2,070,000       Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048      2,336,459   
  10,770,000       Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043      12,187,300   
     

 

 

 
        84,085,043   
     

 

 

 
   Construction Machinery — 0.1%   
  2,485,000       CNH Capital LLC, 3.875%, 11/01/2015      2,547,125   
     

 

 

 
   Consumer Cyclical Services — 0.2%   
  360,000       Service Corp. International, 7.000%, 5/15/2019      390,600   
  2,435,000       Western Union Co. (The), 2.375%, 12/10/2015      2,478,207   
     

 

 

 
        2,868,807   
     

 

 

 

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Consumer Products — 0.4%   
$ 1,110,000       Avon Products Inc., 4.600%, 3/15/2020    $ 1,153,038   
  1,546,000       Whirlpool Corp., 6.500%, 6/15/2016      1,768,108   
  3,620,000       Whirlpool Corp., MTN, 4.850%, 6/15/2021      3,984,816   
     

 

 

 
        6,905,962   
     

 

 

 
   Diversified Manufacturing — 0.7%   
  1,200,000       Crane Co., 6.550%, 11/15/2036      1,301,840   
  2,075,000       Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A      2,291,838   
  7,710,000       Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A      8,346,075   
     

 

 

 
        11,939,753   
     

 

 

 
   Electric — 1.3%   
  1,460,000       AES Corp. (The), 7.375%, 7/01/2021      1,693,600   
  4,510,000       Enersis S.A., 7.375%, 1/15/2014      4,709,022   
  3,395,000       FirstEnergy Corp., 2.750%, 3/15/2018      3,433,442   
  5,390,000       Florida Power & Light Co., 4.125%, 2/01/2042      5,495,116   
  1,010,000       Ipalco Enterprises, Inc., 5.000%, 5/01/2018      1,090,800   
  4,500,000       TransAlta Corp., 4.750%, 1/15/2015      4,749,079   
     

 

 

 
        21,171,059   
     

 

 

 
   Financial Other — 0.5%   
  9,105,000       Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A      8,749,905   
     

 

 

 
   Food & Beverage — 1.0%   
  4,920,000       Alicorp SAA, 3.875%, 3/20/2023, 144A      4,907,700   
  1,445,000       Bunge Ltd. Finance Corp., 4.100%, 3/15/2016      1,545,481   
  1,340,000       Cosan Luxembourg SA, 5.000%, 3/14/2023, 144A      1,348,040   
  4,050,000       Post Holdings, Inc., 7.375%, 2/15/2022      4,429,687   
  3,555,000       Sigma Alimentos S.A. de CV, 5.625%, 4/14/2018, 144A      4,017,150   
     

 

 

 
        16,248,058   
     

 

 

 
   Government Owned – No Guarantee — 6.1%   
  2,355,000       Abu Dhabi National Energy Co., 2.500%, 1/12/2018, 144A      2,367,952   
  6,745,000       CEZ A.S., 5.625%, 4/03/2042, 144A      7,610,572   
  3,690,000       China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A      4,008,868   
  3,255,000       CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A      3,435,148   
  5,835,000       Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A      6,746,719   
  665,000       Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A      745,465   
  3,600,000       Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A      4,027,500   
  1,600,000       Federal Home Loan Mortgage Corp., 6.250%, 7/15/2032      2,326,040   
  17,680,000       Federal National Mortgage Association, 6.625%, 11/15/2030      26,323,823   
  4,370,000       IPIC GMTN Ltd., 6.875%, 11/01/2041, 144A      5,746,550   
  10,375,000       Korea National Oil Corp., 3.125%, 4/03/2017, 144A      10,921,742   
  7,260,000       Petrobras International Finance Co., 6.750%, 1/27/2041      8,205,927   
  1,290,000       Qtel International Finance Ltd., 3.875%, 1/31/2028, 144A      1,270,379   
  3,840,000       Qtel International Finance Ltd., 4.750%, 2/16/2021, 144A      4,281,600   
  2,965,000       Qtel International Finance Ltd., 7.875%, 6/10/2019, 144A      3,869,325   
  12,595,000       Tennessee Valley Authority, 3.500%, 12/15/2042      12,142,915   
     

 

 

 
        104,030,525   
     

 

 

 

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Healthcare — 0.9%   
$ 1,580,000       HCA Holdings, Inc., 6.250%, 2/15/2021    $ 1,684,675   
  8,800,000       HCA, Inc., 7.500%, 2/15/2022      10,120,000   
  575,000       HCA, Inc., 7.500%, 12/15/2023      615,250   
  3,200,000       PerkinElmer, Inc., 5.000%, 11/15/2021      3,518,995   
     

 

 

 
        15,938,920   
     

 

 

 
   Home Construction — 0.4%   
  6,390,000       Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A      5,463,450   
  2,675,000       Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A      1,658,500   
     

 

 

 
        7,121,950   
     

 

 

 
   Hybrid ARMs — 0.0%   
  189,224       FHLMC, 6.039%, 11/01/2036(c)      203,528   
  139,068       FNMA, 2.029%, 2/01/2037(c)      145,839   
     

 

 

 
        349,367   
     

 

 

 
   Independent Energy — 3.1%   
  1,560,000       Anadarko Petroleum Corp., 5.950%, 9/15/2016      1,795,727   
  7,395,000       Anadarko Petroleum Corp., 6.375%, 9/15/2017      8,826,761   
  12,620,000       Chesapeake Energy Corp., 3.250%, 3/15/2016      12,761,975   
  4,036,000       Denbury Resources, Inc., 6.375%, 8/15/2021      4,399,240   
  5,035,000       Newfield Exploration Co., 5.750%, 1/30/2022      5,387,450   
  7,030,000       Plains Exploration & Production Co., 6.875%, 2/15/2023      7,961,475   
  5,280,000       QEP Resources, Inc., 5.250%, 5/01/2023      5,412,000   
  2,410,000       Range Resources Corp., 5.000%, 8/15/2022      2,458,200   
  2,605,000       SM Energy Co., 6.500%, 1/01/2023      2,852,475   
     

 

 

 
        51,855,303   
     

 

 

 
   Industrial Other — 1.8%   
  1,360,000       Briggs & Stratton Corp., 6.875%, 12/15/2020      1,523,200   
  13,820,000       Deluxe Corp., 6.000%, 11/15/2020, 144A      14,165,500   
  8,710,000       Hutchison Whampoa International 11 Ltd., 4.625%, 1/13/2022, 144A      9,500,346   
  2,650,000       Hutchison Whampoa International Ltd., 5.750%, 9/11/2019, 144A      3,141,058   
  1,570,000       Timken Co. (The), 6.000%, 9/15/2014      1,670,337   
     

 

 

 
        30,000,441   
     

 

 

 
   Media Cable — 1.0%   
  795,000       Cablevision Systems Corp., 7.750%, 4/15/2018      891,394   
  3,060,000       Cablevision Systems Corp., 8.000%, 4/15/2020      3,442,500   
  5,130,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 3/15/2021, 144A      5,097,937   
  2,965,000       CCO Holdings LLC/CCO Holdings Capital Corp., 6.500%, 4/30/2021      3,135,487   
  499,000       Cox Communications, Inc., 5.450%, 12/15/2014      538,927   
  2,825,000       Lynx II Corp., 6.375%, 4/15/2023, 144A      2,959,188   
     

 

 

 
        16,065,433   
     

 

 

 
   Media Non-Cable — 1.1%   
  1,375,000       Inmarsat Finance PLC, 7.375%, 12/01/2017, 144A      1,464,375   
  4,284,000       Myriad International Holding BV, 6.375%, 7/28/2017, 144A      4,825,069   
  7,760,000       NBCUniversal Enterprise Inc., 5.250%, 12/19/2049, 144A      7,798,800   
  5,095,000       R.R. Donnelley & Sons Co., 7.250%, 5/15/2018      5,356,119   
     

 

 

 
        19,444,363   
     

 

 

 

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Metals & Mining — 1.8%   
$ 890,000       Alcoa, Inc., 5.400%, 4/15/2021    $ 921,692   
  5,075,000       Alcoa, Inc., 6.150%, 8/15/2020      5,525,442   
  1,335,000       APERAM, 7.375%, 4/01/2016, 144A      1,346,401   
  1,280,000       APERAM, 7.750%, 4/01/2018, 144A      1,273,600   
  7,980,000       ArcelorMittal, 7.250%, 3/01/2041      7,940,100   
  485,000       ArcelorMittal, 7.500%, 10/15/2039      498,337   
  4,640,000       Freeport-McMoRan Copper & Gold, Inc., 2.375%, 3/15/2018, 144A      4,659,386   
  3,075,000       Goldcorp, Inc., 2.125%, 3/15/2018      3,085,074   
  1,445,000       Steel Dynamics Inc., 5.250%, 4/15/2023, 144A      1,464,869   
  400,000       United States Steel Corp., 6.650%, 6/01/2037      368,000   
  3,440,000       United States Steel Corp., 7.375%, 4/01/2020      3,603,400   
     

 

 

 
        30,686,301   
     

 

 

 
   Mortgage Related — 11.4%   
  7,258,719       FHLMC, 3.000%, with various maturities from 2026 to 2043(d)      7,508,232   
  24,276,800       FHLMC, 3.500%, 7/01/2042      25,621,191   
  12,501,100       FHLMC, 4.000%, with various maturities in 2041(d)      13,287,757   
  8,699,159       FHLMC, 4.500%, with various maturities from 2034 to 2039(d)      9,307,794   
  453,228       FHLMC, 5.000%, 8/01/2035      489,184   
  6,638,911       FHLMC, 5.500%, with various maturities from 2018 to 2040(d)      7,186,943   
  49,543       FHLMC, 6.000%, 6/01/2035      55,329   
  30,795,966       FNMA, 3.000%, with various maturities from 2027 to 2042(d)      31,806,433   
  9,660,037       FNMA, 3.500%, with various maturities from 2026 to 2042(d)      10,208,990   
  11,314,178       FNMA, 4.000%, with various maturities from 2019 to 2041(d)      12,086,401   
  12,967,473       FNMA, 4.500%, with various maturities from 2039 to 2041(d)      14,021,488   
  10,999,163       FNMA, 5.000%, with various maturities from 2033 to 2037(d)      11,977,396   
  4,602,453       FNMA, 5.500%, with various maturities from 2036 to 2038(d)      5,029,381   
  2,096,620       FNMA, 6.000%, with various maturities from 2016 to 2039(d)      2,333,257   
  95,333       FNMA, 6.500%, with various maturities from 2029 to 2036(d)      111,274   
  76,056       FNMA, 7.000%, with various maturities in 2030(d)      90,732   
  88,632       FNMA, 7.500%, with various maturities from 2024 to 2032(d)      104,953   
  7,130,000       FNMA (TBA), 2.500%, 5/01/2028(e)      7,380,664   
  29,525,000       FNMA (TBA), 3.500%, 5/01/2043(e)      31,102,742   
  1,740,762       GNMA, 5.500%, with various maturities from 2038 to 2039(d)      1,905,644   
  292,530       GNMA, 6.000%, with various maturities from 2029 to 2038(d)      330,098   
  193,948       GNMA, 6.500%, with various maturities from 2028 to 2032(d)      227,455   
  155,538       GNMA, 7.000%, with various maturities from 2025 to 2029(d)      183,441   
  48,821       GNMA, 7.500%, with various maturities from 2025 to 2030(d)      55,563   
  12,605       GNMA, 8.000%, 11/15/2029      12,894   
  58,979       GNMA, 8.500%, with various maturities from 2017 to 2023(d)      60,109   
  4,689       GNMA, 9.000%, with various maturities in 2016(d)      4,754   
  8,166       GNMA, 11.500%, with various maturities from 2013 to 2015(d)      8,215   
     

 

 

 
        192,498,314   
     

 

 

 
   Non-Captive Consumer — 1.3%   
  1,100,000       SLM Corp., MTN, 6.000%, 1/25/2017      1,196,250   
  18,095,000       SLM Corp., MTN, 6.250%, 1/25/2016      19,768,390   
  30,000       SLM Corp., Series A, MTN, 5.000%, 4/15/2015      31,650   

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Non-Captive Consumer — continued   
$ 120,000       SLM Corp., Series A, MTN, 5.000%, 6/15/2018    $ 120,685   
  1,135,000       SLM Corp., Series A, MTN, 8.450%, 6/15/2018      1,344,975   
     

 

 

 
        22,461,950   
     

 

 

 
   Non-Captive Diversified — 3.1%   
  2,335,000       CIT Group, Inc., 5.000%, 5/15/2017      2,504,287   
  6,650,000       CIT Group, Inc., 5.375%, 5/15/2020      7,298,375   
  2,070,000       GATX Corp., 4.750%, 5/15/2015      2,196,405   
  7,150,000       General Electric Capital Corp., 5.300%, 2/11/2021      8,196,588   
  3,015,000       General Electric Capital Corp., 5.625%, 5/01/2018      3,568,162   
  4,265,000       General Electric Capital Corp., MTN, 2.300%, 4/27/2017      4,413,635   
  7,290,000       International Lease Finance Corp., 3.875%, 4/15/2018      7,271,775   
  8,195,000       International Lease Finance Corp., 5.750%, 5/15/2016      8,850,600   
  7,215,000       International Lease Finance Corp., 6.250%, 5/15/2019      7,900,425   
  200,000       International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013      203,500   
  830,000       International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014      866,313   
     

 

 

 
        53,270,065   
     

 

 

 
   Oil Field Services — 2.6%   
  2,870,000       FMC Technologies, Inc., 3.450%, 10/01/2022      2,913,521   
  4,045,000       Nabors Industries, Inc., 4.625%, 9/15/2021      4,222,025   
  3,557,000       Nabors Industries, Inc., 5.000%, 9/15/2020      3,793,814   
  4,805,000       Oil States International, Inc., 5.125%, 1/15/2023, 144A      4,805,000   
  6,950,000       Pan American Energy LLC, 7.875%, 5/07/2021, 144A      6,637,250   
  4,070,000       Rowan Cos., Inc., 5.000%, 9/01/2017      4,536,520   
  1,330,000       Rowan Cos., Inc., 7.875%, 8/01/2019      1,661,475   
  2,430,000       Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A      2,442,150   
  10,590,000       Transocean, Inc., 6.500%, 11/15/2020      12,238,513   
     

 

 

 
        43,250,268   
     

 

 

 
   Packaging — 0.3%   
  1,810,000       Sealed Air Corp., 5.250%, 4/01/2023, 144A      1,816,787   
  2,515,000       Sealed Air Corp., 6.500%, 12/01/2020, 144A      2,753,925   
     

 

 

 
        4,570,712   
     

 

 

 
   Paper — 1.8%   
  1,785,000       Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022      1,856,443   
  3,045,000       Celulosa Arauco y Constitucion S.A., 5.000%, 1/21/2021      3,224,314   
  1,111,000       Georgia-Pacific LLC, 7.250%, 6/01/2028      1,460,142   
  3,535,000       Georgia-Pacific LLC, 7.375%, 12/01/2025      4,813,136   
  6,451,000       Georgia-Pacific LLC, 7.750%, 11/15/2029      8,765,780   
  2,850,000       Georgia-Pacific LLC, 8.000%, 1/15/2024      3,943,964   
  1,685,000       Georgia-Pacific LLC, 8.875%, 5/15/2031      2,517,629   
  4,015,000       Rock Tenn Co., 4.000%, 3/01/2023      4,060,317   
     

 

 

 
        30,641,725   
     

 

 

 
   Pharmaceuticals — 1.3%   
  1,845,000       Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A      1,945,322   
  130,000       Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A      138,450   

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Pharmaceuticals — continued   
$ 4,130,000       Valeant Pharmaceuticals International, 6.875%, 12/01/2018, 144A    $ 4,437,169   
  10,335,000       VPI Escrow Corp., 6.375%, 10/15/2020, 144A      10,890,506   
  4,750,000       Zoetis, Inc., 4.700%, 2/01/2043, 144A      4,848,900   
     

 

 

 
        22,260,347   
     

 

 

 
   Pipelines — 1.5%   
  9,530,000       Energy Transfer Partners LP, 6.050%, 6/01/2041      10,318,579   
  2,620,000       Energy Transfer Partners LP, 6.500%, 2/01/2042      2,993,672   
  2,050,000       Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016      2,229,028   
  8,685,000       Kinder Morgan Finance Co. LLC, 6.000%, 1/15/2018, 144A      9,610,969   
     

 

 

 
        25,152,248   
     

 

 

 
   Property & Casualty Insurance — 0.7%   
  1,175,000       Willis Group Holdings PLC, 4.125%, 3/15/2016      1,248,465   
  3,285,000       Willis Group Holdings PLC, 5.750%, 3/15/2021      3,687,616   
  3,250,000       Willis North America, Inc., 6.200%, 3/28/2017      3,702,852   
  3,170,000       Willis North America, Inc., 7.000%, 9/29/2019      3,779,632   
     

 

 

 
        12,418,565   
     

 

 

 
   Real Estate Management/Services — 0.3%   
  4,380,000       CBRE Services Inc., 5.000%, 3/15/2023      4,429,275   
     

 

 

 
   Refining — 0.7%   
  3,110,000       Phillips 66, 5.875%, 5/01/2042      3,652,847   
  7,975,000       Thai Oil PCL, 4.875%, 1/23/2043, 144A      7,724,753   
     

 

 

 
        11,377,600   
     

 

 

 
   Retailers — 0.9%   
  14,985,000       Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A      15,718,800   
     

 

 

 
   Sovereigns — 2.5%   
  6,438,000       Mexico Government International Bond, Series A, MTN, 6.050%, 1/11/2040      7,967,025   
  9,160,000       Romanian Government International Bond, 4.375%, 8/22/2023, 144A      8,969,289   
  24,985,000       Spain Government International Bond, 4.000%, 3/06/2018, 144A      24,750,141   
     

 

 

 
        41,686,455   
     

 

 

 
   Supermarket — 0.5%   
  8,660,000       Delhaize Group S.A., 4.125%, 4/10/2019      9,175,712   
     

 

 

 
   Supranational — 0.5%   
  18,970,000       Inter-American Development Bank, EMTN, 8.000%, 1/26/2016, (MXN)      1,717,697   
  87,705,000       International Bank for Reconstruction & Development,
6.500%, 9/11/2013, (MXN) 		     7,185,285   
     

 

 

 
        8,902,982   
     

 

 

 
   Technology — 1.7%   
  250,000       Amphenol Corp., 4.000%, 2/01/2022      261,855   
  3,745,000       Amphenol Corp., 4.750%, 11/15/2014      3,967,378   
  5,220,000       Baidu, Inc., 3.500%, 11/28/2022      5,280,087   
  1,160,000       Brocade Communications Systems, Inc., 6.875%, 1/15/2020      1,270,200   
  3,145,000       Dun & Bradstreet Corp. (The), 3.250%, 12/01/2017      3,233,425   
  3,156,000       Equifax, Inc., 7.000%, 7/01/2037      3,943,583   

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Technology — continued   
$ 69,000       Motorola Solutions, Inc., 6.625%, 11/15/2037    $ 76,601   
  340,000       Motorola Solutions, Inc., 7.500%, 5/15/2025      430,456   
  1,335,000       National Semiconductor Corp., 3.950%, 4/15/2015      1,425,920   
  8,290,000       Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A      9,064,817   
     

 

 

 
        28,954,322   
     

 

 

 
   Textile — 0.1%   
  1,125,000       Wolverine World Wide, Inc., 6.125%, 10/15/2020, 144A      1,193,906   
     

 

 

 
   Tobacco — 0.8%   
  10,480,000       Reynolds American, Inc., 7.250%, 6/15/2037      13,661,141   
     

 

 

 
   Transportation Services — 0.1%   
  1,990,000       Erac USA Finance Co., 5.250%, 10/01/2020, 144A      2,310,390   
     

 

 

 
   Treasuries — 13.2%   
  11,645,000       Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR)      15,854,875   
  2,787,500(††)       Mexican Fixed Rate Bonds, Series M, 6.250%, 6/16/2016, (MXN)      23,759,666   
  1,783,000(††)       Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)      16,315,927   
  475,000(††)       Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)      4,197,903   
  239,000,000       Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)      6,383,485   
  4,930,000       Spain Government Bond, 5.500%, 4/30/2021, (EUR)      6,645,612   
  13,430,000       Spain Government Bond, 5.850%, 1/31/2022, (EUR)      18,256,779   
  16,240,000       U.S. Treasury Bond, 2.750%, 8/15/2042      15,067,667   
  26,440,000       U.S. Treasury Bond, 3.000%, 5/15/2042(b)      25,886,399   
  2,910,000       U.S. Treasury Bond, 3.125%, 2/15/2042      2,924,550   
  21,435,000       U.S. Treasury Bond, 3.750%, 8/15/2041      24,241,656   
  3,875,000       U.S. Treasury Bond, 3.875%, 8/15/2040      4,482,286   
  8,147,000       U.S. Treasury Note, 0.875%, 2/28/2017      8,251,379   
  19,335,000       U.S. Treasury Note, 1.250%, 4/30/2019      19,594,824   
  13,520,000       U.S. Treasury Note, 1.625%, 8/15/2022      13,345,714   
  1,320,000       U.S. Treasury Note, 2.000%, 2/15/2022      1,357,022   
  1,155,000       U.S. Treasury Note, 2.125%, 8/15/2021      1,206,975   
  13,550,000       U.S. Treasury Note, 2.625%, 11/15/2020(b)      14,779,026   
     

 

 

 
        222,551,745   
     

 

 

 
   Wireless — 1.8%   
  1,915,000       American Tower Corp., 4.625%, 4/01/2015      2,042,074   
  1,475,000       American Tower Corp., 4.700%, 3/15/2022      1,603,002   
  8,890,000       SK Telecom Co. Ltd., 2.125%, 5/01/2018, 144A      8,919,799   
  3,165,000       SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A      4,019,297   
  13,920,000       Sprint Capital Corp., 6.875%, 11/15/2028      14,233,200   
     

 

 

 
        30,817,372   
     

 

 

 
   Wirelines — 5.0%   
  11,612,000       Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(f)      10,218,560   
  6,810,000       Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A      6,837,240   
  2,065,000       CenturyLink, Inc., 5.625%, 4/01/2020      2,111,462   
  5,470,000       Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A      5,483,675   
  6,225,000       eAccess Ltd., 8.250%, 4/01/2018, 144A      6,894,187   
  12,473,000       Embarq Corp., 7.995%, 6/01/2036      13,130,452   

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Wirelines — continued   
$ 1,575,000       Frontier Communications Corp., 7.875%, 1/15/2027    $ 1,559,250   
  3,300,000       Frontier Communications Corp., 8.250%, 4/15/2017      3,861,000   
  4,560,000       Frontier Communications Corp., 8.500%, 4/15/2020      5,164,200   
  415,000       Frontier Communications Corp., 9.000%, 8/15/2031      428,488   
  1,975,000       Qwest Corp., 6.750%, 12/01/2021      2,274,003   
  5,000,000       Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022, 144A      5,412,500   
  3,145,000       Telefonica Emisiones SAU, 3.992%, 2/16/2016      3,278,159   
  4,029,000       Telefonica Emisiones SAU, 5.134%, 4/27/2020      4,242,066   
  986,000       Telefonica Emisiones SAU, 5.462%, 2/16/2021      1,061,141   
  6,344,000       Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A      6,613,620   
  5,910,000       Windstream Corp., 7.500%, 4/01/2023      6,264,600   
     

 

 

 
        84,834,603   
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $1,550,444,216) 		     1,612,073,708   
     

 

 

 
     
  Convertible Bonds — 0.1%   
   Wirelines — 0.1%   
  13,238,400      

Axtel SAB de CV, (Step to 8.000% on 1/31/2014),
7.000%, 1/31/2020, 144A, (MXN)(f)(g)(h)(j)
(Identified Cost $1,322,805)

     1,390,310   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $1,551,767,021) 		     1,613,464,018   
     

 

 

 
     
  Senior Loans — 2.8%   
   Automotive — 0.3%   
  4,865,000       TI Group Automotive Systems LLC, Term Loan B, 3/27/2019(i)      4,901,487   
     

 

 

 
   Chemicals — 0.6%   
  4,890,506       Tronox, Inc., Term Loan, 4.500%, 3/19/2020(c)      4,955,697   
  4,199,000       U.S. Coatings Acquisition, Inc., Term Loan, 4.750%, 2/03/2020(c)      4,253,251   
     

 

 

 
        9,208,948   
     

 

 

 
   Consumer Products — 0.3%   
  5,022,413       Tempur-Pedic International, Inc., New Term Loan B, 5.000%, 3/18/2020(c)      5,088,759   
     

 

 

 
   Diversified Manufacturing — 0.2%   
  3,048,360       Ameriforge Group, Inc., 1st Lien Term Loan, 6.000%, 12/19/2019(c)      3,087,745   
     

 

 

 
   Entertainment — 0.1%   
  1,980,925       WMG Acquisition Corp., Term Loan, 5.250%, 11/01/2018(c)      2,009,411   
     

 

 

 
   Food & Beverage — 0.3%   
  4,704,000       HJ Heinz Co., Term Loan B2, 3/27/2020(i)      4,743,843   
     

 

 

 
   Healthcare — 0.0%   
  682,398       Hologic, Inc., Term Loan B, 4.500%, 8/01/2019(c)      690,928   
     

 

 

 
   Independent Energy — 0.3%   
  4,945,000       Plains Exploration & Production, 7 year Term Loan, 4.000%, 11/30/2019(c)      4,949,945   
     

 

 

 

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Metals & Mining — 0.2%   
$ 3,668,526       Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(c)    $ 3,728,616   
     

 

 

 
   Technology — 0.1%   
  541,854       Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(c)      549,012   
  1,196,078       Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(c)      1,213,218   
     

 

 

 
        1,762,230   
     

 

 

 
   Wirelines — 0.4%   
  7,110,000       Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(c)      7,188,494   
     

 

 

 
   Total Senior Loans
(Identified Cost $46,574,750) 		     47,360,406   
     

 

 

 
     
Shares                  
  Preferred Stocks — 0.2%   
   Non-Captive Consumer — 0.0%   
  5,510       SLM Corp., Series A, 6.970%      275,555   
     

 

 

 
   Non-Captive Diversified — 0.2%   
  68,182       Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%      1,825,914   
  532       Ally Financial, Inc., Series G, 7.000%, 144A      526,115   
     

 

 

 
        2,352,029   
     

 

 

 
   Total Preferred Stocks
(Identified Cost $2,068,801) 		     2,627,584   
     

 

 

 
     
Principal
Amount (‡) 		                 
  Short-Term Investments — 3.2%   
$ 122,999       Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2013 at 0.010% to be repurchased at $122,999 on 4/01/2013 collateralized by $130,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $130,089 including accrued interest (Note 2 of Notes to Financial Statements)      122,999   
  54,825,152       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $54,825,152 on 4/01/2013 collateralized by $51,005,000 U.S. Treasury Note, 4.125% due 5/15/2015 valued at $55,922,137 including accrued interest (Note 2 of Notes to Financial Statements)      54,825,152   
     

 

 

 
   Total Short-Term Investments
(Identified Cost $54,948,151) 		     54,948,151   
     

 

 

 
     
   Total Investments — 101.5%
(Identified Cost $1,655,358,723)(a) 		     1,718,400,159   
   Other assets less liabilities — (1.5)%      (26,200,850 ) 
     

 

 

 
   Net Assets — 100.0%    $ 1,692,199,309   
     

 

 

 

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

  (‡)       Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)       See Note 2 of Notes to Financial Statements.   
  (††)       Amount shown represents units. One unit represents a principal amount of 100.   
  (a)       Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):     
   At March 31, 2013, the net unrealized appreciation on investments based on a cost of $1,659,826,132 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 67,660,922   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (9,086,895 ) 
     

 

 

 
   Net unrealized appreciation    $ 58,574,027   
     

 

 

 
     
  (b)       All or a portion of this security has been designated to cover the Fund’s obligations under open TBA transactions.    
  (c)       Variable rate security. Rate as of March 31, 2013 is disclosed.   
  (d)       The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.       
  (e)       Delayed delivery. See Note 2 of Notes to Financial Statements.   
  (f)       Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.   
  (g)       Illiquid security. At March 31, 2013, the value of this security amounted to $1,390,310 or 0.1% of net assets.    
  (h)       Fair valued by the Fund’s investment adviser. At March 31, 2013, the value of this security amounted to $1,390,310 or 0.1% of net assets.    
  (i)       Position is unsettled. Contract rate was not determined at March 31, 2013 and does not take effect until settlement date.    
  (j)       Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.    
     
  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 March 31, 2013, the value of Rule 144A holdings amounted to $405,954,304 or 24.0% of net assets.      
  ABS       Asset-Backed Securities   
  ARMs       Adjustable Rate Mortgages   
  EMTN       Euro Medium Term Note   
  FHLMC       Federal Home Loan Mortgage Corp.   
  FNMA       Federal National Mortgage Association   
  GMTN       Global Medium Term Note   
  GNMA       Government National Mortgage Association   
  MTN       Medium Term Note   
  TBA       To Be Announced   
     
  EUR       Euro   
  MXN       Mexican Peso   
  PHP       Philippine Peso   
  USD       U.S. Dollar   

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Industry Summary at March 31, 2013 (Unaudited)

 

Treasuries

     13.2 % 

Mortgage Related

     11.4   

Banking

     7.5   

Government Owned – No Guarantee

     6.1   

Wirelines

     5.5   

Commercial Mortgage-Backed Securities

     5.0   

Independent Energy

     3.4   

Non-Captive Diversified

     3.3   

Automotive

     3.2   

ABS Car Loan

     2.9   

Chemicals

     2.8   

Oil Field Services

     2.6   

Sovereigns

     2.5   

Metals & Mining

     2.0   

Other Investments, less than 2% each

     26.9   

Short-Term Investments

     3.2   
  

 

 

 

Total Investments

     101.5   

Other assets less liabilities

     (1.5 ) 
  

 

 

 

Net Assets

     100.0 % 
  

 

 

 

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund

 

Principal
Amount (‡) 		     Description    Value (†)  
  Bonds and Notes — 86.2% of Net Assets   
  Non-Convertible Bonds — 76.7%   
   ABS Home Equity — 3.7%   
$ 333,217       American Home Mortgage Investment Trust, Series 2005-2, Class 4A1,
1.961%, 9/25/2045(b) 		   $ 320,034   
  349,457       American Home Mortgage Investment Trust, Series 2006-1, Class 11A1,
0.344%, 3/25/2046(b) 		     278,800   
  200,000       Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1,
0.654%, 1/25/2036(b) 		     170,971   
  365,524       Banc of America Funding Corp., Series 2008-R4, Class 1A4,
0.652%, 7/25/2037, 144A(b) 		     226,410   
  67,003       Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1,
2.934%, 2/25/2035(b) 		     65,790   
  209,341       Banc of America Mortgage Securities, Inc., Series 2006-B, Class 4A1,
6.172%, 11/20/2046(b) 		     192,722   
  111,265       Citimortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036      95,676   
  340,395       Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036      234,477   
  889,890       Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.713%, 4/25/2035(b)      551,454   
  374,366       Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.474%, 4/25/2035(b)      277,838   
  411,682       Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035      412,710   
  529,474       Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.639%, 11/20/2035(b)      490,863   
  474,378       GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.403%, 6/19/2035(b)      465,332   
  406,238       GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.586%, 7/19/2035(b)      374,273   
  504,544       GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.274%, 12/25/2046(b)      262,788   
  90,275       GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.127%, 12/25/2034(b)      78,686   
  568,874       GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 2.910%, 5/25/2035(b)      534,640   
  228,709       GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036      199,535   
  127,256       JP Morgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 5.094%, 3/25/2036(b)      108,231   
  502,805       Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.704%, 1/25/2036(b)(c)      342,963   
  202,255       Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036      203,281   
  481,703       Lehman XS Trust, Series 2007-10H, Class 1A11, 0.324%, 7/25/2037(b)(c)      300,180   
  326,136       MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1,
2.757%, 3/25/2035(b) 		     269,844   
  602,661       MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1,
0.364%, 1/25/2047(b) 		     421,361   
  577,462       Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7,
6.000%, 3/25/2037 		     430,926   
  130,536       New York Mortgage Trust, Series 2006-1, Class 2A2, 2.909%, 5/25/2036(b)      113,086   

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   ABS Home Equity — continued   
$ 575,000       Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.704%, 7/25/2035(b)    $ 536,777   
  519,938       Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036      428,949   
  444,796       Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036      459,433   
  129,635       WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.935%, 4/25/2047(b)      111,268   
  451,213       Washington Mutual Alternative Mortgage Pass-Through Certificates,
Series 2006-AR6, Class 2A, 1.134%, 8/25/2046(b) 		     289,059   
     

 

 

 
        9,248,357   
     

 

 

 
   ABS Other — 0.3%   
  350,000       DSC Floorplan Master Owner Trust, Series 2011-1, Class B,
8.110%, 3/15/2016, 144A 		     352,206   
  330,401       Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A      342,318   
     

 

 

 
        694,524   
     

 

 

 
   Aerospace & Defense — 1.6%   
  1,200,000       Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A      1,055,066   
  900,000       Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A      848,250   
  2,090,000       TransDigm, Inc., 5.500%, 10/15/2020, 144A      2,178,825   
     

 

 

 
        4,082,141   
     

 

 

 
   Airlines — 1.2%   
  2,005,000       Air Canada, 9.250%, 8/01/2015, 144A      2,135,325   
  30,000       Air Canada, 12.000%, 2/01/2016, 144A      32,813   
  345,000       Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018      346,725   
  13,444       Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018      13,893   
  198,446       Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017      208,626   
  169,923       Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023      183,666   
     

 

 

 
        2,921,048   
     

 

 

 
   Automotive — 1.1%   
  2,190,000       Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022      2,307,713   
  595,000       Lear Corp., 4.750%, 1/15/2023, 144A      580,125   
     

 

 

 
        2,887,838   
     

 

 

 
   Banking — 3.0%   
  800,000,000       Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)      1,671,262   
  820,000       HBOS PLC, 6.000%, 11/01/2033, 144A      785,396   
  1,400,000       HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A      1,556,058   
  900,000       Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)      1,008,261   
  1,000,000       Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018      1,006,637   

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Banking — continued   
  65,000       Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)    $ 59,349   
  740,000       Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)      692,930   
  200,000       Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)      276,880   
  250,000       Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)      363,725   
     

 

 

 
        7,420,498   
     

 

 

 
   Brokerage — 0.2%   
  170,000       Jefferies Group LLC, 5.125%, 1/20/2023      179,992   
  355,000       Jefferies Group LLC, 6.500%, 1/20/2043      378,428   
     

 

 

 
        558,420   
     

 

 

 
   Building Materials — 1.8%   
  1,230,000       HD Supply, Inc., 7.500%, 7/15/2020, 144A      1,294,575   
  50,000       Masco Corp., 6.500%, 8/15/2032      50,936   
  360,000       Masco Corp., 7.125%, 3/15/2020      420,270   
  345,000       Masco Corp., 7.750%, 8/01/2029      388,325   
  845,000       Masonite International Corp., 8.250%, 4/15/2021, 144A      937,950   
  1,300,000       Ply Gem Industries, Inc., 8.250%, 2/15/2018      1,415,375   
  100,000       USG Corp., 8.375%, 10/15/2018, 144A      110,500   
     

 

 

 
        4,617,931   
     

 

 

 
   Chemicals — 2.5%   
  1,510,000       Hercules, Inc., 6.500%, 6/30/2029      1,359,000   
  850,000       Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018      879,750   
  420,000       JM Huber Corp., 9.875%, 11/01/2019, 144A      475,650   
  819,919       Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(d)(e)      645,686   
  635,000       TPC Group, Inc., 8.750%, 12/15/2020, 144A      661,988   
  1,600,000       Tronox Finance LLC, 6.375%, 8/15/2020, 144A      1,552,000   
  600,000       U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A      631,500   
     

 

 

 
        6,205,574   
     

 

 

 
   Commercial Mortgage-Backed Securities — 1.0%   
  1,690,000       GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.787%, 8/10/2045(b)      1,698,318   
  125,000       JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049      133,385   
  525,000       Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b)      572,869   
     

 

 

 
        2,404,572   
     

 

 

 
   Construction Machinery — 0.3%   
  450,000       United Rentals North America, Inc., 6.125%, 6/15/2023      481,500   
  205,000       United Rentals North America, Inc., 7.625%, 4/15/2022      229,088   
     

 

 

 
        710,588   
     

 

 

 
   Consumer Cyclical Services — 0.6%   
  615,000       ServiceMaster Co. (The), 7.000%, 8/15/2020, 144A      636,525   
  1,095,000       ServiceMaster Co. (The), 7.450%, 8/15/2027      947,175   
     

 

 

 
        1,583,700   
     

 

 

 

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Consumer Products — 0.7%   
$ 2,040,000       Visant Corp., 10.000%, 10/01/2017    $ 1,861,500   
     

 

 

 
   Electric — 1.2%   
  17,022       AES Red Oak LLC, Series A, 8.540%, 11/30/2019      18,214   
  1,395,000       EDP Finance BV, 4.900%, 10/01/2019, 144A      1,401,975   
  200,000       EDP Finance BV, 6.000%, 2/02/2018, 144A      210,500   
  773,000       Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A      747,877   
  455,000       Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.750%, 3/01/2022, 144A      523,250   
     

 

 

 
        2,901,816   
     

 

 

 
   Environmental — 0.1%   
  255,000       ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A      274,763   
     

 

 

 
   Food & Beverage — 0.5%   
  600,000       Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)      306,124   
  1,020,000       Del Monte Corp., 7.625%, 2/15/2019      1,058,250   
     

 

 

 
        1,364,374   
     

 

 

 
   Gaming — 1.5%   
  740,000       MGM Resorts International, 6.750%, 10/01/2020, 144A      784,400   
  1,360,000       MGM Resorts International, 7.500%, 6/01/2016      1,506,200   
  1,250,000       MGM Resorts International, 7.625%, 1/15/2017      1,387,500   
     

 

 

 
        3,678,100   
     

 

 

 
   Healthcare — 2.5%   
  555,000       DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/2018      609,113   
  1,050,000       HCA Holdings, Inc., 6.250%, 2/15/2021      1,119,562   
  570,000       HCA, Inc., 5.875%, 5/01/2023      592,800   
  170,000       HCA, Inc., 7.050%, 12/01/2027      166,600   
  640,000       HCA, Inc., 7.500%, 12/15/2023      684,800   
  470,000       HCA, Inc., 7.690%, 6/15/2025      501,725   
  480,000       HCA, Inc., 8.360%, 4/15/2024      537,600   
  820,000       HCA, Inc., MTN, 7.580%, 9/15/2025      854,850   
  515,000       HCA, Inc., MTN, 7.750%, 7/15/2036      515,000   
  635,000       Tenet Healthcare Corp., 6.875%, 11/15/2031      581,025   
     

 

 

 
        6,163,075   
     

 

 

 
   Home Construction — 5.7%   
  845,000       Beazer Homes USA, Inc., 9.125%, 6/15/2018      908,375   
  1,132,000       Beazer Homes USA, Inc., 9.125%, 5/15/2019      1,219,730   
  600,000       Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A      513,000   
  975,000       Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A      833,625   
  750,000       K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021      690,000   
  500,000       K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A      556,875   
  2,580,000       KB Home, 7.250%, 6/15/2018      2,838,000   
  1,850,000       Lennar Corp., 6.950%, 6/01/2018      2,081,250   
  3,135,000       Pulte Group, Inc., 6.000%, 2/15/2035      3,009,600   
  495,000       Pulte Group, Inc., 6.375%, 5/15/2033      497,475   

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Home Construction — continued   
$ 380,000       Pulte Group, Inc., 7.875%, 6/15/2032    $ 419,900   
  70,000       Standard Pacific Corp., 8.375%, 1/15/2021      82,862   
  200,000       Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A      122,000   
  1,100,000       Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A      682,000   
     

 

 

 
        14,454,692   
     

 

 

 
   Independent Energy — 3.4%   
  30,000       Chesapeake Energy Corp., 6.625%, 8/15/2020      32,775   
  405,000       Chesapeake Energy Corp., 6.875%, 11/15/2020      441,450   
  1,365,000       Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A      897,487   
  115,000       Halcon Resources Corp., 8.875%, 5/15/2021, 144A      123,913   
  685,000       Halcon Resources Corp., 9.750%, 7/15/2020, 144A      756,925   
  3,400,000       OGX Austria GmbH, 8.375%, 4/01/2022, 144A      2,567,000   
  800,000       OGX Austria GmbH, 8.500%, 6/01/2018, 144A      624,000   
  1,100,000       Plains Exploration & Production Co., 6.500%, 11/15/2020      1,215,500   
  810,000       SandRidge Energy, Inc., 7.500%, 3/15/2021      842,400   
  200,000       SandRidge Energy, Inc., 7.500%, 2/15/2023      207,500   
  675,000       SandRidge Energy, Inc., 8.125%, 10/15/2022      720,562   
     

 

 

 
        8,429,512   
     

 

 

 
   Life Insurance — 0.5%   
  860,000       American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068      1,157,775   
     

 

 

 
   Local Authorities — 0.4%   
  1,055,000       Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)      1,057,783   
     

 

 

 
   Lodging — 0.1%   
  180,000       Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027      204,300   
     

 

 

 
   Media Cable — 1.3%   
  440,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 9/01/2023, 144A      441,100   
  1,830,000       Nara Cable Funding II Ltd., 8.500%, 3/01/2020, 144A, (EUR)      2,457,212   
  200,000       Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR)      278,161   
     

 

 

 
        3,176,473   
     

 

 

 
   Media Non-Cable — 3.0%   
  1,565,000       Clear Channel Communications, Inc., 5.500%, 9/15/2014      1,533,700   
  290,000       Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A      302,325   
  785,000       Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A      828,175   
  1,080,000       Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020      1,127,250   
  50,000       Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A      51,500   
  335,000       Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A      340,862   
  230,000       Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A      233,738   
  2,905,000       Intelsat Luxembourg S.A., 11.250%, 2/04/2017      3,093,825   
     

 

 

 
        7,511,375   
     

 

 

 
   Metals & Mining — 3.4%   
  2,395,000       ArcelorMittal, 7.250%, 3/01/2041      2,383,025   
  2,100,000       Arch Coal, Inc., 7.250%, 6/15/2021      1,884,750   
  515,000       Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A      494,400   

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Metals & Mining — continued   
$ 780,000       Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A    $ 633,750   
  330,000       FMG Resources August 2006 Pty Ltd., 6.875%, 4/01/2022, 144A      345,675   
  660,000       Inmet Mining Corp., 7.500%, 6/01/2021, 144A      714,450   
  2,375,000       United States Steel Corp., 6.650%, 6/01/2037      2,185,000   
     

 

 

 
        8,641,050   
     

 

 

 
   Mortgage Related — 0.3%   
  637,231       FHLMC, 3.500%, 8/01/2042      672,520   
     

 

 

 
   Non-Captive Consumer — 2.7%   
  1,430,000       Residential Capital LLC, 9.625%, 5/15/2015(f)      1,558,700   
  1,230,000       SLM Corp., 5.500%, 1/25/2023      1,220,775   
  1,920,000       Springleaf Finance Corp., MTN, 5.750%, 9/15/2016      1,932,000   
  2,000,000       Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017      2,010,000   
     

 

 

 
        6,721,475   
     

 

 

 
   Non-Captive Diversified — 2.2%   
  1,825,000       Air Lease Corp., 4.500%, 1/15/2016      1,893,437   
  240,000       Aircastle Ltd., 7.625%, 4/15/2020      277,800   
  1,045,000       International Lease Finance Corp., 8.625%, 1/15/2022      1,329,762   
  100,000       iStar Financial, Inc., 5.850%, 3/15/2017      101,750   
  135,000       iStar Financial, Inc., 5.875%, 3/15/2016      140,231   
  615,000       iStar Financial, Inc., 7.125%, 2/15/2018      644,213   
  15,000       iStar Financial, Inc., Series B, 5.950%, 10/15/2013      15,281   
  585,000       Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A      611,325   
  435,000       Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A      451,313   
     

 

 

 
        5,465,112   
     

 

 

 
   Oil Field Services — 1.1%   
  730,000       Basic Energy Services, Inc., 7.750%, 10/15/2022      751,900   
  1,745,000       Edgen Murray Corp., 8.750%, 11/01/2020, 144A      1,810,438   
  190,000       Global Geophysical Services, Inc., 10.500%, 5/01/2017      164,825   
     

 

 

 
        2,727,163   
     

 

 

 
   Packaging — 1.3%   
  2,200,000       Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.000%, 11/15/2020, 144A      2,260,500   
  275,000       Sealed Air Corp., 6.500%, 12/01/2020, 144A      301,125   
  755,000       Sealed Air Corp., 6.875%, 7/15/2033, 144A      717,250   
     

 

 

 
        3,278,875   
     

 

 

 
   Pharmaceuticals — 1.2%   
  450,000       Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A      474,469   
  140,000       Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A      149,100   
  530,000       Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A      576,375   
  1,690,000       VPI Escrow Corp., 6.375%, 10/15/2020, 144A      1,780,837   
     

 

 

 
        2,980,781   
     

 

 

 

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Pipelines — 0.6%   
$ 615,000       NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A    $ 624,225   
  655,000       NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A      733,600   
  215,000       Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A      216,613   
     

 

 

 
        1,574,438   
     

 

 

 
   Retailers — 1.3%   
  40,000       Dillard’s, Inc., 7.000%, 12/01/2028      42,000   
  435,000       Dillard’s, Inc., 7.750%, 7/15/2026      473,063   
  205,000       Dillard’s, Inc., 7.750%, 5/15/2027      220,375   
  35,000       Dillard’s, Inc., 7.875%, 1/01/2023      38,675   
  1,615,000       J.C. Penney Corp., Inc., 6.375%, 10/15/2036      1,211,250   
  1,440,000       Toys R Us, Inc., 7.375%, 10/15/2018      1,270,800   
     

 

 

 
        3,256,163   
     

 

 

 
   Sovereigns — 0.7%   
  1,050,000       Republic of Brazil, 8.500%, 1/05/2024, (BRL)      553,384   
  2,250,000       Republic of Brazil, 10.250%, 1/10/2028, (BRL)      1,336,137   
     

 

 

 
        1,889,521   
     

 

 

 
   Supermarkets — 1.4%   
  315,000       American Stores Co., 8.000%, 6/01/2026      404,381   
  205,000       New Albertson’s, Inc., 7.450%, 8/01/2029      164,256   
  1,135,000       New Albertson’s, Inc., 7.750%, 6/15/2026      909,419   
  200,000       New Albertson’s, Inc., 8.000%, 5/01/2031      162,000   
  180,000       New Albertson’s, Inc., 8.700%, 5/01/2030      151,200   
  935,000       New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      674,369   
  895,000       SUPERVALU, Inc., 8.000%, 5/01/2016      930,800   
     

 

 

 
        3,396,425   
     

 

 

 
   Supranational — 0.4%   
  2,000,000       European Bank for Reconstruction & Development, EMTN,
9.000%, 4/28/2014, (BRL) 		     1,021,502   
     

 

 

 
   Technology — 3.2%   
  2,500,000       Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      1,925,000   
  1,930,000       Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028      1,466,800   
  535,000       Amkor Technology, Inc., 6.375%, 10/01/2022      533,662   
  85,000       Amkor Technology, Inc., 6.625%, 6/01/2021      85,850   
  545,000       Equinix, Inc., 5.375%, 4/01/2023      551,812   
  1,460,000       First Data Corp., 8.250%, 1/15/2021, 144A      1,518,400   
  450,000       First Data Corp., 10.625%, 6/15/2021, 144A      455,063   
  960,000       Freescale Semiconductor, Inc., 8.050%, 2/01/2020      1,015,200   
  340,000       SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A      351,050   
     

 

 

 
        7,902,837   
     

 

 

 
   Textile — 1.8%   
  1,925,000       Hanesbrands, Inc., 6.375%, 12/15/2020(g)      2,095,844   
  2,605,000       Jones Group, Inc. (The), 6.125%, 11/15/2034      2,217,506   

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Textile — continued   
$ 175,000       Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019    $ 185,281   
     

 

 

 
        4,498,631   
     

 

 

 
   Transportation Services — 0.1%   
  275,000       APL Ltd., 8.000%, 1/15/2024(e)      258,500   
     

 

 

 
   Treasuries — 8.9%   
  150,000       Ireland Government Bond, 4.500%, 10/18/2018, (EUR)      205,325   
  375,000       Ireland Government Bond, 4.500%, 4/18/2020, (EUR)      502,171   
  930,000       Ireland Government Bond, 5.400%, 3/13/2025, (EUR)      1,288,683   
  65,000       Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)      82,507   
  60,000       Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)      78,683   
  605,000       Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR)      823,718   
  55,000       Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)      75,536   
  246,500(††)       Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)      2,489,986   
  184,000(††)       Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)      2,142,139   
  229,000(††)       Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)      2,502,029   
  20,000,000       Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)      534,183   
  10,000,000       Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)      279,956   
  120,000,000       Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(g)      3,907,131   
  850,000       Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)      927,946   
  1,525,000       Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)      1,740,769   
  2,920,000       Spain Government Bond, 4.650%, 7/30/2025, (EUR)(g)      3,519,322   
  19,660,565       Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)      1,304,183   
     

 

 

 
        22,404,267   
     

 

 

 
   Wireless — 3.0%   
  6,000,000       America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      510,688   
  900,000       Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A      432,000   
  955,000       Clearwire Communications LLC/Clearwire Finance, Inc.,
12.000%, 12/01/2015, 144A 		     1,030,206   
  795,000       SBA Communications Corp., 5.625%, 10/01/2019, 144A      817,856   
  4,501,000       Sprint Capital Corp., 6.875%, 11/15/2028(g)      4,602,273   
  5,000       Sprint Capital Corp., 6.900%, 5/01/2019      5,488   
  70,000       Sprint Capital Corp., 8.750%, 3/15/2032      83,475   
     

 

 

 
        7,481,986   
     

 

 

 
   Wirelines — 4.9%   
  332,000       Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(h)      292,160   
  85,000       CenturyLink, Inc., 5.625%, 4/01/2020      86,913   
  2,590,000       CenturyLink, Inc., 7.650%, 3/15/2042      2,502,587   
  1,145,000       CenturyLink, Inc., Series P, 7.600%, 9/15/2039      1,110,650   
  130,000       Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      123,500   
  1,105,000       Cincinnati Bell, Inc., 8.750%, 3/15/2018      1,096,712   
  60,000,000       Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A (COP)      34,840   
  735,000       Frontier Communications Corp., 9.000%, 8/15/2031      758,887   
  605,000       Level 3 Communications, Inc., 8.875%, 6/01/2019, 144A      660,963   
  1,090,000       Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A      1,141,775   

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Wirelines — continued   
  350,000       Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)    $ 417,372   
  250,000       Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)      323,667   
  300,000       Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)      405,824   
  395,000       Telecom Italia Capital S.A., 6.000%, 9/30/2034      366,702   
  60,000       Telecom Italia Capital S.A., 6.375%, 11/15/2033      58,288   
  1,575,000       Telefonica Emisiones SAU, 5.134%, 4/27/2020      1,658,291   
  75,000       Telefonica Emisiones SAU, 5.462%, 2/16/2021      80,716   
  1,125,000       Telefonica Emisiones SAU, 7.045%, 6/20/2036      1,207,686   
     

 

 

 
        12,327,533   
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $177,529,441) 		     192,069,508   
     

 

 

 
     
  Convertible Bonds — 9.5%   
   Automotive — 1.1%   
  1,760,000       Ford Motor Co., 4.250%, 11/15/2016      2,820,400   
     

 

 

 
   Brokerage — 0.7%   
  1,714,000       Jefferies Group LLC, 3.875%, 11/01/2029      1,762,206   
     

 

 

 
   Construction Machinery — 0.3%   
  555,000       Ryland Group, Inc. (The), 1.625%, 5/15/2018      828,337   
     

 

 

 
   Diversified Manufacturing — 0.6%   
  1,325,000       Trinity Industries, Inc., 3.875%, 6/01/2036      1,589,172   
     

 

 

 
   Home Construction — 0.8%   
  565,000       KB Home, 1.375%, 2/01/2019      621,147   
  70,000       Lennar Corp., 2.000%, 12/01/2020, 144A      106,094   
  925,000       Standard Pacific Corp., 1.250%, 8/01/2032      1,181,687   
     

 

 

 
        1,908,928   
     

 

 

 
   Independent Energy — 0.4%   
  800,000       Chesapeake Energy Corp., 2.500%, 5/15/2037      766,500   
  120,000       Chesapeake Energy Corp., 2.750%, 11/15/2035      120,150   
     

 

 

 
        886,650   
     

 

 

 
   Metals & Mining — 0.6%   
  1,235,000       Peabody Energy Corp., 4.750%, 12/15/2066      1,006,525   
  165,000       Steel Dynamics, Inc., 5.125%, 6/15/2014      185,212   
  380,000       United States Steel Corp., 2.750%, 4/01/2019      384,275   
     

 

 

 
        1,576,012   
     

 

 

 
   Non-Captive Diversified — 0.1%   
  310,000       iStar Financial, Inc., 3.000%, 11/15/2016      364,444   
     

 

 

 
   Pharmaceuticals — 0.6%   
  315,000       Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016      683,747   
  270,000       Mylan, Inc., 3.750%, 9/15/2015      598,219   
  220,000       Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015      263,587   
     

 

 

 
        1,545,553   
     

 

 

 

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   REITs — Mortgage — 0.3%   
$ 630,000       Redwood Trust, Inc., 4.625%, 4/15/2018    $ 693,788   
     

 

 

 
   Technology — 3.7%   
  3,780,000       Ciena Corp., 0.875%, 6/15/2017(g)      3,418,537   
  145,000       Ciena Corp., 3.750%, 10/15/2018, 144A      164,394   
  40,000       Ciena Corp., 4.000%, 3/15/2015, 144A      44,300   
  2,700,000       Intel Corp., 2.950%, 12/15/2035      2,865,375   
  620,000       Micron Technology, Inc., Series B, 1.875%, 8/01/2031      723,850   
  1,185,000       Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A      1,464,216   
  240,000       Nuance Communications, Inc., 2.750%, 11/01/2031      247,950   
  80,000       SanDisk Corp., 1.500%, 8/15/2017      103,100   
  205,000       Xilinx, Inc., 2.625%, 6/15/2017      290,716   
     

 

 

 
        9,322,438   
     

 

 

 
   Textile — 0.3%   
  570,000       Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A      633,769   
     

 

 

 
   Wirelines — 0.0%   
  379,000       Axtel SAB de CV, (Step to 8.000% on 1/31/2014),
7.000%, 1/31/2020, 144A, (MXN)(e)(h)(i)(l) 		     39,803   
     

 

 

 
   Total Convertible Bonds
(Identified Cost $20,611,811) 		     23,971,500   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $198,141,252) 		     216,041,008   
     

 

 

 
     
  Senior Loans — 0.4%   
   Automotive — 0.1%   
  475,000       TI Group Automotive Systems LLC, Term Loan B, 3/27/2019(j)      478,562   
     

 

 

 
   Consumer Products — 0.0%   
  9,896       Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)      9,590   
     

 

 

 
   Media Non-Cable — 0.1%   
  281,368       SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)      206,631   
     

 

 

 
   Supermarket — 0.1%   
  180,000       Supervalu, Inc., New Term Loan B, 6.250%, 3/21/2019(b)      182,945   
     

 

 

 
   Technology — 0.1%   
  40,625       Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)      41,162   
  89,152       Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)      90,429   
     

 

 

 
        131,591   
     

 

 

 
   Wirelines — 0.0%   
  25,000       Integra Telecom, Inc., Refi 2nd Lien Term Loan, 9.750%, 2/21/2020(b)      25,635   
     

 

 

 
   Total Senior Loans
(Identified Cost $1,091,185) 		     1,034,954   
     

 

 

 

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Shares

     Description    Value (†)  
  Preferred Stocks — 3.9%   
  Convertible Preferred Stocks — 2.5%   
   Automotive — 1.3%   
  73,400       General Motors Co., Series B, 4.750%(g)    $ 3,151,796   
  2,500       Goodyear Tire & Rubber Co. (The), 5.875%      108,775   
     

 

 

 
        3,260,571   
     

 

 

 
   Banking — 0.1%   
  94       Bank of America Corp., Series L, 7.250%      114,507   
     

 

 

 
   Independent Energy — 0.1%   
  390       Chesapeake Energy Corp., 5.000%      34,554   
  245       Chesapeake Energy Corp., Series A, 5.750%, 144A      250,359   
     

 

 

 
        284,913   
     

 

 

 
   Metals & Mining — 0.3%   
  21,500       ArcelorMittal, 6.000%      450,425   
  19,413       Cliffs Natural Resources, Inc., 7.000%      362,441   
     

 

 

 
        812,866   
     

 

 

 
   Non-Captive Diversified — 0.2%   
  8,025       iStar Financial, Inc., Series J, 4.500%      416,016   
     

 

 

 
   Pipelines — 0.5%   
  20,675       El Paso Energy Capital Trust I, 4.750%      1,214,243   
     

 

 

 
   Total Convertible Preferred Stocks
(Identified Cost $6,118,075) 		     6,103,116   
     

 

 

 
     
  Non-Convertible Preferred Stocks — 1.4%   
   Non-Captive Diversified — 1.4%   
  78,785       Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%      2,109,862   
  965       Ally Financial, Inc., Series G, 7.000%, 144A      954,325   
  12,925       iStar Financial, Inc., Series E, 7.875%      310,329   
  7,500       iStar Financial, Inc., Series F, 7.800%      179,250   
  550       iStar Financial, Inc., Series G, 7.650%      13,118   
     

 

 

 
        3,566,884   
     

 

 

 
   Total Non-Convertible Preferred Stocks
(Identified Cost $3,279,860) 		     3,566,884   
     

 

 

 
   Total Preferred Stocks
(Identified Cost $9,397,935) 		     9,670,000   
     

 

 

 
     
  Common Stocks — 1.6%   
   Automobiles — 0.3%   
  53,720       Ford Motor Co.      706,418   
     

 

 

 
   Chemicals — 0.1%   
  1,087       Ashland, Inc.      80,764   
     

 

 

 

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Shares

     Description    Value (†)  
   Diversified Telecommunication Services — 0.0%   
  68       FairPoint Communications, Inc.(k)    $ 508   
  593       Hawaiian Telcom Holdco, Inc.(k)      13,681   
     

 

 

 
        14,189   
     

 

 

 
   Gas Utilities — 0.4%   
  17,600       National Fuel Gas Co.      1,079,760   
     

 

 

 
   Household Durables — 0.4%   
  46,500       KB Home      1,012,305   
     

 

 

 
   Oil, Gas & Consumable Fuels — 0.2%   
  14,882       Kinder Morgan, Inc.      575,636   
     

 

 

 
   Pharmaceuticals — 0.1%   
  6,875       Merck & Co., Inc.      304,081   
     

 

 

 
   Trading Companies & Distributors — 0.1%   
  2,696       United Rentals, Inc.(k)      148,199   
     

 

 

 
   Total Common Stocks
(Identified Cost $2,778,432) 		     3,921,352   
     

 

 

 
     
  Warrants — 0.0%   
  10,360       FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(e)(i)(k)      —   
  22,512       Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(k)      115,712   
     

 

 

 
   Total Warrants
(Identified Cost $29,892) 		     115,712   
     

 

 

 
     
Principal
Amount (‡) 		                 
  Short-Term Investments — 7.1%   
$ 848       Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2013 at 0.010% to be repurchased at $848 on 4/01/2013 collateralized by $5,000 Federal National Mortgage Association, 2.080%, due 11/02/2022 valued at $5,003 including accrued interest (Note 2 of Notes to Financial Statements)      848   
  17,722,382       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013, at 0.000% to be repurchased at $17,722,382 on 4/01/2013 collateralized by $16,490,000 U.S. Treasury Note, 4.125% due 5/15/2015 valued at $18,079,718 including accrued interest (Note 2 of Notes to Financial Statements)      17,722,382   
     

 

 

 
   Total Short-Term Investments
(Identified Cost $17,723,230) 		     17,723,230   
     

 

 

 
     
   Total Investments — 99.2%
(Identified Cost $229,161,926)(a) 		     248,506,256   
   Other assets less liabilities — 0.8%      1,955,289   
     

 

 

 
   Net Assets — 100.0%    $ 250,461,545   
     

 

 

 

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

  (‡)       Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)       See Note 2 of Notes to Financial Statements.   
  (††)       Amount shown represents units. One unit represents a principal amount of 100.   
  (a)       Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):     
   At March 31, 2013, the net unrealized appreciation on investments based on a cost of $229,353,283 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 23,859,934   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (4,706,961 ) 
     

 

 

 
   Net unrealized appreciation    $ 19,152,973   
     

 

 

 
     
  (b)       Variable rate security. Rate as of March 31, 2013 is disclosed.   
  (c)       The issuer is making partial payments with respect to principal.   
  (d)       All or a portion of interest payment is paid-in-kind.   
  (e)       Illiquid security. At March 31, 2013, the value of these securities amounted to $943,989 or 0.4% of net assets.    
  (f)       The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.    
  (g)       All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.    
  (h)       Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.   
  (i)       Fair valued by the Fund’s investment adviser. At March 31, 2013, the value of these securities amounted to $39,803 or less than 0.1% of net assets.    
  (j)       Position is unsettled. Contract rate was not determined at March 31, 2013 and does not take effect until settlement date.    
  (k)       Non-income producing security.   
  (l)       Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.    
     
  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 March 31, 2013, the value of Rule 144A holdings amounted to $59,914,016 or 23.9% of net assets.      
  ABS       Asset-Backed Securities   
  EMTN       Euro Medium Term Note   
  FHLMC       Federal Home Loan Mortgage Corp.   
  GMTN       Global Medium Term Note   
  MTN       Medium Term Note   
  REITs       Real Estate Investment Trusts   
     
  AUD       Australian Dollar   
  BRL       Brazilian Real   
  CLP       Chilean Peso   
  COP       Colombian Peso   
  EUR       Euro   
  MXN       Mexican Peso   
  PHP       Philippine Peso   
  USD       U.S. Dollar   
  UYU       Uruguayan Peso   

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

At March 31, 2013, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell 1 		   Delivery
Date 		     Currency    Units
of
Currency 		     Notional
Value 		     Unrealized
Appreciation
(Depreciation) 		 
Buy      4/30/2013       Euro      275,000       $ 352,571       $ (3,661 ) 
Sell      4/30/2013       Euro      12,550,000         16,090,051         672,615   
              

 

 

 
Total                $ 668,954   
              

 

 

 

1 Counterparty is Barclays Bank PLC.

Industry Summary at March 31, 2013 (Unaudited)

 

Treasuries

     8.9 % 

Technology

     7.0   

Home Construction

     6.5   

Wirelines

     4.9   

Metals & Mining

     4.3   

Non-Captive Diversified

     3.9   

Independent Energy

     3.9   

ABS Home Equity

     3.7   

Automotive

     3.6   

Media Non-Cable

     3.1   

Banking

     3.1   

Wireless

     3.0   

Non-Captive Consumer

     2.7   

Chemicals

     2.6   

Healthcare

     2.5   

Textile

     2.1   

Other Investments, less than 2% each

     26.3   

Short-Term Investments

     7.1   
  

 

 

 

Total Investments

     99.2   

Other assets less liabilities (including open forward foreign currency contracts)

     0.8   
  

 

 

 

Net Assets

     100.0 % 
  

 

 

 

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund

 

Principal
Amount (‡) 		     Description    Value (†)  
  Bonds and Notes — 96.9% of Net Assets   
  Non-Convertible Bonds — 96.8%   
   Belgium — 2.7%   
  100,000       Anheuser-Busch InBev NV, EMTN, 1.250%, 3/24/2017, (EUR)    $ 130,022   
  260,000       Belgium Government Bond, 3.500%, 6/28/2017, (EUR)(b)      370,609   
     

 

 

 
        500,631   
     

 

 

 
   Brazil — 1.7%   
  350,000       Republic of Brazil, 8.500%, 1/05/2024, (BRL)      184,461   
  100,000       Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)      138,121   
     

 

 

 
        322,582   
     

 

 

 
   Canada — 3.8%   
  190,000       Canadian Government, 3.000%, 12/01/2015, (CAD)      196,462   
  100,000       Ford Auto Securitization Trust, Series 2013-R1A, Class A2,
1.676%, 9/15/2016, 144A, (CAD) 		     98,840   
  70,000       Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)      78,877   
  150,000       Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)      209,289   
  95,000       Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)      107,841   
     

 

 

 
        691,309   
     

 

 

 
   Finland — 2.9%   
  390,000       Finland Government Bond, 1.875%, 4/15/2017, (EUR)(b)      528,110   
     

 

 

 
   France — 6.0%   
  50,000       AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter),
5.250%, 4/16/2040, (EUR) 		     66,235   
  530,000       France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b)      741,341   
  195,000       France Government Bond OAT, 3.750%, 4/25/2021, (EUR)      289,904   
     

 

 

 
        1,097,480   
     

 

 

 
   Germany — 7.9%   
  355,000       Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR)      478,037   
  170,000       Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)      255,790   
  470,000       Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)      706,276   
     

 

 

 
        1,440,103   
     

 

 

 
   Ireland — 0.9%   
  100,000       WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)      175,217   
     

 

 

 
   Italy — 8.3%   
  50,000       Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP)      76,843   
  515,000       Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b)      569,842   
  370,000       Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(b)      492,260   
  150,000       Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR)      202,061   
  60,000       Republic of Italy, 6.875%, 9/27/2023      68,858   
  75,000       Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR)      109,412   
     

 

 

 
        1,519,276   
     

 

 

 
   Japan — 24.4%   
  90,000,000       Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY)      1,046,070   
  43,000,000       Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)      460,388   

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Japan — continued   
  92,650,000       Japan Government Ten Year Bond, 1.700%, 12/20/2016, (JPY)    $ 1,042,383   
  40,500,000       Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)      460,443   
  26,000,000       Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY)      303,042   
  98,000,000       Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY)      1,163,671   
     

 

 

 
        4,475,997   
     

 

 

 
   Jersey — 0.8%   
  100,000       Heathrow Funding Ltd., 4.375%, 1/25/2019, (EUR)      142,260   
     

 

 

 
   Korea — 0.3%   
  2,300,000       Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)      59,132   
     

 

 

 
   Luxembourg — 0.3%   
  50,000       ArcelorMittal, 6.000%, 3/01/2021      52,568   
     

 

 

 
   Malaysia — 1.7%   
  580,000       Malaysia Government Bond, 3.314%, 10/31/2017, (MYR)      188,356   
  370,000       Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)      124,119   
     

 

 

 
        312,475   
     

 

 

 
   Mexico — 3.2%   
  2,000,000       America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      170,229   
  47,000(††)       Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)      421,682   
     

 

 

 
        591,911   
     

 

 

 
   Netherlands — 1.3%   
  50,000       Deutsche Telekom International Finance BV, EMTN, 5.750%, 4/14/2015, (EUR)      70,380   
  50,000       EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)      66,304   
  75,000       Volkswagen International Finance NV, EMTN, 1.875%, 5/15/2017, (EUR)      99,127   
     

 

 

 
        235,811   
     

 

 

 
   Norway — 2.2%   
  30,000       Eksportfinans ASA, 2.000%, 9/15/2015      28,803   
  2,000,000       Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)(b)      381,257   
     

 

 

 
        410,060   
     

 

 

 
   Philippines — 0.8%   
  5,000,000       Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)      139,978   
     

 

 

 
   Poland — 2.3%   
  520,000       Poland Government Bond, 4.750%, 4/25/2017, (PLN)      168,102   
  225,000       Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF)      247,256   
     

 

 

 
        415,358   
     

 

 

 
   Singapore — 1.9%   
  70,000       Singapore Government Bond, 1.625%, 4/01/2013, (SGD)      56,436   
  360,000       Singapore Government Bond, 2.250%, 7/01/2013, (SGD)      291,744   
     

 

 

 
        348,180   
     

 

 

 
   Spain — 0.4%   
  50,000       Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP)      84,434   
     

 

 

 

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
   Sweden — 1.2%   
  1,300,000       Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(b)    $ 215,545   
     

 

 

 
   Thailand — 0.6%   
  3,000,000       Thailand Government Bond, 3.250%, 6/16/2017, (THB)      103,256   
     

 

 

 
   Turkey — 0.7%   
  215,000       Turkey Government Bond, 9.000%, 3/05/2014, (TRY)      121,801   
     

 

 

 
   United Kingdom — 9.4%   
  90,000       Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)      144,912   
  100,000       BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR)      150,596   
  50,000       British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)      92,950   
  105,000       British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)      190,032   
  50,000       BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)      89,070   
  100,000       FCE Bank PLC, EMTN, 4.825%, 2/15/2017, (GBP)      165,359   
  110,000       United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b)      175,283   
  170,000       United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)(b)      313,973   
  40,000       United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)      79,603   
  160,000       United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)(b)      318,785   
     

 

 

 
        1,720,563   
     

 

 

 
   United States — 10.0%   
  100,000       BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR)      133,098   
  50,000       Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)      88,189   
  45,000       HCA, Inc., 8.360%, 4/15/2024      50,400   
  150,000       HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)      212,360   
  50,000       International Lease Finance Corp., 5.875%, 8/15/2022      53,891   
  50,000       JPMorgan Chase & Co., EMTN, 0.590%, 10/12/2015, (EUR)(c)      62,875   
  50,000       JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR)      66,102   
  50,000       Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)      68,258   
  15,000       Morgan Stanley, 5.375%, 11/14/2013, (GBP)      23,333   
  50,000       Pfizer, Inc., 4.550%, 5/15/2017, (EUR)      73,503   
  75,000       Sprint Nextel Corp., 6.000%, 11/15/2022      77,062   
  640,000       U.S. Treasury Note, 0.250%, 11/30/2013(d)      640,425   
  100,000       Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR)      144,168   
  100,000       Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)      133,936   
     

 

 

 
        1,827,600   
     

 

 

 
   Uruguay — 1.1%   
  2,981,114       Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)      197,752   
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $18,204,800) 		     17,729,389   
     

 

 

 
     

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund – (continued)

 

Principal
Amount (‡) 		     Description    Value (†)  
  Convertible Bonds — 0.1%   
   United States — 0.1%   
$ 20,000       Intel Corp., 2.950%, 12/15/2035
(Identified Cost $20,908) 		   $ 21,225   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $18,225,708) 		     17,750,614   
     

 

 

 
     
Shares                  
  Preferred Stocks — 0.1%   
   Non-Captive Diversified — 0.1%   
  326       iStar Financial, Inc., Series J, 4.500%
(Identified Cost $16,300) 		     16,900   
     

 

 

 
     
Principal
Amount (‡) 		                 
  Short-Term Investments — 2.3%   
$ 413,639       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $413,639 on 4/01/2013 collateralized by $425,000 Federal National Mortgage Association, 0.350% due 8/28/2015 valued at $424,912 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $413,639) 		     413,639   
     

 

 

 
     
   Total Investments — 99.3%
(Identified Cost $18,655,647)(a) 		     18,181,153   
   Other assets less liabilities — 0.7%      130,125   
     

 

 

 
   Net Assets — 100.0%    $ 18,311,278   
     

 

 

 
     
  (‡)       Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)       See Note 2 of Notes to Financial Statements.   
  (††)       Amount shown represents units. One unit represents a principal amount of 100.   
  (a)       Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):     
   At March 31, 2013, the net unrealized depreciation on investments based on a cost of $18,741,193 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 391,291   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (951,331 ) 
     

 

 

 
   Net unrealized depreciation    $ (560,040 ) 
     

 

 

 
     
  (b)       All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.    

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund – (continued)

 

  (c)       Variable rate security. Rate as of March 31, 2013 is disclosed.   
  (d)       All or a portion of this security has been pledged as initial margin for open futures contracts.
     
  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 March 31, 2013, the value of Rule 144A holdings amounted to $296,093 or 1.6% of net assets.
  EMTN       Euro Medium Term Note
  MTN       Medium Term Note
  
  BRL       Brazilian Real
  CAD       Canadian Dollar
  CHF       Swiss Franc
  EUR       Euro
  GBP       British Pound
  JPY       Japanese Yen
  MXN       Mexican Peso
  MYR       Malaysian Ringgit
  NOK       Norwegian Krone
  PHP       Philippine Peso
  PLN       Polish Zloty
  SEK       Swedish Krona
  SGD       Singapore Dollar
  THB       Thailand Baht
  TRY       Turkish Lira
  UYU       Uruguayan Peso

At March 31, 2013, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell 		   Delivery
Date 		     Currency    Units
of
Currency 		     Notional
Value 		     Unrealized
Appreciation
(Depreciation) 		 
Sell 1      6/28/2013       British Pound      122,000       $ 185,291       $ (245 ) 
Buy 2      6/19/2013       Canadian Dollar      430,000         422,551         5,107   
Buy 1      6/19/2013       Euro      215,000         275,751         (4,242 ) 
Buy 3      6/21/2013       Malaysian Ringgit      290,000         93,148         1,070   
Buy 1      6/11/2013       South Korean Won      630,000,000         564,105         (13,506 ) 
Buy 4      6/11/2013       South Korean Won      104,700,000         93,749         (2,174 ) 
              

 

 

 
Total                $ (13,990 ) 
              

 

 

 

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund – (continued)

 

At March 31, 2013, the Fund had the following open forward foreign cross-currency contracts:

 

Settlement Date    Deliver/Units of Currency      Receive/Units of Currency      Unrealized
Appreciation
(Depreciation) 		 

4/22/2013

   Euro      54,007       Turkish Lira 4     130,000       $ 2,431   

4/22/2013

   Euro      37,792       Turkish Lira 4     90,000         1,166   

6/12/2013

   Euro      133,586       Norwegian Krone 5     1,010,000         1,128   

4/04/2013

   Japanese Yen      4,360,534       Singapore Dollar 1     62,000         3,663   

5/02/2013

   Japanese Yen      18,891,400       Thai Baht 4     6,200,000         10,589   

6/03/2013

   Japanese Yen      4,569,400       Malaysian Ringgit 4     155,000         1,282   

7/03/2013

   Japanese Yen      4,694,702       Singapore Dollar 1     62,000         93   

6/03/2013

   Malaysian Ringgit      155,000       Japanese Yen 4     4,646,125         (466 ) 

6/04/2013

   Malaysian Ringgit      430,000       Japanese Yen 4     12,889,250         (1,284 ) 

6/12/2013

   Norwegian Krone      1,010,000       Euro 5     135,221         969   

4/04/2013

   Singapore Dollar      62,000       Japanese Yen 1     4,696,438         (95 ) 

4/22/2013

   Turkish Lira      220,000       Euro 4     93,078         (1,957 ) 
             

 

 

 

Total

              $ 17,519   
             

 

 

 

1 Counterparty is Barclays Bank PLC.

2 Counterparty is UBS AG.

3 Counterparty is JP Morgan Chase Bank, N.A.

4 Counterparty is Credit Suisse International.

5 Counterparty is Deutsche Bank AG.

At March 31, 2013, open long futures contracts were as follows:

 

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

German Euro BOBL

     6/06/2013         5       $ 812,181       $ 5,631   
           

 

 

 

Industry Summary at March 31, 2013 (Unaudited)

 

Treasuries

     66.8 % 

Government Guaranteed

     5.7   

Banking

     2.8   

Sovereigns

     2.8   

Wirelines

     2.7   

Other Investments, less than 2% each

     16.2   

Short-Term Investments

     2.3   
  

 

 

 

Total Investments

     99.3   

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

     0.7   
  

 

 

 

Net Assets

     100.0 % 
  

 

 

 

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles International Bond Fund – (continued)

 

Currency Exposure Summary at March 31, 2013 (Unaudited)

 

Euro

     36.7 % 

Japanese Yen

     24.4   

British Pound

     10.9   

United States Dollar

     7.8   

Mexican Peso

     3.2   

Canadian Dollar

     2.6   

Norwegian Krone

     2.1   

Other, less than 2% each

     11.6   
  

 

 

 

Total Investments

     99.3   

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

     0.7   
  

 

 

 

Net Assets

     100.0 % 
  

 

 

 

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
Amount 		     Description    Value (†)  
  Bonds and Notes — 95.2% of Net Assets   
   ABS Car Loan — 2.5%   
$ 2,200,000       Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A    $ 2,244,952   
  910,000       Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A      915,741   
  2,280,762       First Investors Auto Owner Trust, Series 2012-2A, Class A2,
1.470%, 5/15/2018, 144A 		     2,283,891   
  920,000       First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A      919,476   
  955,434       SNAAC Auto Receivables Trust, Series 2012-1A, Class A,
1.780%, 6/15/2016, 144A 		     960,894   
  7,000,000       Tidewater Auto Receivables Trust, Series 2012-AA, Class A2, 1.210%, 8/15/2015, 144A      6,999,902   
  3,000,000       Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A      2,997,636   
     

 

 

 
        17,322,492   
     

 

 

 
   ABS Credit Card — 1.0%   
  3,220,000       GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022      3,223,474   
  3,400,000       World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023      3,690,816   
     

 

 

 
        6,914,290   
     

 

 

 
   ABS Home Equity — 0.1%   
  407,082       Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)      417,939   
  275,283       Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 6.200%, 1/25/2028(b)      269,235   
     

 

 

 
        687,174   
     

 

 

 
   ABS Other — 0.4%   
  3,000,000       Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019      3,011,526   
     

 

 

 
   ABS Student Loan — 0.4%   
  2,460,207       Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.803%, 9/20/2022(b)      2,472,508   
     

 

 

 
   Collateralized Mortgage Obligations — 29.7%   
  242,178       Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.180%, 5/15/2023(b)      248,887   
  157,350       Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.360%, 8/15/2023(b)      161,842   
  577,486       Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029      656,817   
  1,054,167       Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.603%, 11/15/2032(b)      1,056,856   
  3,825,000       Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019      4,184,217   

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount 		     Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 6,280,000       Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020    $ 6,742,189   
  3,631,000       Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035      4,197,687   
  3,510,000       Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035      3,999,241   
  8,610,000       Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034      9,080,080   
  4,875,082       Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.624%, 6/15/2048(b)      5,083,491   
  5,897,370       Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.874%, 12/15/2036(b)      6,282,091   
  586,015       Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028      608,657   
  175,819       Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.350%, 9/25/2022(b)      181,125   
  152,708       Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.500%, 4/25/2024(b)      157,353   
  2,494,000       Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025      2,815,112   
  4,155,000       Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034      4,344,655   
  6,969,739       Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.381%, 8/25/2038(b)      7,280,095   
  129,078       Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.390%, 4/25/2023(b)      132,828   
  1,490,064       FHLMC, 3.002%, 12/01/2034(b)      1,593,261   
  2,189,323       FHLMC, 3.346%, 3/01/2038(b)      2,336,948   
  2,013,886       FHLMC, 5.235%, 11/01/2038(b)      2,172,072   
  6,000,000       FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020      6,902,694   
  4,305,000       FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021      4,832,845   
  3,535,000       FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018      3,774,733   
  700,000       FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      737,774   
  2,590,000       FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018      2,715,004   
  7,910,000       FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019      8,202,441   
  34,370,000       FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019      34,754,738   
  19,695,181       FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.554%, 4/25/2019(b)      19,733,567   
  1,907,603       FNMA, 2.270%, 9/01/2036(b)      2,027,629   
  5,704,718       FNMA, 2.306%, 11/01/2033(b)      6,028,532   

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount 		     Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 1,365,563       FNMA, 2.647%, 10/01/2033(b)    $ 1,449,077   
  7,378,718       FNMA, 2.655%, 9/01/2037(b)      7,898,229   
  6,206,959       FNMA, 2.762%, 7/01/2037(b)      6,632,900   
  3,899,655       FNMA, 4.726%, 8/01/2038(b)      4,183,101   
  953,027       Government National Mortgage Association, Series 1998-19, Class ZB, 6.500%, 7/20/2028      1,110,406   
  6,177,448       Government National Mortgage Association, Series 2012-124, Class HT, 7.230%, 7/20/2032(b)      7,273,871   
  8,401,785       Government National Mortgage Association, Series 2012-H29, Class HF, 0.702%, 10/20/2062(b)      8,428,797   
  8,167,989       Government National Mortgage Association, Series 2013-H02, Class GF, 0.702%, 12/20/2062(b)      8,194,352   
  899,569       NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.553%, 12/07/2020(b)      902,160   
  1,603,000       NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020      1,708,331   
  1,621,983       NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.650%, 10/07/2020(b)      1,627,060   
  5,978,448       NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.760%, 12/08/2020(b)      6,013,960   
  130,371       NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.760%, 12/08/2020(b)      130,893   
     

 

 

 
        208,578,598   
     

 

 

 
   Commercial Mortgage-Backed Securities — 14.6%   
  1,780,000       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.609%, 4/10/2049(b)      2,054,547   
  375,000       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051      430,166   
  1,445,000       Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044      1,612,166   
  1,470,000       Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.053%, 12/10/2049(b)      1,739,527   
  3,200,500       Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049      3,637,951   
  1,140,000       COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047      1,302,107   
  1,135,000       Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045      1,177,508   
  2,625,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049      2,988,195   
  5,270,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040      6,081,106   
  3,000,000       Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.024%, 2/15/2041(b)      3,515,223   
  1,000,000       Del Coronado Trust, Series 2013-HDC, Class A, 1.003%, 3/15/2026, 144A(b)      999,954   
  1,200,000       Extended Stay America Trust, Series 2013-ESFL, Class A2FL, 0.904%, 12/05/2031, 144A(b)      1,201,020   
  7,778,000       Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049      8,982,221   
  5,000,000       Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039      5,699,470   

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount 		     Description    Value (†)  
   Commercial Mortgage-Backed Securities — continued   
$ 10,865,000       GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.052%, 11/08/2029, 144A(b)    $ 10,889,685   
  295,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043      330,040   
  2,785,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047      3,159,109   
  5,000,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049      5,685,210   
  2,000,000       LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040      2,253,688   
  4,000,000       LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045      4,603,908   
  1,173,000       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048      1,326,819   
  5,364,000       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051      6,089,781   
  5,000,000       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049      5,795,090   
  3,485,000       Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.575%, 4/12/2049(b)      3,888,598   
  3,000,000       Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044      3,350,757   
  1,500,000       Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.889%, 6/11/2049(b)      1,742,675   
  2,690,000       Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A      2,701,454   
  4,410,000       Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048      4,966,860   
  3,775,000       Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043      4,271,779   
     

 

 

 
        102,476,614   
     

 

 

 
   Hybrid ARMs — 19.0%   
  2,904,891       FHLMC, 2.294%, 4/01/2036(b)      3,063,877   
  4,758,257       FHLMC, 2.345%, 7/01/2033(b)      5,037,268   
  3,346,168       FHLMC, 2.370%, 3/01/2036(b)      3,558,494   
  2,346,831       FHLMC, 2.372%, 4/01/2035(b)      2,515,036   
  2,249,621       FHLMC, 2.374%, 6/01/2037(b)      2,388,559   
  1,112,287       FHLMC, 2.376%, 2/01/2035(b)      1,188,810   
  7,249,209       FHLMC, 2.388%, 2/01/2036(b)      7,724,213   
  7,425,129       FHLMC, 2.410%, 5/01/2037(b)      7,915,807   
  3,148,510       FHLMC, 2.423%, 2/01/2036(b)      3,355,870   
  3,858,457       FHLMC, 2.511%, 11/01/2036(b)      4,124,454   
  1,226,691       FHLMC, 2.808%, 4/01/2037(b)      1,315,011   
  5,132,291       FHLMC, 2.902%, 9/01/2035(b)      5,482,677   
  3,862,281       FHLMC, 2.990%, 4/01/2037(b)      4,139,816   
  2,079,262       FHLMC, 3.511%, 11/01/2038(b)      2,213,616   
  4,188,841       FHLMC, 5.048%, 9/01/2038(b)      4,503,748   
  487,324       FHLMC, 5.248%, 12/01/2037(b)      524,534   
  759,438       FHLMC, 5.428%, 9/01/2038(b)      813,227   
  1,350,305       FHLMC, 5.730%, 3/01/2037(b)      1,451,609   
  317,234       FNMA, 2.029%, 2/01/2037(b)      332,681   

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount 		     Description    Value (†)  
   Hybrid ARMs — continued   
$ 3,909,316       FNMA, 2.163%, 7/01/2035(b)    $ 4,142,431   
  1,403,618       FNMA, 2.309%, 9/01/2034(b)      1,500,777   
  866,506       FNMA, 2.310%, 12/01/2034(b)      921,576   
  790,581       FNMA, 2.316%, 4/01/2033(b)      843,364   
  2,848,644       FNMA, 2.333%, 4/01/2034(b)      3,042,040   
  3,369,587       FNMA, 2.345%, 6/01/2036(b)      3,599,994   
  4,555,689       FNMA, 2.347%, 8/01/2035(b)      4,853,229   
  2,251,250       FNMA, 2.358%, 1/01/2036(b)      2,406,792   
  10,944,632       FNMA, 2.360%, 10/01/2034(b)      11,662,463   
  2,818,370       FNMA, 2.412%, 6/01/2033(b)      2,973,601   
  4,183,098       FNMA, 2.490%, 10/01/2033(b)      4,457,364   
  743,884       FNMA, 2.552%, 8/01/2033(b)      791,277   
  688,925       FNMA, 2.646%, 8/01/2036(b)      740,043   
  2,142,781       FNMA, 2.677%, 5/01/2035(b)      2,318,003   
  2,210,091       FNMA, 2.695%, 2/01/2047(b)      2,361,403   
  1,793,080       FNMA, 2.802%, 8/01/2034(b)      1,929,770   
  3,229,756       FNMA, 2.804%, 4/01/2037(b)      3,452,382   
  5,682,973       FNMA, 3.403%, 6/01/2037(b)      6,073,586   
  4,036,473       FNMA, 3.473%, 6/01/2035(b)      4,294,093   
  8,233,626       FNMA, 5.757%, 9/01/2037(b)      8,876,440   
     

 

 

 
        132,889,935   
     

 

 

 
   Mortgage Related — 24.6%   
  10,888,557       FHLMC, 2.385%, 3/01/2037(b)      11,585,626   
  3,058,953       FHLMC, 2.690%, 9/01/2038(b)      3,263,826   
  19,747,476       FHLMC, 3.000%, with various maturities from 2026 to 2027(c)      20,795,274   
  995,279       FHLMC, 4.000%, 12/01/2024      1,057,475   
  2,916,008       FHLMC, 4.500%, with various maturities from 2025 to 2034(c)      3,108,172   
  883,556       FHLMC, 5.500%, 10/01/2023      950,228   
  69,018       FHLMC, 6.000%, 11/01/2019      76,289   
  2,287,514       FHLMC, 6.500%, with various maturities from 2014 to 2034(c)      2,594,578   
  45,515       FHLMC, 7.000%, 2/01/2016      48,001   
  2,072       FHLMC, 7.500%, with various maturities from 2014 to 2026(c)      2,276   
  3,592       FHLMC, 8.000%, 9/01/2015      3,787   
  2,742       FHLMC, 10.000%, 7/01/2019      3,139   
  53,660       FHLMC, 11.500%, with various maturities from 2015 to 2020(c)      62,025   
  7,871,005       FNMA, 2.573%, 4/01/2037(b)      8,347,425   
  6,612,489       FNMA, 2.610%, 7/01/2035(b)      7,027,283   
  10,025,253       FNMA, 3.000%, with various maturities from 2027 to 2042(c)      10,547,598   
  1,760,443       FNMA, 4.000%, with various maturities in 2019(c)      1,888,532   
  4,053,608       FNMA, 4.500%, 1/01/2025      4,361,884   
  6,333,197       FNMA, 5.000%, with various maturities from 2037 to 2038(c)      6,900,941   
  2,862,194       FNMA, 5.500%, with various maturities from 2018 to 2033(c)      3,127,904   
  5,525,303       FNMA, 6.000%, with various maturities from 2017 to 2022(c)      6,065,926   
  860,603       FNMA, 6.500%, with various maturities from 2017 to 2037(c)      993,851   
  31,791       FNMA, 7.000%, 12/01/2022      32,037   
  196,304       FNMA, 7.500%, with various maturities from 2015 to 2032(c)      230,429   
  14,222       FNMA, 8.000%, with various maturities from 2015 to 2016(c)      15,016   

 

See accompanying notes to financial statements.

 

53  |

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount 		     Description    Value (†)  
   Mortgage Related — continued   
$ 5,954,113       GNMA, 1.967%, 2/20/2061(b)    $ 6,308,162   
  4,980,676       GNMA, 2.094%, 2/20/2063(b)      5,356,561   
  3,640,000       GNMA, 2.586%, 2/20/2063(b)      4,013,669   
  4,881,225       GNMA, 4.479%, 2/20/2062      5,463,438   
  5,034,092       GNMA, 4.521%, 12/20/2061      5,685,957   
  2,609,768       GNMA, 4.528%, 3/20/2062      2,957,475   
  7,254,299       GNMA, 4.532%, 12/20/2062      8,313,050   
  2,578,848       GNMA, 4.560%, 3/20/2062      2,919,687   
  12,683,748       GNMA, 4.583%, 11/20/2062      14,522,397   
  4,538,254       GNMA, 4.604%, 6/20/2062      5,173,264   
  1,524,873       GNMA, 4.616%, 8/20/2061      1,719,427   
  9,022,986       GNMA, 4.659%, 2/20/2062      10,250,419   
  2,069,169       GNMA, 4.698%, 7/20/2061      2,331,544   
  2,037,458       GNMA, 4.700%, 8/20/2061      2,301,555   
  1,739,106       GNMA, 4.808%, 8/20/2062      1,970,284   
  38,345       GNMA, 6.000%, 12/15/2031      43,748   
  157,827       GNMA, 6.500%, 5/15/2031      191,125   
  161,565       GNMA, 7.000%, 10/15/2028      192,827   
     

 

 

 
        172,804,111   
     

 

 

 
   Treasuries — 2.9%   
  18,260,000       U.S. Treasury Note, 1.750%, 4/15/2013      18,271,413   
  2,245,000       U.S. Treasury Note, 1.875%, 4/30/2014      2,285,953   
     

 

 

 
        20,557,366   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $653,319,140) 		     667,714,614   
     

 

 

 
     
  Short-Term Investments — 5.5%   
  9,977,859       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $9,997,859 on 4/01/2013 collateralized by $10,180,000 Federal National Mortgage Association, 0.350% due 8/28/2015 valued at $10,177,895 including accrued interest (Note 2 of Notes to Financial Statements)      9,977,859   
  20,500,000       U.S. Treasury Bill, 0.080%-0.097%, 4/18/2013(d)(e)      20,499,652   
  7,750,000       U.S. Treasury Bill, 0.065%, 6/27/2013(d)      7,748,690   
     

 

 

 
   Total Short-Term Investments
(Identified Cost $38,225,557) 		     38,226,201   
     

 

 

 
     
   Total Investments — 100.7%
(Identified Cost $691,544,697)(a) 		     705,940,815   
   Other assets less liabilities — (0.7)%      (4,657,702 ) 
     

 

 

 
   Net Assets — 100.0%    $ 701,283,113   
     

 

 

 
     

 

See accompanying notes to financial statements.

 

|  54

Table of Contents

Portfolio of Investments – as of March 31, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):   
   At March 31, 2013, the net unrealized appreciation on investments based on a cost of $691,888,704 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 15,602,193   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (1,550,082 ) 
     

 

 

 
   Net unrealized appreciation    $ 14,052,111   
     

 

 

 
     
  (b)       Variable rate security. Rate as of March 31, 2013 is disclosed.   
  (c)       The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.      
  (d)       Interest rate represents discount rate at time of purchase; not a coupon rate.   
  (e)       The Fund’s investment in U.S. Treasury Bills 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 March 31, 2013, the value of Rule 144A holdings amounted to $33,114,605 or 4.7% of net assets.      
  ABS       Asset-Backed Securities   
  ARMs       Adjustable Rate Mortgages   
  FHLMC       Federal Home Loan Mortgage Corp.   
  FNMA       Federal National Mortgage Association   
  GNMA       Government National Mortgage Association   
  REMIC       Real Estate Mortgage Investment Conduit   

Industry Summary at March 31, 2013 (Unaudited)

 

Collateralized Mortgage Obligations

     29.7 % 

Mortgage Related

     24.6   

Hybrid ARMs

     19.0   

Commercial Mortgage-Backed Securities

     14.6   

Treasuries

     2.9   

ABS Car Loan

     2.5   

Other Investments, less than 2% each

     1.9   

Short-Term Investments

     5.5   
  

 

 

 

Total Investments

     100.7   

Other assets less liabilities

     (0.7 ) 
  

 

 

 

Net Assets

     100.0 % 
  

 

 

 

 

See accompanying notes to financial statements.

 

55  |

Table of Contents

Statements of Assets and Liabilities

 

March 31, 2013 (Unaudited)

 

     Core Plus Bond
Fund 		        
    
High Income
Fund 		    International
Bond Fund 		    Limited Term
Government
and Agency
Fund 		 

ASSETS

        

Investments at cost

   $ 1,655,358,723      $ 229,161,926      $ 18,655,647      $ 691,544,697   

Net unrealized appreciation (depreciation)

     63,041,436        19,344,330        (474,494 )      14,396,118   
  

 

 

   

 

 

   

 

 

   

 

 

 

Investments at value

     1,718,400,159        248,506,256        18,181,153        705,940,815   

Cash

     —        53        —        —   

Foreign currency at value (identified cost $0, $9, $210,490 and $0)

     —        9        207,461        —   

Receivable for Fund shares sold

     10,076,299        965,277        14,339        2,955,342   

Receivable from investment adviser (Note 6)

     —        —        8,415        —   

Receivable for securities sold

     14,359,543        170,414        —        —   

Receivable for delayed delivery securities sold (Note 2)

     45,123,702        —        —        —   

Securities received as collateral for open forward foreign currency contracts (Notes 2 and 4)

     —        650,244        —        —   

Dividends and interest receivable

     17,914,551        3,870,496        237,347        3,368,706   

Unrealized appreciation on forward foreign currency contracts (Note 2)

     —        672,615        27,498        —   

Tax reclaims receivable

     —        10,237        26        —   

Receivable from distributor (Note 6d)

     —        2,665        127        5,338   
  

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL ASSETS

     1,805,874,254        254,848,266        18,676,366        712,270,201   
  

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

        

Payable for securities purchased

     25,577,370        2,651,023        —        8,748,783   

Payable for delayed delivery securities purchased (Note 2)

     83,663,328        —        —        —   

Payable for Fund shares redeemed

     3,389,890        728,214        256,372        1,250,003   

Unrealized depreciation on forward foreign currency contracts (Note 2)

     —        3,661        23,969        —   

Due to brokers (Note 2)

     —        650,244        —        —   

Payable for variation margin on futures contracts (Note 2)

     —        —        468        —   

Distributions payable

     —        —        —        320,853   

Management fees payable (Note 6)

     547,686        180,963        —        254,958   

Deferred Trustees’ fees (Note 6)

     269,962        116,627        46,305        253,944   

Administrative fees payable (Note 6)

     63,290        9,268        695        26,235   

Payable to distributor (Note 6d)

     12,833        —        —        —   

Other accounts payable and accrued expenses

     150,586        46,721        37,279        132,312   
  

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL LIABILITIES

     113,674,945        4,386,721        365,088        10,987,088   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 1,692,199,309      $ 250,461,545      $ 18,311,278      $ 701,283,113   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

        

Paid-in capital

   $ 1,626,950,383      $ 231,163,187      $ 18,775,715      $ 691,578,926   

Distributions in excess of net investment income

     (4,357,103 )      (480,757 )      (133,997 )      (3,455,918 ) 

Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions

     6,541,988        (230,736 )      141,094        (1,236,013 ) 

Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations

     63,064,041        20,009,851        (471,534 )      14,396,118   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 1,692,199,309      $ 250,461,545      $ 18,311,278      $ 701,283,113   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  56

Table of Contents

Statements of Assets and Liabilities (continued)

 

March 31, 2013 (Unaudited)

 

     Core Plus Bond
Fund 		        
    
High Income
Fund 		     International
Bond Fund 		     Limited Term
Government
and Agency
Fund 		 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

          

Class A shares:

          

Net assets

   $ 570,270,749      $ 81,542,856       $ 11,093,523       $ 374,614,430   
  

 

 

   

 

 

    

 

 

    

 

 

 

Shares of beneficial interest

     42,786,023        16,940,809         1,129,939         31,385,236   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value and redemption price per share

   $ 13.33      $ 4.81       $ 9.82       $ 11.94   
  

 

 

   

 

 

    

 

 

    

 

 

 

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

   $ 13.96      $ 5.04       $ 10.28       $ 12.31   
  

 

 

   

 

 

    

 

 

    

 

 

 

Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

          

Net assets

   $ 1,765,435      $ 522,176       $ —       $ 7,314,303   
  

 

 

   

 

 

    

 

 

    

 

 

 

Shares of beneficial interest

     131,881        108,090         —         613,445   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value and offering price per share

   $ 13.39      $ 4.83       $ —       $ 11.92   
  

 

 

   

 

 

    

 

 

    

 

 

 

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

          

Net assets

   $ 308,867,596      $ 16,833,535       $ 4,034,269       $ 78,506,640   
  

 

 

   

 

 

    

 

 

    

 

 

 

Shares of beneficial interest

     23,165,052        3,489,059         413,781         6,571,769   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value and offering price per share

   $ 13.33      $ 4.82       $ 9.75       $ 11.95   
  

 

 

   

 

 

    

 

 

    

 

 

 

Class N shares:

          

Net assets

   $ 1,006      $ —       $ —       $ —   
  

 

 

   

 

 

    

 

 

    

 

 

 

Shares of beneficial interest

     75        —         —         —   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 13.42 *    $ —       $ —       $ —   
  

 

 

   

 

 

    

 

 

    

 

 

 

Class Y shares:

          

Net assets

   $ 811,294,523      $ 151,562,978       $ 3,183,486       $ 240,847,740   
  

 

 

   

 

 

    

 

 

    

 

 

 

Shares of beneficial interest

     60,464,310        31,516,548         324,255         20,114,842   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 13.42      $ 4.81       $ 9.82       $ 11.97   
  

 

 

   

 

 

    

 

 

    

 

 

 

 

* Net asset value calculations reflect fractional shares and dollar amounts.

 

See accompanying notes to financial statements.

 

57  |

Table of Contents

Statements of Operations

 

For the Six Months Ended March 31, 2013 (Unaudited)

 

     Core Plus Bond
Fund 		        
    
High Income
Fund 		    International
Bond Fund 		    Limited Term
Government
and Agency
Fund 		 

INVESTMENT INCOME

        

Interest

   $ 30,837,838      $ 7,164,681      $ 240,943      $ 7,912,657   

Dividends

     100,665        314,070        —        —   

Less net foreign taxes withheld

     (1,554 )      (1,191 )      —        —   
  

 

 

   

 

 

   

 

 

   

 

 

 
     30,936,949        7,477,560        240,943        7,912,657   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fees (Note 6)

     3,033,298        696,142        57,703        1,528,036   

Service and distribution fees (Note 6)

     2,178,586        186,781        36,040        898,774   

Administrative fees (Note 6)

     351,090        51,415        4,262        155,486   

Trustees’ fees and expenses (Note 6)

     28,075        13,071        9,224        21,307   

Transfer agent fees and expenses (Note 6)

     563,394        109,800        10,013        227,204   

Audit and tax services fees

     24,516        24,345        24,702        27,677   

Custodian fees and expenses

     45,977        17,431        16,819        19,693   

Corporate tax expenses (Note 10)

     —        —        —        224,327   

Legal fees

     10,392        1,473        139        4,794   

Registration fees

     139,540        47,737        34,889        90,061   

Shareholder reporting expenses

     81,883        21,829        2,411        46,408   

Miscellaneous expenses

     18,420        9,505        3,566        10,663   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     6,475,171        1,179,529        199,768        3,254,430   

Fee/expense recovery (Note 6)

     —        55,126        —        —   

Less waiver and/or expense reimbursement (Note 6)

     (3 )      —        (86,788 )      (25,918 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     6,475,168        1,234,655        112,980        3,228,512   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

     24,461,781        6,242,905        127,963        4,684,145   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

        

Net realized gain (loss) on:

        

Investments

     11,048,234        566,324        181,706        698,077   

Futures contracts

     —        —        7,808        —   

Foreign currency transactions

     81,423        (634,437 )      43,708        —   

Net change in unrealized appreciation (depreciation) on:

        

Investments

     (3,198,342 )      10,910,977        (910,978 )      (3,836,882 ) 

Futures contracts

     —        —        5,631        —   

Foreign currency translations

     (17,141 )      905,342        (26,835 )      —   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions

     7,914,174        11,748,206        (698,960 )      (3,138,805 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 32,375,955      $ 17,991,111      $ (570,997 )    $ 1,545,340   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  58

Table of Contents

Statements of Changes in Net Assets

 

     Core Plus Bond Fund         
High Income Fund 		 
     Six Months
Ended
March 31, 2013
(Unaudited) 		    Year Ended
September 30,
2012 		    Six Months
Ended
March 31, 2013
(Unaudited) 		    Year Ended
September 30,
2012 		 

FROM OPERATIONS:

        

Net investment income

   $ 24,461,781      $ 30,039,229      $ 6,242,905      $ 8,987,512   

Net realized gain (loss) on investments and foreign currency transactions

     11,129,657        27,486,451        (68,113 )      1,577,793   

Net change in unrealized appreciation (depreciation) on investments and foreign currency translations

     (3,215,483 )      52,784,145        11,816,319        17,666,689   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets resulting from operations

     32,375,955        110,309,825        17,991,111        28,231,994   
  

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Class A

     (11,827,141 )      (13,530,505 )      (2,389,055 )      (4,924,736 ) 

Class B

     (35,517 )      (83,437 )      (13,985 )      (37,943 ) 

Class C

     (5,323,539 )      (6,193,213 )      (444,470 )      (960,754 ) 

Class N

     (6 )      —        —        —   

Class Y

     (16,964,816 )      (14,560,785 )      (4,314,113 )      (4,576,130 ) 

Net realized capital gains

        

Class A

     (7,656,569 )      (4,420,850 )      (224,929 )      (5,086,896 ) 

Class B

     (28,613 )      (45,406 )      (1,686 )      (56,566 ) 

Class C

     (4,172,024 )      (2,475,931 )      (52,693 )      (1,334,655 ) 

Class Y

     (10,215,543 )      (2,888,997 )      (409,949 )      (4,826,965 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (56,223,768 )      (44,199,124 )      (7,850,880 )      (21,804,645 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

     323,544,990        804,488,815        16,105,490        103,343,166   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets

     299,697,177        870,599,516        26,245,721        109,770,515   

NET ASSETS

        

Beginning of the period

     1,392,502,132        521,902,616        224,215,824        114,445,309   
  

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

   $ 1,692,199,309      $ 1,392,502,132      $ 250,461,545      $ 224,215,824   
  

 

 

   

 

 

   

 

 

   

 

 

 

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME

   $ (4,357,103 )    $ 5,332,135      $ (480,757 )    $ 437,961   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

59  |

Table of Contents

Statements of Changes in Net Assets (continued)

 

     International Bond Fund     Limited Term Government and
Agency Fund 		 
     Six Months
Ended
March 31, 2013
(Unaudited) 		    Year Ended
September 30,
2012 		    Six Months
Ended
March 31, 2013
(Unaudited) 		    Year Ended
September 30,
2012 		 

FROM OPERATIONS:

        

Net investment income

   $ 127,963      $ 360,175      $ 4,684,145      $ 8,290,284   

Net realized gain on investments, futures contracts and foreign currency transactions

     233,222        453,943        698,077        4,423,642   

Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations

     (932,182 )      688,866        (3,836,882 )      8,386,594   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     (570,997 )      1,502,984        1,545,340        21,100,520   
  

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Class A

     (172,374 )      (793,528 )      (4,019,037 )      (7,335,704 ) 

Class B

     —        —        (57,193 )      (161,039 ) 

Class C

     (48,301 )      (546,527 )      (562,006 )      (1,216,984 ) 

Class Y

     (53,820 )      (354,205 )      (2,952,617 )      (4,276,382 ) 

Net realized capital gains

        

Class A

     (216,225 )      (306,969 )      (122,270 )      (98,584 ) 

Class B

     —        —        (2,674 )      (3,508 ) 

Class C

     (81,575 )      (237,383 )      (26,374 )      (24,502 ) 

Class Y

     (62,925 )      (116,763 )      (83,455 )      (43,423 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (635,220 )      (2,355,375 )      (7,825,626 )      (13,160,126 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

     858        (3,913,509 )      45,357,761        149,965,713   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

     (1,205,359 )      (4,765,900 )      39,077,475        157,906,107   

NET ASSETS

        

Beginning of the period

     19,516,637        24,282,537        662,205,638        504,299,531   
  

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

   $ 18,311,278      $ 19,516,637      $ 701,283,113      $ 662,205,638   
  

 

 

   

 

 

   

 

 

   

 

 

 

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME

   $ (133,997 )    $ 12,535      $ (3,455,918 )    $ (549,210 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  60

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations: 		    Less Distributions:  
    Net asset
value,
beginning
of the
period 		    Net
investment
income (a) 		    Net realized
and
unrealized
gain (loss) 		    Total from
investment
operations 		    Dividends
from net
investment
income 		    Distributions
from net
realized
capital
gains 		    Total
distributions 		 

C ORE P LUS B OND F UND

  

           

Class A

  

           

3/31/2013(h)

  $ 13.52      $ 0.21      $ 0.08      $ 0.29      $ (0.29 )    $ (0.19 )    $ (0.48 ) 

9/30/2012

    12.71        0.43        1.07        1.50        (0.50 )      (0.19 )      (0.69 ) 

9/30/2011

    12.75        0.52        0.03 (i)      0.55        (0.59 )      –        (0.59 ) 

9/30/2010

    11.91        0.54        0.91        1.45        (0.61 )      –        (0.61 ) 

9/30/2009

    10.54        0.59        1.44        2.03        (0.66 )      –        (0.66 ) 

9/30/2008

    11.31        0.55        (0.71 )      (0.16 )      (0.61 )      –        (0.61 ) 

Class B

  

           

3/31/2013(h)

    13.57        0.16        0.08        0.24        (0.23 )      (0.19 )      (0.42 ) 

9/30/2012

    12.75        0.34        1.07        1.41        (0.40 )      (0.19 )      (0.59 ) 

9/30/2011

    12.79        0.42        0.03 (i)      0.45        (0.49 )      –        (0.49 ) 

9/30/2010

    11.95        0.44        0.92        1.36        (0.52 )      –        (0.52 ) 

9/30/2009

    10.57        0.50        1.45        1.95        (0.57 )      –        (0.57 ) 

9/30/2008

    11.31        0.44        (0.67 )      (0.23 )      (0.51 )      –        (0.51 ) 

Class C

  

           

3/31/2013(h)

    13.53        0.16        0.07        0.23        (0.24 )      (0.19 )      (0.43 ) 

9/30/2012

    12.71        0.33        1.08        1.41        (0.40 )      (0.19 )      (0.59 ) 

9/30/2011

    12.76        0.42        0.02 (i)      0.44        (0.49 )      –        (0.49 ) 

9/30/2010

    11.92        0.45        0.91        1.36        (0.52 )      –        (0.52 ) 

9/30/2009

    10.55        0.51        1.44        1.95        (0.58 )      –        (0.58 ) 

9/30/2008

    11.32        0.47        (0.71 )      (0.24 )      (0.53 )      –        (0.53 ) 

Class N

  

           

3/31/2013*

    13.43        0.03        0.04        0.07        (0.08 )      –        (0.08 ) 

Class Y

  

           

3/31/2013(h)

    13.61        0.23        0.08        0.31        (0.31 )      (0.19 )      (0.50 ) 

9/30/2012

    12.78        0.46        1.09        1.55        (0.53 )      (0.19 )      (0.72 ) 

9/30/2011

    12.82        0.55        0.03 (i)      0.58        (0.62 )      –        (0.62 ) 

9/30/2010

    11.97        0.57        0.92        1.49        (0.64 )      –        (0.64 ) 

9/30/2009

    10.60        0.62        1.44        2.06        (0.69 )      –        (0.69 ) 

9/30/2008

    11.36        0.58        (0.70 )      (0.12 )      (0.64 )      –        (0.64 ) 

 

* From commencement of Class operations on February 1, 2013 through March 31, 2013.
(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, if applicable.
(c) Effective June 2, 2008, redemption fees were eliminated.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.
(e) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.

 

See accompanying notes to financial statements.

 

61  |

Table of Contents
                            
Ratios to Average Net Assets: 		       
Redemption
fees (b)(c) 		        
Net asset
value,
end of
the period 		    Total
return
(%) (d)(e) 		    Net assets,
end of
the period
(000’s) 		    Net
expenses
(%) (f)(g) 		    Gross
expenses
(%) (g) 		    Net
investment
income
(%) (g) 		    Portfolio
turnover
rate (%) 		 
             
             
$ –      $ 13.33        2.16      $ 570,271        0.79        0.79        3.11        41   
  –        13.52        12.18        479,823        0.82        0.82        3.31        78   
  –        12.71        4.42        237,759        0.87        0.87        4.07        86   
  –        12.75        12.55        214,723        0.90        0.90        4.41        87   
  –        11.91        20.07        140,779        0.90        0.97        5.43        102   
  0.00        10.54        (1.61 )      115,873        0.93        1.04        4.86        82   
             
  –        13.39        1.82        1,765        1.54        1.54        2.34        41   
  –        13.57        11.38        2,386        1.57        1.57        2.61        78   
  –        12.75        3.60        3,092        1.62        1.62        3.32        86   
  –        12.79        11.64        4,490        1.65        1.65        3.64        87   
  –        11.95        19.19        7,028        1.65        1.72        4.66        102   
  0.00        10.57        (2.21 )      10,481        1.70        1.80        3.92        82   
             
  –        13.33        1.70        308,868        1.54        1.54        2.36        41   
  –        13.53        11.46        275,346        1.57        1.57        2.55        78   
  –        12.71        3.56        137,836        1.62        1.62        3.32        86   
  –        12.76        11.71        123,123        1.65        1.65        3.66        87   
  –        11.92        19.20        77,081        1.65        1.72        4.69        102   
  0.00        10.55        (2.32 )      26,698        1.68        1.79        4.17        82   
             
  –        13.42        0.55        1        0.60        2.63        1.41        41   
             
  –        13.42        2.28        811,295        0.54        0.54        3.37        41   
  –        13.61        12.54        634,946        0.58        0.58        3.50        78   
  –        12.78        4.65        143,215        0.62        0.62        4.31        86   
  –        12.82        12.85        69,322        0.65        0.65        4.66        87   
  –        11.97        20.37        34,394        0.65        0.68        5.67        102   
  0.00        10.60        (1.36 )      20,407        0.68        0.75        5.14        82   

 

(f) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year, if applicable.
(h) For the six months ended March 31, 2013 (Unaudited).
(i) 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.

 

 

See accompanying notes to financial statements.

 

|  62

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations: 		    Less Distributions:  
    Net asset
value,
beginning
of the
period 		    Net
investment
income (a) 		    Net realized
and
unrealized
gain (loss) 		    Total from
investment
operations 		    Dividends
from net
investment
income 		    Distributions
from net
realized
capital
gains 		    Total
distributions 		 

H IGH I NCOME F UND

  

           

Class A

  

           

3/31/2013(g)

  $ 4.60      $ 0.12      $ 0.25      $ 0.37      $ (0.15 )    $ (0.01 )    $ (0.16 ) 

9/30/2012

    4.46        0.24        0.59        0.83        (0.30 )      (0.39 )      (0.69 ) 

9/30/2011

    4.91        0.28        (0.42 )      (0.14 )      (0.31 )      –        (0.31 ) 

9/30/2010

    4.49        0.32        0.42        0.74        (0.32 )      –        (0.32 ) 

9/30/2009

    4.24        0.34        0.24        0.58        (0.33 )      –        (0.33 ) 

9/30/2008

    5.12        0.34        (0.87 )      (0.53 )      (0.35 )      –        (0.35 ) 

Class B

  

           

3/31/2013(g)

    4.61        0.11        0.25        0.36        (0.13 )      (0.01 )      (0.14 ) 

9/30/2012

    4.47        0.21        0.58        0.79        (0.26 )      (0.39 )      (0.65 ) 

9/30/2011

    4.92        0.25        (0.43 )      (0.18 )      (0.27 )      –        (0.27 ) 

9/30/2010

    4.50        0.28        0.42        0.70        (0.28 )      –        (0.28 ) 

9/30/2009

    4.25        0.31        0.25        0.56        (0.31 )      –        (0.31 ) 

9/30/2008

    5.13        0.30        (0.87 )      (0.57 )      (0.31 )      –        (0.31 ) 

Class C

  

           

3/31/2013(g)

    4.61        0.11        0.24        0.35        (0.13 )      (0.01 )      (0.14 ) 

9/30/2012

    4.47        0.21        0.59        0.80        (0.27 )      (0.39 )      (0.66 ) 

9/30/2011

    4.92        0.25        (0.43 )      (0.18 )      (0.27 )      –        (0.27 ) 

9/30/2010

    4.50        0.28        0.43        0.71        (0.29 )      –        (0.29 ) 

9/30/2009

    4.24        0.31        0.26        0.57        (0.31 )      –        (0.31 ) 

9/30/2008

    5.12        0.31        (0.87 )      (0.56 )      (0.32 )      –        (0.32 ) 

Class Y

  

           

3/31/2013(g)

    4.59        0.13        0.25        0.38        (0.15 )      (0.01 )      (0.16 ) 

9/30/2012

    4.46        0.26        0.57        0.83        (0.31 )      (0.39 )      (0.70 ) 

9/30/2011

    4.90        0.29        (0.41 )      (0.12 )      (0.32 )      –        (0.32 ) 

9/30/2010

    4.49        0.33        0.41        0.74        (0.33 )      –        (0.33 ) 

9/30/2009

    4.24        0.34        0.25        0.59        (0.34 )      –        (0.34 ) 

9/30/2008*

    4.87        0.22        (0.65 )      (0.43 )      (0.21 )      –        (0.21 ) 

 

* From commencement of Class operations on February 29, 2008 through September 30, 2008.
(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, if applicable.
(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

 

See accompanying notes to financial statements.

 

63  |

Table of Contents
                            
Ratios to Average Net Assets: 		       
Redemption
fees (b) 		        
Net asset
value,
end of
the period 		    Total
return
(%) (c)(d) 		    Net assets,
end of
the period
(000’s) 		    Net
expenses
(%) (e)(f) 		    Gross
expenses
(%) (f) 		    Net
investment
income
(%) (f) 		    Portfolio
turnover
rate (%) 		 
             
             
$ –      $ 4.81        8.11      $ 81,543        1.15 (h)      1.15 (h)      5.27        20   
  –        4.60        20.90        95,876        1.15        1.19        5.50        34   
  –        4.46        (3.30 )      59,907        1.15 (i)      1.15 (i)      5.60        67   
  –        4.91        17.05        68,011        1.15        1.20        6.72        56   
  0.00 (j)      4.49        15.97        59,944        1.15        1.28        8.82        30   
  0.00        4.24        (10.98 )      38,577        1.15        1.40        7.01        27   
             
  –        4.83        7.89        522        1.90 (h)      1.90 (h)      4.53        20   
  –        4.61        19.93        560        1.90        1.94        4.79        34   
  –        4.47        (4.04 )      738        1.90 (i)      1.90 (i)      4.90        67   
  –        4.92        16.13        1,209        1.90        1.94        6.00        56   
  0.00 (j)      4.50        15.06        1,569        1.90        2.06        8.32        30   
  0.00        4.25        (11.64 )      2,267        1.90        2.15        6.15        27   
             
  –        4.82        7.68        16,834        1.90 (h)      1.90 (h)      4.53        20   
  –        4.61        19.96        16,863        1.90        1.94        4.78        34   
  –        4.47        (4.02 )      15,790        1.90 (i)      1.90 (i)      4.89        67   
  –        4.92        16.15        19,312        1.90        1.95        5.97        56   
  0.00 (j)      4.50        15.37        17,827        1.90        2.03        8.09        30   
  0.00        4.24        (11.62 )      9,945        1.90        2.15        6.32        27   
             
  –        4.81        8.49        151,563        0.90 (h)      0.90 (h)      5.56        20   
  –        4.59        20.93        110,917        0.90        0.95        5.78        34   
  –        4.46        (2.86 )      38,011        0.90 (i)      0.90 (i)      5.86        67   
  –        4.90        17.11        69,887        0.90        0.93        7.02        56   
  0.00 (j)      4.49        16.29        105,713        0.90        0.92        8.32        30   
  0.01        4.24        (9.10 )      3,833        0.90        1.15        8.03        27   

 

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) For the six months ended March 31, 2013 (Unaudited).
(h) Includes fee/expense recovery of 0.05%.
(i) Includes fee/expense recovery of 0.01%.
(j) Effective June 1, 2009, redemption fees were eliminated.

 

See accompanying notes to financial statements.

 

|  64

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations: 		    Less Distributions:  
    Net asset
value,
beginning
of the
period 		    Net
investment
income (a) 		    Net realized
and
unrealized
gain (loss) 		    Total from
investment
operations 		    Dividends
from net
investment
income 		    Distributions
from net
realized
capital
gains 		    Total
distributions 		 

I NTERNATIONAL B OND F UND

  

         

Class A

             

3/31/2013(g)

  $ 10.44      $ 0.07      $ (0.36 )    $ (0.29 )    $ (0.15 )    $ (0.18 )    $ (0.33 ) 

9/30/2012

    10.94        0.19        0.62        0.81        (0.94 )      (0.37 )      (1.31 ) 

9/30/2011

    11.17        0.25        0.06 (j)      0.31        (0.40 )      (0.14 )      (0.54 ) 

9/30/2010

    10.84        0.22        0.48        0.70        (0.29 )      (0.08 )      (0.37 ) 

9/30/2009

    9.19        0.32        1.53        1.85        (0.20 )      –        (0.20 ) 

9/30/2008(k)

    10.00        0.17        (0.79 )      (0.62 )      (0.19 )      –        (0.19 ) 

Class C

             

3/31/2013(g)

    10.37        0.04        (0.36 )      (0.32 )      (0.12 )      (0.18 )      (0.30 ) 

9/30/2012

    10.87        0.12        0.61        0.73        (0.86 )      (0.37 )      (1.23 ) 

9/30/2011

    11.11        0.17        0.05 (j)      0.22        (0.32 )      (0.14 )      (0.46 ) 

9/30/2010

    10.82        0.15        0.46        0.61        (0.24 )      (0.08 )      (0.32 ) 

9/30/2009

    9.18        0.24        1.53        1.77        (0.13 )      –        (0.13 ) 

9/30/2008(k)

    10.00        0.13        (0.81 )      (0.68 )      (0.15 )      –        (0.15 ) 

Class Y

             

3/31/2013(g)

    10.44        0.09        (0.36 )      (0.27 )      (0.17 )      (0.18 )      (0.35 ) 

9/30/2012

    10.93        0.21        0.63        0.84        (0.96 )      (0.37 )      (1.33 ) 

9/30/2011

    11.16        0.28        0.06 (j)      0.34        (0.43 )      (0.14 )      (0.57 ) 

9/30/2010

    10.82        0.25        0.47        0.72        (0.30 )      (0.08 )      (0.38 ) 

9/30/2009

    9.18        0.33        1.53        1.86        (0.22 )      –        (0.22 ) 

9/30/2008(k)

    10.00        0.18        (0.81 )      (0.63 )      (0.20 )      –        (0.20 ) 

 

(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, if applicable.
(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.
(d) A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.
(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.

 

See accompanying notes to financial statements.

 

65  |

Table of Contents
                            
Ratios to Average Net Assets: 		       
Redemption
fees (b) 		        
Net asset
value,
end of
the period 		    Total
return
(%) (c)(d) 		    Net assets,
end of
the period
(000’s) 		    Net
expenses
(%) (e)(f) 		    Gross
expenses
(%) (f) 		    Net
investment
income
(%) (f) 		    Portfolio
turnover
rate (%) 		 
             
             
$ –      $ 9.82        (2.83 )    $ 11,094        1.05        1.95        1.45        57   
  –        10.44        8.42        11,898        1.09 (h)(i)      1.85        1.83        169   
  –        10.94        2.70        10,927        1.10        1.64        2.26        136   
  –        11.17        6.66        18,758        1.10        1.49        2.14        128   
  –        10.84        20.41        8,479        1.10        2.11        3.29        91   
  0.00 (l)      9.19        (6.37 )      1,953        1.10        2.95        2.66        60   
             
  –        9.75        (3.22 )      4,034        1.80        2.70        0.71        57   
  –        10.37        7.64        4,355        1.84 (h)(i)      2.61        1.13        169   
  –        10.87        1.87        7,503        1.85        2.40        1.52        136   
  –        11.11        5.86        6,145        1.85        2.24        1.40        128   
  –        10.82        19.58        2,955        1.85        2.93        2.56        91   
  0.01 (l)      9.18        (6.95 )      683        1.85        3.70        1.92        60   
             
  –        9.82        (2.71 )      3,183        0.80        1.70        1.71        57   
  –        10.44        8.68        3,264        0.85 (h)(i)      1.60        2.05        169   
  –        10.93        3.06        5,852        0.85        1.36        2.47        136   
  –        11.16        6.92        8,908        0.85        1.23        2.41        128   
  –        10.82        20.73        13,049        0.85        1.92        3.53        91   
  0.01 (l)      9.18        (6.39 )      9,981        0.85        2.48        2.74        60   

 

(g) For the six months ended March 31, 2013 (Unaudited).
(h) Effective July 1, 2012, the expense limit decreased from 1.10%, 1.85% and 0.85% to 1.05%, 1.80% and 0.80% for Class A, Class C and Class Y shares, respectively.
(i) Includes interest expense from bank overdraft charges of less than 0.01%. Without this expense the ratio of net expenses would have been 1.09%, 1.84% and 0.84% for Class A, Class C and Class Y shares, respectively.
(j) 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.
(k) From commencement of operations on February 1, 2008 through September 30, 2008.
(l) Effective June 2, 2008, redemption fees were eliminated.

 

 

See accompanying notes to financial statements.

 

|  66

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

          Income (Loss) from Investment
Operations: 		    Less Distributions:  
    Net asset
value,
beginning
of the
period 		    Net
investment
income (a) 		    Net realized
and
unrealized
gain (loss) 		    Total from
investment
operations 		    Dividends
from net
investment
income 		    Distributions
from net
realized
capital
gains (b) 		    Total
distributions 		 

L IMITED T ERM G OVERNMENT AND A GENCY F UND

  

       

Class A

  

           

3/31/2013(g)

  $ 12.04      $ 0.08      $ (0.05 )    $ 0.03      $ (0.13 )    $ (0.00 )    $ (0.13 ) 

9/30/2012

    11.87        0.18        0.28        0.46        (0.29 )      (0.00 )      (0.29 ) 

9/30/2011

    12.02        0.17        0.03        0.20        (0.26 )      (0.09 )      (0.35 ) 

9/30/2010

    11.60        0.20        0.49        0.69        (0.27 )      —        (0.27 ) 

9/30/2009

    10.98        0.35        0.63        0.98        (0.36 )      —        (0.36 ) 

9/30/2008

    11.00        0.45        0.02        0.47        (0.49 )      —        (0.49 ) 

Class B

  

           

3/31/2013(g)

    12.03        0.04        (0.06 )      (0.02 )      (0.09 )      (0.00 )      (0.09 ) 

9/30/2012

    11.86        0.10        0.27        0.37        (0.20 )      (0.00 )      (0.20 ) 

9/30/2011

    12.00        0.09        0.03        0.12        (0.17 )      (0.09 )      (0.26 ) 

9/30/2010

    11.59        0.12        0.47        0.59        (0.18 )      —        (0.18 ) 

9/30/2009

    10.97        0.26        0.63        0.89        (0.27 )      —        (0.27 ) 

9/30/2008

    10.99        0.36        0.02        0.38        (0.40 )      —        (0.40 ) 

Class C

  

           

3/31/2013(g)

    12.05        0.04        (0.05 )      (0.01 )      (0.09 )      (0.00 )      (0.09 ) 

9/30/2012

    11.88        0.10        0.27        0.37        (0.20 )      (0.00 )      (0.20 ) 

9/30/2011

    12.03        0.08        0.03        0.11        (0.17 )      (0.09 )      (0.26 ) 

9/30/2010

    11.61        0.12        0.48        0.60        (0.18 )      —        (0.18 ) 

9/30/2009

    10.99        0.26        0.63        0.89        (0.27 )      —        (0.27 ) 

9/30/2008

    11.00        0.36        0.03        0.39        (0.40 )      —        (0.40 ) 

Class Y

  

           

3/31/2013(g)

    12.08        0.10        (0.06 )      0.04        (0.15 )      (0.00 )      (0.15 ) 

9/30/2012

    11.91        0.21        0.28        0.49        (0.32 )      (0.00 )      (0.32 ) 

9/30/2011

    12.05        0.20        0.04        0.24        (0.29 )      (0.09 )      (0.38 ) 

9/30/2010

    11.64        0.23        0.48        0.71        (0.30 )      —        (0.30 ) 

9/30/2009

    11.01        0.39        0.63        1.02        (0.39 )      —        (0.39 ) 

9/30/2008

    11.03        0.47        0.02        0.49        (0.51 )      —        (0.51 ) 

 

(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, if applicable.
(c) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.
(d) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower.

 

See accompanying notes to financial statements.

 

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                  Ratios to Average Net Assets:        
Net asset
value,
end of
the period 		    Total
return
(%) (c)(d) 		    Net assets,
end of
the period
(000’s) 		    Net
expenses
(%) (e)(f) 		    Gross
expenses
(%) (f) 		    Net
investment
income
(%) (f) 		    Portfolio
turnover
rate (%) 		 
           
           
$ 11.94        0.28      $ 374,614        0.91 (h)      0.92 (h)      1.34        26   
  12.04        3.94        357,870        0.85        0.90        1.54        56   
  11.87        1.71        293,675        0.85        0.92        1.44        66   
  12.02        6.03        164,265        0.89        0.97        1.73        89   
  11.60        9.05        118,619        0.90        0.99        3.10        77   
  10.98        4.29        105,047        0.92        1.07        4.04        52   
           
  11.92        (0.18 )      7,314        1.66 (h)      1.67 (h)      0.60        26   
  12.03        3.17        8,370        1.60        1.65        0.81        56   
  11.86        1.04        10,976        1.60        1.68        0.72        66   
  12.00        5.16        4,049        1.64        1.72        1.00        89   
  11.59        8.24        4,442        1.65        1.74        2.32        77   
  10.97        3.52        4,532        1.67        1.82        3.29        52   
           
  11.95        (0.09 )      78,507        1.66 (h)      1.67 (h)      0.59        26   
  12.05        3.17        75,522        1.60        1.65        0.80        56   
  11.88        0.96        68,776        1.60        1.67        0.68        66   
  12.03        5.24        75,984        1.64        1.72        0.98        89   
  11.61        8.24        50,973        1.65        1.74        2.32        77   
  10.99        3.62        22,711        1.66        1.83        3.29        52   
           
  11.97        0.32        240,848        0.66 (h)      0.67 (h)      1.59        26   
  12.08        4.19        220,444        0.60        0.65        1.77        56   
  11.91        2.05        130,874        0.60        0.67        1.68        66   
  12.05        6.20        95,847        0.63        0.71        1.94        89   
  11.64        9.40        28,004        0.65        0.72        3.42        77   
  11.01        4.55        6,577        0.67        0.72        4.28        52   

 

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year, if applicable.
(g) For the six months ended March 31, 2013 (Unaudited).
(h) Includes corporate tax expenses of 0.06% for Class A, B, C and Y shares. Without this expense the ratio of net expenses for Class A, B, C and Y shares would have been 0.85%, 1.60%, 1.60% and 0.60%, respectively.

 

 

See accompanying notes to financial statements.

 

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Notes to Financial Statements

 

March 31, 2013 (Unaudited)

 

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

Natixis Funds Trust I:

Loomis Sayles Core Plus Bond Fund (the “Core Plus Bond Fund”)

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles International Bond Fund (the “International Bond Fund”)

Loomis Sayles Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)

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

The Funds each offer Class A, Class C and Class Y shares. Effective February 1, 2013, Core Plus Bond Fund began offering Class N shares. Effective October 12, 2007, Class B shares are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.

Class A shares of all Funds except Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 4.50%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 3.00%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a 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 exclusively through intermediaries and are primarily intended for employer-sponsored retirement plans. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

 

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Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

Most expenses of the Trusts 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 the 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 (including the Rule 12b-1 service and distribution fees and transfer agent fees 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.

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 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.   Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans are priced at bid prices supplied by an independent pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price.

 

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March 31, 2013 (Unaudited)

 

Credit default swap agreements are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.

b.  Investment Transactions and Related Investment Income.   Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. 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. 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 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 on the respective dates of such transactions.

 

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Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

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

d.  Forward Foreign Currency Contracts.   The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds’ 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 gain or loss 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. 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 Funds’ or counterparty’s net obligations under the contracts.

e.  Futures Contracts.   The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, 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. Fluctuations in

 

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March 31, 2013 (Unaudited)

 

the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) 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 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, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Swap Agreements.   Each Fund may enter into credit default 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.

The notional amounts of credit default swaps are not recorded in the financial statements. Credit default swaps are valued daily, and fluctuations in the 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 Operations as realized gain or

 

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March 31, 2013 (Unaudited)

 

loss when received or paid. 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.

Credit default swaps are privately negotiated and 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. The Funds cover their net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.

No credit default swaps were held by the Funds during the six months ended March 31, 2013.

g.  Due to Brokers.   Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. Due to brokers’ balances in the Statements of Asset and Liabilities for High Income Fund represent securities received as collateral for forward foreign currency contracts. In certain circumstances the Fund’s use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.

h.  Federal and Foreign Income Taxes.   Each Trust treats 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 March 31, 2013 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.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to

 

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March 31, 2013 (Unaudited)

 

be reclaimed 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.

i.  Dividends and Distributions to Shareholders.   Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually 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 foreign currency transactions, contingent payment debt instruments, preferred securities adjustments, premium amortization, defaulted bond adjustments, paydown gains and losses and distribution redesignations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, forward foreign currency contract mark to market, dividends payable, return of capital dividend received, preferred securities adjustments, contingent payment debt instruments and defaulted bond interest. Distributions from net investment income and short-term capital gains are considered to be 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 September 30, 2012 was as follows:

 

     2012 Distributions Paid From:  

Fund

  

Ordinary

Income

    

Long-Term

Capital Gains

    

Total

 

Core Plus Bond Fund

   $ 38,311,608       $ 5,887,516       $ 44,199,124   

High Income Fund

     12,336,748         9,467,897         21,804,645   

International Bond Fund

     2,051,571         303,804         2,355,375   

Limited Term Government and Agency Fund

     12,349,174         810,952         13,160,126   

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

 

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j.  Repurchase Agreements.   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.

k.  Delayed Delivery Commitments.   The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security 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 actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment. No interest accrues to each Fund until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value 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.

l.  Securities Lending.   The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment

 

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of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2013, none of the Funds had loaned securities under this agreement.

m.  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.

n.  New Accounting Pronouncement.   In December 2011, Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU creates new disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Funds’ financial statement disclosures.

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 and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on

 

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Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

the basis of evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2013, at value:

Core Plus Bond Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Car Loan

   $ —       $ 47,431,302       $ 1,667,664       $ 49,098,966   

Airlines

     —         —         4,667,705         4,667,705   

Media Non-Cable

     —         11,645,563         7,798,800         19,444,363   

All Other Non-Convertible Bonds(a)

     —         1,538,862,674         —         1,538,862,674   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Non-Convertible Bonds

     —         1,597,939,539         14,134,169         1,612,073,708   
  

 

 

    

 

 

    

 

 

    

 

 

 

Convertible Bonds(a)

     —         —         1,390,310         1,390,310   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Bonds and Notes

     —         1,597,939,539         15,524,479         1,613,464,018   
  

 

 

    

 

 

    

 

 

    

 

 

 

Senior Loans(a)

     —         47,360,406         —         47,360,406   

Preferred Stocks(a)

     2,101,469         526,115         —         2,627,584   

Short-Term Investments

     —         54,948,151         —         54,948,151   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,101,469       $ 1,700,774,211       $ 15,524,479       $ 1,718,400,159   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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

 

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Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

High Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Bonds and Notes

          

Non-Convertible Bonds

          

Airlines

   $ —       $ 2,351,804      $ 569,244       $ 2,921,048   

All Other Non-Convertible Bonds(a)

     —         189,148,460        —         189,148,460   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total Non-Convertible Bonds

     —         191,500,264        569,244         192,069,508   
  

 

 

    

 

 

   

 

 

    

 

 

 

Convertible Bonds(a)

     —         23,931,697        39,803         23,971,500   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total Bonds and Notes

     —         215,431,961        609,047         216,041,008   
  

 

 

    

 

 

   

 

 

    

 

 

 

Senior Loans(a)

     —         1,034,954        —         1,034,954   

Preferred Stocks(a)

     8,715,675         954,325        —         9,670,000   

Common Stocks(a)

     3,921,352         —        —         3,921,352   

Warrants(b)

     115,712         —        —         115,712   

Short-Term Investments

     —         17,723,230        —         17,723,230   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total Investments

     12,752,739         235,144,470        609,047         248,506,256   
  

 

 

    

 

 

   

 

 

    

 

 

 

Forward Foreign Currency Contracts (unrealized appreciation)

     —         672,615        —         672,615   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 12,752,739       $ 235,817,085      $ 609,047       $ 249,178,871   
  

 

 

    

 

 

   

 

 

    

 

 

 
Liability Valuation Inputs           

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Forward Foreign Currency Contracts (unrealized depreciation)

   $   —       $ (3,661 )    $   —       $ (3,661 ) 
  

 

 

    

 

 

   

 

 

    

 

 

 

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Includes a security fair valued at zero using Level 2 inputs.

 

79  |

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Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

International Bond Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Bonds and Notes(a)

   $ —       $ 17,750,614      $   —       $ 17,750,614   

Preferred Stocks(a)

     16,900         —        —         16,900   

Short-Term Investments

     —         413,639        —         413,639   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total Investments

     16,900         18,164,253        —         18,181,153   
  

 

 

    

 

 

   

 

 

    

 

 

 

Forward Foreign Currency Contracts (unrealized appreciation)

     —         27,498        —         27,498   

Futures Contracts
(unrealized appreciation)

     5,631         —        —         5,631   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 22,531       $ 18,191,751      $ —       $ 18,214,282   
  

 

 

    

 

 

   

 

 

    

 

 

 
Liability Valuation Inputs           

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Forward Foreign Currency Contracts (unrealized depreciation)

   $   —       $ (23,969 )    $   —       $ (23,969 ) 
  

 

 

    

 

 

   

 

 

    

 

 

 

 

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

For the six months ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

   

Total

 

Bonds and Notes

          

ABS Student Loan

   $   —       $ —       $  2,472,508 (b)    $ 2,472,508   

Collateralized Mortgage Obligations

     —         199,904,525         8,674,073 (b)      208,578,598   

Mortgage Related

     —         163,433,881         9,370,230 (b)      172,804,111   

All Other Bonds and Notes(a)

     —         283,859,397         —        283,859,397   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Bonds and Notes

     —         647,197,803         20,516,811        667,714,614   
  

 

 

    

 

 

    

 

 

   

 

 

 

Short-Term Investments

     —         38,226,201         —        38,226,201   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ —       $ 685,424,004       $ 20,516,811      $ 705,940,815   
  

 

 

    

 

 

    

 

 

   

 

 

 

 

|  80

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2012 and/or March 31, 2013:

Core Plus Bond Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of

September 30,

2012

   

Accrued

Discounts

(Premiums)

   

Realized

Gain

(Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Car Loan

  $ —      $ —      $ —      $ 2,752      $ 1,664,912   

Airlines

    —        301        243        76,232        —   

Media Non-Cable

    —        —        —        38,800        7,760,000   

Convertible Bonds

         

Wirelines

    —        488        (18 )      67,504        2,644,671   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ —      $ 789      $ 225      $ 185,288      $ 12,069,583   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers

into

Level 3

   

Transfers

out of

Level 3

   

Balance as of

March 31,

2013

   

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2013

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Car Loan

  $ —      $ —      $   —      $ 1,667,664      $ 2,752   

Airlines

    (38,474 )      4,629,403        —        4,667,705        76,232   

Media Non-Cable

    —        —        —        7,798,800        38,800   

Convertible Bonds

         

Wirelines

    (1,322,335 )      —        —        1,390,310        67,504   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (1,360,809 )    $ 4,629,403      $ —      $ 15,524,479      $ 185,288   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

81  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

Debt securities valued at $4,629,403 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

All transfers are recognized as of the beginning of the reporting period.

High Income Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of

September 30,

2012

   

Accrued

Discounts

(Premiums)

   

Realized

Gain

(Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

Airlines

  $ —      $ 1,605      $ 1,075      $ (5,268 )    $ 345,000   

Transportation Services

    234,438        —        —        —        —   

Convertible Bonds

         

Wirelines

    —        —        (8 )      (10,382 )      100,386   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 234,438      $ 1,605      $ 1,067      $ (15,650 )    $ 445,386   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers

into

Level 3

   

Transfers

out of

Level 3

   

Balance as of

March 31,

2013

   

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2013

 

Bonds and Notes

         

Non-Convertible Bonds

         

Airlines

  $ (6,392 )    $ 233,224      $ —      $ 569,244      $ (5,268 ) 

Transportation Services

    —        —        (234,438 )      —        —   

Convertible Bonds

         

Wirelines

    (50,193 )      —        —        39,803        (10,382 ) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (56,585 )    $ 233,224      $ (234,438 )    $ 609,047      $ (15,650 ) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

|  82

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

Debt securities valued at $233,224 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

A debt security valued at $234,438 was transferred from Level 3 to Level 2 during the period ended March 31, 2013. At March 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of

September 30,

2012

   

Accrued

Discounts

(Premiums)

   

Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Purchases

 

Bonds and Notes

         

ABS Car Loan

  $ 910,501      $   —      $   —      $ —      $ —   

ABS Student Loan

    —        —        —        12,301        —   

Collateralized Mortgage Obligations

    —        —        (27 )      (6,404 )      135,497   

Mortgage Related

    1,982,780        —        —        (3,368 )      9,373,598   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 2,893,281      $ —      $ (27 )    $ 2,529      $ 9,509,095   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers

into

Level 3

   

Transfers

out of

Level 3

   

Balance as of

March 31,

2013

   

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2013

 

Bonds and Notes

         

ABS Car Loan

  $ —      $ —      $ (910,501 )    $ —      $ —   

ABS Student Loan

    (1,285,519 )      3,745,726        —        2,472,508        12,301   

Collateralized Mortgage Obligations

    (624,026 )      9,169,033        —        8,674,073        (6,404 ) 

Mortgage Related

    —        —        (1,982,780 )      9,370,230        (3,368 ) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (1,909,545 )    $ 12,914,759      $ (2,893,281 )    $ 20,516,811      $ 2,529   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

83  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

Debt securities valued at $12,914,759 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $2,893,281 were transferred from Level 3 to Level 2 during the period ended March 31, 2013. At March 31, 2013, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

4.  Derivatives.   Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that High Income Fund and International Bond Fund used during the period include forward foreign currency contracts and futures contracts.

High Income Fund and International Bond 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 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 March 31, 2013, High Income Fund engaged in forward foreign currency transactions for hedging purposes. During the same period, International Bond Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

International Bond Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the six months ended March 31, 2013, International Bond Fund used futures contracts to manage duration.

High Income Fund and International Bond Fund are party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades)

 

|  84

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Fund

  

Counterparty

  

Derivatives

  

Collateral Pledged

International Bond Fund

   Barclays Bank PLC    $(14,332)    $  —

Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Funds have mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, including securities held at counterparties for initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations and the amount of loss that the Funds would incur after taking into account master netting arrangements are as follows as of March 31, 2013:

 

Fund

  

Maximum Amount of

Loss – Gross

    

Maximum Amount of

Loss – Net

 

High Income Fund

   $ 672,615       $ 668,954   

International Bond Fund

     52,515         42,878   

These amounts do not take into account the value of U.S. government and agency securities received as collateral by High Income Fund in the amount of $650,244. Collateral is valued in accordance with the Fund’s valuation policies and is recorded on the Statements of Assets and Liabilities.

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.

Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between each Fund and the counterparties. This risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

 

85  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

The following is a summary of derivative instruments for High Income Fund as of March 31, 2013:

 

Statements of Assets and Liabilities Caption

  

Foreign
Exchange
Contracts

 

Assets

  

Unrealized appreciation on forward foreign currency contracts

   $ 672,615   

Liabilities

  

Unrealized depreciation on forward foreign currency contracts

     (3,661 ) 

Transactions in derivative instruments for High Income Fund during the six months ended March 31, 2013, were as follows:

 

Statements of Operations Caption

  

Foreign
Exchange
Contracts

 

Net Realized Gain (Loss) on:

  

Foreign currency transactions*

   $ (644,980 ) 

Net Change in Unrealized Appreciation (Depreciation) on:

  

Foreign currency translations*

     912,188   

 

* Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

The following is a summary of derivative instruments for International Bond Fund as of March 31, 2013:

 

Statements of Assets and Liabilities Caption

  

Interest

Rate

Contracts

    

Foreign
Exchange
Contracts

 

Assets

     

Unrealized appreciation on forward foreign currency contracts

   $ —       $ 27,498   

Unrealized appreciation on futures contracts*

     5,631         —   

Liabilities

     

Unrealized depreciation on forward foreign currency contracts

     —         (23,969 ) 

 

* 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.

 

|  86

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

Transactions in derivative instruments for International Bond Fund during the six months ended March 31, 2013, were as follows:

 

Statements of Operations Caption

  

Interest

Rate

Contracts

    

Foreign
Exchange
Contracts

 

Net Realized Gain (Loss) on:

     

Foreign currency transactions*

   $ —       $ 49,095   

Futures contracts

     7,808         —   

Net Change in Unrealized Appreciation (Depreciation) on:

     

Foreign currency translations*

     —         (12,875 ) 

Futures contracts

     5,631         —   

 

* Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

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 and future contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2013:

 

High Income Fund

  

Forwards

        

Average Notional Amount Outstanding

     5.05%      

Highest Notional Amount Outstanding

     6.56%      

Lowest Notional Amount Outstanding

     2.76%      

Notional Amount Outstanding as of March 31, 2013

     6.56%      

International Bond Fund

  

Forwards

    

Futures

 

Average Notional Amount Outstanding

     16.32%         1.84%   

Highest Notional Amount Outstanding

     22.28%         4.46%   

Lowest Notional Amount Outstanding

     12.10%         0.00%   

Notional Amount Outstanding as of March 31, 2013

     21.76%         4.44%   

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forwards and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

 

87  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

5.  Purchases and Sales of Securities.   For the six months ended March 31, 2013, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

 

    U.S. Government/
Agency Securities 		    Other Securities  

Fund

 

Purchases

   

Sales

   

Purchases

   

Sales

 

Core Plus Bond Fund

  $ 405,524,486      $ 485,108,397      $ 552,275,623      $ 151,602,721   

High Income Fund

    2,248,930        7,611,251        61,572,232        34,774,400   

International Bond Fund

    950,561        800,646        9,508,838        9,868,685   

Limited Term Government and Agency Fund

    100,980,401        106,801,674        144,027,322        67,289,172   

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. 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

$100 million

   

Next

$150 million

   

Over

$250 million

 

Core Plus Bond Fund

     0.2500 %      0.1875 %      0.1875 % 

High Income Fund

     0.6000 %      0.6000 %      0.6000 % 

International Bond Fund

     0.6000 %      0.6000 %      0.6000 % 

Limited Term Government and Agency Fund

     0.5000 %      0.5000 %      0.4000 % 

NGAM Advisors, L.P. (“NGAM Advisors”) serves as the advisory administrator to Core Plus Bond Fund. Under the terms of the advisory administration agreement, the Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets:

 

    

Percentage of Average Daily Net Assets

 

Fund

  

First

$100 million

   

Over

$100 million

 

Core Plus Bond Fund

     0.2500 %      0.1875 % 

Management and advisory administration fees are presented in the Statements of Operations as management fees.

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until January 31, 2014 and are

 

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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 March 31, 2013, 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 B

   

Class C

   

Class N

   

Class Y

 

Core Plus Bond Fund

     0.90 %      1.65 %      1.65 %      0.60 %      0.65 % 

High Income Fund

     1.15 %      1.90 %      1.90 %      —        0.90 % 

International Bond Fund

     1.05 %      —        1.80 %      —        0.80 % 

Limited Term Government and Agency Fund

     0.85 %      1.60 %      1.60 %      —        0.60 % 

Loomis Sayles and NGAM Advisors have agreed to equally bear the waivers and/or expense reimbursements for Core Plus Bond Fund.

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

For the six months ended March 31, 2013, the management fees and waivers of management fees for each Fund were as follows:

 

   

Gross

Management

Fees

   

Waivers of

Management

Fees (1)

   

Net

Management

Fees

   

Percentage of

Average

Daily Net Assets

 

Fund

       

Gross

   

Net

 

Core Plus Bond Fund

  $ 1,516,649      $ —      $ 1,516,649        0.191 %      0.191 % 

High Income Fund

    696,142        —        696,142        0.600 %      0.600 % 

International Bond Fund

    57,703        57,703        —        0.600 %      —   

Limited Term Government and Agency Fund

    1,528,036        25,918        1,502,118        0.436 %      0.428 % 

 

(1)  

Management fee waivers are subject to possible recovery until September 30, 2014.

 

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For the six months ended March 31, 2013, the advisory administration fees for Core Plus Bond Fund were as follows:

 

Advisory

Administration Fee

  

Percentage of Average

Daily Net Assets

$1,516,649

   0.191%

For the six months ended March 31, 2013, expenses have been reimbursed as follows:

 

Fund

  

Reimbursement

International Bond Fund

   $29,085

Additionally, class-specific expenses of $3 have been reimbursed for Class N shares. Expense reimbursements are subject to possible recovery until September 30, 2014.

For the six months ended March 31, 2013, expense reimbursements related to the prior fiscal year were recovered as follows:

 

Fund

  

Recovered Expenses

High Income Fund

   $55,126

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles’ general partner is indirectly owned by Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b.  Service and Distribution Fees.   NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM 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 B (if applicable) and Class C shares (the “Class B and Class C Plans”).

Under the Class A Plans, each Fund pays NGAM 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 NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B (if applicable) and Class C Plans, each Fund pays NGAM 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 B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.

 

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Also under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.

For the six months ended March 31, 2013, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

  

Class A

    

Class B

    

Class C

    

Class B

    

Class C

 

Core Plus Bond Fund

   $ 679,078       $ 2,600       $ 372,277       $ 7,801       $ 1,116,830   

High Income Fund

     100,063         666         21,014         1,995         63,043   

International Bond Fund

     14,526         —         5,378         —         16,136   

Limited Term Government and Agency Fund

     463,435         10,062         98,773         30,184         296,320   

c.  Administrative Fees.   NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2013, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative

Fees

 

Core Plus Bond Fund

   $ 351,090   

High Income Fund

     51,415   

International Bond Fund

     4,262   

Limited Term Government and Agency Fund

     155,486   

d.  Sub-Transfer Agent Fees.   NGAM 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

 

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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 NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, 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 March 31, 2013, 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

 

Core Plus Bond Fund

   $ 514,779   

High Income Fund

     85,350   

International Bond Fund

     7,933   

Limited Term Government and Agency Fund

     121,179   

As of March 31, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:

 

Fund

  

Reimbursements

of Sub-Transfer

Agent Fees

 

Core Plus Bond Fund

   $ 12,833   

For the six months ended March 31, 2013, NGAM Distribution owes the Funds the following for overpayments of sub-transfer agent fees:

 

Fund

  

Overpayments of

Sub-Transfer

Agent Fees

 

High Income Fund

   $ 2,665   

International Bond Fund

     127   

Limited Term Government and Agency Fund

     5,338   

Sub-transfer agent fees attributable to Class A, Class B, 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.

 

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e.  Commissions.   Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended March 31, 2013 were as follows:

 

Fund

  

Commissions

 

Core Plus Bond Fund

   $ 504,525   

High Income Fund

     61,221   

International Bond Fund

     3,523   

Limited Term Government and Agency Fund

     204,246   

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. Effective January 1, 2013, the Chairperson of the Board receives a retainer fee at the annual rate of $285,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $115,000. 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, each committee chairman receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2013, the Chairperson of the Board received a retainer fee at the annual rate of $265,000 and each Independent Trustee (other than the Chairperson) received, in aggregate, a retainer fee at the annual rate of $95,000. In addition, each committee chairman received an additional retainer fee at an annual rate of $15,000, and each Audit Committee member was compensated $7,500 for each Committee meeting that he or she attended in person and $3,750 for each meeting that he or she attended telephonically.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value

 

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of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

g.  Affiliated Ownership.   At March 31, 2013, Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of net assets:

 

Fund

  

Retirement Plan

 

Core Plus Fund

     0.06 % 

International Bond Fund

     1.14 % 

Limited Term Government and Agency Fund

     0.19 % 

Additionally, as of March 31, 2013, Natixis US held shares of Core Plus Bond Fund representing less than 0.01% of the Funds’ net assets.

7.  Class-Specific Expenses.   For the period from February 1, 2013 through March 31, 2013, Core Plus Bond Fund incurred the following class-specific expenses:

 

    

Class N

 

Transfer Agent Fees and Expenses

   $ 3   

Transfer agent fees and expenses attributable to Class A, Class B, 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.

8.  Line of Credit.   Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% 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.

For the six months ended March 31, 2013, none of the Funds had borrowings under these agreements.

9.  Concentration of Risk.   International Bond Fund is a non-diversified fund. Compared with diversified mutual funds, International Bond Fund may invest a greater percentage of its assets in a particular country. Therefore, International Bond Fund’s returns could be significantly affected by the performance of any one of the small number of countries in its portfolio.

 

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Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

10.  Corporate Tax Expense.   Loomis Sayles Limited Term Government and Agency Fund paid federal corporate income taxes in the amount of $224,327 on undistributed net long-term capital gains as of September 30, 2012.

11.  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 March 31, 2013, 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 was as follows:

 

Fund

  

Number of >5%

Non-Affiliated
Account Holders

    

Percentage of
Non-Affiliated

Ownership

   

Percentage of
Affiliated

Ownership

   

Total

Percentage of
Ownership

 

Core Plus Bond Fund

     —         —        0.06 %      0.06 % 

High Income Fund

     1         8.29 %      —        8.29 % 

International Bond Fund

     —         —        1.14 %      1.14 % 

Limited Term Government and Agency Fund

     —         —        0.19 %      0.19 % 

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

 

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12.  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
March 31, 2013 		 
   		   
  		Year Ended
September 30, 2012 		 
  

Core Plus Bond Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     15,160,342      $ 204,360,732        27,370,858      $ 355,172,674   

Issued in connection with the reinvestment of distributions

     1,173,996        15,711,303        1,087,023        14,031,796   

Redeemed

     (9,035,621 )      (121,360,258 )      (11,683,801 )      (151,134,746 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     7,298,717      $ 98,711,777        16,774,080      $ 218,069,724   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class B         

Issued from the sale of shares

     3,215      $ 43,792        18,163      $ 232,753   

Issued in connection with the reinvestment of distributions

     3,912        52,602        8,025        103,306   

Redeemed

     (51,040 )      (692,046 )      (92,873 )      (1,209,379 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (43,913 )    $ (595,652 )      (66,685 )    $ (873,320 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     5,077,786      $ 68,483,169        11,681,836      $ 152,094,275   

Issued in connection with the reinvestment of distributions

     394,292        5,276,103        326,978        4,220,534   

Redeemed

     (2,664,936 )      (35,819,449 )      (2,493,106 )      (32,473,101 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     2,807,142      $ 37,939,823        9,515,708      $ 123,841,708   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N*         

Issued from the sale of shares

     74      $ 1,000        —      $ —   

Issued in connection with the reinvestment of distributions

     1        6        —        —   

Redeemed

     —        —        —        —   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     75      $ 1,006        —      $ —   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     24,805,829      $ 336,214,333        44,233,390      $ 579,833,966   

Issued in connection with the reinvestment of distributions

     1,445,923        19,472,407        884,004        11,568,457   

Redeemed

     (12,443,382 )      (168,198,704 )      (9,666,030 )      (127,951,720 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     13,808,370      $ 187,488,036        35,451,364      $ 463,450,703   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     23,870,391      $ 323,544,990        61,674,467      $ 804,488,815   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* From commencement of Class operations on February 1, 2013 through March 31, 2013.

 

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12.  Capital Shares (continued).

 

    
  		Six Months Ended
March 31, 2013 		 
   		   
  		Year Ended
September 30, 2012 		 
  

High Income Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     3,532,490      $ 16,796,129        21,107,989      $ 93,628,788   

Issued in connection with the reinvestment of distributions

     504,771        2,373,208        2,189,836        9,162,829   

Redeemed

     (7,952,963 )      (36,983,152 )      (15,882,475 )      (70,067,314 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (3,915,702 )    $ (17,813,815 )      7,415,350      $ 32,724,303   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class B         

Issued from the sale of shares

     11,265      $ 52,498        5,673      $ 24,777   

Issued in connection with the reinvestment of distributions

     2,698        12,740        19,672        81,687   

Redeemed

     (27,373 )      (128,616 )      (68,910 )      (305,756 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (13,410 )    $ (63,378 )      (43,565 )    $ (199,292 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     308,469      $ 1,463,105        805,879      $ 3,533,514   

Issued in connection with the reinvestment of distributions

     82,826        390,987        421,300        1,752,724   

Redeemed

     (562,503 )      (2,667,659 )      (1,101,851 )      (4,859,465 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (171,208 )    $ (813,567 )      125,328      $ 426,773   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     12,841,971      $ 60,681,524        27,436,571      $ 123,173,948   

Issued in connection with the reinvestment of distributions

     773,765        3,644,938        1,416,350        5,940,281   

Redeemed

     (6,249,969 )      (29,530,212 )      (13,232,329 )      (58,722,847 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     7,365,767      $ 34,796,250        15,620,592      $ 70,391,382   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share
transactions

     3,265,447      $ 16,105,490        23,117,705      $ 103,343,166   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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12.  Capital Shares (continued).

 

    
  		Six Months Ended
March 31, 2013 		 
   		    
  		Year Ended
September 30, 2012 		 
  

International Bond Fund

     Shares         Amount         Shares         Amount   
Class A            

Issued from the sale of shares

     316,143       $ 3,197,898         550,775       $ 5,589,441   

Issued in connection with the reinvestment of distributions

     28,743         293,354         89,124         883,291   

Redeemed

     (354,356 )       (3,576,485 )       (499,605 )       (5,230,159 ) 
  

 

 

    

 

 

    

 

 

    

 

 

 

Net change

     (9,470 )     $ (85,233 )       140,294       $ 1,242,573   
  

 

 

    

 

 

    

 

 

    

 

 

 
Class C            

Issued from the sale of shares

     72,366       $ 741,737         119,315       $ 1,209,211   

Issued in connection with the reinvestment of distributions

     8,638         87,632         46,134         453,165   

Redeemed

     (87,155 )       (880,772 )       (435,796 )       (4,443,773 ) 
  

 

 

    

 

 

    

 

 

    

 

 

 

Net change

     (6,151 )     $ (51,403 )       (270,347 )     $ (2,781,397 ) 
  

 

 

    

 

 

    

 

 

    

 

 

 
Class Y            

Issued from the sale of shares

     97,520       $ 996,950         611,695       $ 6,195,469   

Issued in connection with the reinvestment of distributions

     4,552         46,389         19,724         195,522   

Redeemed

     (90,376 )       (905,845 )       (854,117 )       (8,765,676 ) 
  

 

 

    

 

 

    

 

 

    

 

 

 

Net change

     11,696       $ 137,494         (222,698 )     $ (2,374,685 ) 
  

 

 

    

 

 

    

 

 

    

 

 

 

Increase (decrease) from capital share
transactions

     (3,925 )     $ 858         (352,751 )     $ (3,913,509 ) 
  

 

 

    

 

 

    

 

 

    

 

 

 

 

|  98

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

12.  Capital Shares (continued).

 

    
  		Six Months Ended
March 31, 2013 		 
   		   
  		Year Ended
September 30, 2012 		 
  

Limited Term Government and Agency Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     7,765,464      $ 93,155,497        15,612,122      $ 186,297,906   

Issued in connection with the reinvestment of distributions

     277,486        3,324,055        513,246        6,128,335   

Redeemed

     (6,380,179 )      (76,440,569 )      (11,137,817 )      (132,584,098 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     1,662,771      $ 20,038,983        4,987,551      $ 59,842,143   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class B         

Issued from the sale of shares

     44,776      $ 536,875        67,643      $ 803,090   

Issued in connection with the reinvestment of distributions

     4,768        57,061        12,997        154,932   

Redeemed

     (131,959 )      (1,577,464 )      (310,167 )      (3,693,689 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (82,415 )    $ (983,528 )      (229,527 )    $ (2,735,667 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     1,636,433      $ 19,650,020        2,463,981      $ 29,387,942   

Issued in connection with the reinvestment of distributions

     29,287        351,108        59,828        714,780   

Redeemed

     (1,361,058 )      (16,313,851 )      (2,044,375 )      (24,403,572 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     304,662      $ 3,687,277        479,434      $ 5,699,150   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     9,332,677      $ 112,390,763        19,006,051      $ 227,577,207   

Issued in connection with the reinvestment of distributions

     159,324        1,914,808        205,462        2,463,226   

Redeemed

     (7,628,756 )      (91,690,542 )      (11,948,359 )      (142,880,346 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     1,863,245      $ 22,615,029        7,263,154      $ 87,160,087   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     3,748,263      $ 45,357,761        12,500,612      $ 149,965,713   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

99  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2013 (Unaudited)

 

13.  Special Meeting of Shareholders.   A special meeting of shareholders of the Trusts was held on March 18, 2013 to consider a proposal to elect four Trustees to the Board of Trustees. The proposal was approved by shareholders of the Trusts. The results of the shareholder vote were as follows:

Natixis Funds Trust I

 

Nominee

  

Voted

“FOR”*

    

Withheld*

 

Charles D. Baker

        155,355,305           2,570,091   

Edmond J. English

     155,184,008         2,741,388   

David L. Giunta

     155,338,710         2,586,686   

Martin T. Meehan

     155,091,993         2,833,403   

Loomis Sayles Funds II

 

Nominee

  

Voted

“FOR”*

    

Withheld*

 

Charles D. Baker

     1,908,768,243         24,689,516   

Edmond J. English

     1,907,921,154         25,536,605   

David L. Giunta

     1,907,548,640         25,909,119   

Martin T. Meehan

     1,906,909,667         26,548,092   

 

* Trust-wide voting results.

In addition to the Trustees named above, the following also serve as Trustees of the Trusts: Daniel M. Cain, Kenneth A. Drucker, Wendell J. Knox, Sandra O. Moose, Erik R. Sirri, Peter J. Smail, Cynthia L. Walker, Robert J. Blanding and John T. Hailer.

 

|  100

Table of Contents

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 Trust’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 was no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. 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.
  (a)    (3)    Not applicable.
  (b)       Certifications of Principal Executive Officer and Principal Financial Officer pursuant to
        Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

Table of Contents

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 I
By:  

/s/ David L. Giunta

Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   May 22, 2013

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:   May 22, 2013
By:  

/s/ Michael C. Kardok

Name:   Michael C. Kardok
Title:   Treasurer
Date:   May 22, 2013
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