# Natixis International Funds (Lux) I
### Notes to the Financial Statements As at June 30, 2021 (continued)

#### Note 4 – PERFORMANCE FEES (continued)

###### Where:
- 	NAV
- (n) 
- is the net asset value at the end of the financial year after TER, with no performance fee,
- NAV
- (0) 
- is the net asset value at the end of the previous financial year. This net asset value serves as a benchmark for the current financial year,
- TotalFGV
- (n) 
- is the amount of the outperformance fee levied over the financial year,
- N
- (i) 
- is the total number of Fund shares on the NAV calculation date 
- (i)
- ,
- NAV
- (i) 
- is the share net asset value on day 
- (i) 
- after fixed management fees, with no Performance fee,
- Bench
- (i) 
- is the value of the index on the same date:Benchi=Benchi-1x (50% x  EONIA Capitalization Index 7 Di EONIA Capitalization Index 7 Di-1+ 50% x  Euro Stoxx 50 NR (EUR)i)Euro Stoxx 50 NR (EUR)i-1
- N
- (i)
- *NAV
- (i) 
- represents pure assets, after fixed costs,
- N
- (i)
- *NAV
- (0) 
- represents the equivalent assets since the beginning of the year,
- Bench
- (i)
- /Bench
- (0)
- *N
- (i)
- *NAV
- (0) 
- represents the benchmark equivalent assets.

The daily provision is thus expressed as:
ProvisionFGV
(i) 
= TotalFGV
(i)
-TotalFGV
(i-1) 
Where:
- 	ProvisionFGV
- (i) 
- is the amount of variable management fees (“frais de gestion variables”), provisioned or reversed, at the net asset value calculation on i.


#### Note 5 – DISTRIBUTION FEES
The fees paid out of the Fund’s assets to cover marketing and selling fund shares may cover advertising costs, compensating brokers and others who sell the Fund’s shares, payments for printing and mailing prospectuses to new investors, and providing sales literature to prospective investors.

#### Note 6 – OTHER CHARGES
Other Charges mainly composed of Broker fees, Soulte to Management Company and Legal Expenses.

#### Note 7 – TAXATION

###### The Umbrella Fund is not subject to any Luxembourg tax on interest or dividends received by any Fund, any realised or unrealised capital appreciation of Fund assets or any distribution paid by any Fund to Shareholders. The Umbrella Fund is not subject to any Luxembourg stamp tax or other duty payable on the issuance of Shares. The Umbrella Fund is subject to the Luxembourg taxe d’abonnement of 0.01% per year of each Fund’s net asset value with respect to class “I” Shares, class “S” Shares, class “S1” Shares and class “S2” Shares and of 0.05% per year of each Fund’s net asset value with respect to class “R” Shares, class “RE” Shares, class "RET" Shares, class “C” Shares, class “CW” Shares, class "CT" Shares, class “F” Shares, class “N” Shares, class “N1” Shares, class “SN1” Shares and class “P” Shares. These taxes are payable quarterly on the basis of the value of the aggregate net assets of the Funds at the end of the relevant calendar quarter. No tax is due on the assets held by the Umbrella Fund in other UCITS that are already subject to subscription tax in Luxembourg.
215

#### Note 8 – TOTAL EXPENSE RATIO

###### As at June 30, 2021 the amount of expenses (in %) to be incurred annually by each Fund including the remuneration to the Management Company, the depositary, the independent auditors, the outside counsels, the other professionals and the administrative expenses are:
S1	S	I	DH-I
(2) 
SN1	N1	N	F	P	R	RE	RET	CW	C	CT	Q
(3)	
S2
(4)
Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares
| Natixis Asia Equity Fund | - | - | 1.00 | - | - | 0.85 | 1.10 | - | - | 1.70 | 2.70 | 2.70 | - | 2.75 | - | 0.35 | - |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DNCA Emerging Europe Equity Fund | - | - | 1.00 | - | - | 0.85 | 1.10 | - | - | 1.70 | 2.70 | 2.70 | - | 2.75 | - | 0.35 | - |
| Natixis Pacific Rim Equity Fund | - | 1.00 | 1.20 | - | - | 1.15 | 1.30 | - | - | 1.80 | 2.40 | 2.40 | - | 2.20 | - | 0.35 | - |
| Harris Associates Concentrated U.S. Equity Fund(1) | - | 0.85 | 1.25 | - | - | 1.05 | 1.20 | 1.40 | - | 2.10 | 2.70 | - | - | 2.55 | - | 0.35 | - |
| Harris Associates Global Equity Fund | 0.72 | 0.80 | 1.10 | - | - | 0.95 | 1.10 | 1.35 | 1.75 | 2.15 | 2.70 | 2.70 | 2.70 | 2.95 | - | 0.35 | - |
| Harris Associates U.S. Equity Fund | - | 0.70 | 1.20 | - | - | 1.05 | 1.20 | 1.65 | 1.75 | 1.95 | 2.60 | 2.60 | - | 2.55 | - | 0.35 | - |
| Loomis Sayles Global Emerging Markets Equity Fund | - | 0.80 | 1.00 | - | - | - | 1.10 | - | - | 1.75 | - | - | - | - | - | 0.25 | - |
| Loomis Sayles Global Growth Equity Fund | 0.60 | 0.80 | 1.00 | - | - | 0.90 | 1.10 | - | - | 1.75 | 2.25 | - | - | - | - | 0.25 | 0.40 |
| Loomis Sayles U.S. Growth Equity Fund | 0.60 | 0.80 | 1.00 | - | 0.60 | 0.90 | 1.10 | 1.50 | 1.75 | 1.75 | 2.25 | 2.25 | - | 2.25 | 3.25 | 0.25 | - |
| DNCA Europe Smaller Companies Fund | - | - | 1.20 | - | - | 1.05 | 1.20 | - | - | 2.20 | 2.70 | - | 2.70 | - | - | 0.35 | - |
| Seeyond Asia MinVol Equity Income Fund | - | 0.45 | 0.75 | - | - | 0.60 | 0.85 | - | - | 1.50 | 2.00 | - | - | - | - | 0.25 | - |
| Thematics AI and Robotics Fund | 0.90 | 1.00 | 1.20 | - | - | 1.10 | 1.30 | - | - | 2.00 | 2.60 | - | - | - | - | 0.20 | - |
| Thematics Meta Fund | 0.90 | 1.00 | 1.20 | - | - | 1.10 | 1.30 | - | - | 2.00 | 2.60 | - | - | - | - | 0.20 | - |
| Thematics Safety Fund | 0.90 | 1.00 | 1.20 | - | - | 1.10 | 1.30 | - | - | 2.00 | 2.60 | 2.60 | - | - | 3.60 | 0.20 | - |
| Thematics Subscription Economy Fund | 0.90 | 1.00 | 1.20 | - | - | 1.10 | 1.30 | - | - | 2.00 | 2.60 | - | - | - | - | 0.20 | 0.70 |
| Thematics Water Fund | 0.90 | 1.00 | 1.20 | - | - | 1.10 | 1.30 | - | - | 2.00 | 2.60 | - | - | - | - | 0.20 | - |
| Thematics Wellness Fund(1) | 0.90 | 1.00 | 1.20 | - | - | 1.10 | 1.30 | - | - | 2.00 | 2.60 | - | - | - | - | 0.20 | - |
| Vaughan Nelson Global Smid Cap Equity Fund | 0.60 | 0.80 | 1.00 | - | - | 0.90 | 1.10 | - | - | 1.80 | 2.30 | - | - | - | - | 0.25 | - |
| Vaughan Nelson U.S. Select Equity Fund | - | 1.00 | 1.20 | - | - | 1.05 | 1.30 | - | - | 1.80 | 2.70 | - | - | 2.95 | - | 0.35 | - |
| WCM Global Emerging Markets Equity Fund | 0.80 | 0.95 | 1.15 | - | - | 1.00 | 1.25 | - | - | 1.90 | 2.25 |  | - | - | - | 0.25 | 0.50 |
| WCM Select Global Growth Equity Fund(1) | 0.80 | 0.95 | 1.15 | - | - | 1.00 | 1.25 | 1.50 | - | 1.90 | 2.25 | - | - | - | - | 0.25 | 0.50 |
| Loomis Sayles Global Credit Fund | - | 0.35 | 0.70 | - | - | 0.65 | 0.80 | - | - | 1.15 | 1.45 | - | - | 2.10 | - | 0.20 | - |
| Loomis Sayles Disciplined Alpha U.S. Corporate Bond Fund | - | 0.30 | 0.55 | - | - | 0.50 | 0.70 | - | - | 1.10 | 1.35 | - | - | - | - | 0.15 | - |
| Loomis Sayles Sustainable Global Corporate Bond Fund(1) | - | 0.25 | 0.45 | - | - | - | - | - | - | 1.15 | 1.45 | - | - | - | - | 0.15 | - |
| Loomis Sayles Institutional High Income Fund(1) | - | 0.65 | 0.75 | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Loomis Sayles Short Term Emerging Markets Bond Fund | - | 0.45 | 0.75 | - | - | 0.65 | 0.75 | - | - | 1.30 | 1.80 | - | - | - | - | 0.15 | - |
| Loomis Sayles Strategic Alpha Bond Fund | 0.60 | 0.80 | 1.00 | - | - | 0.90 | 1.00 | 1.25 | - | 1.70 | 2.10 | - | 2.10 | 2.40 | - | 0.35 | - |
| Loomis Sayles U.S. Core Plus Bond Fund | 0.35 | 0.40 | 0.85 | - | - | 0.75 | 0.90 | - | - | 1.40 | 1.70 | - | - | - | - | 0.20 | - |
| Loomis Sayles Asia Bond Plus Fund | - | 0.65 | 0.80 | - | - | 0.75 | 0.90 | - | - | 1.60 | 1.95 | - | - | - | - | 0.25 | - |
| Ostrum Euro High Income Fund | - | 0.50 | 0.60 | - | - | 0.55 | 0.70 | - | - | 1.30 | 1.60 | - | 1.60 | - | - | 0.35 | - |
| Ostrum Global Inflation Fund | - | - | 0.45 | 0.65 | - | 0.60 | 0.65 | - | - | 1.00 | 1.40 | - | 1.40 | 1.70 | - | 0.35 | - |
| Ostrum Short Term Global High Income Fund | - | 0.55 | 0.65 | - | - | 0.60 | 0.75 | - | - | 1.35 | 1.65 | - | - | - | - | 0.35 | - |
| ASG Managed Futures Fund | 0.90 | 1.10 | 1.30 | - | - | 1.20 | 1.40 | - | - | 1.95 | - | - | - | - | - | 0.25 | - |
| Dorval Lux Convictions Fund(1)(5) | - | - | 1.00 | - | - | 0.90 | 1.20 | 1.25 | - | 1.90 | 2.30 | - | 2.30 | - | - | - | - |
| Loomis Sayles Global Multi Asset Income Fund | - | 0.55 | 0.75 | - | - | 0.65 | 0.90 | - | - | 1.60 | 1.95 | - | 1.95 | - | - | 0.25 | - |
| Natixis Multi Alpha Fund(6) | - | 0.25 | 0.55 | - | - | 0.45 | 0.65 | - | - | 0.85 | 1.50 | - | - | - | - | 0.25 | - |
| Natixis ESG Conservative Fund(6) | - | 0.10 | 0.30 | - | - | 0.25 | 0.35 | - | - | 0.70 | 1.30 | - | - | - | - | 0.10 | - |
| Natixis ESG Dynamic Fund(6) | - | 0.10 | 0.30 | - | - | 0.25 | 0.35 | - | - | 0.80 | 1.30 | - | - | - | - | 0.10 | - |
| Natixis ESG Moderate Fund(6) | - | 0.10 | 0.30 | - | - | 0.25 | 0.35 | - | - | 0.75 | 1.30 | - | - | - | - | 0.10 | - |

(1)	
See Note 1.
216

#### Note 8 – TOTAL EXPENSE RATIO (continued)
(2)	
DH Share class types are duration hedged Share classes. Further details regarding duration hedging methodology are in Prospectus. Please note that on January 30, 2017 ESMA published an Opinion (ESMA Opinion n°34-43-296) on Share Classes of UCITS which will impact duration hedged Share classes. In compliance with ESMA’s opinion, the available duration hedged Share classes in the Ostrum Global Inflation Fund is closed to new investors after Cut-Off Time on this last subscription date July 30, 2017 and is closed to additional investment(s) from existing shareholders after Cut-Off Time on the last subscription date July 30, 2018.
(3)	
No investment management fee is charged by the Management Company on this Share class. However, this Share class will pay other expenses such as administrative fees and depositary fees. Q Share class of Natixis Multi Alpha Fund, Natixis ESG Conservative Fund, Natixis ESG Dynamic Fund and Natixis ESG Moderate Fund will also pay management fees up to the Maximum Indirect Management Fee that may be charged to the Fund when investing in other UCITS and/or other UCIs.
(4)	
This Share class closes permanently to new subscriptions and switches upon satisfying or certain level of subscription in the Share class determined by the Management Company.
(5)	
Maximum Indirect Management Fee is 0.10% per annum for all Share classes. Maximum Indirect Management Fee is defined as the maximum percentage of the fees payable by the Feeder (at the level of the Master) by virtue of its investment in the Master and corresponds to the maximum percentage of fees that would have been payable by an investor investing directly in the relevant Share class of the Master.
(6)	
Maximum Indirect Management Fee is 1.00% per annum for all Share classes. Maximum Indirect Management Fee is defined as the maximum level of management fees, excluding performance fees, that may be charged to the Fund when investing in other UCITS and/or UCIs.
The Total Expense Ratio by Share class, as indicated in each Fund’s description, does not necessarily include all the expenses linked to the Fund’s investments (such as brokerage fees, Luxembourg taxe d’abonnement, expenses linked to withholding tax reclaims) that are paid by such fund.
If the total real expenses paid by each Fund exceed the Total Expense Ratio, the Management Company will support the difference and the corresponding income will be presented under the “Other income” and the corresponding “Other assets” caption; if the total real expenses paid by each Fund are lower than the Total Expense Ratio, the difference will be paid to the Management Company and the corresponding charge will be presented under the “Other charges” caption and the corresponding “Other liabilities” caption. At June 30, 2021, total real expenses were lower than total expenses ratio for 6 funds for an amount of EUR 120,614; at June 30, 2021, total real expenses exceeded the Total Expense Ratio for 11 funds for an amount of EUR 89,813.

#### Note 9 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FORWARD FOREIGN EXCHANGE CONTRACTS
As at June 30, 2021, Natixis Pacific Rim Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 114,429 | HKD | 1,061,322 | H-I/A (EUR) | 29/07/2021 | (535) |
| EUR | 17,180 | USD | 20,531 | H-I/A (EUR) | 29/07/2021 | (93) |
| EUR | 29,646 | SGD | 47,533 | H-I/A (EUR) | 29/07/2021 | (87) |
| EUR | 218,187 | AUD | 343,249 | H-I/A (EUR) | 29/07/2021 | 1,910 |
|  |  |  |  |  | USD | 1,195 |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
217
As at June 30, 2021, Harris Associates Global Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 6,412,088 | USD | 7,662,369 | H-I/A (EUR) | 29/07/2021 | (53,920) |
| EUR | 307,714 | USD | 367,718 | H-N/A (EUR) | 29/07/2021 | (2,591) |
| GBP | 58,399 | USD | 81,273 | H-N/A (GBP) | 29/07/2021 | (592) |
| EUR | 12,542,086 | USD | 14,987,811 | H-N1/A (EUR) | 29/07/2021 | (105,637) |
| EUR | 478,039 | USD | 571,121 | H-R/A (EUR) | 29/07/2021 | (3,890) |
| EUR | 4,410,199 | USD | 5,270,166 | H-RE/A (EUR) | 29/07/2021 | (37,117) |
| USD | 170,995 | EUR | 143,066 | H-RE/A (EUR) | 29/07/2021 | 1,236 |
|  |  |  |  |  | USD | (202,511) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Harris Associates U.S. Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 28,247,970 | USD | 33,756,322 | H-I/A (EUR) | 29/07/2021 | (237,878) |
| EUR | 4,387,509 | USD | 5,243,067 | H-N/A (EUR) | 29/07/2021 | (36,941) |
| SGD | 54,231,762 | USD | 40,424,482 | H-P/A (SGD) | 29/07/2021 | (82,173) |
| EUR | 40,285,884 | USD | 48,139,503 | H-R/A (EUR) | 29/07/2021 | (337,125) |
| SGD | 7,629,226 | USD | 5,686,868 | H-R/A (SGD) | 29/07/2021 | (11,585) |
| GBP | 37,082,931 | USD | 51,607,993 | H-S/A (GBP) | 29/07/2021 | (375,739) |
|  |  |  |  |  | USD | (1,081,441) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Loomis Sayles Global Growth Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| EUR | 9,652,009	USD | 11,534,103 | H-I/A (EUR) | 29/07/2021 | (81,233) |
| EUR | 1,763,059	USD | 2,106,847 | H-R/A (EUR) | 29/07/2021 | (14,838) |
| USD | 53,696	EUR | 44,951 | H-R/A (EUR) | 29/07/2021 | 358 |

USD	(95,713)
All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
218
As at June 30, 2021, Loomis Sayles U.S. Growth Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 5,683,192 | USD | 6,790,988 | H-I/A (EUR) | 29/07/2021 | (47,432) |
| EUR | 16,025,265 | USD | 19,150,186 | H-N/A (EUR) | 29/07/2021 | (134,946) |
| GBP | 288,810 | USD | 401,941 | H-N/D (GBP) | 29/07/2021 | (2,934) |
| CHF | 231,706 | USD | 253,190 | H-R/A (CHF) | 29/07/2021 | (2,337) |
| EUR | 87,104,978 | USD | 104,090,014 | H-R/A (EUR) | 29/07/2021 | (733,089) |
| SGD | 5,352,067 | USD | 3,989,495 | H-R/A (SGD) | 29/07/2021 | (8,161) |
| EUR | 78,785,133 | USD | 94,147,840 | H-S/A (EUR) | 29/07/2021 | (663,068) |
| GBP | 85,166,539 | USD | 118,514,198 | H-S/A (GBP) | 29/07/2021 | (851,604) |
| SGD | 407,997,089 | USD | 304,125,922 | H-S/A (SGD) | 29/07/2021 | (622,147) |
| EUR | 12,254,634 | USD | 14,643,294 | H-S1/A (EUR) | 29/07/2021 | (102,205) |
| GBP | 54,087,210 | USD | 75,265,789 | H-S1/A (GBP) | 29/07/2021 | (541,121) |
| GBP | 2,688,787 | USD | 3,741,582 | H-SN1/D (GBP) | 29/07/2021 | (26,864) |
|  |  |  |  |  | USD | (3,735,908) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, DNCA Europe Smaller Companies Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| USD | 347,964 | EUR | 291,186 | H-I/A (USD) | 29/07/2021 | 2,063 |
| USD | 1,323,913 | EUR | 1,107,919 | H-R/A (USD) | 29/07/2021 | 7,821 |
|  |  |  |  |  | EUR | 9,884 |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Thematics AI and Robotics Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 77,958,370 | USD | 93,159,862 | H-I/A (EUR) | 29/07/2021 | (656,110) |
| USD | 17,061,427 | EUR | 14,274,716 | H-I/A (EUR) | 29/07/2021 | 123,350 |
| CHF | 800,821 | USD | 875,036 | H-N/A (CHF) | 29/07/2021 | (8,038) |
| EUR | 3,841,162 | USD | 4,590,187 | H-N/A (EUR) | 29/07/2021 | (32,345) |
| EUR | 40,475,697 | USD | 48,367,865 | H-R/A (EUR) | 29/07/2021 | (340,259) |
| SGD | 349,714 | USD | 260,681 | H-R/A (SGD) | 29/07/2021 | (533) |
| EUR | 295,594 | USD | 353,231 | H-RE/A (EUR) | 29/07/2021 | (2,485) |
| EUR | 92,379,279 | USD | 110,393,274 | H-S/A (EUR) | 29/07/2021 | (777,977) |
|  |  |  |  |  | USD | (1,694,397) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
219
As at June 30, 2021, Thematics Meta Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| CHF | 4,793,190 | USD | 5,237,290 | H-I/A (CHF) | 29/07/2021 | (48,007) |
| EUR | 25,576,936 | USD | 30,564,311 | H-I/A (EUR) | 29/07/2021 | (215,259) |
| USD | 11,703,339 | EUR | 9,791,786 | H-I/A (EUR) | 29/07/2021 | 84,612 |
| CHF | 299,239 | USD | 326,951 | H-N/A (CHF) | 29/07/2021 | (2,984) |
| EUR | 73,107 | USD | 87,362 | H-N/A (EUR) | 29/07/2021 | (614) |
| CHF | 434,232 | USD | 474,465 | H-R/A (CHF) | 29/07/2021 | (4,350) |
| EUR | 189,586,811 | USD | 226,542,987 | H-R/A (EUR) | 29/07/2021 | (1,583,289) |
| SGD | 96,541 | USD | 71,963 | H-R/A (SGD) | 29/07/2021 | (147) |
| EUR | 32,921 | USD | 39,341 | H-RE/A (EUR) | 29/07/2021 | (277) |
| EUR | 587,292 | USD | 701,811 | H-S/A (EUR) | 29/07/2021 | (4,943) |
|  |  |  |  |  | USD | (1,775,258) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Thematics Safety Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| CHF | 994,579 | USD | 1,086,671 | H-I/A (CHF) | 29/07/2021 | (9,903) |
| EUR | 74,338,072 | USD | 88,833,625 | H-I/A (EUR) | 29/07/2021 | (625,641) |
| USD | 17,537,132 | EUR | 14,672,723 | H-I/A (EUR) | 29/07/2021 | 126,789 |
| CHF | 869,565 | USD | 950,193 | H-N/A (CHF) | 29/07/2021 | (8,771) |
| EUR | 5,398,368 | USD | 6,451,023 | H-N/A (EUR) | 29/07/2021 | (45,434) |
| GBP | 124,754 | USD | 173,622 | H-N/A (GBP) | 29/07/2021 | (1,267) |
| CHF | 1,744,633 | USD | 1,906,401 | H-N1/A (CHF) | 29/07/2021 | (17,597) |
| EUR | 26,802,154 | USD | 32,026,200 | H-N1/A (EUR) | 29/07/2021 | (223,331) |
| CHF | 1,978,872 | USD | 2,162,359 | H-R/A (CHF) | 29/07/2021 | (19,960) |
| EUR | 50,590,979 | USD | 60,456,263 | H-R/A (EUR) | 29/07/2021 | (426,077) |
| GBP | 105,525 | USD | 146,861 | H-R/A (GBP) | 29/07/2021 | (1,072) |
| SGD | 51,969 | USD | 38,728 | H-R/A (SGD) | 29/07/2021 | (69) |
| CHF | 3,878 | USD | 4,238 | H-S/A (CHF) | 29/07/2021 | (39) |
| CHF | 3,881 | USD | 4,241 | H-S1/A (CHF) | 29/07/2021 | (39) |
|  |  |  |  |  | USD | (1,252,411) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
220
As at June 30, 2021, Thematics Subscription Economy Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 101,217,730 | USD | 120,954,681 | H-I/A (EUR) | 29/07/2021 | (851,864) |
| EUR | 353,422 | USD | 422,337 | H-N/A (EUR) | 29/07/2021 | (2,974) |
| EUR | 23,673,686 | USD | 28,289,937 | H-N1/A (EUR) | 29/07/2021 | (199,241) |
| EUR | 2,341,637 | USD | 2,798,244 | H-R/A (EUR) | 29/07/2021 | (19,708) |
| SGD | 10,989 | USD | 8,191 | H-R/A (SGD) | 29/07/2021 | (17) |
| EUR | 26,952 | USD | 32,207 | H-RE/A (EUR) | 29/07/2021 | (227) |
|  |  |  |  |  | USD | (1,074,031) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Thematics Water Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 31,047,833 | USD | 37,102,005 | H-I/A (EUR) | 29/07/2021 | (261,304) |
| CHF | 732,960 | USD | 800,923 | H-N/A (CHF) | 29/07/2021 | (7,393) |
| EUR | 601,850 | USD | 719,207 | H-N/A (EUR) | 29/07/2021 | (5,065) |
| EUR | 26,733,453 | USD | 31,945,897 | H-R/A (EUR) | 29/07/2021 | (224,547) |
| SGD | 112,414 | USD | 83,793 | H-R/A (SGD) | 29/07/2021 | (170) |
| EUR | 73,050 | USD | 87,295 | H-RE/A (EUR) | 29/07/2021 | (615) |
| EUR | 61,399,181 | USD | 73,371,715 | H-S/A (EUR) | 29/07/2021 | (516,745) |
|  |  |  |  |  | USD | (1,015,839) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Thematics Wellness Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| EUR | 3,041	USD | 3,634 | H-R/A (EUR) | 29/07/2021 | (25) |
| EUR | 5,077,484	USD | 6,067,592 | H-S/A (EUR) | 29/07/2021 | (42,757) |
|  |  |  |  | USD | (42,782) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
221
As at June 30, 2021, Vaughan Nelson U.S. Select Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
Purchases			Sales		Class	Maturity Date	(depreciation) (*) EUR	21,074,765	USD	25,184,238	H-I/A (EUR)		29/07/2021		(177,369)
USD	(177,369)
All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, WCM Global Emerging Markets Equity Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 52,317,448 | USD | 62,518,437 | H-I/A (EUR) | 29/07/2021 | (439,660) |
| EUR | 247,382 | USD | 295,626 | H-R/A (EUR) | 29/07/2021 | (2,088) |
| SGD | 13,785 | USD | 10,272 | H-R/A (SGD) | 29/07/2021 | (17) |
|  |  |  |  |  | USD | (441,765) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
222
As at June 30, 2021, Loomis Sayles Global Credit Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 15,793,402 | USD | 18,873,036 | H-I/A (EUR) | 29/07/2021 | (132,920) |
| EUR | 1,262,743 | GBP | 1,085,557 | H-I/A (EUR) | 29/07/2021 | (1,417) |
| EUR | 208,979 | JPY | 27,672,354 | H-I/A (EUR) | 29/07/2021 | (1,410) |
| EUR | 654,628 | CAD | 961,843 | H-I/A (EUR) | 29/07/2021 | 31 |
| EUR | 105,002 | CHF | 114,990 | H-I/A (EUR) | 29/07/2021 | 101 |
| EUR | 214,730 | AUD | 337,756 | H-I/A (EUR) | 29/07/2021 | 1,189 |
| EUR | 2,290 | USD | 2,736 | H-N/D (EUR) | 29/07/2021 | (19) |
| EUR | 183 | GBP | 157 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 95 | CAD | 139 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 31 | AUD | 49 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 30 | JPY | 4,012 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 15 | CHF | 17 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 73,144 | USD | 87,407 | H-R/A (EUR) | 29/07/2021 | (616) |
| EUR | 968 | JPY | 128,160 | H-R/A (EUR) | 29/07/2021 | (7) |
| EUR | 5,848 | GBP | 5,028 | H-R/A (EUR) | 29/07/2021 | (7) |
| EUR | 486 | CHF | 533 | H-R/A (EUR) | 29/07/2021 | 0 |
| EUR | 3,032 | CAD | 4,455 | H-R/A (EUR) | 29/07/2021 | 0 |
| EUR | 994 | AUD | 1,564 | H-R/A (EUR) | 29/07/2021 | 6 |
| EUR | 9,723,177 | USD | 11,619,148 | H-S/A (EUR) | 29/07/2021 | (81,832) |
| EUR | 777,408 | GBP | 668,323 | H-S/A (EUR) | 29/07/2021 | (873) |
| EUR | 128,657 | JPY | 17,036,385 | H-S/A (EUR) | 29/07/2021 | (868) |
| EUR | 403,008 | CAD | 592,139 | H-S/A (EUR) | 29/07/2021 | 19 |
| EUR | 64,644 | CHF | 70,793 | H-S/A (EUR) | 29/07/2021 | 62 |
| EUR | 132,197 | AUD | 207,937 | H-S/A (EUR) | 29/07/2021 | 732 |
| JPY | 5,589,184,964 | USD | 50,499,512 | H-S/A (JPY) | 29/07/2021 | (130,441) |
| JPY | 37,210,963 | CHF | 307,698 | H-S/A (JPY) | 29/07/2021 | 2,216 |
| JPY | 76,094,162 | AUD | 903,747 | H-S/A (JPY) | 29/07/2021 | 7,170 |
| JPY | 231,971,476 | CAD | 2,573,558 | H-S/A (JPY) | 29/07/2021 | 12,224 |
| JPY | 447,492,835 | GBP | 2,904,809 | H-S/A (JPY) | 29/07/2021 | 19,587 |
| JPY | 2,280,064,705 | EUR | 17,218,822 | H-S/A (JPY) | 29/07/2021 | 116,183 |
| NOK | 10,000,249 | USD | 1,180,713 | H-S/A (NOK) | 29/07/2021 | (18,433) |
| NOK | 4,077,438 | EUR | 402,582 | H-S/A (NOK) | 29/07/2021 | (3,795) |
| NOK | 800,655 | GBP | 67,916 | H-S/A (NOK) | 29/07/2021 | (774) |
| NOK | 415,059 | CAD | 60,173 | H-S/A (NOK) | 29/07/2021 | (353) |
| NOK | 132,405 | JPY | 1,731,233 | H-S/A (NOK) | 29/07/2021 | (213) |
| NOK | 66,544 | CHF | 7,194 | H-S/A (NOK) | 29/07/2021 | (54) |
| NOK | 136,146 | AUD | 21,130 | H-S/A (NOK) | 29/07/2021 | (42) |
| USD | 262,251 | JPY | 29,025,368 | H-S/A (USD) | 29/07/2021 | 677 |
| USD | 131,796 | CHF | 120,612 | H-S/A (USD) | 29/07/2021 | 1,217 |
| USD | 269,436 | AUD | 354,257 | H-S/A (USD) | 29/07/2021 | 3,441 |
| USD | 821,510 | CAD | 1,008,770 | H-S/A (USD) | 29/07/2021 | 6,878 |
| USD | 1,584,646 | GBP | 1,138,625 | H-S/A (USD) | 29/07/2021 | 11,567 |
| USD | 8,065,597 | EUR | 6,749,482 | H-S/A (USD) | 29/07/2021 | 56,805 |
| USD | 59,386 | JPY | 6,572,766 | H-S/D (USD) | 29/07/2021 | 153 |
| USD | 29,741 | CHF | 27,217 | H-S/D (USD) | 29/07/2021 | 275 |
| USD | 61,213 | AUD | 80,484 | H-S/D (USD) | 29/07/2021 | 782 |
| USD | 186,660 | CAD | 229,208 | H-S/D (USD) | 29/07/2021 | 1,563 |
| USD | 359,884 | GBP | 258,590 | H-S/D (USD) | 29/07/2021 | 2,627 |
| USD | 1,838,067 | EUR | 1,538,138 | H-S/D (USD) | 29/07/2021 | 12,945 |
|  |  |  |  |  | USD | (115,624) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
223
As at June 30, 2021, Loomis Sayles Global Credit Fund had the following Forward Foreign Exchange Contracts outstanding (continued):
Forwards	Unrealised
appreciation/
|  | Purchases | Sales | Counterparty | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| AUD | 1,300,000	USD | 1,006,792 | HSBC | 15/09/2021 | (30,501) |
| CAD | 2,357,000	USD | 1,947,929 | HSBC | 15/09/2021 | (44,556) |
| CHF | 723,000	USD | 803,636 | UBS | 15/09/2021 | (19,865) |
| EUR | 1,509,000	USD | 1,843,447 | BNP Paribas | 15/09/2021 | (51,094) |
| JPY | 167,928,000	USD | 1,538,824 | Credit Suisse | 15/09/2021 | (24,827) |
| SEK | 1,285,000	USD | 155,595 | Citibank | 15/09/2021 | (5,234) |
| USD | 767,728	EUR | 633,000 | BNP Paribas | 15/09/2021 | 15,867 |
|  |  |  |  | USD | (160,210) |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (275,834).
As at June 30, 2021, Loomis Sayles Sustainable Global Corporate Bond Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 3,956,696 | USD | 4,728,232 | H-I/A (EUR) | 29/07/2021 | (33,300) |
| EUR | 61,537 | JPY | 8,148,547 | H-I/A (EUR) | 29/07/2021 | (415) |
| EUR | 305,949 | GBP | 263,019 | H-I/A (EUR) | 29/07/2021 | (343) |
| EUR | 206,420 | CAD | 303,293 | H-I/A (EUR) | 29/07/2021 | 10 |
| EUR | 22,795 | CHF | 24,963 | H-I/A (EUR) | 29/07/2021 | 22 |
| EUR | 24,744 | AUD | 38,920 | H-I/A (EUR) | 29/07/2021 | 137 |
| SEK | 169,557,070 | USD | 20,041,330 | H-I/A (SEK) | 29/07/2021 | (209,897) |
| SEK | 64,715,800 | EUR | 6,394,449 | H-I/A (SEK) | 29/07/2021 | (18,344) |
| SEK | 13,055,745 | GBP | 1,108,694 | H-I/A (SEK) | 29/07/2021 | (4,724) |
| SEK | 2,618,840 | JPY | 34,257,252 | H-I/A (SEK) | 29/07/2021 | (2,422) |
| SEK | 8,829,635 | CAD | 1,281,500 | H-I/A (SEK) | 29/07/2021 | (2,159) |
| SEK | 966,994 | CHF | 104,626 | H-I/A (SEK) | 29/07/2021 | (172) |
| SEK | 1,053,066 | AUD | 163,618 | H-I/A (SEK) | 29/07/2021 | 314 |
| GBP | 26,516,709 | USD | 36,903,782 | H-S/A (GBP) | 29/07/2021 | (269,385) |
| GBP | 412,362 | JPY | 63,525,355 | H-S/A (GBP) | 29/07/2021 | (2,781) |
| GBP | 152,905 | CHF | 194,764 | H-S/A (GBP) | 29/07/2021 | 389 |
| GBP | 165,892 | AUD | 303,585 | H-S/A (GBP) | 29/07/2021 | 1,242 |
| GBP | 1,386,198 | CAD | 2,368,814 | H-S/A (GBP) | 29/07/2021 | 2,179 |
| GBP | 10,199,572 | EUR | 11,864,354 | H-S/A (GBP) | 29/07/2021 | 13,318 |
| NOK | 790,394,563 | USD | 93,320,586 | H-S/A (NOK) | 29/07/2021 | (1,456,936) |
| NOK | 310,798,497 | EUR | 30,686,419 | H-S/A (NOK) | 29/07/2021 | (289,284) |
| NOK | 62,213,398 | GBP | 5,277,298 | H-S/A (NOK) | 29/07/2021 | (60,142) |
| NOK | 42,108,674 | CAD | 6,104,718 | H-S/A (NOK) | 29/07/2021 | (35,780) |
| NOK | 12,375,052 | JPY | 161,807,345 | H-S/A (NOK) | 29/07/2021 | (19,897) |
| NOK | 4,629,744 | CHF | 500,516 | H-S/A (NOK) | 29/07/2021 | (3,785) |
| NOK | 5,055,692 | AUD | 784,645 | H-S/A (NOK) | 29/07/2021 | (1,556) |
|  |  |  |  |  | USD | (2,393,711) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
224
As at June 30, 2021, Loomis Sayles Sustainable Global Corporate Bond Fund had the following Forward Foreign Exchange Contracts outstanding (continued):
| Forwards | Purchases |  | Sales | Counterparty | Maturity Date | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| AUD | 1,532,000 | USD | 1,186,649 | UBS | 15/09/2021 | (36,128) |
| CAD | 2,846,000 | USD | 2,337,991 | UBS | 15/09/2021 | (39,731) |
| CHF | 1,103,000 | USD | 1,226,017 | UBS | 15/09/2021 | (30,305) |
| EUR | 18,077,000 | USD | 21,982,836 | Bank of America | 15/09/2021 | (511,420) |
| GBP | 279,000 | USD | 385,234 | Bank of America | 15/09/2021 | 256 |
| JPY | 281,637,000 | USD | 2,580,845 | UBS | 15/09/2021 | (41,675) |
| USD | 816,446 | CAD | 1,000,000 | UBS | 15/09/2021 | 8,906 |
| USD | 124,794 | CHF | 112,000 | UBS | 15/09/2021 | 3,380 |
| USD | 5,140,613 | EUR | 4,260,000 | Bank of America | 15/09/2021 | 80,689 |
| USD | 748,412 | GBP | 534,000 | Bank of America | 15/09/2021 | 10,592 |
|  |  |  |  |  | USD | (555,436) |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (2,949,147).
As at June 30, 2021, Loomis Sayles Short Term Emerging Markets Bond Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| CHF | 251,342 | USD | 274,647 | H-I/A (CHF) | 29/07/2021 | (2,535) |
| EUR | 98,934,326 | USD | 118,226,025 | H-I/A (EUR) | 29/07/2021 | (832,647) |
| EUR | 8,655,025 | USD | 10,342,711 | H-I/D (EUR) | 29/07/2021 | (72,842) |
| EUR | 43,435 | USD | 51,904 | H-N/A (EUR) | 29/07/2021 | (365) |
| EUR | 49,054 | USD | 58,620 | H-N/D (EUR) | 29/07/2021 | (413) |
| GBP | 152 | USD | 212 | H-N/D (GBP) | 29/07/2021 | (2) |
| CHF | 146,232 | USD | 159,791 | H-R/A (CHF) | 29/07/2021 | (1,475) |
| EUR | 9,890,342 | USD | 11,818,909 | H-R/A (EUR) | 29/07/2021 | (83,239) |
| EUR | 7,869,512 | USD | 9,404,027 | H-R/D (EUR) | 29/07/2021 | (66,231) |
| EUR | 802,866 | USD | 959,421 | H-RE/A (EUR) | 29/07/2021 | (6,757) |
| EUR | 362,121,288 | USD | 432,733,129 | H-S/A (EUR) | 29/07/2021 | (3,047,721) |
| GBP | 286,059 | USD | 398,113 | H-S/A (GBP) | 29/07/2021 | (2,906) |
| JPY | 5,424,219,498 | USD | 49,009,013 | H-S/A (JPY) | 29/07/2021 | (126,591) |
| EUR | 38,412,444 | USD | 45,902,679 | H-S/D (EUR) | 29/07/2021 | (323,285) |
| USD | 4,588,953 | EUR | 3,850,507 | H-S/D (EUR) | 29/07/2021 | 20,023 |
|  |  |  |  |  | USD | (4,546,986) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
225
As at June 30, 2021, Loomis Sayles Strategic Alpha Bond Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| EUR | 377,911	USD | 451,586 | H-I A (EUR) | 29/07/2021 | (3,164) |
| GBP | 3,439	USD | 4,786 | H-N/D (GBP) | 29/07/2021 | (35) |
| EUR | 364,728	USD | 435,848 | H-R/A (EUR) | 29/07/2021 | (3,070) |
|  |  |  |  | USD | (6,269) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
Forwards	Unrealised
|  | Purchases |  | Sales | Counterparty | Maturity Date | appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| USD | 72,565 | BRL | 389,000 | Bank of America | 02/09/2021 | (4,377) |
| USD | 97,103 | COP | 354,347,000 | Morgan Stanley | 08/07/2021 | 2,235 |
| USD | 188,020 | EUR | 156,000 | Bank of America | 26/07/2021 | 2,925 |
| USD | 129,375 | EUR | 107,000 | Morgan Stanley | 30/07/2021 | 2,408 |
| USD | 18,165 | EUR | 15,000 | HSBC | 17/08/2021 | 359 |
|  |  |  |  |  | USD | 3,550 |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (2,719).
As at June 30, 2021, Loomis Sayles U.S. Core Plus Bond Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
Purchases			Sales		Class	Maturity Date	(depreciation) (*) EUR	411,536	USD	491,784	H-R/A (EUR)		29/07/2021		(3,464)
USD	(3,464)
All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
As at June 30, 2021, Loomis Sayles Asia Bond Plus Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
Purchases			Sales		Class	Maturity Date	(depreciation) (*) SGD	2,516,686	USD	1,875,638	H-R/DIVM (SGD)		29/07/2021		(3,508)
USD	(3,508)
All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
226
As at June 30, 2021, Ostrum Euro High Income Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| USD | 1,246,247 | EUR | 1,042,889 | H-I/A (USD) | 29/07/2021 | 7,397 |
| USD | 127,574 | EUR | 106,757 | H-I/D (USD) | 29/07/2021 | 757 |
| USD | 46,957 | EUR | 39,295 | H-R/A (USD) | 29/07/2021 | 279 |
| EUR | 23,117 | SGD | 37,081 | H-R/D (SGD) | 29/07/2021 | (130) |
| SGD | 112,054 | EUR | 69,803 | H-R/D (SGD) | 29/07/2021 | 446 |
| USD | 68,154 | EUR | 57,032 | H-RE/A (USD) | 29/07/2021 | 404 |
|  |  |  |  |  | EUR | 9,153 |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
Forwards	Unrealised
|  | Purchases |  | Sales | Counterparty | Maturity Date | appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 9,894,363 | GBP | 8,500,000 | Societe Generale | 29/07/2021 | (2,362) |
| EUR | 6,861,422 | USD | 8,200,000 | JP Morgan | 29/07/2021 | (49,200) |
|  |  |  |  |  | EUR | (51,562) |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (42,409).
As at June 30, 2021, Ostrum Global Inflation Fund had the following Forward Foreign Exchange Contracts outstanding:
| Forwards | Purchases |  | Sales | Counterparty | Maturity Date | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| AUD | 1,000,000 | EUR | 632,387 | State Street | 09/07/2021 | 604 |
| EUR | 1,203,891 | AUD | 1,900,000 | State Street | 09/07/2021 | 1,208 |
| EUR | 1,316,455 | CAD | 1,950,000 | State Street | 09/07/2021 | (11,223) |
| EUR | 17,051,579 | GBP | 14,730,000 | JP Morgan | 09/07/2021 | (105,175) |
| EUR | 165,095 | GBP | 142,000 | State Street | 09/07/2021 | (300) |
| EUR | 725,687 | GBP | 625,000 | Barclays | 09/07/2021 | (2,282) |
| EUR | 757,581 | GBP | 650,000 | Societe Generale | 09/07/2021 | 494 |
| EUR | 24,306,412 | USD | 29,720,000 | JP Morgan | 09/07/2021 | (751,026) |
| EUR | 3,320,119 | USD | 4,050,000 | Credit Agricole | 09/07/2021 | (94,506) |
| EUR | 989,890 | USD | 1,200,000 | State Street | 09/07/2021 | (21,850) |
| EUR | 311,882 | USD | 380,000 | Barclays | 09/07/2021 | (8,502) |
| EUR | 534,245 | NZD | 910,000 | State Street | 09/07/2021 | (1,865) |
|  |  |  |  |  | EUR | (994,423) |

(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
227
As at June 30, 2021, Ostrum Short Term Global High Income Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 35,384,862 | USD | 42,284,733 | H-I/A (EUR) | 29/07/2021 | (297,804) |
| EUR | 4,553,351 | USD | 5,441,232 | H-R/A (EUR) | 29/07/2021 | (38,322) |
| EUR | 33,113 | USD | 39,570 | H-RE/A (EUR) | 29/07/2021 | (279) |
| EUR | 14,484,010 | USD | 17,308,319 | H-S/A (EUR) | 29/07/2021 | (121,899) |
|  |  |  |  |  | USD | (458,304) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
Forwards	Unrealised
|  | Purchases |  | Sales | Counterparty | Maturity Date | appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| USD | 338,044 | CHF | 310,000 | State Street | 29/07/2021 | 2,427 |
| USD | 49,277,210 | EUR | 41,230,000 | Morgan Stanley | 29/07/2021 | 354,564 |
| USD | 2,324,016 | GBP | 1,670,000 | Barclays | 29/07/2021 | 16,812 |
|  |  |  |  |  | USD | 373,803 |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (84,501).
As at June 30, 2021, ASG Managed Futures Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| GBP | 19,736 | USD | 27,467 | H-I/A (GBP) | 29/07/2021 | (200) |
| GBP | 3,773 | USD | 5,251 | H-N1/A (GBP) | 29/07/2021 | (38) |
| EUR | 530,901 | USD | 634,423 | H-R/A (EUR) | 29/07/2021 | (4,468) |
| EUR | 81,248,378 | USD | 97,091,406 | H-S1/A (EUR) | 29/07/2021 | (683,799) |
| GBP | 730,348 | USD | 1,016,439 | H-S1/A (GBP) | 29/07/2021 | (7,420) |
|  |  |  |  |  | USD | (695,925) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
228
As at June 30, 2021, ASG Managed Futures Fund had the following Forward Foreign Exchange Contracts outstanding (continued):
| Forwards | Purchases |  | Sales | Counterparty | Maturity Date | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| CNH | 58,000,000 | USD | 9,011,749 | UBS | 15/09/2021 | (83,652) |
| NOK | 34,000,000 | USD | 4,113,971 | UBS | 15/09/2021 | (161,663) |
| PLN | 23,500,000 | USD | 6,408,036 | UBS | 15/09/2021 | (233,758) |
| SEK | 44,000,000 | USD | 5,329,405 | UBS | 15/09/2021 | (180,836) |
| SGD | 24,500,000 | USD | 18,507,221 | UBS | 15/09/2021 | (284,224) |
| USD | 2,311,895 | NOK | 20,000,000 | UBS | 15/09/2021 | (12,992) |
| USD | 4,337,087 | PLN | 16,500,000 | UBS | 15/09/2021 | 1,957 |
| USD | 3,981,254 | SEK | 34,000,000 | UBS | 15/09/2021 | 2,815 |
| USD | 13,399,112 | SGD | 18,000,000 | UBS | 15/09/2021 | 10,789 |
| USD | 132,564 | TRY | 1,200,000 | UBS | 15/09/2021 | (314) |
| USD | 1,080,993 | ZAR | 15,500,000 | UBS | 15/09/2021 | 6,054 |
| ZAR | 83,000,000 | USD | 6,057,522 | UBS | 15/09/2021 | (301,395) |
|  |  |  |  |  | USD | (1,237,219) |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (1,933,144).
As at June 30, 2021, Loomis Sayles Global Multi Asset Income Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts		Unrealised appreciation/
|  | Purchases |  | Sales | Class | Maturity Date | (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 3,671 | USD | 4,387 | H-N/A (EUR) | 29/07/2021 | (31) |
| EUR | 6,831 | USD | 8,163 | H-R/A (EUR) | 29/07/2021 | (57) |
| EUR | 3,632 | USD | 4,341 | H-R/D (EUR) | 29/07/2021 | (31) |
| EUR | 11,889 | USD | 14,207 | H-R/DIV (EUR) | 29/07/2021 | (100) |
| EUR | 27,611 | USD | 32,995 | H-R/DIVM (EUR) | 29/07/2021 | (232) |
| EUR | 3,632 | USD | 4,341 | H-R/DM (EUR) | 29/07/2021 | (30) |
| EUR | 15,597,107 | USD | 18,638,464 | H-S/A (EUR) | 29/07/2021 | (131,268) |
|  |  |  |  |  | USD | (131,749) |

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.
Forwards	Unrealised
| Purchases |  | Sales | Counterparty | Maturity Date | appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| USD	234,139 | EUR | 192,000 | Barclays | 14/07/2021 | 6,388 |
|  |  |  |  | USD | 6,388 |

As at June 30, 2021, the net unrealised depreciation on Forward Foreign Exchange Contracts amounted to USD (125,361).
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
229

#### Note 10 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FINANCIAL FUTURES CONTRACTS
As at June 30, 2021, Loomis Sayles Global Credit Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
| Number of contracts purchased/(sold) | Index | Maturity Date | Currency | Commitments | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| (42) | EURO-BUND FUTURE | 08/09/2021 | EUR | 115,083,347 | (45,467) |
| 4 | EURO BUXL 30Y BND | 08/09/2021 | EUR | 3,013 | 15,180 |
| 13 | LONG GILT FUTURE | 28/09/2021 | GBP | 11,206 | 24,244 |
| (28) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 30,884 | (12,175) |
| (177) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 363,204 | (360,892) |
| 39 | US 2YR NOTE (CBT) | 30/09/2021 | USD | 52,806 | (16,149) |
| 86 | US LONG BOND (CBT) | 21/09/2021 | USD | 94,858 | 340,668 |
| 28 | US ULTRA BOND (CBT) | 21/09/2021 | USD | 34,496 | 179,664 |
|  |  |  |  | USD | 125,073 |

As at June 30, 2021, Loomis Sayles Disciplined Alpha U.S. Corporate Bond Fund had the following Financial Futures Contracts outstanding:
| Financial Futures Contracts |  |
| --- | --- |
| Number of contracts | Maturity |  |  | Unrealised appreciation/ |
| purchased/(sold)	Index | Date | Currency | Commitments | (depreciation) (*) |
| (7)	US 10YR ULTRA FUTURE | 21/09/2021 | USD | 14,364 | (13,509) |
| 14	US 2YR NOTE (CBT) | 30/09/2021 | USD | 18,956 | (3,406) |
| 10	US 5YR NOTE (CBT) | 30/09/2021 | USD | 7,830 | (4,669) |
| (11)	US ULTRA BOND (CBT) | 21/09/2021 | USD | 13,552 | (70,183) |
|  |  |  | USD | (91,767) |

As at June 30, 2021, Loomis Sayles Sustainable Global Corporate Bond Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
| Number of contracts purchased/(sold) | Index | Maturity Date | Currency | Commitments | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| 38 | EURO-BOBL FUTURE | 08/09/2021 | EUR | 8,972 | (10,887) |
| (14) | EURO-BUND FUTURE | 08/09/2021 | EUR | 38,361,116 | 486 |
| 3 | LONG GILT FUTURE | 28/09/2021 | GBP | 2,586 | 5,595 |
| (28) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 30,884 | (14,834) |
| (240) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 492,480 | (448,527) |
| (42) | US 5YR NOTE (CBT) | 30/09/2021 | USD | 32,886 | 18,703 |
| 66 | US LONG BOND (CBT) | 21/09/2021 | USD | 72,798 | 227,425 |
| 63 | US ULTRA BOND (CBT) | 21/09/2021 | USD | 77,616 | 413,297 |
|  |  |  |  | USD | 191,258 |

(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
230

#### Note	10	–	NET	UNREALISED	APPRECIATION/(DEPRECIATION)	ON	FINANCIAL
FUTURES CONTRACTS (continued)
As at June 30, 2021, Loomis Sayles Strategic Alpha Bond Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
Number of contracts	Maturity
Unrealised appreciation/
purchased/(sold)	Index	Date	Currency	Commitments	(depreciation) (*)
(9)	US 10YR ULTRA FUTURE	21/09/2021	USD	18,468	(3,026)
(12)	US LONG BOND (CBT)	21/09/2021	USD	13,236	(46,222)
(6)	US ULTRA BOND (CBT)	21/09/2021	USD	7,392	(16,899)
USD	(66,147)
As at June 30, 2021, Ostrum Euro High Income Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
Number of contracts	Maturity
Unrealised appreciation/
purchased/(sold)	Index	Date	Currency	Commitments	(depreciation) (*)
(80)	EURO-BUND FUTURE	08/09/2021	EUR	219,206,375	(27,780)
EUR	(27,780)
As at June 30, 2021, Ostrum Global Inflation Fund had the following Financial Futures Contracts outstanding:
Hedged Share Class Financial Futures Contracts
| Number of contracts purchased/(sold) | Index | Maturity Date | Currency | Commitments | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| (1) | EURO-BUND FUTURE | 08/09/2021 | EUR | 2,740,080 | (1,060) |
| (1) | EURO BUXL 30Y BND | 08/09/2021 | EUR | 753 | (3,460) |
| (32) | LONG GILT FUTURE | 28/09/2021 | GBP | 27,585 | (38,395) |
| (3) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 3,309 | (1,917) |
| (1) | US 2YR NOTE (CBT) | 30/09/2021 | USD | 1,354 | 323 |
| (2) | US 5YR NOTE (CBT) | 30/09/2021 | USD | 1,566 | 553 |
| (8) | US LONG BOND (CBT) | 21/09/2021 | USD | 8,824 | (30,778) |
|  |  |  |  | EUR | (74,734) |
| Financial Futures Contracts |  |  |  |  |
| Number of contracts | Maturity |  |  | Unrealised appreciation/ |
| purchased/(sold)	Index | Date | Currency | Commitments | (depreciation) (*) |
| (10)	CAN 10YR BOND FUTURE | 21/09/2021 | CAD | 5,798 | (4,781) |
| (5)	LONG GILT FUTURE | 28/09/2021 | GBP | 4,310 | (5,999) |
| (13)	US 10YR NOTE (CBT) | 21/09/2021 | USD | 14,339 | (5,501) |
| (3)	US ULTRA BOND (CBT) | 21/09/2021 | USD | 3,696 | (20,277) |
|  |  |  | EUR | (36,558) |

As at June 30, 2021, the net unrealised (depreciation) on futures contracts amounted to USD (111,292).
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
231

#### Note	10	–	NET	UNREALISED	APPRECIATION/(DEPRECIATION)	ON	FINANCIAL
FUTURES CONTRACTS (continued)
As at June 30, 2021, ASG Managed Futures Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
Unrealised
| Number of contracts purchased/(sold) | Index | Maturity Date | Currency | Commitments | appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- |
| 44 | 3MO EURO EURIBOR FUTURE | 13/09/2021 | EUR | 13,114,690 | 1,112 |
| 10 | 3MO SOFR FUTURE | 15/03/2022 | USD | 2,498,750 | 125 |
| 372 | 90DAY EURO$ FUTURE | 13/09/2021 | USD | 504,060 | (14,013) |
| (212) | 90DAY STERLING FUTURE | 15/09/2021 | GBP | 615,022 | (397) |
| 11 | AMSTERDAM INDEX FUTURE | 16/07/2021 | EUR | 1,903,303 | (4,001) |
| (5) | AUST 10Y BOND FUTURE | 15/09/2021 | AUD | 405 | (1,528) |
| 81 | AUST 3Y BOND FUTURE | 15/09/2021 | AUD | 44,362,657 | (25,877) |
| 89 | BP CURRENCY FUTURE | 13/09/2021 | USD | 76,843 | (205,728) |
| 42 | BRAZIL REAL FUTURE | 30/07/2021 | USD | 840,420 | (4,735) |
| 182 | C$ CURRENCY FUTURE | 14/09/2021 | USD | 146,976 | (395,665) |
| 47 | CAC40 10 EURO FUTURE | 16/07/2021 | EUR | 3,627,289 | (62,982) |
| (32) | CAN 10YR BOND FUTURE | 21/09/2021 | CAD | 18,554 | (43,439) |
| (38) | CHF CURRENCY FUTURE | 13/09/2021 | USD | 51,348 | 27,675 |
| 4 | DAX INDEX FUTURE | 17/09/2021 | EUR | 834,574 | (26,327) |
| 23 | DJIA MINI E-CBOT FUTURE | 17/09/2021 | USD | 3,967,789 | 4,870 |
| 22 | E-MINI RUSS 2000 FUTURE | 17/09/2021 | USD | 4,727,250 | (19,775) |
| (11) | EURO BUXL 30Y BND | 08/09/2021 | EUR | 8,286 | (42,052) |
| (35) | EURO FX CURRENCY FUTURE | 13/09/2021 | USD | 5,188,312 | 25,681 |
| 61 | EURO STOXX 50 FUTURE | 17/09/2021 | EUR | 2,940,111 | (57,368) |
| (45) | EURO-BOBL FUTURE | 08/09/2021 | EUR | 10,625 | (8,064) |
| 17 | EURO-BTP FUTURE | 08/09/2021 | EUR | 13,487 | (7,827) |
| (27) | EURO-BUND FUTURE | 08/09/2021 | EUR | 73,982,151 | (34,901) |
| (43) | EURO-OAT FUTURE | 08/09/2021 | EUR | 18,766 | (38,755) |
| (600) | EURO-SCHATZ FUTURE | 08/09/2021 | EUR | 238,366 | (973) |
| 33 | FTSE 100 INDEX FUTURE | 17/09/2021 | GBP | 3,208,231 | (42,853) |
| 64 | FTSE CHINA A50 FUTURE | 29/07/2021 | USD | 1,117,343 | 13,925 |
| 20 | FTSE TAIWAN INDEX FUTURE | 29/07/2021 | USD | 1,231,864 | 9,900 |
| 6 | FTSE/JSE TOP 40 FUTURE | 16/09/2021 | ZAR | 9,510 | (5,526) |
| 14 | FTSE/MIB INDEX FUTURE | 17/09/2021 | EUR | 732,274 | (44,335) |
| 7 | HANG SENG INDEX FUTURE | 29/07/2021 | HKD | 1,299,250 | (12,800) |
| 9 | HSCEI INDEX FUTURE | 29/07/2021 | HKD | 617,901 | (2,962) |
| 15 | IBEX 35 INDEX FUTURE | 16/07/2021 | EUR | 1,569,159 | (59,188) |
| (2) | ICE 3MO SONIA FUTURE | 15/03/2022 | GBP | 690,172 | 0 |
| 45 | INR/USD FUTURE | 28/07/2021 | USD | 12,101 | (586) |
| (225) | JPN YEN CURRENCY FUTURE | 13/09/2021 | USD | 2,534 | 249,130 |
| (46) | LONG GILT FUTURE | 28/09/2021 | GBP | 39,653 | (69,459) |
| 177 | MEXICAN PESO FUTURE | 13/09/2021 | USD | 1,720,059,450 | (36,520) |
| 46 | MSCI EAFE FUTURE | 17/09/2021 | USD | 3,161,672 | (121,555) |
| 36 | MSCI EMGMKT FUTURE | 17/09/2021 | USD | 11,714,094 | (6,235) |
| 36 | MSCI SING IX ETS FUTURE | 29/07/2021 | SGD | 952,840 | 467 |
| 21 | NASDAQ 100 E-MINI FUTURE | 17/09/2021 | USD | 6,113,017 | 142,450 |
| 54 | NEW ZEALAND $ FUTURE | 13/09/2021 | USD | 37,708 | (110,525) |
| 5 | NIKKEI 225 (OSE) FUTURE | 09/09/2021 | JPY | 898 | (9,857) |
| 60 | OMXS30 INDEX FUTURE | 16/07/2021 | SEK | 17,611,038 | (13,623) |
| 10 | S&P MID 400 EMINI FUTURE | 17/09/2021 | USD | 15,531,040 | (53,390) |
| 45 | S&P/TSX 60 INDEX FUTURE | 16/09/2021 | CAD | 8,788,137 | 55,260 |
| 29 | S&P500 EMINI FUTURE | 17/09/2021 | USD | 84 | 107,050 |
| 38 | SHORT EURO-BTP FUTURE | 08/09/2021 | EUR | 87,585,427 | 1,969 |
| 36 | SPI 200 FUTURE | 16/09/2021 | AUD | 4,941,211 | (37,669) |
| 49 | STOXX EUROPE 600 FUTURE | 17/09/2021 | EUR | 1,315,706 | (10,976) |
| 9 | TOPIX INDEX FUTURE | 09/09/2021 | JPY | 14,183 | (12,055) |
| (26) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 28,678 | (19,703) |
| (16) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 32,832 | (45,625) |
| (353) | US 2YR NOTE (CBT) | 30/09/2021 | USD | 477,962 | (18,859) |
| (44) | US 5YR NOTE (CBT) | 30/09/2021 | USD | 34,452 | (4,773) |
| (8) | US LONG BOND (CBT) | 21/09/2021 | USD | 8,824 | (40,594) |
| (5) | US ULTRA BOND (CBT) | 21/09/2021 | USD | 6,160 | (46,953) |
|  |  |  |  | USD | (1,181,414) |

(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
232

#### Note 11 – CREDIT DEFAULT INDEX SWAPS, CREDIT DEFAULT SWAPTIONS, CREDIT DEFAULT SWAPS AND TOTAL RETURN RATE SWAPS
As at June 30, 2021, Ostrum Euro High Income Fund had the following Credit Default Index Swaps:
Unrealised appreciation/
Position Counterparty	Underlying Index Rate	Maturity Date	Currency	Nominal (depreciation) (*) iTraxx Europe
| BUY | BNP Paribas | Crossover | 5.00% | 20/06/2026 | EUR	10,000,000 | (161,906) |
| --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  | EUR | (161,906) |

As at June 30, 2021, Ostrum Euro High Income Fund had the following Credit Default Swaptions:
Unrealised
Pay/Receive
Fixed Rate Counterparty
Floating Rate
Index	Fixed Rate Maturity Date	Currency	Nominal
iTraxx Europe
appreciation/ (depreciation) (*)
Pay	J.P. Morgan AG
Series 35	1.00%	15/09/2021	EUR 100,000,000	(21,892)
EUR	(21,892)
As at June 30, 2021, the net unrealised depreciation on Swaps amounted to EUR (183,798).
As at June 30, 2021, Loomis Sayles Strategic Alpha Bond Fund had the following Credit Default Swaps:
Unrealised appreciation/
Position Counterparty		Underlying Security	Rate	Maturity Date	Currency	Nominal (depreciation) (*) Mexico Government
Bond 4.150%
| BUY | Barclays | 28/03/27 | 1.00% | 20/06/2026 | USD | 305,000 | (2,144) |
| --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  | USD | (2,144) |

As at June 30, 2021, Loomis Sayles Global Emerging Markets Equity Fund had the following Total Return Rate Swaps:
| Position | Counterparty | Underlying Security | Rate | Maturity Date | Currency | Nominal | Unrealised appreciation/ (depreciation) (*) |
| --- | --- | --- | --- | --- | --- | --- | --- |
| SELL | Goldman Sachs | HDFC Bank Ltd | 0.83% | 11/10/2021 | USD | 222,311 | 40,290 |
| SELL | Goldman Sachs | Titan Co Ltd | 0.83% | 11/10/2021 | USD | 212,067 | 76,512 |
| SELL | Goldman Sachs | Maruti Suzuki India Ltd | 0.83% | 11/10/2021 | USD | 464,909 | 7,187 |
| SELL | Goldman Sachs | Localiza Rent a Car SA | 0.38% | 19/12/2022 | USD | 103,634 | (3,902) |
| SELL | Goldman Sachs | HDFC Bank Ltd | 0.38% | 19/01/2023 | USD | 382,832 | (28,755) |
| SELL | Goldman Sachs | Sea Ltd | 0.38% | 23/02/2023 | USD | 213,906 | 18,954 |
| SELL | Morgan Stanley | Wuxi Biologics Cayman Inc | 0.59% | 01/03/2023 | HKD | 1,197,804 | 74,782 |
|  |  | China Mengniu Dairy |  |  |  |  |  |
| SELL | Goldman Sachs | Co Ltd | 0.29% | 10/03/2023 | HKD | 799,425 | 17,959 |
| SELL | Goldman Sachs | Kweichow Moutai Co Ltd | 0.00% | 10/03/2023 | USD | 89,942 | 5,549 |
| SELL | Goldman Sachs | Unity Software Inc | 0.38% | 26/05/2023 | USD | 118,640 | 18,538 |
| SELL | Goldman Sachs | Capitec Bank Holdings Ltd | 4.27% | 29/05/2023 | ZAR | 1,147,273 | 322 |
| SELL | Goldman Sachs | MercadoLibre Inc | 2.37% | 15/06/2023 | USD | 87,182 | 7,843 |
| SELL | Goldman Sachs | Estee Lauder Inc | 2.37% | 28/06/2023 | USD | 208,711 | 2,176 |
| SELL | Goldman Sachs | Credicorp Ltd | 2.37% | 30/06/2023 | USD | 80,611 | (1,163) |
|  |  |  |  |  |  | USD | 236,292 |

(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
233

#### Note 12 – CO-MANAGEMENT OF ASSETS
For the purpose of effective management, the Investment Manager may choose, subject to the Management Company’s prior approval, that the assets of certain Funds (the “Participating Funds”) within the Umbrella Fund be co-managed. In such cases, the assets (or a portion thereof) of the Participating Funds will be managed in common. Co-managed assets are referred to as a “pool”, notwithstanding the fact that such pools are used solely for internal management purposes. The pools do not constitute separate entities and are not directly accessible to investors. Each of the Participating Funds shall have its own assets (or a portion thereof) allocated to the relevant pool(s). Each Participating Fund will remain entitled to its specific assets. Where the assets of a Participating Fund are managed using this technique, the assets attributable to each Participating Fund will initially be determined by reference to its initial allocation of assets to such a pool and will change in the event of additional allocations or withdrawals.
The entitlement of each Participating Fund to the co-managed assets applies to each and every line of investments of such pool. Additional investments made on behalf of the Participating Funds shall be allotted to such funds in accordance with their respective entitlements whereas assets sold shall be levied similarly on the assets attributable to each Participating Fund.
As of June 30, 2021, the Umbrella Fund co-manages the assets of certain Funds within the Umbrella Fund utilizing the following pools:
Asset Pool	Participating Funds
Thematics AI and Robotics PoolThematics AI and Robotics Fund
Thematics Meta Fund Thematics Safety PoolThematics Safety Fund
Thematics Meta Fund Thematics Water PoolThematics Water Fund
Thematics Meta Fund
Thematics Subscription Economy PoolThematics Subscription Economy Fund
Thematics Meta Fund Thematics Wellness Pool………………………………………………………………………	Thematics Wellness Fund

#### Note 13 – 144A RULE
144A is an SEC rule that modifies the two year lock up requirement on private placement securities that are without SEC registration. 144A allows debt or equity private placements to trade to and from qualified institutional investors. 144A securities are often called “restricted securities”.

#### Note 14 – GERMAN REPRESENTATIVE
LBBW Landesbank Baden-Württemberg Depotbankkoordination / Fondskontrolle Große Bleiche 54-56
55098 Mainz Germany
A copy of the list of changes in the portfolio during the reference period may be obtained free of charge at the depositary or paying agents and at the paying and information agent in Germany.
234

#### Note 15 – DIVIDEND DISTRIBUTION
During the period ended June 30, 2021, the following dividends were declared:

##### Income Dividend
| Sub-Fund | Share Class | Ex-date | Share class currency | Dividend per Share (share class currency) |
| --- | --- | --- | --- | --- |
| DNCA Emerging Europe Equity Fund | R/D (USD) | January 4, 2021 | USD | 1.091 |
| Natixis Pacific Rim Equity Fund | R/D (USD) | January 4, 2021 | USD | 0.862 |
| Harris Associates Global Equity Fund | S/D (USD) | January 4, 2021 | USD | 0.362 |
| Harris Associates Global Equity Fund | S1/D (GBP) | January 4, 2021 | GBP | 0.309 |
| Seeyond Asia MinVol Equity Income Fund(1) | H-R/DIVM (SGD) | January 4, 2021 | SGD | 0.229 |
| Seeyond Asia MinVol Equity Income Fund (1) | H-R/DIVM (SGD) | February 1, 2021 | SGD | 0.220 |
| Seeyond Asia MinVol Equity Income Fund(1) | H-R/DIVM (SGD) | March 1, 2021 | SGD | 0.224 |
| Seeyond Asia MinVol Equity Income Fund(1) | H-R/DIVM (SGD) | April 1, 2021 | SGD | 0.229 |
| Seeyond Asia MinVol Equity Income Fund(1) | H-R/DIVM (SGD) | May 3, 2021 | SGD | 0.232 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | January 4, 2021 | USD | 0.235 |
| Seeyond Asia MinVol Equity Income Fund(1) | R/DIVM (USD) | February 1, 2021 | USD | 0.226 |
| Seeyond Asia MinVol Equity Income Fund(1) | R/DIVM (USD) | March 1, 2021 | USD | 0.230 |
| Seeyond Asia MinVol Equity Income Fund(1) | R/DIVM (USD) | April 1, 2021 | USD | 0.235 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | May 3, 2021 | USD | 0.238 |
| Loomis Sayles Global Credit Fund | H-S/D (USD) | January 4, 2021 | USD | 0.554 |
| Loomis Sayles Global Credit Fund | H-S/D (USD) | April 1, 2021 | USD | 0.508 |
| Loomis Sayles Global Credit Fund | R/D (USD) | January 4, 2021 | USD | 0.231 |
| Loomis Sayles Global Credit Fund | R/D (USD) | April 1, 2021 | USD | 0.204 |
| Loomis Sayles Global Credit Fund | R/D (SGD) | January 4, 2021 | SGD | 0.157 |
| Loomis Sayles Global Credit Fund | R/D (SGD) | April 1, 2021 | SGD | 0.097 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-I/D (EUR) | January 4, 2021 | EUR | 0.754 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-I/D (EUR) | April 1, 2021 | EUR | 0.765 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-N/D (EUR) | January 4, 2021 | EUR | 0.805 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-N/D (EUR) | April 1, 2021 | EUR | 0.815 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-N/D (GBP) | January 4, 2021 | GBP | 0.724 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-R/D (EUR) | January 4, 2021 | EUR | 0.626 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-R/D (EUR) | April 1, 2021 | EUR | 0.632 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-S/D (EUR) | January 4, 2021 | EUR | 0.836 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-S/D (EUR) | April 1, 2021 | EUR | 0.849 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | I/D (USD) | January 4, 2021 | USD | 0.849 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | I/D (USD) | April 1, 2021 | USD | 0.818 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N/D (USD) | January 4, 2021 | USD | 0.847 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N/D (USD) | April 1, 2021 | USD | 0.816 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N1/D (USD) | January 4, 2021 | USD | 0.872 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N1/D (USD) | April 1, 2021 | USD | 0.840 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | R/D (USD) | January 4, 2021 | USD | 0.714 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | R/D (USD) | April 1, 2021 | USD | 0.684 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | S/D (USD) | January 4, 2021 | USD | 0.936 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | S/D (USD) | April 1, 2021 | USD | 0.905 |
| Loomis Sayles Strategic Alpha Bond Fund | C/D (USD) | January 4, 2021 | USD | 0.778 |
| Loomis Sayles Strategic Alpha Bond Fund | C/D (USD) | April 1, 2021 | USD | 0.791 |
| Loomis Sayles Strategic Alpha Bond Fund | H-N/D (GBP) | January 4, 2021 | GBP | 0.617 |
| Loomis Sayles Strategic Alpha Bond Fund | H-N/D (GBP) | April 1, 2021 | GBP | 0.722 |
| Loomis Sayles Strategic Alpha Bond Fund | R/D (USD) | January 4, 2021 | USD | 0.495 |
| Loomis Sayles Strategic Alpha Bond Fund | R/D (USD) | April 1, 2021 | USD | 0.531 |
| Loomis Sayles U.S. Core Plus Bond Fund | I/D (USD) | January 4, 2021 | USD | 0.369 |
| Loomis Sayles U.S. Core Plus Bond Fund | I/D (USD) | April 1, 2021 | USD | 0.404 |
| Loomis Sayles U.S. Core Plus Bond Fund | R/D (USD) | January 4, 2021 | USD | 0.206 |
| Loomis Sayles U.S. Core Plus Bond Fund | R/D (USD) | April 1, 2021 | USD | 0.244 |
| Loomis Sayles U.S. Core Plus Bond Fund | RE/D (USD) | January 4, 2021 | USD | 0.121 |
| Loomis Sayles U.S. Core Plus Bond Fund | RE/D (USD) | April 1, 2021 | USD | 0.160 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | January 4, 2021 | SGD | 0.581 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | February 1, 2021 | SGD | 0.539 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | March 1, 2021 | SGD | 0.518 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | April 1, 2021 | SGD | 0.604 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | May 3, 2021 | SGD | 0.552 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | June 1, 2021 | SGD | 0.571 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | January 4, 2021 | USD | 0.596 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | February 1, 2021 | USD | 0.553 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | March 1, 2021 | USD | 0.532 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | April 1, 2021 | USD | 0.620 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | May 3, 2021 | USD | 0.567 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | June 1, 2021 | USD | 0.588 |

(1) See Note 1.
235
| Sub-Fund | Share Class | Ex-date | Share class currency | Dividend per Share (share class currency) |
| --- | --- | --- | --- | --- |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | January 4, 2021 | USD | 0.601 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | February 1, 2021 | USD | 0.558 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | March 1, 2021 | USD | 0.538 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | April 1, 2021 | USD | 0.627 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | May 3, 2021 | USD | 0.574 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | June 1, 2021 | USD | 0.595 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | January 4, 2021 | USD | 0.587 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | February 1, 2021 | USD | 0.545 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | March 1, 2021 | USD | 0.524 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | April 1, 2021 | USD | 0.610 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | May 3, 2021 | USD | 0.558 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | June 1, 2021 | USD | 0.577 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | January 4, 2021 | HKD | 0.580 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | February 1, 2021 | HKD | 0.537 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | March 1, 2021 | HKD | 0.517 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | April 1, 2021 | HKD | 0.604 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | May 3, 2021 | HKD | 0.551 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | June 1, 2021 | HKD | 0.570 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | January 4, 2021 | SGD | 0.580 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | February 1, 2021 | SGD | 0.540 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | March 1, 2021 | SGD | 0.520 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | April 1, 2021 | SGD | 0.612 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | May 3, 2021 | SGD | 0.554 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | June 1, 2021 | SGD | 0.570 |
| Ostrum Euro High Income Fund | H-I/D (USD) | January 4, 2021 | USD | 0.845 |
| Ostrum Euro High Income Fund | H-I/D (USD) | April 1, 2021 | USD | 0.771 |
| Ostrum Euro High Income Fund | H-R/D (SGD) | January 4, 2021 | SGD | 0.323 |
| Ostrum Euro High Income Fund | H-R/D (SGD) | April 1, 2021 | SGD | 0.270 |
| Ostrum Euro High Income Fund | I/D (USD) | January 4, 2021 | USD | 0.548 |
| Ostrum Euro High Income Fund | I/D (USD) | April 1, 2021 | USD | 0.383 |
| Ostrum Euro High Income Fund | I/D (EUR) | January 4, 2021 | EUR | 0.777 |
| Ostrum Euro High Income Fund | I/D (EUR) | April 1, 2021 | EUR | 0.646 |
| Ostrum Euro High Income Fund | N/D (EUR) | January 4, 2021 | EUR | 0.767 |
| Ostrum Euro High Income Fund | N/D (EUR) | April 1, 2021 | EUR | 0.631 |
| Ostrum Euro High Income Fund | R/D (USD) | January 4, 2021 | USD | 0.360 |
| Ostrum Euro High Income Fund | R/D (USD) | April 1, 2021 | USD | 0.200 |
| Ostrum Euro High Income Fund | R/D (EUR) | January 4, 2021 | EUR | 0.569 |
| Ostrum Euro High Income Fund | R/D (EUR) | April 1, 2021 | EUR | 0.443 |
| Ostrum Euro High Income Fund | S/D (EUR) | January 4, 2021 | EUR | 0.847 |
| Ostrum Euro High Income Fund | S/D (EUR) | April 1, 2021 | EUR | 0.708 |
| Ostrum Global Inflation Fund | I/D (EUR) | April 1, 2021 | EUR | 0.028 |
| Ostrum Short Term Global High Income Fund | I/D (USD) | January 4, 2021 | USD | 0.437 |
| Ostrum Short Term Global High Income Fund | I/D (USD) | April 1, 2021 | USD | 0.337 |
| Ostrum Short Term Global High Income Fund | R/D (USD) | January 4, 2021 | USD | 0.436 |
| Ostrum Short Term Global High Income Fund | R/D (USD) | April 1, 2021 | USD | 0.339 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/D (EUR) | January 4, 2021 | EUR | 0.495 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/D (EUR) | April 1, 2021 | EUR | 0.429 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIV (EUR) | January 4, 2021 | EUR | 1.142 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIV (EUR) | April 1, 2021 | EUR | 1.013 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | January 4, 2021 | EUR | 0.381 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | February 1, 2021 | EUR | 0.313 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | March 1, 2021 | EUR | 0.307 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | April 1, 2021 | EUR | 0.368 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | May 3, 2021 | EUR | 0.343 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | June 1, 2021 | EUR | 0.357 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | January 4, 2021 | EUR | 0.205 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | February 1, 2021 | EUR | 0.075 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | March 1, 2021 | EUR | 0.155 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | April 1, 2021 | EUR | 0.193 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | May 3, 2021 | EUR | 0.146 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | June 1, 2021 | EUR | 0.192 |
| Loomis Sayles Global Multi Asset Income Fund | I/D (USD) | January 4, 2021 | USD | 0.792 |
| Loomis Sayles Global Multi Asset Income Fund | I/D (USD) | April 1, 2021 | USD | 0.710 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | January 4, 2021 | USD | 0.424 |

236
| Sub-Fund | Share Class | Ex-date | Share class currency | Dividend per Share (share class currency) |
| --- | --- | --- | --- | --- |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | February 1, 2021 | USD | 0.350 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | March 1, 2021 | USD | 0.344 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | April 1, 2021 | USD | 0.412 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | May 3, 2021 | USD | 0.385 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | June 1, 2021 | USD | 0.401 |
| Loomis Sayles Global Multi Asset Income Fund | R/D (USD) | January 4, 2021 | USD | 0.541 |
| Loomis Sayles Global Multi Asset Income Fund | R/D (USD) | April 1, 2021 | USD | 0.490 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | January 4, 2021 | USD | 0.267 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | February 1, 2021 | USD | 0.093 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | March 1, 2021 | USD | 0.198 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | April 1, 2021 | USD | 0.238 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | May 3, 2021 | USD | 0.190 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | June 1, 2021 | USD | 0.247 |
| Loomis Sayles Global Multi Asset Income Fund | RE/D (USD) | January 4, 2021 | USD | 0.441 |
| Loomis Sayles Global Multi Asset Income Fund | RE/D (USD) | April 1, 2021 | USD | 0.355 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | January 4, 2021 | USD | 0.226 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | February 1, 2021 | USD | 0.053 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | March 1, 2021 | USD | 0.158 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | April 1, 2021 | USD | 0.199 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | May 3, 2021 | USD | 0.150 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | June 1, 2021 | USD | 0.204 |


#### Note 16 – LIQUIDATED SUB-FUNDS
Dorval Lux Convictions Fund liquidated on April 6, 2021. The liquidated Sub- Fund retained cash to pay post liquidation invoices to miscellaneous service providers. As at June 30, 2021, Dorval Lux Convictions Fund held EUR 37,704.
Harris Associates Concentrated U.S. Equity Fund liquidated on April 9, 2021. The liquidated Sub- Fund retained cash to pay post liquidation invoices to miscellaneous service providers. As at June 30, 2021, Harris Associates Concentrated U.S. Equity Fund held USD 59,726.
Seeyond Asia MinVol Equity Income Fund liquidated on May 28, 2021. The liquidated Sub- Fund retained cash to pay post liquidation invoices to miscellaneous service providers. As at June 30, 2021, Seeyond Asia MinVol Equity Income Fund held USD 9,568.

#### Note 17 – SIGNIFICANT EVENTS DURING THE PERIOD
A new prospectus entered into force in March 2021. The main changes implemented in this prospectus may be summarized as follows:
- Addition of new Funds: the Thematics Wellness Fund and the WCM Select Global Growth Equity Fund;
- Inclusion of additional disclosures applicable to all sub-funds to ensure compliance with SFDR (Level I);
- Creation of R and RE share classes in the Loomis Sayles Sustainable Global Corporate Bond Fund;
- The change of name from Loomis Sayles Institutional Global Corporate Bond Fund into Loomis Sayles Sustainable Global Corporate Bond Fund became effective April 26, 2021;
- Removing Dorval Asset Management from Investment Managers (following to the liquidation of the Dorval Lux Convictions Fund managed by Dorval Asset Management);
- Removal of the Fund profile for the Harris Associates Concentrated U.S. Equity Fund (liquidated on April 9, 2021), the Loomis Sayles Institutional High Income Fund (liquidated on January 13, 2021) and the Dorval Lux Convictions Fund (liquidated on April 6, 2021).

237

### Notes to the Financial Statements As at June 30, 2021 (continued)

#### Note 17 – SIGNIFICANT EVENTS DURING THE PERIOD (continued)
The Covid-19 pandemic has seen an increase in the volatility of all financial markets. The Management Company is currently monitoring the situation and, with the support of the Delegate Investment Managers, continues to manage the Umbrella Fund’s assets within investment and risk parameters that have been established. The Management Company will continue to review the situation in order to navigate the Umbrella Fund through this period of additional uncertainty.
There have been no other significant events affecting the Umbrella Fund during the period ended June 30, 2021.

#### Note 18 – SUBSEQUENT EVENTS

###### The liquidation process of the Natixis Multi Alpha Fund started on July 22, 2021. There are no other subsequent events to be disclosed as at June 30, 2021.
238
Appendix I
Additional Information
Securities Financing Transaction Regulation (“SFTR”) introduces reporting requirements for securities financing transactions (“SFTs”) and Total Return Rate Swaps.
A Securities Financing Transaction (SFT) is defined as per Article 3(11) of the SFTR as:
- a repurchase/reverse repurchase agreement
- securities or commodities lending and securities or commodities borrowing
- a buy-sell back transaction or sell-buy back transaction, or
- a margin lending transactionAs at June 30, 2021 the Funds held Total Return Rate Swaps as type of instruments under the scope of the SFTR.
- Global DataThe amount of assets across all SFTs as at June 30, 2021 is as follows:Loomis Sayles Global Emerging Markets Equity Fund


##### Type of Asset	Amount	% of NAV
Total Return Rate Swaps	$	236,292	1.53%
- Data on reuse of collateralThere was no collateral reuse during the period ended June 30, 2021.

There was no cash collateral reinvestment during the period ended June 30, 2021.
- Concentration DataAs at June 30, 2021 there are no collateral securities and commodities received in respect of Total Return Rate Swaps.

The ten largest counterparties across all SFTs and Total Return Rate Swaps as at June 30, 2021 are as follows:
Loomis Sayles Global Emerging Markets Equity Fund

##### Security type	Counterparty	Amount
Total Return Rate Swaps		Goldman Sachs	$	161,510 Morgan Stanley	 $		74,782
- Safekeeping of collateral receivedThere were no security and cash collaterals received for Total Return Rate Swaps as at June 30, 2021.
- Safekeeping of collateral grantedThe following cash collateral was granted for Total Return Rate Swaps as at June 30, 2021:Loomis Sayles Global Emerging Markets Equity Fund


##### Collateral type	Counterparty	Amount

###### Cash	Goldman Sachs	$	330,000
239
Appendix I (continued)
Additional Information (continued)
- 
###### Returns/Costs

Return and cost for each type of SFTs and Total Return Rate Swaps for the period ended June 30, 2021 is as follows:
Total Return Rate Swaps
Loomis Sayles Global Emerging Markets Equity Fund
| Returns* |  | Amount | % of overall returns** |
| --- | --- | --- | --- |
| To Fund | $ | 356,878 | 100% |
| Costs* |  | Amount | % of overall returns** |
| To Fund | $ | 10,249 | 100% |

* Returns (costs) are identified as the realized gains (losses), change in unrealized gains (losses) and interest received (paid) on Total Return Rate Swaps during the reporting period.
** All returns from OTC derivative transactions will accrue to the Portfolio and are not subject to any returns sharing agreement with the Portfolio’s manager or any other third parties.
- 
###### Aggregate Transaction Data

The aggregate transaction data for collateral positions (including cash) received across all SFTs and Total Return Rate Swaps as at June 30, 2021 is as follows:
Loomis Sayles Global Emerging Markets Equity Fund

##### Type of collateral	Maturity	Amount

###### Cash	N/A	$	330,000
Country in which counterparties for Total Return Rate Swaps are established:
Loomis Sayles Global Emerging Markets Equity Fund

##### Counterparty	Country
Goldman Sachs	United States of America
Morgan Stanley	United States of America
The settlement and clearing mechanisms for SFTs and Total Return Rate Swaps as at June 30, 2021 are as follows:
Loomis Sayles Global Emerging Markets Equity Fund

##### Settlement and clearing	Amount
Bilateral	
$	330,000
240

Translation (ENFR, 2021-06-30):
# Natixis International Funds (Lux) I
## Notes relatives aux états financiers Au 30 juin 2021 (suite)

### Note 4 – COMMISSIONS DE PERFORMANCE (suite)
Sachant que :
- 	VNI
- (n) 
- est la valeur liquidative à la fin de l’exercice fiscal après RCT, sans commission de performance,
- VNI
- (0) 
- est la valeur liquidative à la fin de l’exercice fiscal précédent. Cette valeur liquidative sert de référence pour l’exercice fiscal en cours,
- TotalFGV
- (n) 
- est le montant de la commission de surperformance prélevée durant l’exercice fiscal,
- N
- (i) 
- est le nombre total de parts du Fonds à la date de calcul de la VNI 
- (i)
- ,
- VNI
- (i) 
- est la valeur liquidative du jour 
- (i) 
- après les frais de gestion fixes, sans commission de performance,
- Ind
- (i) 
- est la valeur de l’indice à la même date :Bench =Benchx (50 % x  EONIA Capitalization Index 7 Di+ 50 % x  Euro Stoxx 50 NR (EUR)i )i	i-1EONIA Capitalization Index 7 Di-1Euro Stoxx 50 NR (EUR)i-1
- N
- (i)
- * VNI
- (i) 
- représente les actifs purs, après coûts fixes,
- N
- (i)
- * VNI
- (0) 
- représente les actifs équivalents depuis le début de l’exercice,
- Ind
- (i)
- /Ind
- (0)
- *N
- (i)
- *VNI
- (0) 
- représente les actifs équivalents de référence.

La provision quotidienne est donc exprimée en tant que :
ProvisionFGV
(i) 
= TotalFGV
(i)
-TotalFGV
(i-1) 
Sachant que :
- ProvisionFGV
- (i) 
- est le montant des frais de gestion variables provisionnés ou repris, au calculde la valeur liquidative à i.


### Note 5 – COMMISSIONS DE DISTRIBUTION
Les commissions versées grâce aux actifs du Fonds pour couvrir les dépenses de marketing et la vente des actions couvrent les frais de publicité, rémunèrent les brokers et autres intervenants qui vendent les actions du Fonds, paient les frais d’impression et d’envoi des prospectus aux nouveaux investisseurs, et fournissent de la documentation commerciale aux investisseurs prospectés.

### Note 6 – AUTRES FRAIS
Autres frais composés principalement de frais de courtier, de soulte à la Société de gestion et de frais juridiques.

### Note 7 – FISCALITÉ
Le Fonds à compartiments multiples n’est pas soumis à un quelconque impôt luxembourgeois sur les intérêts ou les dividendes dégagés par un Fonds, sur les plus-values de l’actif d’un Fonds réalisées ou latentes ou sur toute distribution versée par un Fonds à ses Actionnaires. Le Fonds à compartiments multiples n’est soumis à aucun droit de timbre luxembourgeois ni à aucune autre taxe payable lors de l’émission d’Actions. Le Fonds à compartiments multiples est assujetti à la taxe d’abonnement luxembourgeoise. Cette taxe annuelle est fixée à 0,01 % de la valeur liquidative de chaque Fonds pour les Actions de classe « I », « S », « S1 » et
« S2 », et à 0,05 % par an de la valeur liquidative de chaque Fonds pour les Actions de classe « R », « RE »,
« RET », « C », « CW », « CT », « F », « N », « N1 », « SN1 » et « P ». Ces taxes sont redevables tous les trimestres sur la base de la valeur de l’actif net cumulé des Fonds à la fin du trimestre calendaire en question. Les actifs détenus par le Fonds à compartiments multiples dans d’autres OPCVM déjà soumis à cette taxe de souscription au Luxembourg ne sont pas imposables.

### Note 8 – RATIO DE CHARGES TOTALES (RCT)
Au 30 juin 2021, le montant des dépenses annuelles (en %) à la charge de chaque Fonds, y compris la rémunération de la Société de gestion, du dépositaire, des commissaires aux comptes indépendants, des conseillers indépendants et d’autres professionnels, ainsi que les frais administratifs, s’élève à :
|  | S1 | S | I | DH-I (2) | SN1 | N1 | N | F | P | R | RE | RET | CW | C | CT | Q (3) | S2 (4) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions | Actions |
| Natixis Asia Equity Fund | - | - | 1,00 | - | - | 0,85 | 1,10 | - | - | 1,70 | 2,70 | 2,70 | - | 2,75 | - | 0,35 | - |
| DNCA Emerging Europe Equity Fund | - | - | 1,00 | - | - | 0,85 | 1,10 | - | - | 1,70 | 2,70 | 2,70 | - | 2,75 | - | 0,35 | - |
| Natixis Pacific Rim Equity Fund | - | 1,00 | 1,20 | - | - | 1,15 | 1,30 | - | - | 1,80 | 2,40 | 2,40 | - | 2,20 | - | 0,35 | - |
| Harris Associates Concentrated U.S. Equity Fund(1) | - | 0,85 | 1,25 | - | - | 1,05 | 1,20 | 1,40 | - | 2,10 | 2,70 | - | - | 2,55 | - | 0,35 | - |
| Harris Associates Global Equity Fund | 0,72 | 0,80 | 1,10 | - | - | 0,95 | 1,10 | 1,35 | 1,75 | 2,15 | 2,70 | 2,70 | 2,70 | 2,95 | - | 0,35 | - |
| Harris Associates U.S. Equity Fund | - | 0,70 | 1,20 | - | - | 1,05 | 1,20 | 1,65 | 1,75 | 1,95 | 2,60 | 2,60 | - | 2,55 | - | 0,35 | - |
| Loomis Sayles Global Emerging Markets Equity Fund | - | 0,80 | 1,00 | - | - | - | 1,10 | - | - | 1,75 | - | - | - | - | - | 0,25 | - |
| Loomis Sayles Global Growth Equity Fund | 0,60 | 0,80 | 1,00 | - | - | 0,90 | 1,10 | - | - | 1,75 | 2,25 | - | - | - | - | 0,25 | 0,40 |
| Loomis Sayles U.S. Growth Equity Fund | 0,60 | 0,80 | 1,00 | - | 0,60 | 0,90 | 1,10 | 1,50 | 1,75 | 1,75 | 2,25 | 2,25 | - | 2,25 | 3,25 | 0,25 | - |
| DNCA Europe Smaller Companies Fund | - | - | 1,20 | - | - | 1,05 | 1,20 | - | - | 2,20 | 2,70 | - | 2,70 | - | - | 0,35 | - |
| Seeyond Asia MinVol Equity Income Fund | - | 0,45 | 0,75 | - | - | 0,60 | 0,85 | - | - | 1,50 | 2,00 | - | - | - | - | 0,25 | - |
| Thematics AI and Robotics Fund | 0,90 | 1,00 | 1,20 | - | - | 1,10 | 1,30 | - | - | 2,00 | 2,60 | - | - | - | - | 0,20 | - |
| Thematics Meta Fund | 0,90 | 1,00 | 1,20 | - | - | 1,10 | 1,30 | - | - | 2,00 | 2,60 | - | - | - | - | 0,20 | - |
| Thematics Safety Fund | 0,90 | 1,00 | 1,20 | - | - | 1,10 | 1,30 | - | - | 2,00 | 2,60 | 2,60 | - | - | 3,60 | 0,20 | - |
| Thematics Subscription Economy Fund | 0,90 | 1,00 | 1,20 | - | - | 1,10 | 1,30 | - | - | 2,00 | 2,60 | - | - | - | - | 0,20 | 0,70 |
| Thematics Water Fund | 0,90 | 1,00 | 1,20 | - | - | 1,10 | 1,30 | - | - | 2,00 | 2,60 | - | - | - | - | 0,20 | - |
| Thematics Wellness Fund(1) | 0,90 | 1,00 | 1,20 | - | - | 1,10 | 1,30 | - | - | 2,00 | 2,60 | - | - | - | - | 0,20 | - |
| Vaughan Nelson Global Smid Cap Equity Fund | 0,60 | 0,80 | 1,00 | - | - | 0,90 | 1,10 | - | - | 1,80 | 2,30 | - | - | - | - | 0,25 | - |
| Vaughan Nelson U.S. Select Equity Fund | - | 1,00 | 1,20 | - | - | 1,05 | 1,30 | - | - | 1,80 | 2,70 | - | - | 2,95 | - | 0,35 | - |
| WCM Global Emerging Markets Equity Fund | 0,80 | 0,95 | 1,15 | - | - | 1,00 | 1,25 | - | - | 1,90 | 2,25 |  | - | - | - | 0,25 | 0,50 |
| WCM Select Global Growth Equity Fund(1) | 0,80 | 0,95 | 1,15 | - | - | 1,00 | 1,25 | 1,50 | - | 1,90 | 2,25 | - | - | - | - | 0,25 | 0,50 |
| Loomis Sayles Global Credit Fund | - | 0,35 | 0,70 | - | - | 0,65 | 0,80 | - | - | 1,15 | 1,45 | - | - | 2,10 | - | 0,20 | - |
| Loomis Sayles Disciplined Alpha U.S. Corporate Bond Fund | - | 0,30 | 0,55 | - | - | 0,50 | 0,70 | - | - | 1,10 | 1,35 | - | - | - | - | 0,15 | - |
| Loomis Sayles Sustainable Global Corporate Bond Fund(1) | - | 0,25 | 0,45 | - | - | - | - | - | - | 1,15 | 1,45 | - | - | - | - | 0,15 | - |
| Loomis Sayles Institutional High Income Fund(1) | - | 0,65 | 0,75 | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Loomis Sayles Short Term Emerging Markets Bond Fund | - | 0,45 | 0,75 | - | - | 0,65 | 0,75 | - | - | 1,30 | 1,80 | - | - | - | - | 0,15 | - |
| Loomis Sayles Strategic Alpha Bond Fund | 0,60 | 0,80 | 1,00 | - | - | 0,90 | 1,00 | 1,25 | - | 1,70 | 2,10 | - | 2,10 | 2,40 | - | 0,35 | - |
| Loomis Sayles U.S. Core Plus Bond Fund | 0,35 | 0,40 | 0,85 | - | - | 0,75 | 0,90 | - | - | 1,40 | 1,70 | - | - | - | - | 0,20 | - |
| Loomis Sayles Asia Bond Plus Fund | - | 0,65 | 0,80 | - | - | 0,75 | 0,90 | - | - | 1,60 | 1,95 | - | - | - | - | 0,25 | - |
| Ostrum Euro High Income Fund | - | 0,50 | 0,60 | - | - | 0,55 | 0,70 | - | - | 1,30 | 1,60 | - | 1,60 | - | - | 0,35 | - |
| Ostrum Global Inflation Fund | - | - | 0,45 | 0,65 | - | 0,60 | 0,65 | - | - | 1,00 | 1,40 | - | 1,40 | 1,70 | - | 0,35 | - |
| Ostrum Short Term Global High Income Fund | - | 0,55 | 0,65 | - | - | 0,60 | 0,75 | - | - | 1,35 | 1,65 | - | - | - | - | 0,35 | - |
| ASG Managed Futures Fund | 0,90 | 1,10 | 1,30 | - | - | 1,20 | 1,40 | - | - | 1,95 | - | - | - | - | - | 0,25 | - |
| Dorval Lux Convictions Fund(1)(5) | - | - | 1,00 | - | - | 0,90 | 1,20 | 1,25 | - | 1,90 | 2,30 | - | 2,30 | - | - | - | - |
| Loomis Sayles Global Multi Asset Income Fund | - | 0,55 | 0,75 | - | - | 0,65 | 0,90 | - | - | 1,60 | 1,95 | - | 1,95 | - | - | 0,25 | - |
| Natixis Multi Alpha Fund(6) | - | 0,25 | 0,55 | - | - | 0,45 | 0,65 | - | - | 0,85 | 1,50 | - | - | - | - | 0,25 | - |
| Natixis ESG Conservative Fund(6) | - | 0,10 | 0,30 | - | - | 0,25 | 0,35 | - | - | 0,70 | 1,30 | - | - | - | - | 0,10 | - |
| Natixis ESG Dynamic Fund(6) | - | 0,10 | 0,30 | - | - | 0,25 | 0,35 | - | - | 0,80 | 1,30 | - | - | - | - | 0,10 | - |
| Natixis ESG Moderate Fund(6) | - | 0,10 | 0,30 | - | - | 0,25 | 0,35 | - | - | 0,75 | 1,30 | - | - | - | - | 0,10 | - |

(1)	
Voir Note 1.

### Note 8 – RATIO DE CHARGES TOTALES (suite)
(2)	
Les types de classes d’Actions DH sont des Classes d’actions couvertes en duration. De plus amples détails sur la méthodologie de couverture de duration figurent dans le prospectus. Remarque importante : l’ESMA a publié une opinion (Opinion n°34-43-296 de l’ESMA) le 30 janvier 2017 sur les classes d’Actions d’OPCVM qui auront un impact sur les classes d’Actions couvertes en duration. Conformément à l’avis de l’ESMA, les classes d’Actions couvertes en duration disponibles dans le Fonds Ostrum Global Inflation sont fermées aux nouveaux investisseurs après l’heure de clôture à la dernière date de souscription le 30 juillet 2017 et sont fermées à d’autres investissements supplémentaires de la part d’actionnaires existants après l’heure de clôture à la dernière date de souscription le 30 juillet 2018.
(3)	
Aucune commission de gestion n’est facturée par la Société de gestion pour cette classe d’Actions. Cette classe d’Actions s’acquittera toutefois d’autres dépenses telles que les commissions administratives et de dépôt. La classe d’Actions de Q de Natixis Multi Alpha Fund, Natixis ESG Conservative Fund, Natixis ESG Dynamic Fund et Natixis ESG Moderate Fund paiera également des frais de gestion à concurrence des Frais de gestion indirects maximum qui peuvent être facturés au Fonds lorsqu’il investit dans d’autres OPCVM et/ou d’autres OPC.
(4)	
Cette classe d’Actions est définitivement fermée aux nouvelles souscriptions et aux échanges dès lors qu’un certain niveau de souscription dans la Classe d’actions déterminé par la Société de gestion est atteint.
(5)	
Le Montant maximal de la commission de gestion indirecte pour le Natixis Multi Alpha Fund est de 0,10 % par an pour toutes les classes d’Actions. Le Montant maximal de la commission de gestion indirecte est le pourcentage maximal des commissions dues par le Nourricier (au niveau du Maître) au regard de son investissement dans le Maître. Cela correspond au pourcentage maximal de commissions qui aurait été dû par un investisseur investissant directement dans la classe d’Actions concernée du Maître.
(6)	
Le Montant maximal de la commission de gestion indirecte pour le Natixis Multi Alpha Fund est de 1,00 % par an pour toutes les classes d’Actions. Le Montant maximal de la commission de gestion indirecte se définit comme le niveau maximal des commissions de gestion, hors commissions de performance, pouvant être facturées au Fonds pour l’investissement dans d’autres OPCVM et/ou OPC.
Comme l’indique la description de chaque Fonds, le ratio de charges totales par classe d’Actions ne comprend pas nécessairement toutes les dépenses liées aux placements du Fonds (commissions de courtage, taxe d’abonnement luxembourgeoise, frais engagés dans le cadre d’une demande de remboursement d’une retenue à la source, etc.) qui sont à la charge dudit Fonds.
Si la totalité des frais réels payés par chacun des Fonds est supérieure au Ratio de frais totaux, la Société de gestion prendra en charge la différence et le revenu correspondant sera présenté sous « Autre revenu » et
« Autres actifs » ; si la totalité des frais réels payés par chacun des Fonds est inférieure au Ratio de charges totales, la différence sera payée par la Société de gestion et la charge correspondante sera présentée sous
« Autres charges », sous le poste « Autres passifs » correspondant. Au 30 juin 2021, le total des dépenses réelles  était  inférieur  au  ratio  des  charges  totales  pour  6  Fonds  pour  un  montant  de 120 614 EUR ; au 30 juin 2021, le total des dépenses réelles dépassait le Ratio de charges totales pour 11 Fonds pour un montant de 89 813 EUR.

### Note 9 – PLUS-VALUES/(MOINS-VALUES) NETTES LATENTES SUR LES CONTRATS DE CHANGE À TERME DE GRÉ À GRÉ
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Natixis Pacific Rim Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 114 429 | HKD | 1 061 322 | H-I/A (EUR) | 29/07/2021 | (535) |
| EUR | 17 180 | USD | 20 531 | H-I/A (EUR) | 29/07/2021 | (93) |
| EUR | 29 646 | SGD | 47 533 | H-I/A (EUR) | 29/07/2021 | (87) |
| EUR | 218 187 | AUD | 343 249 | H-I/A (EUR) | 29/07/2021 | 1 910 |
|  |  |  |  |  | USD | 1 195 |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Harris Associates Global Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 6 412 088 | USD | 7 662 369 | H-I/A (EUR) | 29/07/2021 | (53 920) |
| EUR | 307 714 | USD | 367 718 | H-N/A (EUR) | 29/07/2021 | (2 591) |
| GBP | 58 399 | USD | 81 273 | H-N/A (GBP) | 29/07/2021 | (592) |
| EUR | 12 542 086 | USD | 14 987 811 | H-N1/A (EUR) | 29/07/2021 | (105 637) |
| EUR | 478 039 | USD | 571 121 | H-R/A (EUR) | 29/07/2021 | (3 890) |
| EUR | 4 410 199 | USD | 5 270 166 | H-RE/A (EUR) | 29/07/2021 | (37 117) |
| USD | 170 995 | EUR | 143 066 | H-RE/A (EUR) | 29/07/2021 | 1 236 |
|  |  |  |  |  | USD | (202 511) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Harris Associates U.S. Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 28 247 970 | USD | 33 756 322 | H-I/A (EUR) | 29/07/2021 | (237 878) |
| EUR | 4 387 509 | USD | 5 243 067 | H-N/A (EUR) | 29/07/2021 | (36 941) |
| SGD | 54 231 762 | USD | 40 424 482 | H-P/A (SGD) | 29/07/2021 | (82 173) |
| EUR | 40 285 884 | USD | 48 139 503 | H-R/A (EUR) | 29/07/2021 | (337 125) |
| SGD | 7 629 226 | USD | 5 686 868 | H-R/A (SGD) | 29/07/2021 | (11 585) |
| GBP | 37 082 931 | USD | 51 607 993 | H-S/A (GBP) | 29/07/2021 | (375 739) |
|  |  |  |  |  | USD | (1 081 441) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Global Growth Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 9 652 009 | USD | 11 534 103 | H-I/A (EUR) | 29/07/2021 | (81 233) |
| EUR | 1 763 059 | USD | 2 106 847 | H-R/A (EUR) | 29/07/2021 | (14 838) |
| USD | 53 696 | EUR | 44 951 | H-R/A (EUR) | 29/07/2021 | 358 |
|  |  |  |  |  | USD | (95 713) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles U.S. Growth Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 5 683 192 | USD | 6 790 988 | H-I/A (EUR) | 29/07/2021 | (47 432) |
| EUR | 16 025 265 | USD | 19 150 186 | H-N/A (EUR) | 29/07/2021 | (134 946) |
| GBP | 288 810 | USD | 401 941 | H-N/D (GBP) | 29/07/2021 | (2 934) |
| CHF | 231 706 | USD | 253 190 | H-R/A (CHF) | 29/07/2021 | (2 337) |
| EUR | 87 104 978 | USD | 104 090 014 | H-R/A (EUR) | 29/07/2021 | (733 089) |
| SGD | 5 352 067 | USD | 3 989 495 | H-R/A (SGD) | 29/07/2021 | (8 161) |
| EUR | 78 785 133 | USD | 94 147 840 | H-S/A (EUR) | 29/07/2021 | (663 068) |
| GBP | 85 166 539 | USD | 118 514 198 | H-S/A (GBP) | 29/07/2021 | (851 604) |
| SGD | 407 997 089 | USD | 304 125 922 | H-S/A (SGD) | 29/07/2021 | (622 147) |
| EUR | 12 254 634 | USD | 14 643 294 | H-S1/A (EUR) | 29/07/2021 | (102 205) |
| GBP | 54 087 210 | USD | 75 265 789 | H-S1/A (GBP) | 29/07/2021 | (541 121) |
| GBP | 2 688 787 | USD | 3 741 582 | H-SN1/D (GBP) | 29/07/2021 | (26 864) |
|  |  |  |  |  | USD | (3 735 908) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du DNCA Europe Smaller Companies Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| USD | 347 964 | EUR | 291 186 | H-I/A (USD) | 29/07/2021 | 2 063 |
| USD | 1 323 913 | EUR | 1 107 919 | H-R/A (USD) | 29/07/2021 | 7 821 |
|  |  |  |  |  | EUR | 9 884 |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Thematics AI and Robotics Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 77 958 370 | USD | 93 159 862 | H-I/A (EUR) | 29/07/2021 | (656 110) |
| USD | 17 061 427 | EUR | 14 274 716 | H-I/A (EUR) | 29/07/2021 | 123 350 |
| CHF | 800 821 | USD | 875 036 | H-N/A (CHF) | 29/07/2021 | (8 038) |
| EUR | 3 841 162 | USD | 4 590 187 | H-N/A (EUR) | 29/07/2021 | (32 345) |
| EUR | 40 475 697 | USD | 48 367 865 | H-R/A (EUR) | 29/07/2021 | (340 259) |
| SGD | 349 714 | USD | 260 681 | H-R/A (SGD) | 29/07/2021 | (533) |
| EUR | 295 594 | USD | 353 231 | H-RE/A (EUR) | 29/07/2021 | (2 485) |
| EUR | 92 379 279 | USD | 110 393 274 | H-S/A (EUR) | 29/07/2021 | (777 977) |
|  |  |  |  |  | USD | (1 694 397) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Thematics Meta Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| CHF | 4 793 190 | USD | 5 237 290 | H-I/A (CHF) | 29/07/2021 | (48 007) |
| EUR | 25 576 936 | USD | 30 564 311 | H-I/A (EUR) | 29/07/2021 | (215 259) |
| USD | 11 703 339 | EUR | 9 791 786 | H-I/A (EUR) | 29/07/2021 | 84 612 |
| CHF | 299 239 | USD | 326 951 | H-N/A (CHF) | 29/07/2021 | (2 984) |
| EUR | 73 107 | USD | 87 362 | H-N/A (EUR) | 29/07/2021 | (614) |
| CHF | 434 232 | USD | 474 465 | H-R/A (CHF) | 29/07/2021 | (4 350) |
| EUR | 189 586 811 | USD | 226 542 987 | H-R/A (EUR) | 29/07/2021 | (1 583 289) |
| SGD | 96 541 | USD | 71 963 | H-R/A (SGD) | 29/07/2021 | (147) |
| EUR | 32 921 | USD | 39 341 | H-RE/A (EUR) | 29/07/2021 | (277) |
| EUR | 587 292 | USD | 701 811 | H-S/A (EUR) | 29/07/2021 | (4 943) |
|  |  |  |  |  | USD | (1 775 258) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Thematics Safety Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| CHF | 994 579 | USD | 1 086 671 | H-I/A (CHF) | 29/07/2021 | (9 903) |
| EUR | 74 338 072 | USD | 88 833 625 | H-I/A (EUR) | 29/07/2021 | (625 641) |
| USD | 17 537 132 | EUR | 14 672 723 | H-I/A (EUR) | 29/07/2021 | 126 789 |
| CHF | 869 565 | USD | 950 193 | H-N/A (CHF) | 29/07/2021 | (8 771) |
| EUR | 5 398 368 | USD | 6 451 023 | H-N/A (EUR) | 29/07/2021 | (45 434) |
| GBP | 124 754 | USD | 173 622 | H-N/A (GBP) | 29/07/2021 | (1 267) |
| CHF | 1 744 633 | USD | 1 906 401 | H-N1/A (CHF) | 29/07/2021 | (17 597) |
| EUR | 26 802 154 | USD | 32 026 200 | H-N1/A (EUR) | 29/07/2021 | (223 331) |
| CHF | 1 978 872 | USD | 2 162 359 | H-R/A (CHF) | 29/07/2021 | (19 960) |
| EUR | 50 590 979 | USD | 60 456 263 | H-R/A (EUR) | 29/07/2021 | (426 077) |
| GBP | 105 525 | USD | 146 861 | H-R/A (GBP) | 29/07/2021 | (1 072) |
| SGD | 51 969 | USD | 38 728 | H-R/A (SGD) | 29/07/2021 | (69) |
| CHF | 3 878 | USD | 4 238 | H-S/A (CHF) | 29/07/2021 | (39) |
| CHF | 3 881 | USD | 4 241 | H-S1/A (CHF) | 29/07/2021 | (39) |
|  |  |  |  |  | USD | (1 252 411) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Thematics Subscription Economy Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 101 217 730 | USD | 120 954 681 | H-I/A (EUR) | 29/07/2021 | (851 864) |
| EUR | 353 422 | USD | 422 337 | H-N/A (EUR) | 29/07/2021 | (2 974) |
| EUR | 23 673 686 | USD | 28 289 937 | H-N1/A (EUR) | 29/07/2021 | (199 241) |
| EUR | 2 341 637 | USD | 2 798 244 | H-R/A (EUR) | 29/07/2021 | (19 708) |
| SGD | 10 989 | USD | 8 191 | H-R/A (SGD) | 29/07/2021 | (17) |
| EUR | 26 952 | USD | 32 207 | H-RE/A (EUR) | 29/07/2021 | (227) |
|  |  |  |  |  | USD | (1 074 031) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Thematics Water Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 31 047 833 | USD | 37 102 005 | H-I/A (EUR) | 29/07/2021 | (261 304) |
| CHF | 732 960 | USD | 800 923 | H-N/A (CHF) | 29/07/2021 | (7 393) |
| EUR | 601 850 | USD | 719 207 | H-N/A (EUR) | 29/07/2021 | (5 065) |
| EUR | 26 733 453 | USD | 31 945 897 | H-R/A (EUR) | 29/07/2021 | (224 547) |
| SGD | 112 414 | USD | 83 793 | H-R/A (SGD) | 29/07/2021 | (170) |
| EUR | 73 050 | USD | 87 295 | H-RE/A (EUR) | 29/07/2021 | (615) |
| EUR | 61 399 181 | USD | 73 371 715 | H-S/A (EUR) | 29/07/2021 | (516 745) |
|  |  |  |  |  | USD | (1 015 839) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Thematics Wellness Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 3 041 | USD | 3 634 | H-R/A (EUR) | 29/07/2021 | (25) |
| EUR | 5 077 484 | USD | 6 067 592 | H-S/A (EUR) | 29/07/2021 | (42 757) |
|  |  |  |  |  | USD | (42 782) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Vaughan Nelson U.S. Select Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 21 074 765 | USD | 25 184 238 | H-I/A (EUR) | 29/07/2021 | (177 369) |
|  |  |  |  |  | USD | (177 369) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du WCM Global Emerging Markets Equity Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 52 317 448 | USD | 62 518 437 | H-I/A (EUR) | 29/07/2021 | (439 660) |
| EUR | 247 382 | USD | 295 626 | H-R/A (EUR) | 29/07/2021 | (2 088) |
| SGD | 13 785 | USD | 10 272 | H-R/A (SGD) | 29/07/2021 | (17) |
|  |  |  |  |  | USD | (441 765) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Global Credit Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 15 793 402 | USD | 18 873 036 | H-I/A (EUR) | 29/07/2021 | (132 920) |
| EUR | 1 262 743 | GBP | 1 085 557 | H-I/A (EUR) | 29/07/2021 | (1 417) |
| EUR | 208 979 | JPY | 27 672 354 | H-I/A (EUR) | 29/07/2021 | (1 410) |
| EUR | 654 628 | CAD | 961 843 | H-I/A (EUR) | 29/07/2021 | 31 |
| EUR | 105 002 | CHF | 114 990 | H-I/A (EUR) | 29/07/2021 | 101 |
| EUR | 214 730 | AUD | 337 756 | H-I/A (EUR) | 29/07/2021 | 1 189 |
| EUR | 2 290 | USD | 2 736 | H-N/D (EUR) | 29/07/2021 | (19) |
| EUR | 183 | GBP | 157 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 95 | CAD | 139 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 31 | AUD | 49 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 30 | JPY | 4 012 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 15 | CHF | 17 | H-N/D (EUR) | 29/07/2021 | 0 |
| EUR | 73 144 | USD | 87 407 | H-R/A (EUR) | 29/07/2021 | (616) |
| EUR | 968 | JPY | 128 160 | H-R/A (EUR) | 29/07/2021 | (7) |
| EUR | 5 848 | GBP | 5 028 | H-R/A (EUR) | 29/07/2021 | (7) |
| EUR | 486 | CHF | 533 | H-R/A (EUR) | 29/07/2021 | 0 |
| EUR | 3 032 | CAD | 4 455 | H-R/A (EUR) | 29/07/2021 | 0 |
| EUR | 994 | AUD | 1 564 | H-R/A (EUR) | 29/07/2021 | 6 |
| EUR | 9 723 177 | USD | 11 619 148 | H-S/A (EUR) | 29/07/2021 | (81 832) |
| EUR | 777 408 | GBP | 668 323 | H-S/A (EUR) | 29/07/2021 | (873) |
| EUR | 128 657 | JPY | 17 036 385 | H-S/A (EUR) | 29/07/2021 | (868) |
| EUR | 403 008 | CAD | 592 139 | H-S/A (EUR) | 29/07/2021 | 19 |
| EUR | 64 644 | CHF | 70 793 | H-S/A (EUR) | 29/07/2021 | 62 |
| EUR | 132 197 | AUD | 207 937 | H-S/A (EUR) | 29/07/2021 | 732 |
| JPY | 5 589 184 964 | USD | 50 499 512 | H-S/A (JPY) | 29/07/2021 | (130 441) |
| JPY | 37 210 963 | CHF | 307 698 | H-S/A (JPY) | 29/07/2021 | 2 216 |
| JPY | 76 094 162 | AUD | 903 747 | H-S/A (JPY) | 29/07/2021 | 7 170 |
| JPY | 231 971 476 | CAD | 2 573 558 | H-S/A (JPY) | 29/07/2021 | 12 224 |
| JPY | 447 492 835 | GBP | 2 904 809 | H-S/A (JPY) | 29/07/2021 | 19 587 |
| JPY | 2 280 064 705 | EUR | 17 218 822 | H-S/A (JPY) | 29/07/2021 | 116 183 |
| NOK | 10 000 249 | USD | 1 180 713 | H-S/A (NOK) | 29/07/2021 | (18 433) |
| NOK | 4 077 438 | EUR | 402 582 | H-S/A (NOK) | 29/07/2021 | (3 795) |
| NOK | 800 655 | GBP | 67 916 | H-S/A (NOK) | 29/07/2021 | (774) |
| NOK | 415 059 | CAD | 60 173 | H-S/A (NOK) | 29/07/2021 | (353) |
| NOK | 132 405 | JPY | 1 731 233 | H-S/A (NOK) | 29/07/2021 | (213) |
| NOK | 66 544 | CHF | 7 194 | H-S/A (NOK) | 29/07/2021 | (54) |
| NOK | 136 146 | AUD | 21 130 | H-S/A (NOK) | 29/07/2021 | (42) |
| USD | 262 251 | JPY | 29 025 368 | H-S/A (USD) | 29/07/2021 | 677 |
| USD | 131 796 | CHF | 120 612 | H-S/A (USD) | 29/07/2021 | 1 217 |
| USD | 269 436 | AUD | 354 257 | H-S/A (USD) | 29/07/2021 | 3 441 |
| USD | 821 510 | CAD | 1 008 770 | H-S/A (USD) | 29/07/2021 | 6 878 |
| USD | 1 584 646 | GBP | 1 138 625 | H-S/A (USD) | 29/07/2021 | 11 567 |
| USD | 8 065 597 | EUR | 6 749 482 | H-S/A (USD) | 29/07/2021 | 56 805 |
| USD | 59 386 | JPY | 6 572 766 | H-S/D (USD) | 29/07/2021 | 153 |
| USD | 29 741 | CHF | 27 217 | H-S/D (USD) | 29/07/2021 | 275 |
| USD | 61 213 | AUD | 80 484 | H-S/D (USD) | 29/07/2021 | 782 |
| USD | 186 660 | CAD | 229 208 | H-S/D (USD) | 29/07/2021 | 1 563 |
| USD | 359 884 | GBP | 258 590 | H-S/D (USD) | 29/07/2021 | 2 627 |
| USD | 1 838 067 | EUR | 1 538 138 | H-S/D (USD) | 29/07/2021 | 12 945 |
|  |  |  |  |  | USD | (115 624) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. (*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets. |

| Note 9 – PLUS-VALUES (MOINS-VALUES) NETTES LATENTES SUR LES CONTRATS DE CHANGE À TERME DE GRÉ À GRÉ (suite) |
| --- |
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Global Credit Fund étaient les suivants (suite) : |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| AUD | 1 300 000 | USD | 1 006 792 | HSBC | 15/09/2021 | (30 501) |
| CAD | 2 357 000 | USD | 1 947 929 | HSBC | 15/09/2021 | (44 556) |
| CHF | 723 000 | USD | 803 636 | UBS | 15/09/2021 | (19 865) |
| EUR | 1 509 000 | USD | 1 843 447 | BNP Paribas | 15/09/2021 | (51 094) |
| JPY | 167 928 000 | USD | 1 538 824 | Credit Suisse | 15/09/2021 | (24 827) |
| SEK | 1 285 000 | USD | 155 595 | Citibank | 15/09/2021 | (5 234) |
| USD | 767 728 | EUR | 633 000 | BNP Paribas | 15/09/2021 | 15 867 |
|  |  |  |  |  | USD | (160 210) |
| Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (275 834) USD. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Sustainable Global Corporate Bond Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 3 956 696 | USD | 4 728 232 | H-I/A (EUR) | 29/07/2021 | (33 300) |
| EUR | 61 537 | JPY | 8 148 547 | H-I/A (EUR) | 29/07/2021 | (415) |
| EUR | 305 949 | GBP | 263 019 | H-I/A (EUR) | 29/07/2021 | (343) |
| EUR | 206 420 | CAD | 303 293 | H-I/A (EUR) | 29/07/2021 | 10 |
| EUR | 22 795 | CHF | 24 963 | H-I/A (EUR) | 29/07/2021 | 22 |
| EUR | 24 744 | AUD | 38 920 | H-I/A (EUR) | 29/07/2021 | 137 |
| SEK | 169 557 070 | USD | 20 041 330 | H-I/A (SEK) | 29/07/2021 | (209 897) |
| SEK | 64 715 800 | EUR | 6 394 449 | H-I/A (SEK) | 29/07/2021 | (18 344) |
| SEK | 13 055 745 | GBP | 1 108 694 | H-I/A (SEK) | 29/07/2021 | (4 724) |
| SEK | 2 618 840 | JPY | 34 257 252 | H-I/A (SEK) | 29/07/2021 | (2 422) |
| SEK | 8 829 635 | CAD | 1 281 500 | H-I/A (SEK) | 29/07/2021 | (2 159) |
| SEK | 966 994 | CHF | 104 626 | H-I/A (SEK) | 29/07/2021 | (172) |
| SEK | 1 053 066 | AUD | 163 618 | H-I/A (SEK) | 29/07/2021 | 314 |
| GBP | 26 516 709 | USD | 36 903 782 | H-S/A (GBP) | 29/07/2021 | (269 385) |
| GBP | 412 362 | JPY | 63 525 355 | H-S/A (GBP) | 29/07/2021 | (2 781) |
| GBP | 152 905 | CHF | 194 764 | H-S/A (GBP) | 29/07/2021 | 389 |
| GBP | 165 892 | AUD | 303 585 | H-S/A (GBP) | 29/07/2021 | 1 242 |
| GBP | 1 386 198 | CAD | 2 368 814 | H-S/A (GBP) | 29/07/2021 | 2 179 |
| GBP | 10 199 572 | EUR | 11 864 354 | H-S/A (GBP) | 29/07/2021 | 13 318 |
| NOK | 790 394 563 | USD | 93 320 586 | H-S/A (NOK) | 29/07/2021 | (1 456 936) |
| NOK | 310 798 497 | EUR | 30 686 419 | H-S/A (NOK) | 29/07/2021 | (289 284) |
| NOK | 62 213 398 | GBP | 5 277 298 | H-S/A (NOK) | 29/07/2021 | (60 142) |
| NOK | 42 108 674 | CAD | 6 104 718 | H-S/A (NOK) | 29/07/2021 | (35 780) |
| NOK | 12 375 052 | JPY | 161 807 345 | H-S/A (NOK) | 29/07/2021 | (19 897) |
| NOK | 4 629 744 | CHF | 500 516 | H-S/A (NOK) | 29/07/2021 | (3 785) |
| NOK | 5 055 692 | AUD | 784 645 | H-S/A (NOK) | 29/07/2021 | (1 556) |
|  |  |  |  |  | USD | (2 393 711) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |
| (*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets. |

| Note 9 – PLUS-VALUES (MOINS-VALUES) NETTES LATENTES SUR LES CONTRATS DE CHANGE À TERME DE GRÉ À GRÉ (suite) |
| --- |
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Sustainable Global Corporate Bond Fund étaient les suivants (suite) : |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| AUD | 1 532 000 | USD | 1 186 649 | UBS | 15/09/2021 | (36 128) |
| CAD | 2 846 000 | USD | 2 337 991 | UBS | 15/09/2021 | (39 731) |
| CHF | 1 103 000 | USD | 1 226 017 | UBS | 15/09/2021 | (30 305) |
| EUR | 18 077 000 | USD | 21 982 836 | Bank of America | 15/09/2021 | (511 420) |
| GBP | 279 000 | USD | 385 234 | Bank of America | 15/09/2021 | 256 |
| JPY | 281 637 000 | USD | 2 580 845 | UBS | 15/09/2021 | (41 675) |
| USD | 816 446 | CAD | 1 000 000 | UBS | 15/09/2021 | 8 906 |
| USD | 124 794 | CHF | 112 000 | UBS | 15/09/2021 | 3 380 |
| USD | 5 140 613 | EUR | 4 260 000 | Bank of America | 15/09/2021 | 80 689 |
| USD | 748 412 | GBP | 534 000 | Bank of America | 15/09/2021 | 10 592 |
|  |  |  |  |  | USD | (555 436) |

Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (2 949 147) USD.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Short Term Emerging Markets Bond Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| CHF | 251 342 | USD | 274 647 | H-I/A (CHF) | 29/07/2021 | (2 535) |
| EUR | 98 934 326 | USD | 118 226 025 | H-I/A (EUR) | 29/07/2021 | (832 647) |
| EUR | 8 655 025 | USD | 10 342 711 | H-I/D (EUR) | 29/07/2021 | (72 842) |
| EUR | 43 435 | USD | 51 904 | H-N/A (EUR) | 29/07/2021 | (365) |
| EUR | 49 054 | USD | 58 620 | H-N/D (EUR) | 29/07/2021 | (413) |
| GBP | 152 | USD | 212 | H-N/D (GBP) | 29/07/2021 | (2) |
| CHF | 146 232 | USD | 159 791 | H-R/A (CHF) | 29/07/2021 | (1 475) |
| EUR | 9 890 342 | USD | 11 818 909 | H-R/A (EUR) | 29/07/2021 | (83 239) |
| EUR | 7 869 512 | USD | 9 404 027 | H-R/D (EUR) | 29/07/2021 | (66 231) |
| EUR | 802 866 | USD | 959 421 | H-RE/A (EUR) | 29/07/2021 | (6 757) |
| EUR | 362 121 288 | USD | 432 733 129 | H-S/A (EUR) | 29/07/2021 | (3 047 721) |
| GBP | 286 059 | USD | 398 113 | H-S/A (GBP) | 29/07/2021 | (2 906) |
| JPY | 5 424 219 498 | USD | 49 009 013 | H-S/A (JPY) | 29/07/2021 | (126 591) |
| EUR | 38 412 444 | USD | 45 902 679 | H-S/D (EUR) | 29/07/2021 | (323 285) |
| USD | 4 588 953 | EUR | 3 850 507 | H-S/D (EUR) | 29/07/2021 | 20 023 |
|  |  |  |  |  | USD | (4 546 986) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Strategic Alpha Bond Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 377 911 | USD | 451 586 | H-I A (EUR) | 29/07/2021 | (3 164) |
| GBP | 3 439 | USD | 4 786 | H-N/D (GBP) | 29/07/2021 | (35) |
| EUR | 364 728 | USD | 435 848 | H-R/A (EUR) | 29/07/2021 | (3 070) |
|  |  |  |  |  | USD | (6 269) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| USD | 72 565 | BRL | 389 000 | Bank of America | 02/09/2021 | (4 377) |
| USD | 97 103 | COP | 354 347 000 | Morgan Stanley | 08/07/2021 | 2 235 |
| USD | 188 020 | EUR | 156 000 | Bank of America | 26/07/2021 | 2 925 |
| USD | 129 375 | EUR | 107 000 | Morgan Stanley | 30/07/2021 | 2 408 |
| USD | 18 165 | EUR | 15 000 | HSBC | 17/08/2021 | 359 |
|  |  |  |  |  | USD | 3 550 |
| Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (2 719) USD. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles U.S. Core Plus Bond Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 411 536 | USD | 491 784 | H-R/A (EUR) | 29/07/2021 | (3 464) |
|  |  |  |  |  | USD | (3 464) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Asia Bond Plus Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| SGD | 2 516 686 | USD | 1 875 638 | H-R/DIVM (SGD) | 29/07/2021 | (3 508) |
|  |  |  |  |  | USD | (3 508) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation de l’Ostrum Euro High Income Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| USD | 1 246 247 | EUR | 1 042 889 | H-I/A (USD) | 29/07/2021 | 7 397 |
| USD | 127 574 | EUR | 106 757 | H-I/D (USD) | 29/07/2021 | 757 |
| USD | 46 957 | EUR | 39 295 | H-R/A (USD) | 29/07/2021 | 279 |
| EUR | 23 117 | SGD | 37 081 | H-R/D (SGD) | 29/07/2021 | (130) |
| SGD | 112 054 | EUR | 69 803 | H-R/D (SGD) | 29/07/2021 | 446 |
| USD | 68 154 | EUR | 57 032 | H-RE/A (USD) | 29/07/2021 | 404 |
|  |  |  |  |  | EUR | 9 153 |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| EUR | 9 894 363 | GBP | 8 500 000 | Société Générale | 29/07/2021 | (2 362) |
| EUR | 6 861 422 | USD | 8 200 000 | JP Morgan | 29/07/2021 | (49 200) |
|  |  |  |  |  | EUR | (51 562) |
| Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (42 409) USD. |

| Au 30 juin 2020, les contrats de change à terme de gré à gré en circulation de l’Ostrum Global Inflation Fund étaient les suivants : |
| --- |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| AUD | 1 000 000 | EUR | 632 387 | State Street | 09/07/2021 | 604 |
| EUR | 1 203 891 | AUD | 1 900 000 | State Street | 09/07/2021 | 1 208 |
| EUR | 1 316 455 | CAD | 1 950 000 | State Street | 09/07/2021 | (11 223) |
| EUR | 17 051 579 | GBP | 14 730 000 | JP Morgan | 09/07/2021 | (105 175) |
| EUR | 165 095 | GBP | 142 000 | State Street | 09/07/2021 | (300) |
| EUR | 725 687 | GBP | 625 000 | Barclays | 09/07/2021 | (2 282) |
| EUR | 757 581 | GBP | 650 000 | Société Générale | 09/07/2021 | 494 |
| EUR | 24 306 412 | USD | 29 720 000 | JP Morgan | 09/07/2021 | (751 026) |
| EUR | 3 320 119 | USD | 4 050 000 | Crédit Agricole | 09/07/2021 | (94 506) |
| EUR | 989 890 | USD | 1 200 000 | State Street | 09/07/2021 | (21 850) |
| EUR | 311 882 | USD | 380 000 | Barclays | 09/07/2021 | (8 502) |
| EUR | 534 245 | NZD | 910 000 | State Street | 09/07/2021 | (1 865) |
|  |  |  |  |  | EUR | (994 423) |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation de l’Ostrum Short Term Global High Income Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 35 384 862 | USD | 42 284 733 | H-I/A (EUR) | 29/07/2021 | (297 804) |
| EUR | 4 553 351 | USD | 5 441 232 | H-R/A (EUR) | 29/07/2021 | (38 322) |
| EUR | 33 113 | USD | 39 570 | H-RE/A (EUR) | 29/07/2021 | (279) |
| EUR | 14 484 010 | USD | 17 308 319 | H-S/A (EUR) | 29/07/2021 | (121 899) |
|  |  |  |  |  | USD | (458 304) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| USD | 338 044 | CHF | 310 000 | State Street | 29/07/2021 | 2 427 |
| USD | 49 277 210 | EUR | 41 230 000 | Morgan Stanley | 29/07/2021 | 354 564 |
| USD | 2 324 016 | GBP | 1 670 000 | Barclays | 29/07/2021 | 16 812 |
|  |  |  |  |  | USD | 373 803 |
| Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (84 501) USD. |

| Au 330 juin 2021, les contrats de change à terme de gré à gré en circulation de l’ASG Managed Futures Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| GBP | 19 736 | USD | 27 467 | H-I/A (GBP) | 29/07/2021 | (200) |
| GBP | 3 773 | USD | 5 251 | H-N1/A (GBP) | 29/07/2021 | (38) |
| EUR | 530 901 | USD | 634 423 | H-R/A (EUR) | 29/07/2021 | (4 468) |
| EUR | 81 248 378 | USD | 97 091 406 | H-S1/A (EUR) | 29/07/2021 | (683 799) |
| GBP | 730 348 | USD | 1 016 439 | H-S1/A (GBP) | 29/07/2021 | (7 420) |
|  |  |  |  |  | USD | (695 925) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.
| Note 9 – PLUS-VALUES (MOINS-VALUES) NETTES LATENTES SUR LES CONTRATS DE CHANGE À TERME DE GRÉ À GRÉ (suite) |
| --- |
| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation de l’ASG Managed Futures Fund étaient les suivants (suite) : |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| CNH | 58 000 000 | USD | 9 011 749 | UBS | 15/09/2021 | (83 652) |
| NOK | 34 000 000 | USD | 4 113 971 | UBS | 15/09/2021 | (161 663) |
| PLN | 23 500 000 | USD | 6 408 036 | UBS | 15/09/2021 | (233 758) |
| SEK | 44 000 000 | USD | 5 329 405 | UBS | 15/09/2021 | (180 836) |
| SGD | 24 500 000 | USD | 18 507 221 | UBS | 15/09/2021 | (284 224) |
| USD | 2 311 895 | NOK | 20 000 000 | UBS | 15/09/2021 | (12 992) |
| USD | 4 337 087 | PLN | 16 500 000 | UBS | 15/09/2021 | 1 957 |
| USD | 3 981 254 | SEK | 34 000 000 | UBS | 15/09/2021 | 2 815 |
| USD | 13 399 112 | SGD | 18 000 000 | UBS | 15/09/2021 | 10 789 |
| USD | 132 564 | TRY | 1 200 000 | UBS | 15/09/2021 | (314) |
| USD | 1 080 993 | ZAR | 15 500 000 | UBS | 15/09/2021 | 6 054 |
| ZAR | 83 000 000 | USD | 6 057 522 | UBS | 15/09/2021 | (301 395) |
|  |  |  |  |  | USD | (1 237 219) |
| Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (1 933 144) USD. |

| Au 30 juin 2021, les contrats de change à terme de gré à gré en circulation du Loomis Sayles Global Multi Asset Income Fund étaient les suivants : |
| --- |
| Contrats de change à terme de gré à gré des classes d’Actions couvertes |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Classe | Échéance | latente (*) |
| EUR | 3 671 | USD | 4 387 | H-N/A (EUR) | 29/07/2021 | (31) |
| EUR | 6 831 | USD | 8 163 | H-R/A (EUR) | 29/07/2021 | (57) |
| EUR | 3 632 | USD | 4 341 | H-R/D (EUR) | 29/07/2021 | (31) |
| EUR | 11 889 | USD | 14 207 | H-R/DIV (EUR) | 29/07/2021 | (100) |
| EUR | 27 611 | USD | 32 995 | H-R/DIVM (EUR) | 29/07/2021 | (232) |
| EUR | 3 632 | USD | 4 341 | H-R/DM (EUR) | 29/07/2021 | (30) |
| EUR | 15 597 107 | USD | 18 638 464 | H-S/A (EUR) | 29/07/2021 | (131 268) |
|  |  |  |  |  | USD | (131 749) |
| Tous les contrats de change à terme de gré à gré des classes d’Actions couvertes sont conservés par BBH&Co. |
| Contrats à terme de gré à gré |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  | /moins-value |
|  | Achats |  | Ventes | Contrepartie | Échéance | latente (*) |
| USD | 234 139 | EUR | 192 000 | Barclays | 14/07/2021 | 6 388 |
|  |  |  |  |  | USD | 6 388 |
| Au 30 juin 2021, les moins-values nettes latentes sur les contrats de change à terme de gré à gré s’élevaient à (125 361) USD. |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.

### TERME SUR INSTRUMENTS FINANCIERS
| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation du Loomis Sayles Global Credit Fund étaient les suivants : |
| --- |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| (42) | EURO-BUND FUTURE | 08/09/2021 | EUR | 115 083 347 | (45 467) |
| 4 | EURO BUXL 30Y BND | 08/09/2021 | EUR | 3 013 | 15 180 |
| 13 | LONG GILT FUTURE | 28/09/2021 | GBP | 11 206 | 24 244 |
| (28) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 30 884 | (12 175) |
| (177) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 363 204 | (360 892) |
| 39 | US 2YR NOTE (CBT) | 30/09/2021 | USD | 52 806 | (16 149) |
| 86 | US LONG BOND (CBT) | 21/09/2021 | USD | 94 858 | 340 668 |
| 28 | US ULTRA BOND (CBT) | 21/09/2021 | USD | 34 496 | 179 664 |
|  |  |  |  | USD | 125 073 |

| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation du Loomis Sayles Disciplined Alpha U.S. Corporate Bond Fund étaient les suivants : |
| --- |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| (7) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 14 364 | (13 509) |
| 14 | US 2YR NOTE (CBT) | 30/09/2021 | USD | 18 956 | (3 406) |
| 10 | US 5YR NOTE (CBT) | 30/09/2021 | USD | 7 830 | (4 669) |
| (11) | US ULTRA BOND (CBT) | 21/09/2021 | USD | 13 552 | (70 183) |
|  |  |  |  | USD | (91 767) |
| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation du Loomis Sayles Sustainable Global Corporate Bond Fund étaient les suivants : |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| 38 | EURO-BOBL FUTURE | 08/09/2021 | EUR | 8 972 | (10 887) |
| (14) | EURO-BUND FUTURE | 08/09/2021 | EUR | 38 361 116 | 486 |
| 3 | LONG GILT FUTURE | 28/09/2021 | GBP | 2 586 | 5 595 |
| (28) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 30 884 | (14 834) |
| (240) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 492 480 | (448 527) |
| (42) | US 5YR NOTE (CBT) | 30/09/2021 | USD | 32 886 | 18 703 |
| 66 | US LONG BOND (CBT) | 21/09/2021 | USD | 72 798 | 227 425 |
| 63 | US ULTRA BOND (CBT) | 21/09/2021 | USD | 77 616 | 413 297 |
|  |  |  |  | USD | 191 258 |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.

### TERME SUR INSTRUMENTS FINANCIERS (suite)
| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation du Loomis Sayles Strategic Alpha Bond Fund étaient les suivants : |
| --- |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| (9) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 18 468 | (3 026) |
| (12) | US LONG BOND (CBT) | 21/09/2021 | USD | 13 236 | (46 222) |
| (6) | US ULTRA BOND (CBT) | 21/09/2021 | USD | 7 392 | (16 899) |
|  |  |  |  | USD | (66 147) |

| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation de l’Ostrum Euro High Income Fund étaient les suivants : |
| --- |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| (80) | EURO-BUND FUTURE | 08/09/2021 | EUR | 219 206 375 | (27 780) |
|  |  |  |  | EUR | (27 780) |

| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation de l’Ostrum Global Inflation Fund étaient les suivants : |
| --- |
| Contrats à terme sur instruments financiers des classes d’Actions couvertes |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| (1) | EURO-BUND FUTURE | 08/09/2021 | EUR | 2 740 080 | (1 060) |
| (1) | EURO BUXL 30Y BND | 08/09/2021 | EUR | 753 | (3 460) |
| (32) | LONG GILT FUTURE | 28/09/2021 | GBP | 27 585 | (38 395) |
| (3) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 3 309 | (1 917) |
| (1) | US 2YR NOTE (CBT) | 30/09/2021 | USD | 1 354 | 323 |
| (2) | US 5YR NOTE (CBT) | 30/09/2021 | USD | 1 566 | 553 |
| (8) | US LONG BOND (CBT) | 21/09/2021 | USD | 8 824 | (30 778) |
|  |  |  |  | EUR | (74 734) |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| (10) | CAN 10YR BOND FUTURE | 21/09/2021 | CAD | 5 798 | (4 781) |
| (5) | LONG GILT FUTURE | 28/09/2021 | GBP | 4 310 | (5 999) |
| (13) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 14 339 | (5 501) |
| (3) | US ULTRA BOND (CBT) | 21/09/2021 | USD | 3 696 | (20 277) |
|  |  |  |  | EUR | (36 558) |

Au 30 juin 2021, la (moins-value) nette latente sur les contrats à terme était de (111 292) USD.
(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.

### Note 10 – PLUS-VALUES/(MOINS-VALUES) NETTES LATENTES SUR LES CONTRATS À TERME SUR INSTRUMENTS FINANCIERS (suite)
| Au 30 juin 2021, les contrats à terme sur instruments financiers en circulation de l’ASG Managed Futures Fund étaient les suivants : |
| --- |
| Contrats à terme sur instruments financiers |
| Nombre de contrats |  | Date |  | Plus-value (moins- value) |
| achetés/(vendus) | Indice | d’échéance | Devise | Engagements | latente (*) |
| 44 | 3MO EURO EURIBOR FUTURE | 13/09/2021 | EUR | 13 114 690 | 1 112 |
| 10 | 3MO SOFR FUTURE | 15/03/2022 | USD | 2 498 750 | 125 |
| 372 | 90DAY EURO$ FUTURE | 13/09/2021 | USD | 504 060 | (14 013) |
| (212) | 90DAY STERLING FUTURE | 15/09/2021 | GBP | 615 022 | (397) |
| 11 | AMSTERDAM INDEX FUTURE | 16/07/2021 | EUR | 1 903 303 | (4 001) |
| (5) | AUST 10Y BOND FUTURE | 15/09/2021 | AUD | 405 | (1 528) |
| 81 | AUST 3Y BOND FUTURE | 15/09/2021 | AUD | 44 362 657 | (25 877) |
| 89 | BP CURRENCY FUTURE | 13/09/2021 | USD | 76 843 | (205 728) |
| 42 | BRAZIL REAL FUTURE | 30/07/2021 | USD | 840 420 | (4 735) |
| 182 | C$ CURRENCY FUTURE | 14/09/2021 | USD | 146 976 | (395 665) |
| 47 | CAC40 10 EURO FUTURE | 16/07/2021 | EUR | 3 627 289 | (62 982) |
| (32) | CAN 10YR BOND FUTURE | 21/09/2021 | CAD | 18 554 | (43 439) |
| (38) | CHF CURRENCY FUTURE | 13/09/2021 | USD | 51 348 | 27 675 |
| 4 | DAX INDEX FUTURE | 17/09/2021 | EUR | 834 574 | (26 327) |
| 23 | DJIA MINI E-CBOT FUTURE | 17/09/2021 | USD | 3 967 789 | 4 870 |
| 22 | E-MINI RUSS 2000 FUTURE | 17/09/2021 | USD | 4 727 250 | (19 775) |
| (11) | EURO BUXL 30Y BND | 08/09/2021 | EUR | 8 286 | (42 052) |
| (35) | EURO FX CURRENCY FUTURE | 13/09/2021 | USD | 5 188 312 | 25 681 |
| 61 | EURO STOXX 50 FUTURE | 17/09/2021 | EUR | 2 940 111 | (57 368) |
| (45) | EURO-BOBL FUTURE | 08/09/2021 | EUR | 10 625 | (8 064) |
| 17 | EURO-BTP FUTURE | 08/09/2021 | EUR | 13 487 | (7 827) |
| (27) | EURO-BUND FUTURE | 08/09/2021 | EUR | 73 982 151 | (34 901) |
| (43) | EURO-OAT FUTURE | 08/09/2021 | EUR | 18 766 | (38 755) |
| (600) | EURO-SCHATZ FUTURE | 08/09/2021 | EUR | 238 366 | (973) |
| 33 | FTSE 100 INDEX FUTURE | 17/09/2021 | GBP | 3 208 231 | (42 853) |
| 64 | FTSE CHINA A50 FUTURE | 29/07/2021 | USD | 1 117 343 | 13 925 |
| 20 | FTSE TAIWAN INDEX FUTURE | 29/07/2021 | USD | 1 231 864 | 9 900 |
| 6 | FTSE/JSE TOP 40 FUTURE | 16/09/2021 | ZAR | 9 510 | (5 526) |
| 14 | FTSE/MIB INDEX FUTURE | 17/09/2021 | EUR | 732 274 | (44 335) |
| 7 | HANG SENG INDEX FUTURE | 29/07/2021 | HKD | 1 299 250 | (12 800) |
| 9 | HSCEI INDEX FUTURE | 29/07/2021 | HKD | 617 901 | (2 962) |
| 15 | IBEX 35 INDEX FUTURE | 16/07/2021 | EUR | 1 569 159 | (59 188) |
| (2) | ICE 3MO SONIA FUTURE | 15/03/2022 | GBP | 690 172 | 0 |
| 45 | INR/USD FUTURE | 28/07/2021 | USD | 12 101 | (586) |
| (225) | JPN YEN CURRENCY FUTURE | 13/09/2021 | USD | 2 534 | 249 130 |
| (46) | LONG GILT FUTURE | 28/09/2021 | GBP | 39 653 | (69 459) |
| 177 | MEXICAN PESO FUTURE | 13/09/2021 | USD | 1 720 059 450 | (36 520) |
| 46 | MSCI EAFE FUTURE | 17/09/2021 | USD | 3 161 672 | (121 555) |
| 36 | MSCI EMGMKT FUTURE | 17/09/2021 | USD | 11 714 094 | (6 235) |
| 36 | MSCI SING IX ETS FUTURE | 29/07/2021 | SGD | 952 840 | 467 |
| 21 | NASDAQ 100 E-MINI FUTURE | 17/09/2021 | USD | 6 113 017 | 142 450 |
| 54 | NEW ZEALAND $ FUTURE | 13/09/2021 | USD | 37 708 | (110 525) |
| 5 | NIKKEI 225 (OSE) FUTURE | 09/09/2021 | JPY | 898 | (9 857) |
| 60 | OMXS30 INDEX FUTURE | 16/07/2021 | SEK | 17 611 038 | (13 623) |
| 10 | S&P MID 400 EMINI FUTURE | 17/09/2021 | USD | 15 531 040 | (53 390) |
| 45 | S&P/TSX 60 INDEX FUTURE | 16/09/2021 | CAD | 8 788 137 | 55 260 |
| 29 | S&P500 EMINI FUTURE | 17/09/2021 | USD | 84 | 107 050 |
| 38 | SHORT EURO-BTP FUTURE | 08/09/2021 | EUR | 87 585 427 | 1 969 |
| 36 | SPI 200 FUTURE | 16/09/2021 | AUD | 4 941 211 | (37 669) |
| 49 | STOXX EUROPE 600 FUTURE | 17/09/2021 | EUR | 1 315 706 | (10 976) |
| 9 | TOPIX INDEX FUTURE | 09/09/2021 | JPY | 14 183 | (12 055) |
| (26) | US 10YR NOTE (CBT) | 21/09/2021 | USD | 28 678 | (19 703) |
| (16) | US 10YR ULTRA FUTURE | 21/09/2021 | USD | 32 832 | (45 625) |
| (353) | US 2YR NOTE (CBT) | 30/09/2021 | USD | 477 962 | (18 859) |
| (44) | US 5YR NOTE (CBT) | 30/09/2021 | USD | 34 452 | (4 773) |
| (8) | US LONG BOND (CBT) | 21/09/2021 | USD | 8 824 | (40 594) |
| (5) | US ULTRA BOND (CBT) | 21/09/2021 | USD | 6 160 | (46 953) |
|  |  | USD | (1 181 414) |
| (*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets. |  |  |  |

Note 11 – CREDIT DEFAULT INDEX SWAPS, CREDIT DEFAULT SWAPTIONS, CREDIT DEFAULT SWAPS ET TOTAL RETURN RATE SWAPS
| Au 30 juin 2021, l’Ostrum Euro High Income Fund était engagé dans les contrats de Credit Default Index Swaps suivants : |
| --- |
|  |  |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  |  | /moins-value |
| Position | Contrepartie | Indice sous-jacent | Taux | Échéance | Devise | Nominal | latente (*) |
| ACHAT | BNP Paribas | iTraxx Europe Crossover | 5,00 % | 20/06/2026 | EUR | 10 000 000 | (161 906) |
|  |  |  |  |  |  | EUR | (161 906) |

| Au 30 juin 2021, l’Ostrum Euro High Income Fund était engagé dans les Credit Default Swaptions suivantes : |
| --- |
| Payer/recevoir taux fixe | Contrepartie | Indice à taux variable | Taux fixe | Échéance | Devise | Nominal | Plus-value (moins- value) latente (*) |
| Payer | J.P. Morgan AG | iTraxx Europe Series 35 | 1,00 % | 15/09/2021 | EUR | 100 000 000 | (21 892) |
|  |  |  |  |  |  | EUR | (21 892) |

Au 30 juin 2021, la moins-value nette latente sur les swaps était de (183 798) EUR.
| Au 30 juin 2021, le Loomis Sayles Strategic Alpha Bond Fund était engagé dans les contrats de Credit Default Swap suivants : |
| --- |
|  |  |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  |  | /moins-value |
| Position | Contrepartie | Titre sous-jacent | Taux | Échéance | Devise | Nominal | latente (*) |
| ACHAT | Barclays | Mexico Government Bond 4,150 % 28/03/27 | 1,00 % | 20/06/2026 | USD | 305 000 | (2 144) |
|  |  |  |  |  |  | USD | (2 144) |

| Au 30 juin 2021, le Loomis Sayles Global Emerging Markets Equity Fund était engagé dans les contrats de Total Return Rate Swap suivants : |
| --- |
|  |  |  |  |  |  |  | Plus-value |
|  |  |  |  |  |  |  | /moins-value |
| Position | Contrepartie | Titre sous-jacent | Taux | Échéance | Devise | Nominal | latente (*) |
| VENTE | Goldman Sachs | HDFC Bank Ltd | 0,83 % | 11/10/2021 | USD | 222 311 | 40 290 |
| VENTE | Goldman Sachs | Titan Co Ltd | 0,83 % | 11/10/2021 | USD | 212 067 | 76 512 |
| VENTE | Goldman Sachs | Maruti Suzuki India Ltd | 0,83 % | 11/10/2021 | USD | 464 909 | 7 187 |
| VENTE | Goldman Sachs | Localiza Rent a Car SA | 0,38 % | 19/12/2022 | USD | 103 634 | (3 902) |
| VENTE | Goldman Sachs | HDFC Bank Ltd | 0,38 % | 19/01/2023 | USD | 382 832 | (28 755) |
| VENTE | Goldman Sachs | Sea Ltd | 0,38 % | 23/02/2023 | USD | 213 906 | 18 954 |
| VENTE | Morgan Stanley | Wuxi Biologics Cayman Inc | 0,59 % | 01/03/2023 | HKD | 1 197 804 | 74 782 |
| VENTE | Goldman Sachs | China Mengniu Dairy Co Ltd | 0,29 % | 10/03/2023 | HKD | 799 425 | 17 959 |
| VENTE | Goldman Sachs | Kweichow Moutai Co Ltd | 0,00 % | 10/03/2023 | USD | 89 942 | 5 549 |
| VENTE | Goldman Sachs | Unity Software Inc | 0,38 % | 26/05/2023 | USD | 118 640 | 18 538 |
| VENTE | Goldman Sachs | Capitec Bank Holdings Ltd | 4,27 % | 29/05/2023 | ZAR | 1 147 273 | 322 |
| VENTE | Goldman Sachs | MercadoLibre Inc | 2,37 % | 15/06/2023 | USD | 87 182 | 7 843 |
| VENTE | Goldman Sachs | Estee Lauder Inc | 2,37 % | 28/06/2023 | USD | 208 711 | 2 176 |
| VENTE | Goldman Sachs | Credicorp Ltd | 2,37 % | 30/06/2023 | USD | 80 611 | (1 163) |
|  |  |  |  |  |  | USD | 236 292 |

(*) La plus-value (moins-value) nette latente est incluse dans les Actifs nets.

### NOTE 12 – CO-GESTION DES ACTIFS
À des fins de gestion efficace, le Gestionnaire financier peut choisir, sous réserve de l’approbation préalable de la Société de gestion, que les actifs de certains Fonds (les « Fonds participants ») du Fonds à compartiments multiples soient co-gérés. Dans pareils cas, les actifs (ou une partie des actifs) des Fonds participants seront gérés en commun. Les actifs co-gérés sont appelés « pools », bien qu’ils ne soient utilisés qu’à des fins de gestion interne. Les pools ne constituent pas des entités distinctes et ne sont pas directement accessibles aux investisseurs. Chacun des Fonds participants dispose de ses propres actifs (ou d’une partie de ceux-ci) alloués au(x) pool(s) concerné(s). Chaque Fonds participant conserve les droits sur ses actifs spécifiques. Lorsque les actifs d’un Fonds participant sont gérés au moyen de cette technique, les actifs attribuables à chaque Fonds participant seront initialement déterminés en fonction de l’allocation initiale de ses actifs à un tel pool et changeront en cas d’allocations ou de retraits supplémentaires.
Le droit de chaque Fonds participant aux actifs co-gérés s’applique à chaque ligne d’investissement de ce pool. Les investissements supplémentaires effectués pour le compte des Fonds participants sont attribués à ces Fonds conformément à leurs droits respectifs, tandis que les actifs vendus sont prélevés de la même façon sur les actifs attribuables à chaque Fonds participant.
Au 30 juin 2021, le Fonds à compartiments multiples cogère les actifs de certains Fonds en son sein en utilisant les pools suivants :
| Pool d’actifs | Fonds participants |
| --- | --- |
| Thematics AI and Robotics Pool…........................................................ | Thematics AI and Robotics Fund |
|  | Thematics Meta Fund |
| Thematics Safety Pool…..................................................................... | Thematics Safety Fund |
|  | Thematics Meta Fund |
| Thematics Water Pool…..................................................................... | Thematics Water Fund |
|  | Thematics Meta Fund |
| Thematics Subscription Economy Pool...........……………………………………………. | Thematics Subscription Economy Fund |
|  | Thematics Meta Fund |
| Thematics Wellness Pool……………………………………………………………………… | Thematics Wellness Fund |


### Note 13 – « RULE 144A »
La « Rule 144A » de la Securities and Exchange Commission (SEC) modifie l’obligation de détenir pendant deux ans les valeurs mobilières de placements privés non enregistrées auprès de la SEC. La Rule 144A permet aux investisseurs institutionnels qualifiés de négocier entre eux les obligations et actions de placements privés. Les valeurs mobilières couvertes par la Rule 144A sont souvent appelées « restricted securities » (titres soumis à des restrictions).

### Note 14 – REPRÉSENTANT ALLEMAND
LBBW Landesbank Baden-Württemberg Depotbankkoordination / Fondskontrolle Große Bleiche 54-56
55098 Mainz Allemagne Allemagne
Il est possible de se procurer gratuitement la liste des changements intervenus au sein du portefeuille pendant la période de référence, auprès du dépositaire ou de l’agent payeur, ainsi qu’auprès de l’agent de paiement et d’information en Allemagne.

### Note 15 – DISTRIBUTION DE DIVIDENDES
Pendant la période close le 30 juin 2021, les dividendes suivants ont été déclarés :
Dividendes sur les bénéfices
| Compartiment | Classe d’Actions | Date de détachement | Devise de la classe d’actions | Dividende par Action (devise de la classe d’Actions) |
| --- | --- | --- | --- | --- |
| DNCA Emerging Europe Equity Fund | R/D (USD) | 4 janvier 2021 | USD | 1,091 |
| Natixis Pacific Rim Equity Fund | R/D (USD) | 4 janvier 2021 | USD | 0,862 |
| Harris Associates Global Equity Fund | S/D (USD) | 4 janvier 2021 | USD | 0,362 |
| Harris Associates Global Equity Fund | S1/D (GBP) | 4 janvier 2021 | GBP | 0,309 |
| Seeyond Asia MinVol Equity Income Fund (1) | H-R/DIVM (SGD) | 4 janvier 2021 | SGD | 0,229 |
| Seeyond Asia MinVol Equity Income Fund (1) | H-R/DIVM (SGD) | 1 er  février 2021 | SGD | 0,220 |
| Seeyond Asia MinVol Equity Income Fund (1) | H-R/DIVM (SGD) | 1 er  mars 2021 | SGD | 0,224 |
| Seeyond Asia MinVol Equity Income Fund (1) | H-R/DIVM (SGD) | 1 er  avril 2021 | SGD | 0,229 |
| Seeyond Asia MinVol Equity Income Fund (1) | H-R/DIVM (SGD) | 3 mai 2021 | SGD | 0,232 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | 4 janvier 2021 | USD | 0,235 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | 1 er  février 2021 | USD | 0,226 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | 1 er  mars 2021 | USD | 0,230 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | 1 er  avril 2021 | USD | 0,235 |
| Seeyond Asia MinVol Equity Income Fund (1) | R/DIVM (USD) | 3 mai 2021 | USD | 0,238 |
| Loomis Sayles Global Credit Fund | H-S/D (USD) | 4 janvier 2021 | USD | 0,554 |
| Loomis Sayles Global Credit Fund | H-S/D (USD) | 1 er  avril 2021 | USD | 0,508 |
| Loomis Sayles Global Credit Fund | R/D (USD) | 4 janvier 2021 | USD | 0,231 |
| Loomis Sayles Global Credit Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,204 |
| Loomis Sayles Global Credit Fund | R/D (SGD) | 4 janvier 2021 | SGD | 0,157 |
| Loomis Sayles Global Credit Fund | R/D (SGD) | 1 er  avril 2021 | SGD | 0,097 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-I/D (EUR) | 4 janvier 2021 | EUR | 0,754 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-I/D (EUR) | 1 er  avril 2021 | EUR | 0,765 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-N/D (EUR) | 4 janvier 2021 | EUR | 0,805 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-N/D (EUR) | 1 er  avril 2021 | EUR | 0,815 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-N/D (GBP) | 4 janvier 2021 | GBP | 0,724 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-R/D (EUR) | 4 janvier 2021 | EUR | 0,626 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-R/D (EUR) | 1 er  avril 2021 | EUR | 0,632 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-S/D (EUR) | 4 janvier 2021 | EUR | 0,836 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | H-S/D (EUR) | 1 er  avril 2021 | EUR | 0,849 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | I/D (USD) | 4 janvier 2021 | USD | 0,849 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | I/D (USD) | 1 er  avril 2021 | USD | 0,818 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N/D (USD) | 4 janvier 2021 | USD | 0,847 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N/D (USD) | 1er avril 2021 | USD | 0,816 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N1/D (USD) | 4 janvier 2021 | USD | 0,872 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | N1/D (USD) | 1 er  avril 2021 | USD | 0,840 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | R/D (USD) | 4 janvier 2021 | USD | 0,714 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,684 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | S/D (USD) | 4 janvier 2021 | USD | 0,936 |
| Loomis Sayles Short Term Emerging Markets Bond Fund | S/D (USD) | 1 er  avril 2021 | USD | 0,905 |
| Loomis Sayles Strategic Alpha Bond Fund | C/D (USD) | 4 janvier 2021 | USD | 0,778 |
| Loomis Sayles Strategic Alpha Bond Fund | C/D (USD) | 1 er  avril 2021 | USD | 0,791 |
| Loomis Sayles Strategic Alpha Bond Fund | H-N/D (GBP) | 4 janvier 2021 | GBP | 0,617 |
| Loomis Sayles Strategic Alpha Bond Fund | H-N/D (GBP) | 1 er  avril 2021 | GBP | 0,722 |
| Loomis Sayles Strategic Alpha Bond Fund | R/D (USD) | 4 janvier 2021 | USD | 0,495 |
| Loomis Sayles Strategic Alpha Bond Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,531 |
| Loomis Sayles U.S. Core Plus Bond Fund | I/D (USD) | 4 janvier 2021 | USD | 0,369 |
| Loomis Sayles U.S. Core Plus Bond Fund | I/D (USD) | 1 er  avril 2021 | USD | 0,404 |
| Loomis Sayles U.S. Core Plus Bond Fund | R/D (USD) | 4 janvier 2021 | USD | 0,206 |
| Loomis Sayles U.S. Core Plus Bond Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,244 |
| Loomis Sayles U.S. Core Plus Bond Fund | RE/D (USD) | 4 janvier 2021 | USD | 0,121 |
| Loomis Sayles U.S. Core Plus Bond Fund | RE/D (USD) | 1 er  avril 2021 | USD | 0,160 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | 4 janvier 2021 | SGD | 0,581 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | 1 er  février 2021 | SGD | 0,539 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | 1 er  mars 2021 | SGD | 0,518 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | 1 er  avril 2021 | SGD | 0,604 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | 3 mai 2021 | SGD | 0,552 |
| Loomis Sayles Asia Bond Plus Fund | H-R/DIVM (SGD) | 1 er  juin 2021 | SGD | 0,571 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | 4 janvier 2021 | USD | 0,596 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | 1 er  février 2021 | USD | 0,553 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | 1 er  mars 2021 | USD | 0,532 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | 1 er  avril 2021 | USD | 0,620 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | 3 mai 2021 | USD | 0,567 |
| Loomis Sayles Asia Bond Plus Fund | I/DIVM (USD) | 1 er  juin 2021 | USD | 0,588 |

(1) Voir Note 1.

### Note 15 – DISTRIBUTION DE DIVIDENDES (suite)
Les dividendes suivants ont été déclarés pendant la période close le 30 juin 2021 :
| Compartiment | Classe d’Actions | Date de détachement | Devise de la classe d’actions | Dividende par Action (devise de la classe d’Actions) |
| --- | --- | --- | --- | --- |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | 4 janvier 2021 | USD | 0,601 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | 1 er  février 2021 | USD | 0,558 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | 1 er  mars 2021 | USD | 0,538 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | 1 er  avril 2021 | USD | 0,627 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | 3 mai 2021 | USD | 0,574 |
| Loomis Sayles Asia Bond Plus Fund | Q/DIVM (USD) | 1 er  juin 2021 | USD | 0,595 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | 4 janvier 2021 | USD | 0,587 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | 1 er  février 2021 | USD | 0,545 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | 1 er  mars 2021 | USD | 0,524 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | 1 er  avril 2021 | USD | 0,610 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | 3 mai 2021 | USD | 0,558 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (USD) | 1 er  juin 2021 | USD | 0,577 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | 4 janvier 2021 | HKD | 0,580 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | 1 er  février 2021 | HKD | 0,537 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | 1 er  mars 2021 | HKD | 0,517 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | 1 er  avril 2021 | HKD | 0,604 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | 3 mai 2021 | HKD | 0,551 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (HKD) | 1 er  juin 2021 | HKD | 0,570 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | 4 janvier 2021 | SGD | 0,580 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | 1 er  février 2021 | SGD | 0,540 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | 1 er  mars 2021 | SGD | 0,520 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | 1 er  avril 2021 | SGD | 0,612 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | 3 mai 2021 | SGD | 0,554 |
| Loomis Sayles Asia Bond Plus Fund | R/DIVM (SGD) | 1 er  juin 2021 | SGD | 0,570 |
| Ostrum Euro High Income Fund | H-I/D (USD) | 4 janvier 2021 | USD | 0,845 |
| Ostrum Euro High Income Fund | H-I/D (USD) | 1 er  avril 2021 | USD | 0,771 |
| Ostrum Euro High Income Fund | H-R/D (SGD) | 4 janvier 2021 | SGD | 0,323 |
| Ostrum Euro High Income Fund | H-R/D (SGD) | 1 er  avril 2021 | SGD | 0,270 |
| Ostrum Euro High Income Fund | I/D (USD) | 4 janvier 2021 | USD | 0,548 |
| Ostrum Euro High Income Fund | I/D (USD) | 1 er  avril 2021 | USD | 0,383 |
| Ostrum Euro High Income Fund | I/D (EUR) | 4 janvier 2021 | EUR | 0,777 |
| Ostrum Euro High Income Fund | I/D (EUR) | 1 er  avril 2021 | EUR | 0,646 |
| Ostrum Euro High Income Fund | N/D (EUR) | 4 janvier 2021 | EUR | 0,767 |
| Ostrum Euro High Income Fund | N/D (EUR) | 1 er  avril 2021 | EUR | 0,631 |
| Ostrum Euro High Income Fund | R/D (USD) | 4 janvier 2021 | USD | 0,360 |
| Ostrum Euro High Income Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,200 |
| Ostrum Euro High Income Fund | R/D (EUR) | 4 janvier 2021 | EUR | 0,569 |
| Ostrum Euro High Income Fund | R/D (EUR) | 1 er  avril 2021 | EUR | 0,443 |
| Ostrum Euro High Income Fund | S/D (EUR) | 4 janvier 2021 | EUR | 0,847 |
| Ostrum Euro High Income Fund | S/D (EUR) | 1 er  avril 2021 | EUR | 0,708 |
| Ostrum Global Inflation Fund | I/D (EUR) | 1 er  avril 2021 | EUR | 0,028 |
| Ostrum Short Term Global High Income Fund | I/D (USD) | 4 janvier 2021 | USD | 0,437 |
| Ostrum Short Term Global High Income Fund | I/D (USD) | 1 er  avril 2021 | USD | 0,337 |
| Ostrum Short Term Global High Income Fund | R/D (USD) | 4 janvier 2021 | USD | 0,436 |
| Ostrum Short Term Global High Income Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,339 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/D (EUR) | 4 janvier 2021 | EUR | 0,495 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/D (EUR) | 1 er  avril 2021 | EUR | 0,429 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIV (EUR) | 4 janvier 2021 | EUR | 1,142 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIV (EUR) | 1 er  avril 2021 | EUR | 1,013 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | 4 janvier 2021 | EUR | 0,381 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | 1 er  février 2021 | EUR | 0,313 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | 1 er  mars 2021 | EUR | 0,307 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | 1 er  avril 2021 | EUR | 0,368 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | 3 mai 2021 | EUR | 0,343 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DIVM (EUR) | 1 er  juin 2021 | EUR | 0,357 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | 4 janvier 2021 | EUR | 0,205 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | 1 er  février 2021 | EUR | 0,075 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | 1 er  mars 2021 | EUR | 0,155 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | 1 er  avril 2021 | EUR | 0,193 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | 3 mai 2021 | EUR | 0,146 |
| Loomis Sayles Global Multi Asset Income Fund | H-R/DM (EUR) | 1 er  juin 2021 | EUR | 0,192 |
| Loomis Sayles Global Multi Asset Income Fund | I/D (USD) | 4 janvier 2021 | USD | 0,792 |
| Loomis Sayles Global Multi Asset Income Fund | I/D (USD) | 1 er  avril 2021 | USD | 0,710 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | 4 janvier 2021 | USD | 0,424 |

Dividendes sur les bénéfices (suite)

### Note 15 – DISTRIBUTION DE DIVIDENDES (suite)
Les dividendes suivants ont été déclarés pendant la période close le 30 juin 2021 :
Dividendes sur les bénéfices (suite)
| Compartiment | Classe d’Actions | Date de détachement | Devise de la classe d’actions | Dividende par Action (devise de la classe d’Actions) |
| --- | --- | --- | --- | --- |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | 1 er  février 2021 | USD | 0,350 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | 1 er  mars 2021 | USD | 0,344 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | 1 er  avril 2021 | USD | 0,412 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | 3 mai 2021 | USD | 0,385 |
| Loomis Sayles Global Multi Asset Income Fund | I/DIVM (USD) | 1 er  juin 2021 | USD | 0,401 |
| Loomis Sayles Global Multi Asset Income Fund | R/D (USD) | 4 janvier 2021 | USD | 0,541 |
| Loomis Sayles Global Multi Asset Income Fund | R/D (USD) | 1 er  avril 2021 | USD | 0,490 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | 4 janvier 2021 | USD | 0,267 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | 1 er  février 2021 | USD | 0,093 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | 1 er  mars 2021 | USD | 0,198 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | 1 er  avril 2021 | USD | 0,238 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | 3 mai 2021 | USD | 0,190 |
| Loomis Sayles Global Multi Asset Income Fund | R/DM (USD) | 1 er  juin 2021 | USD | 0,247 |
| Loomis Sayles Global Multi Asset Income Fund | RE/D (USD) | 4 janvier 2021 | USD | 0,441 |
| Loomis Sayles Global Multi Asset Income Fund | RE/D (USD) | 1 er  avril 2021 | USD | 0,355 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | 4 janvier 2021 | USD | 0,226 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | 1 er  février 2021 | USD | 0,053 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | 1 er  mars 2021 | USD | 0,158 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | 1 er  avril 2021 | USD | 0,199 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | 3 mai 2021 | USD | 0,150 |
| Loomis Sayles Global Multi Asset Income Fund | RE/DM (USD) | 1 er  juin 2021 | USD | 0,204 |


### Note 16 – COMPARTIMENTS LIQUIDÉS
Le Dorval Lux Convictions Fund a été liquidé le 6 avril 2021. Le Compartiment liquidé a conservé des liquidités pour payer les factures dues après liquidation à divers prestataires de services. Au 30 juin 2021, le Dorval Lux Convictions Fund détenait 37 704 EUR.
Le Harris Associates Concentrated U.S. Equity Fund a été liquidé le 9 avril 2021. Le Compartiment liquidé a conservé des liquidités pour payer les factures dues après liquidation à divers prestataires de services. Au 30 juin 2021, le Harris Associates Concentrated U.S. Equity Fund détenait 59 726 USD.
Le Seeyond Asia MinVol Equity Income Fund a été liquidé le 28 mai 2021. Le Compartiment liquidé a conservé des liquidités pour payer les factures dues après liquidation à divers prestataires de services. Au 30 juin 2021, le Seeyond Asia MinVol Equity Income Fund détenait 9 568 USD.

### Note 17 – ÉVÉNEMENTS SIGNIFICATIFS SURVENUS AU COURS DE LA PÉRIODE
Un nouveau prospectus est entré en vigueur en mars 2021. On peut récapituler comme suit les principaux changements qu’il présente :
- Ajout de nouveaux Fonds : le Thematics Wellness Fund et le WCM Select Global Growth Equity Fund ;
- Inclusion de divulgations supplémentaires applicables à tous les compartiments pour assurer la conformité avec le SFDR (niveau I) ;
- Création des classes d’Actions R et RE au sein du Loomis Sayles Sustainable Global Corporate Bond Fund ;
- Le changement de dénomination de Loomis Sayles Institutional Global Corporate Bond Fund en Loomis Sayles Sustainable Global Corporate Bond Fund a pris effet le 26 avril 2021 ;
- Suppression de Dorval Asset Management des Gestionnaires Financiers (suite à la liquidation du Dorval Lux Convictions Fund géré par Dorval Asset Management) ;
- Suppression du profil du Harris Associates Concentrated U.S. Equity Fund (liquidé le 9 avril 2021), du Loomis Sayles Institutional High Income Fund (liquidé le 13 janvier 2021) et du Dorval Lux Convictions Fund (liquidé le 6 avril 2021).


### Note 17 – ÉVÉNEMENTS SIGNIFICATIFS SURVENUS AU COURS DE LA PÉRIODE (suite)
La pandémie de Covid-19 a entraîné une hausse de la volatilité sur tous les marchés financiers. La Société de gestion surveille actuellement la situation et, avec le soutien des Gestionnaires Financiers par Délégation, continue de gérer les actifs du Fonds à compartiments multiples dans le cadre des paramètres d’investissement et de risque qui ont été établis. La Société de gestion continuera d’examiner la situation afin de guider le Fonds à compartiments multiples à travers cette période d’incertitude accrue.
Le Fonds à compartiments multiples n’a subi l’influence d’aucun autre événement important durant la période close le 30 juin 2021.

### Note 18 – ÉVÉNEMENTS POSTÉRIEURS AU BILAN
Le processus de liquidation du Natixis Multi Alpha Fund a débuté le 22 juillet 2021. Il n’y a aucun autre événement postérieur au bilan à déclarer au 30 juin 2021.
Annexe I
Informations complémentaires
Le Règlement sur les opérations de financement sur titres introduit des exigences de déclaration relatives aux opérations de financement de titres (« OFT ») et aux swaps de taux de rendement total (ou Total Return Rate Swaps).
Une Opération de financement sur titres (OFT) est définie comme suit par l’article 3 (11) de ce Règlement :
- contrat de rachat/mise en pension
- opération de prêt ou d’emprunt de titres ou de matières premières
- transaction d’achat-revente ou une transaction de vente-rachat
- opération de prêt avec appel de margeAu 30 juin 2021, le Fonds détenait des Total Return Rate Swaps comme un type d’instruments entrant dans le champ d’application du Règlement sur les OFT.
- Données globalesLe montant des actifs pour l’ensemble des OFT au 30 juin 2021 est le suivant :Loomis Sayles Global Emerging Markets Equity Fund

| Type d’actif |  | Montant | % de la VNI |
| --- | --- | --- | --- |
| Swaps de taux sur rendement total | $ | 236 292 | 1,53 % |

- Données sur la réutilisation des garantiesIl n’y a eu aucune réutilisation de garanties au cours de la période close le 30 juin 2021.

Il n’y a eu aucun réinvestissement de garantie en espèces au cours de la période close le 30 juin 2021.
- Données sur la concentrationAu 30 juin 2021, il n’y avait pas de titres ou de matières premières reçus en garantie concernant des swaps de taux de rendement total.

Les dix contreparties les plus importantes sur l’ensemble des OFT et des swaps de taux de rendement total au 30 juin 2021 sont les suivantes :
Loomis Sayles Global Emerging Markets Equity Fund
| Type de titre | Contrepartie |  | Montant |
| --- | --- | --- | --- |
| Swaps de taux sur rendement total | Goldman Sachs | $ | 161 510 |
|  | Morgan Stanley | $ | 74 782 |

- Conservation des garanties reçuesIl n’y avait pas de garantie en titres ou en espèces reçues pour des swaps de taux de rendement total au 30 juin 2021.
- Conservation des garanties octroyéesLa garantie en espèces suivante a été accordée pour des swaps de taux de rendement total au 30 juin 2021 :Loomis Sayles Global Emerging Markets Equity Fund

| Type de garantie | Contrepartie |  | Montant |
| --- | --- | --- | --- |
| Liquidités | Goldman Sachs | $ | 330 000 |

Annexe I (suite)
Informations complémentaires (suite)
- Rendement/coûtLe rendement et le coût de chaque type d’OFT et de swaps de taux de rendement total pour la période close le 30 juin 2021 sont les suivants :Swaps de taux sur rendement total

| Rendements* |  | Montant | % des rendements globaux** |
| --- | --- | --- | --- |
| Au Fonds | $ | 356 878 | 100 % |

Loomis Sayles Global Emerging Markets Equity Fund
| Coûts* |  | Montant | % des rendements globaux** |
| --- | --- | --- | --- |
| Au Fonds | $ | 10 249 | 100 % |

* Les rendements (coûts) sont identifiés comme les plus-values (moins-values) réalisées, la variation des plus-values (moins-values) latentes sur les swaps de taux de rendement total au cours de la période considérée.
** Tous les gains provenant des transactions sur dérivés de gré à gré reviennent au Portefeuille et ne sont soumis à aucun accord de partage de gains avec le gestionnaire du Portefeuille ou tout autre tiers.
- Données globales sur les transactionsLes données globales sur les transactions sur les garanties (y compris les espèces) reçues au titre de l’ensemble des OFT et des swaps de taux de rendement total au 30 juin 2021 sont les suivantes :Loomis Sayles Global Emerging Markets Equity Fund

| Type de garantie | Date |  | Montant |
| --- | --- | --- | --- |
| Liquidités | S/O | $ | 330 000 |

Pays dans lequel les contreparties pour les swaps de taux de rendement total sont établies :
Loomis Sayles Global Emerging Markets Equity Fund
| Contrepartie | Pays |
| --- | --- |
| Goldman Sachs | États-Unis |
| Morgan Stanley | États-Unis |

Les mécanismes de règlement et de compensation des OFT et des swaps de taux de rendement total au 30 juin 2021 sont les suivants :
Loomis Sayles Global Emerging Markets Equity Fund
| Règlement et compensation |  | Montant |
| --- | --- | --- |
| Bilatéral | $ | 330 000 |