# EDGAR Filing Document

**Accession Number:** 0000872649
**File Stem:** 0001193125-23-055507
**Filing Date:** 2023-3
**Character Count:** 976739
**Document Hash:** 28e1eff1f694f1db70cd0a52c7ff3ad1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-055507.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001193125-23-055507

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 20

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**EFFECTIVENESS DATE**: 20230301

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **CENTRAL INDEX KEY:** 0000872649
- **IRS NUMBER:** 043113285
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06241
- **FILM NUMBER:** 23690733

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **DATE OF NAME CHANGE:** 20031119

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS
- **DATE OF NAME CHANGE:** 20031015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **DATE OF NAME CHANGE:** 20030718

## Series and Classes Contracts Data

### Loomis Sayles High Income Fund (Series ID: S000006700)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000018231 | Class A      | NEFHX           |
| C000018233 | Class C      | NEHCX           |
| C000069253 | Class Y      | NEHYX           |
| C000175112 | Class N      | LSHNX           |

### Loomis Sayles Investment Grade Bond Fund (Series ID: S000006701)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000018234 | Class A      | LIGRX           |
| C000018236 | Class C      | LGBCX           |
| C000018238 | Class Y      | LSIIX           |
| C000082998 | Admin Class  | LIGAX           |
| C000125485 | Class N      | LGBNX           |

### Loomis Sayles Strategic Income Fund (Series ID: S000006706)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000018251 | Class A      | NEFZX           |
| C000018253 | Class C      | NECZX           |
| C000018254 | Class Y      | NEZYX           |
| C000082999 | Admin Class  | NEZAX           |
| C000125487 | Class N      | NEZNX           |

### Loomis Sayles International Growth Fund (Series ID: S000070337)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000223746 | Class Y      | LIGYX           |
| C000223747 | Class A      | LIGGX           |
| C000223748 | Class C      | LIGCX           |
| C000223749 | Class N      | LIGNX           |

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**UNITED STATES** 

**SECURITIES AND EXCHANGE COMMISSION** 

**Washington, D.C. 20549** 

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**FORM N-CSR** 

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**CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

**MANAGEMENT INVESTMENT COMPANIES** 

**Investment Company Act file number: 811-06241** 

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## Loomis Sayles Funds II
**(Exact name of Registrant as specified in charter)** 

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**888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197** 

**(Address of principal executive offices) (Zip code)** 

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**Susan McWhan Tobin, Esq.** 

**Natixis Distribution, LLC** 

**888 Boylston Street, Suite 800** 

**Boston, Massachusetts 02199-8197** 

**(Name and address of agent for service)** 

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**Registrant's telephone number, including area code: (617) 449-2139** 

**Date of fiscal year end: December 31** 

**Date of reporting period: December 31, 2022** 

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**Item 1. Reports to Stockholders.** 

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

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![LOGO](g370882g93h10.jpg)

![LOGO](g370882g44v19.jpg)

## Annual Report
December 31, 2022

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

**Table of Contents** 

---

| | |
|:---|:---|
| [Portfolio Review](#wrpcov370882_1) | 1 |
| [Portfolio of Investments](#wrpcov370882_2) | 32 |
| [Financial Statements](#wrpcov370882_3) | 43 |
| [Notes to Financial Statements](#wrpcov370882_4) | 74 |

---

![LOGO](g370882g30s39.jpg)

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LOOMIS SAYLES INTERNATIONAL GROWTH FUND

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| | | |
|:---|:---|:---|
| Manager | Symbols |  |
| Aziz V. Hamzaogullari, CFA® | Class A | LIGGX |
| *Loomis, Sayles & Company, L.P.* | Class C | LIGCX |
|  | Class N | LIGNX |
|  | Class Y | LIGYX |

---

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Investment Goal

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

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Market Conditions

The international markets experienced negative returns and high volatility in 2022. Persistently high inflation prompted the US Federal Reserve (Fed) and other major world central banks to raise interest rates aggressively throughout the year, fueling worries about the potential for a recession and a corresponding decline in corporate earnings in 2023.

Russia's invasion of Ukraine may have weighed on stocks, as well. The conflict exacerbated supply chain disruptions, led to a spike in energy prices in the first half of the year, and dampened growth across Europe. These factors contributed to underperformance for the European markets versus the broader international equity indexes, but the Asia-Pacific region — which was more insulated from the effects of the invasion — outperformed.

Events in China were an additional source of concern. The government's continued regulatory focus and zero-Covid policy hindered growth in the country, leading to a significant downturn in the nation's market over the first ten months of the year. Since China is heavily represented in the major emerging market indexes, its weakness depressed the headline return of the broader asset class.

Currency translation was an additional headwind for US investors. Most developed and emerging market currencies declined sharply in the first ten months of the year, exacerbating the losses for equities. Stocks and foreign currencies both rallied in November and December, however, significantly reducing the extent of the losses for the full year.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles International Growth Fund returned -17.50% at net asset value. The Fund underperformed its benchmark, the MSCI All Country World Index ex USA Index (Net), which returned -16.00%.

Explanation of Fund Performance

We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Given the rare confluence of quality, growth, and valuation, we may study dozens of companies but may only invest in a select few businesses each year. We believe identifying those few businesses with such characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30–45 names.

The Fund's positions in Adyen, MercadoLibre, and Tencent detracted the most from performance. Stock selection in the information technology, industrials, and communication services sectors, as well as our allocations in the information technology, energy, consumer discretionary, and communication services sectors, detracted from relative performance.

Adyen is a global merchant acquisition and payment solutions provider based in Amsterdam. Adyen was founded in 2006 to serve as a next-generation, integrated provider of payment solutions to merchants, and today the company supports over 250 payment methods globally across online, mobile, and point-of-sale (POS) transactions for clients that include Facebook, McDonald's, Microsoft, Netflix, and Uber. We believe Adyen's strong and sustainable competitive advantages include its single, global platform and a high profile client base with which it has built lasting relationships. A Fund holding since inception, Adyen reported financial results during the year that reflected strong fundamentals, including continued market share gains and revenue growth that was well above our long-term assumptions for the company. However, the company's most recent financial report for the first half of 2022 was below consensus expectations for revenues and profitability. We believe Adyen remains a high quality company with sustainable competitive advantages and secular growth opportunities that are not reflected in its current share price. Existing clients accounted for over 80% of Adyen's strong double-digit sales growth in its most recent report — stemming from both organic growth at underlying clients and Adyen's capture of increasing share — and client retention based on payment volumes remained above 99%. We believe the secular

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shift to electronic-based payments from traditional paper-based systems represents the most significant growth driver for Adyen. While Adyen has been growing substantially faster than the leading global acquirers over the past few years, the company still captures only a small percentage of overall industry volumes estimated at approximately 1%. We believe a combination of industry- and company-specific factors will enable Adyen to continue to grow at more than twice the rate of growth in the overall payments industry over our long-term investment horizon. We also expect Adyen to benefit from the high incremental margins of its business, contributing to margin expansion and cash flow growth in excess of 20% over our forecast period. We believe Adyen's strong growth prospects are not currently reflected in its share price. As a result, we believe the company's shares are trading at a meaningful discount to our estimate of intrinsic value, offering an attractive reward-to-risk opportunity.

MercadoLibre is the largest online commerce platform in Latin America. The company offers its users an ecosystem of six integrated e-commerce services that include its marketplace, payment and fintech solutions, shipping and logistics, advertising, classified listings, and merchant web services. The company operates in 18 countries representing the vast majority of Latin American GDP, and its 140 million active users in 2021 represented over 30% of the region's estimated 450 million internet users. We believe MercadoLibre benefits from strong and sustainable competitive advantages that include its network and ecosystem, brand, and understanding of local markets that collectively contribute to its leadership position in each market it serves. A Fund holding since inception, during the reporting period, the company delivered strong revenue growth that was generally above consensus expectations, driven by growth in gross merchandise volume and payments, and continued market share gains in both e-commerce and payments. Growth was notable because it follows strong pandemic-fueled growth in the prior year period and reflects the high value proposition to consumers. Despite strong fundamental performance, the company's shares were volatile as a result of the weak market backdrop during the period. MercadoLibre remains in an elevated investment cycle to build out a more powerful ecosystem focused on greater product selection, easier payment options, wider credit availability, and lower cost and faster speed of delivery. While these investments have impacted near-term profitability, we believe they have contributed to market share gains in e-commerce and payments and a stronger competitive position, and operating income and margins were generally above expectations during the period. We believe management remains focused on balancing the investments needed to further improve user experience and extend the company's leadership in e-commerce and payments, while maintaining a sustainable and profitable financial model. With continued growth in internet access, increasing availability of credit, and the company's continuing investments to improve the ease and convenience of transacting online, we believe MercadoLibre remains well positioned for sustained growth over the next decade, driven by the secular growth of e-commerce across Latin America. Over our forecast period, we believe the penetration of e-commerce can more than double, which would bring the penetration rate into the mid-20% level. We believe the current market price embeds expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions. As a result, we believe the shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.

Tencent Holdings is one of the largest internet services companies in China and globally, offering a wide array of value-added services that span social networking and communication, gaming, media and entertainment, and e-commerce and local services. We believe Tencent's strong and sustainable competitive advantages include its massive network and ecosystem, distribution, scale, and brand which collectively contribute to high barriers to entry for potential competitors. The company's leading social and communication platforms, Weixin/WeChat and QQ, which attract approximately 1.3 billion and 550 million monthly active users, respectively, represent a significant portion of mobile internet users in China, as well as a significant amount of time spent in consumption of internet services. Through an open platform with services provided both by Tencent and by third-party providers, the company has created a one-stop "super app" that has become deeply embedded in the lives of its users – spanning communication, social media, gaming, media consumption, online and offline payments, and wealth management. As a result of its massive internet user base, Tencent has a distribution advantage in reaching consumers. The company has advantaged insights into how users are spending their time, which facilitates its ability to promote products and services to a targeted audience and lowers client acquisition costs relative to competitors. This distribution advantage would be difficult to replicate and is reflected in the company's leading market positions in gaming, news, payments, music, and video. A Fund holding since inception, Tencent reported financial results during the year that were generally mixed-to-below consensus expectations and impacted by both cyclical and regulatory pressures. A combination of ongoing regulation, weakness in Chinese consumer spending, and the resurgence of Covid impacted a number of the company's key businesses. While the company is operating in a challenging near-term environment, we believe Tencent's leading digital enterprise and consumer platforms remain structurally well positioned for long-term growth and benefit from strong and sustainable competitive advantages that stem from Tencent's network, distribution, brand and scale. We believe Tencent is one of the best-positioned companies in the China internet services industry. We believe the near-term uncertainty regarding the regulatory and economic environment does not change the long-term fundamentals; as a leading consumer platform provider, we believe the structural expansion of internet users in China will position Tencent to benefit from multiple secular growth drivers, including gaming, media, advertising, payments, and cloud-computing growth. We believe Tencent's strong growth prospects are not currently reflected in its share price. As a result, we believe the company's shares are trading at a significant discount to our estimate of intrinsic value, offering a compelling reward-to-risk opportunity. We took advantage of near-term price weakness to add to our position during the period.

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LOOMIS SAYLES INTERNATIONAL GROWTH FUND

The Fund's positions in Trip.com, Novo Nordisk, and Vipshop contributed the most to performance. Stock selection in the consumer discretionary, healthcare, energy, and consumer staples sectors, along with our allocations in the consumer staples, healthcare, and industrials sectors, contributed positively to relative performance.

China-based Trip.com (TCOM), formerly known as Ctrip, is the world's largest global travel platform. Founded in 1999, the company offers a comprehensive, integrated platform on which travelers can make arrangements for lodging, transportation, packaged tours and other related services; they also provide corporate travel management services. The company provides its services in China through its Ctrip and Qunar platforms and serves non-Chinese customers primarily thorough Trip.com and Skyscanner. We believe Trip.com's strong and sustainable competitive advantages include the power of its network and ecosystem, its scale, and leading brands. As an early mover in the fragmented China travel industry, the company has built the leading network of travelers and travel partners over the past twenty years. The company has over 400 million worldwide users that are attracted to its leading share of inventory in hotels, ticketing services, and vacation packages. As more travelers come to its sites, more travel providers wish to come and vice versa. The company's scale serves to strengthen the power of its network and ecosystem. Trip.com is the clear leader in the China online travel agent (OTA) market with approximately 50% market share, which is greater than two times the next largest competitor, Meituan. Scale also enables the company to invest more in products, service, and brand than its smaller competitors. Collectively, we believe these competitive advantages would be very difficult for a competitor to replicate. A Fund holding since inception, Trip.com reported financial results over the past year that were above consensus expectations, despite being significantly impacted by Covid-19 and related restrictions that reduced Chinese travel, both domestically and abroad. Investors may have responded positively to the stronger-than-expected results, strong cost management during a period of cyclical weakness, and optimism regarding the Chinese government's easing of Covid-related restrictions. While financial results have been pressured during this period, we believe that structural growth will resume in 2023 as China eases its controls and reopens its borders. As the leading global travel platform and largest in China, we believe Trip.com is well positioned to benefit from long-term growth in travel expenditures by consumers and business travelers in China. We believe that the impact of Covid-19 on travel is temporary, and that the structural drivers of growth remain intact. Apart from the near-term impact of Covid-19, the company has been reinvesting significantly in the business, depressing operating margins relative to history. As these investments moderate, we believe the company can generate structural operating margins in the low-20% range. We believe the company's share price embeds expectations for key revenue and cash flow metrics that are substantially below our long-term assumptions. As a result, we believe the company's shares are trading at a significant discount to our estimate of intrinsic value and offer a compelling reward-to-risk opportunity.

Headquartered in Denmark, Novo Nordisk is a global healthcare company with nearly 100 years of innovation and leadership in diabetes care. Over this time, Novo has amassed unparalleled experience in the biology of diabetes, along with expertise in protein science, and developed significant competitive advantages as a result. Its diabetes products have captured almost one-third of the global branded diabetes care market, which, along with its first-mover position in related obesity therapies, accounts for over 85% of the company's annual revenues. In its rare disease (formerly biopharmaceutical) business segment, which represents almost 15% of annual revenues, Novo Nordisk has leading positions within hemophilia care, growth hormone therapy, and hormone replacement therapy. We believe Novo's strong and sustainable advantages include its deep experience in diabetes care and therapeutic proteins, strong infrastructure that took decades to build, efficient manufacturing techniques, robust pipeline, and economies of scale. A Fund holding since inception, Novo reported solid operating results throughout the period that were generally ahead of consensus expectations and reflected a rebound in activity that was depressed in the prior-year period due to Covid-19. Due to strong results, the company raised its full-year 2022 revenue and operating profit guidance on multiple occasions, from an expectation of mid-to-high single-digit growth to low-teens growth. In particular, growth has been led by the company's GLP-1 class of therapies — a quickly growing class of non-insulin anti-diabetic treatments that can postpone the need for insulin for two to four years. Novo's class-leading Ozempic, a once-weekly therapy with comparable safety and superior efficacy to existing therapies, is capturing almost 40% of new-to-market patients and contributed to greater penetration of the GLP-1 market as well as share gains from its leading competitor. Sales of Rybelsus, an oral version of Ozempic and the company's newest GLP-1 innovation launched in late 2019, grew 120% year over year in constant currency, contributing to the company's greater than 50% total GLP-1 market share. In addition to targeting diabetes with its GLP-1s, in 2021, Novo received approval for semaglutide (the same molecule behind Ozempic and Rybelsus) in the obesity setting under the brand name Wegovy. While Novo is navigating operational challenges that have limited the initial production of Wegovy, the company is seeing robust early demand and expects supply constraints will begin to abate following a relaunch of the therapy in December 2022. Diabetes is a global epidemic with an estimated population of 530 million. The market has been growing annually in the low double digits over the last ten years, driven by aging of the global population and increasing obesity. We believe Novo's deep experience in diabetes care, differentiated product suite, and leading innovation should enable the company to grow revenues in the mid-single digits over our long-term investment horizon, with faster growth in free cash flow. We believe the company's shares continue to sell at a meaningful discount to our estimate of intrinsic value and offer an attractive reward-to-risk opportunity.

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Vipshop is a specialty internet retailer focused on off-season, off-price apparel and fashion items which it sells via flash sales. Founded in 2008 with the vision of introducing high quality, branded fashion merchandise to the China market at value prices, the company is by far the largest flash retailer in China, and the largest player in the off-season, off-price category. In 2021, the company generated over $18 billion in net revenues across its core categories, and today the company is the 5th largest overall retailer in China. We believe that Vipshop creates a strong value proposition for end customers and vendors alike, which in turn creates a strong network effect that has been difficult to replicate even by the largest e-commerce companies in China. A Fund holding since inception, Vipshop reported better-than-expected profitability throughout the period, despite significant ongoing topline pressure as the Chinese market continued to be impacted by weak consumer demand amidst prolonged Covid-19 outbreaks, lockdowns, and restrictions. Despite this, the company appears to be maintaining market share in its core apparel-related business which accounts for approximately two-thirds of its revenues, even while experiencing greater competitive pressure in its non-core, general merchandise categories. We believe that Vipshop remains a high-quality business benefiting from competitive advantages of brand, scale, and a positive network effect that should enable it to expand its market share as the leading discount branded apparel retailer in China. While the Covid-19 outbreak and the associated travel restrictions and their impact on consumer confidence pressured sales over the past year, especially in the company's smaller physical retail footprint, we believe the company's competitive position in its core off-price apparel and accessories business remains intact, and that Vipshop will continue to benefit from structural growth in China consumption and e-commerce where it has a strong and defensible position in the off-season, off-price niche in which it competes. We believe the current market price embeds expectations for free cash flow growth that are well below our long-term assumptions. With its shares trading at a significant discount to our estimate of intrinsic value, we believe Vipshop offers a compelling reward-to-risk opportunity.

All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur. During the period we initiated new positions in Block, Doximity, Shopify, and Tesla. We added to our existing holdings in Fanuc and Tencent. We trimmed our existing positions in Novartis, Roche, Sodexo, and Unilever. We sold our positions in Core Laboratories and Schlumberger.

Outlook

Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. The Fund ended the year with overweight positions in the consumer staples, consumer discretionary, healthcare, information technology, and communication services sectors and was underweight in the industrials sector. We had no exposure to stocks in the financials, materials, energy, utilities, or real estate sectors. From a geographic standpoint we were overweight in emerging markets and Europe and underweight in developed Asia and North America.

Top Ten Holdings as of December 31, 2022

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| | | |
|:---|:---|:---|
|  | Security Name | % of<br>Net Assets |
| 1 | WiseTech Global Ltd. | 5.59% |
| 2 | Novo Nordisk A/S, Class B | 5.54 |
| 3 | Tencent Holdings Ltd. | 5.07 |
| 4 | MercadoLibre, Inc. | 4.41 |
| 5 | Novartis AG (Registered) | 4.29 |
| 6 | Roche Holding AG | 4.20 |
| 7 | Ambev S.A. ADR | 4.17 |
| 8 | Trip.com Group Ltd. ADR | 4.08 |
| 9 | Kweichow Moutai Co. Ltd., Class A | 3.94 |
| 10 | Nestle S.A. (Registered) | 3.90 |

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The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

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LOOMIS SAYLES INTERNATIONAL GROWTH FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>3</sup>

December 15, 2020 (inception) through December 31, 2022

![LOGO](g370882g00u01.jpg)

Average Annual Total Returns — December 31, 2022<sup>3</sup>

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| | | | | |
|:---|:---|:---|:---|:---|
|  | 1 Year | Life of<br> Fund | Expense Ratios<sup>4</sup> | Expense Ratios<sup>4</sup> |
|  | 1 Year | Life of<br> Fund | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y (Inception 12/15/20) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -17.50% | -10.09% | 2.46% | 0.95% |
| &nbsp;&nbsp;&nbsp;Class A (Inception 12/15/20) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -17.71 | -10.33 | 2.71 | 1.20 |
| &nbsp;&nbsp;&nbsp;*With 5.75% Maximum Sales Charge* | -22.41 | -12.89 |  |  |
| &nbsp;&nbsp;&nbsp;Class C (Inception 12/15/20) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -18.30 | -10.99 | 3.46 | 1.95 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -19.11 | -10.99 |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 12/15/20) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -17.47 | -10.06 | 1.58 | 0.90 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |
| &nbsp;&nbsp;&nbsp;MSCI ACWI ex USA Index (Net)<sup>2</sup> | -16.00 | -3.61 |  |  |

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

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

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

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

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|:---|:---|
| 4 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

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NATIXIS OAKMARK FUND

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| | |
|:---|:---|
| Managers | Symbols |
| William C. Nygren, CFA<sup>®</sup> | Class A NEFOX |
| Robert F. Bierig\* | Class C NECOX |
| M. Colin Hudson, CFA<sup>®</sup>\*\* | Class N NOANX |
| Michael J. Mangan, CFA<sup>®</sup>, CPA | Class Y NEOYX |
| Michael A. Nicolas, CFA<sup>®</sup> |  |
| *Harris Associates L.P.* |  |

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\* Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

\*\* Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

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Investment Goal

The Fund seeks long-term capital appreciation.

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Market Conditions

The fourth quarter saw a recovery in US equity markets with all three major indexes finishing higher following declines in the first three quarters of the year. Energy continued to outperform in the fourth quarter, along with industrials, materials and financials, while consumer discretionary and communication services were the two sectors to have negative absolute returns. Also in the fourth quarter, the US Dollar Index declined by over 7.5% after five consecutive quarters of gains. WTI crude ended the year near $80, which was around its level at the beginning of 2022 and prior to Russia's invasion of Ukraine and the subsequent increase in energy prices.

Investors' primary focus throughout the year appeared to be on the Federal Reserve and its efforts to tighten financial conditions, primarily through increases to the federal funds rate and quantitative tightening. The size of rate hikes slowed in December to 50 basis points, following a streak of 75 basis point increases in June, July, September and November. Some recent economic indicators have offered reason for optimism for those expecting the Fed to pivot, such as lower commodity prices and lower than expected inflation numbers. However, unemployment remains resilient at below 4% and the latest Consumer Price Index for November came in at 7.1% year-over-year, significantly above the Federal Reserve's 2% target.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Natixis Oakmark Fund returned -13.10% at net asset value. The Fund outperformed its benchmark, the S&P 500<sup>®</sup> Index, which returned -18.11%.

Explanation of Fund Performance

As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute-return basis, the energy sector gained the most value, while holdings in the communications services sector lost the most value.

The largest contributors to Fund performance for the year were EOG Resources and APA Corporation. While energy price increases have helped companies across the sector this year, EOG Resources has also operated well on a fundamental basis, in our view. Second-quarter results showed that EOG is growing production without a disproportionate capital expense increase, which we see as evidence that management's efficiency measures are working. Second-quarter production grew 11% from a year earlier and capital expenditures rose 14%; both metrics were better than market expectations. The company later reported a strong set of third-quarter results, in our view. Revenue of $7.59 billion surpassed consensus expectations of $6.26 billion, production grew 9% year-over-year, and capital expenditures were 6% below consensus expectations. Capital expenditures increased faster than production due to inflation, higher growth and additional exploration; however, full-year figures were within initial guidance. EOG also announced the discovery of a new opportunity in the Ohio Utica Basin by using learnings from decentralized teams across multiple basins to enter an overlooked opportunity. The company quietly amassed 395,000 acres for more than $500 million, acquired around 20 legacy wells for data, and drilled four initial wells to confirm their reservoir model. Management said the initial wells would qualify as double premium with longer laterals, and Utica wells could have the same oil recovery as the Delaware Basin, which we believe would be a great win. We continue to like the effectiveness of the company's management team.

APA Corporation finished higher alongside rising energy prices early in the year, even though fourth-quarter results were generally below consensus estimates, which we attributed mainly to cost inflation weighing on free cash flow (FCF). Management guided to $6.5 billion of cumulative free cash flow over the next three years, each at strip prices with 5% annual growth. The company also announced a successful oil discovery at its new Krabdagu prospect. We believe if the well is of the same quality as the nearby Sapakara

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NATIXIS OAKMARK FUND

well, it is likely to result in a fast-tracked final investment decision for a large development hub in the area. Later in the first quarter, APA announced it closed on two transactions totaling around $1 billion in net proceeds. More recently, third-quarter results from APA were good, in our assessment. Total revenue of $2.89 billion, adjusted earnings (EBITDAX)<sup>\*</sup> of $1.69 billion and adjusted earnings per share of $1.97 all exceeded market expectations. More importantly, revenue rose 40% year-over-year and EBITDAX advanced 46%, while adjusted earnings per share doubled from a year earlier. We were pleased that drilling operations in both the Permian Basin and Egypt are accelerating, which eased concerns about sluggish second-quarter performance. Management expects $2.7 billion of total FCF in 2022 (a 19% FCF yield) and expects further growth in 2023 even at flat commodity prices. We found it impressive that over the last two years APA has reduced its net debt from $8.9 billion to $4.9 billion. Furthermore, during the most recent two-year period the company repurchased almost 20% of its share base and it continues with its buyback efforts. Management repurchased 10 million shares (3% of shares outstanding) in the third quarter and plans to repurchase another $520 million worth of shares (another 3%) in the fourth quarter. The company also announced the quarterly dividend would double to an annualized rate of $1.00 per share. We remain pleased with APA's fundamental performance.

The largest detractors to Fund performance for the year were Meta Platforms and Ally Financial. The share price of Meta Platforms declined throughout the year as the company faced several challenges. Investors proved disappointed by Meta Platforms' fourth-quarter earnings report and its share price fell over 20% following its release. Management pointed to new regulation in Europe and Apple iOS changes as a $10 billion headwind for personalized advertisements. The company also reported its first decline in daily active users for Facebook, which we believe was attributable to the size of the existing base and the number of users pulled forward during the Covid-19 pandemic. Management emphasized its focus on generating revenue from its fastest growing content format, Reels, a competitor to TikTok. The company believes the transition from stories to Reels will be similar to the transition from feed to stories in 2018 and expressed encouragement from early results. Late in April, Meta delivered a disappointing earnings report for the first quarter and guidance for the second quarter. The company reduced its expense guidance for the year, suggesting that much of the spend is highly discretionary, and daily active users on its platforms accelerated sequentially by 50 million in the second quarter versus 10 million in the first quarter. Meta reported a 1% decline in second-quarter revenue, in line with its guidance and consensus expectations. Core margins (ex-Reality Labs) came in at 39%, or 29% including the $2.8 billion loss from Reality Labs, which has lost $5.8 billion year to date. Cyclical weakness in advertising budgets, which worsened sequentially; the lingering impacts from Apple's ad tracking changes; and higher engagement in Reels all weighed on results**.** Reels represented 20% of time spent on Instagram alone last quarter, and management said they saw a 30% increase in engagement on both Instagram and Facebook sequentially.

We spoke with Meta Platforms' CFO Susan Li following the company's third-quarter earnings report. After our discussion, we believe the core platform remains healthy, as evidenced by engagement and time spent remaining strong. While IDFA (identifier for advertisers) pressured growth this year, results show the company is lapping the impact from that headwind. Reels monetization is showing rapid growth, and we believe organic revenue trends look set to improve both next year and beyond. Expense management is becoming more disciplined, but we believe there remains work to be done. The company is finding more cost-cutting opportunities, and we were told CEO Mark Zuckerberg is increasingly focused on core profitability given the mounting pressure both external and internal. Despite this, the company is committed to ramping up capital spend for the time being. Li believes the increase in Artificial Intelligence spending is paying off, but it is still early in the process. She said the pace of spending will be governed by the returns it generates, and the company should benefit through improved ad effectiveness, engagement, and content editing and creation capabilities, among others. As for the Reality Labs segment, management sees this spend intrinsically tied to the success of the core platforms as they prepare for the potential next computing platform. In our view, the company has a very profitable core business paired with a large amount of growth capital spend and a bet on a potentially large new business opportunity that has an uncertain timeframe and probability of success. While the lack of expense discipline has lowered our estimate of intrinsic value, we continue to believe the company is undervalued at its current price.

First-quarter results from Ally Financial were impressive, in our view, as reported return on tangible common equity was nearly 24% and earning asset yields rose 11 basis points sequentially while funding costs declined 4 basis points, resulting in a near 4% net interest margin. Management believes it will generate a roughly 20% return on tangible common equity on a full-year basis and reiterated their 16%-18% target for 2023 and onward. We recognize that the inevitable normalization of credit, which continues to remain tame and below normal levels, combined with weakening used car prices and potential deposit rate pressure could eventually make the operating environment more challenging. CFO Jenn LaClair remains very optimistic and believes Ally will have some natural hedges in place to partially offset used car price declines. Second-quarter revenue was slightly better than market expectations, while earnings per share fell short of projections by about 4%. In terms of absolute earnings, the company's results were again above trend with a reported return on tangible common equity of 23%. Earning asset yields rose by 25 basis points and repriced higher than funding sources in the second quarter, which drove the net interest margin to an impressive 4.06%, an increase of 49 basis points year-over-year. Following the earnings release, we met with CEO Jeff Brown and Jenn LaClair and discussed the company's competitive advantage in auto

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<sup>\*</sup> EBITDAX stands for Earnings Before Interest, Taxes, Depreciation, Amortization, and Exploration Expense. It is an indicator of financial performance that is used when reporting earnings, specifically for oil and mineral exploration.

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lending. Loan receivables from retail auto borrowers grew faster than the industry in the second quarter, which management attributed to an expanded dealer count (+20% over the past few years) and higher application flow as well as from what they consider to be extremely attractive risk-adjusted returns.

The company reported third-quarter results with revenue and adjusted earnings per share that both undershot market expectations. Revenue rose about 2% from last year to $2.02 billion, while adjusted earnings per share fell by nearly half. Just prior to the earnings release, LaClair stepped down from her role as CFO and will now be a senior operating adviser. Bradley Brown, who had been the corporate treasurer since 2013, will serve as interim CFO. Upon review of the third-quarter earnings report, we observed that earning asset yields continue to improve and accelerated by 50 basis points quarter-over-quarter to 5.59%. However, funding costs increased 77 basis points from last year with deposit costs roughly doubling from 0.76% to 1.58%, which caused the net interest margin to contract by 23 basis points to 3.81%. In addition, auto loan originations were down 8% sequentially from last quarter and unchanged from last year. We spoke with Ally's management team and discussed the company's auto loan activity. While management expects lower current year retail auto loan balances than in pre-pandemic years, the company foresees a recovery upon the normalization of vehicle inventories. Also, Jeff Brown stated that Ally continues to be disciplined in its underwriting standards, which should protect against significant downside effects if the economy slows dramatically. Despite these near-term challenges, we find this company is poised to offer shareholder rewards moving forward.

Outlook

We believe our edge is our process for identifying undervalued businesses with growing values and good management teams and then positioning portfolios with conviction and discipline based on that process. We value companies as if they will have to weather macro-related bumps in the road without trying to be precise as to when this happens. This helps us divorce the investment decision from an attempt to time a business cycle. We believe this approach, paired with our longer time horizon and broad definition of value, enables us to uncover attractive investment opportunities during times of volatility.

Top Ten Holdings as of December 31, 2022

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| | | |
|:---|:---|:---|
|  | Security Name | % of<br>Net Assets |
| 1 | Alphabet, Inc., Class A | 3.44% |
| 2 | KKR & Co., Inc. | 3.13 |
| 3 | Wells Fargo & Co. | 2.88 |
| 4 | Oracle Corp. | 2.70 |
| 5 | Citigroup, Inc. | 2.45 |
| 6 | EOG Resources, Inc. | 2.41 |
| 7 | Capital One Financial Corp. | 2.37 |
| 8 | Willis Towers Watson PLC | 2.36 |
| 9 | APA Corp. | 2.35 |
| 10 | CBRE Group, Inc., Class A | 2.33 |

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The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

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NATIXIS OAKMARK FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>3</sup>

December 31, 2012 through December 31, 2022

![LOGO](g370882g80a01.jpg)

Average Annual Total Returns — December 31, 2022<sup>3</sup>

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Expense Ratios<sup>4</sup> | Expense Ratios<sup>4</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.10% | 7.95% | 11.93% | —% | 0.89% | 0.80% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.30 | 7.68 | 11.65 |  | 1.14 | 1.05 |
| &nbsp;&nbsp;&nbsp;*With 5.75% Maximum Sales Charge* | -18.28 | 6.41 | 10.99 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.97 | 6.87 | 10.99 |  | 1.89 | 1.80 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -14.69 | 6.87 | 10.99 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 5/1/17) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.06 | 8.07 |  | 9.84 | 1.55 | 0.75 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;S&P 500<sup>®</sup> Index<sup>2</sup> | -18.11 | 9.42 | 12.56 | 10.67 |  |  |

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

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

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| | |
|:---|:---|
| 2 | S&P 500<sup>®</sup> Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market.  |

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

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| | |
|:---|:---|
| 4 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund's expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

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NATIXIS OAKMARK INTERNATIONAL FUND

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| | |
|:---|:---|
| Managers | Symbols |
| David G. Herro, CFA<sup>®</sup> | Class A NOIAX |
| Michael L. Manelli, CFA<sup>®</sup> | Class C NOICX |
| *Harris Associates L.P.* | Class N NIONX |
|  | Class Y NOIYX |

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Investment Goal

The Fund seeks long-term capital appreciation.

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Market Conditions

Major global markets generally experienced relief in the fourth quarter after equity markets had declined meaningfully throughout the first three quarters of 2022. Conditions in markets turned more favorable as there were early signs that central bank increases in interest rates, improving supply chain conditions, and lower energy prices would lead to reductions in the level of inflation in many countries. International equities benefited from most international currencies strengthening relative to the dollar in the fourth quarter, though most major currencies still ended the year down 5%-15% versus the dollar.

The size of the US Federal Reserve's hikes to its benchmark interest rate slowed in December to 50 basis points, following a streak of 75 basis point increases in June, July, September and November. Recently, the Bank of Canada increased its benchmark rate by 50 basis points in October and December, while the European Central Bank and Bank of England both hiked their respective rates by 75 basis points in November and 50 in December. The Bank of Japan continued its accommodative policy stance on interest rates through most of the year, but surprised markets by doubling its cap on 10-year yields from 0.25% to 0.50% late in December. The Japanese central bank said the reason was to enhance the sustainability of monetary easing, but many investors speculated it to be a sign of a potential exit from its decade-long stimulus policy. As a result, the yen appreciated against other currencies and Japanese government bonds fell. Late in the year, China backpedaled from its "Zero-Covid" policy and subsequently saw a sharp increase in the number of positive Covid-19 cases.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Natixis Oakmark International Fund returned -15.71% at net asset value. The Fund underperformed its benchmark, the MSCI World ex USA Index (Net), which returned -14.29%.

Explanation of Fund Performance

On an absolute-return basis, shares in the materials sector produced the largest positive collective return, while the information technology sector lost the most value.

Geographically, our average weightings for the year were 86% in Europe, 4% in China and 3% in South Korea. The remaining positions were in Canada, Australia, Japan, Mexico, India, Indonesia and South Africa.

The largest detractors from return were Credit Suisse Group and Continental. Credit Suisse Group faced several challenges in 2022 and its share price fell over the 12-month period. The company has suffered from a succession of negative internal and external events, which produced consistent quarterly net income losses during the year. Most recently, third-quarter results were impeded by a CHF 3.7 billion impairment of deferred tax assets (DTA). The DTA is attributed to the company's securitized products segment, and the expected spinoff of this segment prompted the charge. Although the DTA impairment is a non-cash charge, it necessitated a larger than expected capital raise of CHF 4 billion to enable reaching its target ranges. However, Credit Suisse has instituted some restructuring initiatives to reinstate profitability. These efforts include de-risking operations, which drove management to conduct a strategic review on its investment bank to identify opportunities to transform it into a capital-light, advisory-led banking business with a reduced absolute cost base in the medium term. Another area of focus is digitizing the company's processes that management anticipates will generate cost savings of CHF 650 million. While management acknowledged that these programs may elevate operating expenditures in the near term, these endeavors are aimed to save costs and boost efficiency moving forward. In addition, Credit Suisse saw the departure of some key executive team members in 2022, including CEO Thomas Gottstein, CFO David Mathers and General Counsel Romeo Cerutti. In our view, Credit Suisse's new leadership team is a material upgrade and positions the company to better realize benefits from its restructuring plan that appears to be quite methodical and well contemplated. We believe these developments provide a path to a more successful 2023.

Continental revealed encouraging first-quarter earnings figures given the difficult backdrop. ContiTech and the tires business both met headwinds from raw material inflation and logistics issues. While these should normalize over time, adjustments in pricing and

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NATIXIS OAKMARK INTERNATIONAL FUND

product mix aided the company's results as it navigated the tough environment. In July, Continental warned that free cash flow for the quarter would come in below expectations due to a buildup of working capital related to supply chain issues, material cost inflation and higher receivables due to higher prices. The full release in August added more color for the tires segment, which had organic growth of 11.4%-16.7% of which came from price and product mix and a decline of 5.3%, which came from reduced replacement volumes across all regions. Management indicated that Chinese demand did not pick up as had been expected when lockdowns ended, and the company was unable to fully meet North American demand due to a lack of product availability. Though fiscal-year guidance was confirmed, margins in tires are expected to be under significantly more pressure in the second half due to weaker replacement demand as well as more severe raw material impacts. The company is responding with price increases, though they are not expected to fully offset the inflationary impact. The company's automotive business reported an operating loss during the second quarter, though margins are expected to recover in the second half of the year due to improving light vehicle production and the benefits of price increases with OEMs. Encouragingly, the company has realized more than EUR 6 billion in order intake in the second quarter, which, when combined with the company's ongoing restructuring program, supports its medium-term targets. Despite a difficult environment, we believe that Continental has undertaken significant action to improve results and that the company's exposures across the automotive value chain along with its low valuation make it a compelling investment.

The top contributors to the yearly return were Glencore and Vipshop Holdings ADR. The share price of Glencore was volatile early in the year and rose mainly in the third and fourth quarters. In August, the company delivered a solid set of first-half earnings results, in our view, as marketing segment earnings increased over 100% year-over-year and profit of $3.7 billion handily surpassed the company's long-term range of $2.2-$3.2 billion for the year. Furthermore, adjusted earnings in the coal segment reached $8.9 billion for the first half, which outpaced our full-year expectations of $15.4 billion. Management later participated in some corporate actions with the goal of enhancing the company's value. The Australian Foreign Investment Review Board approved Metals Acquisition Corp's purchase of CSA Copper Mine from Glencore. In addition, Glencore management announced plans to purchase all of Newmont's stake in the MARA Project, an Argentina-based copper and gold mine, for $124.9 million along with other considerations. At its investor update event in December, Glencore issued its nine-month production report and lowered full-year output targets across most commodities as the company faced negative weather, labor and supply chain issues in certain geographies. Even so, management still expects fiscal second-half marketing segment earnings will exceed $1.6 billion, which would fall at the high end of the previously established long-term guidance range. The company also announced plans to close 12 coal mines by 2035 as it endeavors to achieve its climate priorities.

Vipshop Holdings delivered fiscal first-quarter results that met consensus estimates for both sales and profitability. A gross merchandise value decline of 8% aligned with the decline in active annual customers, which was attributable to weak consumer demand. However, gross profit margins improved 10 basis points year-over-year due to an improving business mix and management's removal of lower quality brands. We appreciated management's efforts to control costs. Despite the difficult backdrop in the second quarter, with much of the economy closed, Vipshop beat consensus estimates on revenue and earnings by 6% and 30%, respectively. The company made progress on cost controls, with gross profit margins improving 40 basis points to 20.5%. This figure was helped by multiple efficiency measures such as reduced coupons, cutting lower margin brands, and improving returns. Later, the company released third-quarter results that were generally better than consensus expectations. Revenue declined 14% and gross merchandise value declined almost 7%, held back by a weak macro environment and impacts from Covid-19. Despite the disappointing topline figures, we believe margins continued to show strength. Gross profit margins came in at 21.7%, 220 basis points higher than last year and 120 basis points higher than the second quarter. Management has been making an effort to improve mix and has also reduced discounts, which showed progress during the quarter as this is the highest gross profit margin reached in nearly two years. We appreciate that over the past twelve months before the release, Vipshop generated $1 billion in free cash flow on a $5.5 billion market cap. During the third-quarter management bought back $260 million in stock and had $560 million left in the current buyback program.

Outlook

While we recognize the challenge facing investors with the current state of financial markets, we believe that the lower and more widely dispersed valuations in the market today have allowed us to redeploy capital into increasingly attractive investments. We are optimistic that these decisions will sow the seeds of future outperformance. As always, we remain focused on building a high conviction portfolio of undervalued businesses that we believe will provide both a margin of safety and the potential for attractive risk-adjusted returns over the long term.

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Top Ten Holdings as of December 31, 2022

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| | | |
|:---|:---|:---|
|  | Security Name | % of<br>Net Assets |
| 1 | BNP Paribas S.A. | 3.40% |
| 2 | Intesa Sanpaolo SpA | 3.20 |
| 3 | Lloyds Banking Group PLC | 3.05 |
| 4 | Mercedes-Benz Group AG (Registered) | 2.97 |
| 5 | Prosus NV | 2.70 |
| 6 | Allianz SE (Registered) | 2.59 |
| 7 | Continental AG | 2.59 |
| 8 | Bayerische Motoren Werke AG | 2.58 |
| 9 | Fresenius SE & Co. KGaA | 2.49 |
| 10 | Adidas AG | 2.42 |

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The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>1,4</sup>

December 31, 2012 through December 31, 2022

![LOGO](g370882g80a02.jpg)

See notes to chart on page 13.

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NATIXIS OAKMARK INTERNATIONAL FUND

Average Annual Total Returns — December 31, 2022<sup>4</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Expense Ratios<sup>5</sup> | Expense Ratios<sup>5</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y (Inception 5/1/17) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV<sup>1</sup>* | -15.71% | -1.90% | 3.81% | —% | 1.10% | 0.90% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -15.91 | -2.14 | 3.66 |  | 1.35 | 1.15 |
| &nbsp;&nbsp;&nbsp;*With 5.75% Maximum Sales Charge* | -20.72 | -3.29 | 3.05 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -16.50 | -2.87 | 3.04 |  | 2.10 | 1.90 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>2</sup> | -17.32 | -2.87 | 3.04 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 5/1/17) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -15.65 | -1.84 |  | 0.51 | 1.25 | 0.85 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;MSCI World ex USA Index (Net)<sup>3</sup> | -14.29 | 1.79 | 4.59 | 3.87 |  |  |

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

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

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

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

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

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| | |
|:---|:---|
| 5 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations.  |

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

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| | | |
|:---|:---|:---|
| Managers | Symbols | Symbols |
| William C. Nygren, CFA<sup>®</sup> | Class A | NEFSX |
| Robert F. Bierig\* | Class C | NECCX |
| M. Colin Hudson, CFA<sup>®</sup>\*\* | Class N | NESNX |
| Michael J. Mangan, CFA<sup>®</sup>, CPA | Class Y | NESYX |
| Michael A. Nicolas, CFA<sup>®</sup> |  |  |
| *Harris Associates L.P.* |  |  |
| Aziz V. Hamzaogullari, CFA<sup>®</sup> |  |  |
| *Loomis, Sayles & Company, L.P.* |  |  |

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\* Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

\*\* Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

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Investment Goal

The Fund seeks long-term growth of capital.

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Market Conditions

The 2022 market and economic environment demonstrates what can occur after a disruption of risk and infatuation with short-term trends. While US stocks hit record highs in January 2022 and economic growth looked poised to build on a strong Q42021, the specter of higher-than-expected inflation and Russia's invasion of Ukraine slammed the brakes on the US economy, while heightening geopolitical risk.

The war immediately stoked inflation fears, disrupting commodities exports of wheat, oil, gas, and metals. US inflation climbed through the first half of 2022, peaking at 9.1% in June before leveling off to an annual increase of 6.5%. The US Federal Reserve (Fed) Board embarked on an inflation-fighting campaign, instituting seven interest rate hikes during 2022. Rates rose to their highest level since 2007 as the Fed indicated more moderate increases were ahead in 2023.

Technology stocks, fed by the pandemic and low interest rates, stumbled in a generally negative market environment: Amazon by 51%, Tesla by 68%, and Meta by 66%. As earnings fell back to earth, tech companies fired more than 200,000 workers in late 2022.

These were not the only companies to suffer as broad US markets withstood a dismal 2022. The Nasdaq Composite fell 33.1% while the S&P 500<sup>®</sup> declined by 18.1%, and the Russell 2000 was off by 21.6%.

Meanwhile, the Omicron variant of Covid-19 wreaked havoc across the country, with hospitalizations and deaths rising to new highs in the winter of 2022. Covid has negatively affected workforce participation and productivity, which experts estimate resulted in a billion days of lost work since 2020.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Natixis U.S. Equity Opportunities Fund returned -20.95% at net asset value. The Fund underperformed its primary benchmark, the S&P 500<sup>®</sup> Index, which returned -18.11%, and also underperformed its secondary benchmark, the Russell 1000<sup>®</sup> Index, which returned -19.13%.

Explanation of Fund Performance

Each of the portfolio's segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The Harris Associates Large Cap Value segment invests primarily in the common stocks of larger-capitalization
companies that Harris Associates L.P. ("Harris Associates") believes are trading at a substantial discount to the company's "true business value."

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The Loomis Sayles All Cap Growth segment invests primarily in equity securities and may invest in companies of
any size. The segment employs a growth style of equity management that emphasizes companies with sustainable competitive advantages versus others, long-term structural growth drivers that will lead to above-average future cash flow growth,
attractive cash flow returns on invested capital, and management teams focused on creating long-term value for shareholders. The segment aims to invest in companies when they trade at a significant discount to the estimate of intrinsic value.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Both segments contributed negatively to the Fund's performance.

Harris Associates Large Cap Value Segment

As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute-return basis, the energy sector gained the most value, while holdings in the communication services sector lost the most value.

The largest contributors to segment performance for the year were EOG Resources and APA Corporation. While energy price increases have helped companies across the sector this year, EOG Resources has also operated well on a fundamental basis, in our view. Second-quarter results showed that EOG is growing production without a disproportionate capital expense increase, which we see as evidence that management's efficiency measures are working. Second-quarter production grew 11% from a year earlier and capital expenditures rose 14%; both metrics were better than market expectations. The company later reported a strong set of third-quarter results, in our view. Revenue of $7.59 billion surpassed consensus expectations of $6.26 billion, production grew 9% year-over-year, and capital expenditures were 6% below consensus expectations. Capital expenditures increased faster than production due to inflation, higher growth and additional exploration; however, full-year figures were within initial guidance. EOG also announced the discovery of a new opportunity in the Ohio Utica Basin by using learnings from decentralized teams across multiple basins to enter an overlooked opportunity. The company quietly amassed 395,000 acres for more than $500 million, acquired around 20 legacy wells for data, and drilled four initial wells to confirm their reservoir model. Management said the initial wells would qualify as double premium with longer laterals, and Utica wells could have the same oil recovery as the Delaware Basin, which we believe would be a great win. We continue to like the effectiveness of the company's management team.

APA Corporation finished higher alongside rising energy prices early in the year, even though fourth-quarter results were generally below consensus estimates, which we attributed mainly to cost inflation weighing on free cash flow (FCF). Management guided to $6.5 billion of cumulative free cash flow over the next three years, each at strip prices with 5% annual growth. The company also announced a successful oil discovery at its new Krabdagu prospect. We believe if the well flows as well as the nearby Sapakara well, it is likely to result in a fast-tracked final investment decision for a large development hub in the area. Later in the first quarter, APA announced it closed on two transactions totaling around $1 billion in net proceeds. More recently, third-quarter results from APA were good, in our assessment. Total revenue of $2.89 billion, adjusted earnings (EBITDAX)<sup>1</sup> of $1.69 billion and adjusted earnings per share of $1.97 all exceeded market expectations. More importantly, revenue rose 40% year-over-year and EBITDAX advanced 46%, while adjusted earnings per share doubled from a year earlier. We were pleased that drilling operations in both the Permian Basin and Egypt are accelerating, which eased concerns about sluggish second-quarter performance. Management expects $2.7 billion of total FCF in 2022 (a 19% FCF yield) and expects further growth in 2023 even at flat commodity prices. We found it impressive that over the last two years APA has reduced its net debt from $8.9 billion to $4.9 billion. Furthermore, during the most recent two-year period the company repurchased almost 20% of its share base and it continues with its buyback efforts. Management repurchased 10 million shares (3% of shares outstanding) in the third quarter and plans to repurchase another $520 million worth of shares (another 3%) in the fourth quarter. The company also announced the quarterly dividend would double to an annualized rate of $1.00 per share. We remain pleased with APA's fundamental performance.

The largest detractors to segment performance for the year were Meta Platforms and Ally Financial. The share price of Meta Platforms declined throughout the year as the company faced several challenges. Investors proved disappointed by Meta Platforms' 2021 fourth-quarter earnings report and its share price fell over 20% following its release. Management pointed to new regulation in Europe and Apple iOS changes as a $10 billion headwind for personalized advertisements. The company also reported its first decline in daily active users for Facebook, which we believe was attributable to the size of the existing base and the amount of users pulled forward during the Covid-19 pandemic. Management emphasized its focus on generating revenue from its fastest growing content format, Reels, a competitor to TikTok. The company believes the transition from stories to reels will be similar to the transition from feed to stories in 2018 and expressed encouragement from early results. Late in April, Meta delivered a disappointing earnings report for the first quarter and guidance for the second quarter. The company reduced its expense guidance for the year, suggesting that much of the spend is highly discretionary, and daily active users on its platforms accelerated sequentially by 50 million in the second quarter versus 10 million in the first quarter. Meta reported a 1% decline in second-quarter revenue, in line with its guidance and consensus expectations. Core margins (ex-Reality Labs) came in at 39%, or 29% including the $2.8 billion loss from Reality Labs, which has lost $5.8 billion year to date. Cyclical weakness in advertising budgets, which worsened sequentially; the lingering impacts from Apple's ad tracking changes; and higher engagement in Reels all weighed on results**.** Reels represented 20% of time spent on Instagram alone last quarter, and management said they saw a 30% increase in engagement on both Instagram and Facebook sequentially.

We spoke with Meta Platforms' CFO Susan Li following the company's third-quarter earnings report. After our discussion, we believe the core platform remains healthy, as evidenced by engagement and time spent remaining strong. While IDFA (identifier for

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<sup>1</sup> EBITDAX stands for Earnings Before Interest, Taxes, Depreciation, Amortization, and Exploration Expense. It is an indicator of financial performance that is used when reporting earnings, specifically for oil and mineral exploration.

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advertisers) pressured growth this year, results show the company is lapping the impact from that headwind. Reels monetization is showing rapid growth, and we believe organic revenue trends look set to improve both next year and beyond. Expense management is becoming more disciplined, but we believe there remains work to be done. The company is finding more cost-cutting opportunities, and we were told CEO Mark Zuckerberg is increasingly focused on core profitability given the mounting pressure both external and internal. Despite this, the company is committed to ramping capital spend for the time being. Li believes the increase in Artificial Intelligence spending is paying off, but it is still early in the process. She said the pace of spending will be governed by the returns it generates, and the company should benefit through improved ad effectiveness, engagement, and content editing and creation capabilities, among others. As for the Reality Labs segment, management sees this spend intrinsically tied to the success of the core platforms as they prepare for the potential next computing platform. In our view, the company has a very profitable core business paired with a large amount of growth capital spend and a bet on a potentially large new business opportunity that has an uncertain timeframe and probability of success. While the lack of expense discipline has lowered our estimate of intrinsic value, we continue to believe the company is undervalued at its current price.

First-quarter results from Ally Financial were impressive, in our view, as reported return on tangible common equity was nearly 24% and earning asset yields rose 11 basis points sequentially while funding costs declined 4 basis points, resulting in a near 4% net interest margin. Management believes it will generate a roughly 20% return on tangible common equity on a full-year basis and reiterated their 16%-18% target for 2023 and onward. We recognize that the inevitable normalization of credit, which continues to remain tame and below normal levels, combined with weakening used car prices and potential deposit rate pressure could eventually make the operating environment more challenging. CFO Jenn LaClair remains very optimistic and believes Ally will have some natural hedges in place to partially offset used car price declines. Second-quarter revenue was slightly better than market expectations, while earnings per share fell short of projections by about 4%. In terms of absolute earnings, the company's results were again above trend with a reported return on tangible common equity of 23%. Earning asset yields rose by 25 basis points and repriced higher than funding sources in the second quarter, which drove the net interest margin to an impressive 4.06%, an increase of 49 basis points year-over-year. Following the earnings release, we met with CEO Jeff Brown and Jenn LaClair and discussed the company's competitive advantage in auto lending. Loan receivables from retail auto borrowers grew faster than the industry in the second quarter, which management attributed to an expanded dealer count (+20% over the past few years) and higher application flow as well as from what they consider to be extremely attractive risk-adjusted returns.

The company reported third-quarter results with revenue and adjusted earnings per share that both undershot market expectations. Revenue rose about 2% from last year to $2.02 billion, while adjusted earnings per share fell by nearly half. Just prior to the earnings release, LaClair stepped down from her role as CFO and will now be a senior operating adviser. Bradley Brown, who had been the corporate treasurer since 2013, will serve as interim CFO. Upon review of the third-quarter earnings report, we observed that earning asset yields continue to improve and accelerated by 50 basis points quarter-over-quarter to 5.59%. However, funding costs increased 77 basis points from last year with deposit costs roughly doubling from 0.76% to 1.58%, which caused the net interest margin to contract by 23 basis points to 3.81%. In addition, auto loan originations were down 8% sequentially from last quarter and unchanged from last year. We spoke with Ally's management team and discussed the company's auto loan activity. While management expects lower current year retail auto loan balances than in pre-pandemic years, the company foresees a recovery upon the normalization of vehicle inventories. Also, Jeff Brown stated that Ally continues to be disciplined in its underwriting standards, which should protect against significant downside effects if the economy slows dramatically. Despite these near-term challenges, we find this company is poised to offer shareholder rewards moving forward.

Loomis Sayles All Cap Growth Segment

We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. For the period, the All Cap Growth segment posted a negative absolute return. Our holdings in the consumer staples, energy and industrials sectors contributed positively to results. Our holdings in the information technology, communication services, consumer discretionary, healthcare, and financials sectors detracted from the segment's performance.

Alnylam Pharmaceuticals and Monster Beverage were the largest contributors to performance during the period. Alnylam Pharmaceuticals is a leader in gene therapies based on its pioneering small-interfering RNA (siRNA) approach to disease treatment. Founded in 2002, Alnylam was one of the first companies to develop and commercialize therapies based on RNA interference (RNAi), a breakthrough discovery in understanding how genes are naturally regulated within cells that was recognized with the 2006 Nobel Prize in Medicine. We believe Alnylam's strong and sustainable competitive advantages include its deep, cumulative and compounding knowledge in the science of RNAi therapeutics, in particular its creation and advancement of unique siRNA-based therapies, and the multiple partnerships it has entered on the basis of its technology, which provide both external funding and established commercialization avenues. Today, the company's technology is the basis for five approved therapies, six therapies currently in clinical trials, and a robust pipeline of potential treatments that we expect to enter clinical trials in the coming years, with a

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

focus on genetic diseases, cardiometabolic diseases, infectious diseases, and central nervous system and ocular diseases. A strategy holding since the second quarter of 2021, shares jumped almost 50% in August following news that Onpattro, the company's approved therapy for hATTR amyloidosis, met its primary endpoint in the much larger indication of ATTR with cardiomyopathy, which is estimated to have a patient population approximately ten times as large. The results substantially increase the likelihood that the therapy will receive approval in the new indication, where it would be the first RNAi-based therapy. We believe the uniqueness of Alnylam's pioneering scientific expertise and technology is evident from both its existing products, which provide meaningful value to previously underserved patient populations, and the numerous partnerships in which world-class global pharmaceutical companies and specialty competitors alike have sought to access its proprietary technology. With its approved therapies and substantial pipeline of significant late-stage clinical programs, we believe the company has now reached the point at which its existing therapies will continue to contribute positively, and its subsequent innovations will shift its financial profile from that of an early-stage biotech company to a profitable business with normalized margins that is able to internally fund its ongoing growth needs. Over our long-term investment horizon, we believe the company can generate substantial revenue growth, while turning profitable and generating substantial cumulative free cash flow. We believe Alnylam's market price continues to substantially undervalue the potential contribution from the company's clinical-stage assets – which we believe is unsupported by the company's established track record for producing genetically validated therapeutics. Further, while embedded expectations reflect some success for its currently marketed products, we believe the market is focused on short-term profitability while ignoring the platform the company has built, which we believe will serve as the basis for ongoing innovation over our long-term investment horizon and beyond. As a result, we believe the company is selling at a substantial discount to our estimate of its intrinsic value and offers a compelling reward-to-risk opportunity.

Monster Beverage is a leading marketer and distributor of energy drinks in the US and internationally. We believe Monster's strong and sustainable competitive advantages include its iconic brands, the benefits of scale, and its strong entrepreneurial culture. A holding in the strategy since 2013, Monster reported strong sales growth during the period, but faced pressure on profitability due to materials cost inflation, increased logistics costs, and can shortages that have led the company to import cans. After losing market share to Red Bull in the US over the past several quarters, as reflected in channels measured by Nielsen, the company more recently returned to share gains and market share leadership, despite increasing pricing by 6% in September. Throughout the period the company performed consistently well in channels not measured by Nielsen, such as e-commerce and sales through Home Depot. Outside of the US, Monster continued to take market share and demonstrated impressive sales growth. While cost inflation has impacted the consumer packaged goods industry broadly, Monster has been reducing promotions and trade spending and may take further price increases in the US and internationally. Despite the near-term pressure on margins, we believe the company will benefit from margin expansion over the long term as it achieves greater scale in international markets. The global energy drink industry is effectively a duopoly, creating strong competitive advantages for Monster and Red Bull, which command a combined share of approximately 80% of the US market, and an estimated 50% of the $50 billion global energy drink market. Patiently built using non-traditional, grassroots marketing, Monster's iconic brand is a competitive advantage so difficult to replicate that even Pepsi and Coca-Cola were unable to make meaningful inroads in the profitable and growing energy drink market, despite over a decade of effort and investments. In 2014, Monster entered a partnership with Coca-Cola in which Coca-Cola purchased a 16.7% stake in the company, and Monster became its exclusive energy drink partner. The partnership gives Monster access to Coca-Cola's unmatched global distribution system, accelerating its pace of international expansion, and extending its benefits of scale. We believe that energy drinks are here to stay and that continued increases in per-capita consumption in international markets will drive secular growth over our investment horizon. We estimate Monster can grow in the mid-teens in international markets and at a mid-to-high single-digit rate in the US market over our long-term investment horizon. As the company continues to scale its business in international markets, we expect it will be able to increase cash flow growth, expand margins, and improve its return on invested capital. We trimmed the position during the period following strong relative price performance but continue to believe the shares embed expectations for revenue and free cash flow that are below our long- term expectations. As a result, we believe the shares are trading at a discount to our estimate of intrinsic value and offer an attractive reward-to-risk opportunity.

Meta Platforms and Amazon were the largest detractors during the period. Meta Platforms operates online social networking platforms that allow people to connect, share, and interact with friends and communities. With over 3.7 billion monthly users, 200 million businesses, and 10 million advertisers worldwide using its family of apps — Facebook, Messenger, WhatsApp, and Instagram — the scale and reach of Meta's network is unrivaled. A strategy holding since its IPO in 2012, Meta reported financial results during the period that were generally mixed with respect to consensus expectations. The company faced headwinds arising from privacy restrictions by Apple, the continuing impact of macro weakness on advertising spending, and a transition to a new product format — short-form video — where monetization is currently lower. Management previously addressed the changes by Apple, which it believes decreased the accuracy of Facebook's ad targeting, increased the difficulty of measuring outcomes, and contributed to underreporting of successful conversions such as sales and app installs by approximately 15% in the third quarter of 2021. The company has already been investing in a number of solutions, including commerce tools to help businesses reach more customers and privacy-enhancing technologies, and believes it has closed a substantial portion of the measurement gap. Apple's changes impact not just Meta, but the broader mobile advertising ecosystem. As a function of its competitive advantages, we believe Meta remains well

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positioned relative to its peers, and there are no changes to our assessment of the company's quality or secular growth opportunities. Another near-term headwind is the company's capital investments in and transition to a new product format — the short-form video. During our ownership of Meta, Facebook has gone through several product transitions. Each such transition first requires capital expenditures followed by a gradual revenue ramp-up, creating pressures on topline, margins, and earnings. Over time, the required investment decreases and revenues increase. Of note, the Instagram "Reels" product, launched in August 2020, is now Meta's fastest growing content format and largest contributor to engagement. We believe this is a necessary cycle for maintaining sustainable competitive advantages and long-term growth. Finally, the company continues to invest significantly in its early-stage Reality Labs segment, which includes augmented and virtual reality products that the company views as building its long-term vision for the metaverse. While the company has incurred year-to-date operating expenses of $10.9 billion in the Reality Labs segment, the investment represented only one-third of the operating profit generated by the company's highly profitable core business. Mark Zuckerberg has always managed the company with a long-term focus and strong strategic vision. Over the past ten years, Meta has spent over $90 billion on research and development and $80 billion on capital expenditures — a level of investment which few firms can match and which creates high barriers to entry for competitors. And while the successful development of a metaverse is not an explicit part of our investment thesis for Meta, given the potential size of the opportunity, which we estimate could impact over $1 trillion of spending over the long term, and Meta's positioning with billions of users and hundreds of millions of businesses, we believe Meta's current balanced approach to its forward-looking investments makes sense. We expect that corporations will continue to allocate an increasing proportion of their advertising spending online, and Meta remains one of very few platforms where advertisers can reach consumers at such scale in such a targeted and effective fashion. We believe Meta's brands, network, and targeting advantage position the company to take increasing share of the industry's profit pool and grow its market share from 6% currently to approximately 10% of the total global advertising market over our investment time horizon. On the basis of its core business alone, we believe the company is substantially undervalued, even accounting for elevated levels of investment. We took advantage of near-term market weakness to add to our position on multiple occasions during the year.

Online retailer Amazon offers millions of products — sold by Amazon or by third parties — with the value proposition to consumers of selection, price, and convenience. Amazon's enterprise IT business, Amazon Web Services (AWS), offers a suite of secure, on-demand cloud-computing services, with a value proposition to clients of speed, agility, and savings. In both of its core markets, we believe Amazon possesses strong and sustainable competitive advantages that would be difficult for competitors to replicate. A segment holding since inception, Amazon reported fundamentally solid operating results that were generally above management's guidance during the period. However, Amazon is facing short-term cost inflation that has contributed to over $10 billion of incremental expense over the past few quarters. While a portion of the additional expense is outside of Amazon's direct control, including higher shipping, fuel, and labor costs, approximately two-thirds stems from Amazon's strategic decision to invest in labor to make up for Covid-related employee absences, as well as investments undertaken to ensure that its fulfillment and transportation network remained unconstrained during the pandemic. And while expense pressures are expected to persist for the foreseeable future, Amazon expects them to decline over the coming quarters. Over time, we expect that Amazon will take steps to mitigate external cost inflation, and that it will realize greater productivity and fixed cost leverage from its investments in labor, fulfillment, and distribution. Despite a deceleration of revenue growth in its online retail business from the pandemic-enhanced prior year, we continue to believe Amazon is well positioned for durable long-term growth. Further, the company has added over 50 million Prime members over the past two years and is seeing strong growth in other businesses including AWS and advertising. Earlier in the year, the company announced it was increasing the price of Prime membership for the first time since 2018, which we believe reflects its pricing power and ability to offset cost inflation. These near-term challenges do not impact our long-term view of Amazon's quality, growth, or the attractiveness of its reward-to-risk proposition. We believe Amazon is one of the best-positioned companies in e-commerce and enterprise IT — in each case addressing large, underpenetrated markets experiencing secular growth that is still in its early stages. We believe the current share price shows a lack of appreciation for Amazon's significant long-term growth opportunities and the sustainability of its business model. As a result, we believe the company is selling at a significant discount to our estimate of intrinsic value and offers a compelling reward-to-risk opportunity.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Top Ten Holdings as of December 31, 2022

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| | | |
|:---|:---|:---|
|  | Security Name | % of<br>Net Assets |
| 1 | Alphabet, Inc., Class A | 4.75% |
| 2 | Oracle Corp. | 4.15 |
| 3 | Amazon.com, Inc. | 3.85 |
| 4 | Netflix, Inc. | 3.56 |
| 5 | Wells Fargo & Co. | 2.82 |
| 6 | Salesforce, Inc. | 2.81 |
| 7 | Capital One Financial Corp. | 2.62 |
| 8 | KKR & Co., Inc. | 2.59 |
| 9 | Boeing Co. (The) | 2.42 |
| 10 | Workday, Inc., Class A | 2.31 |

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The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>4</sup>

December 31, 2012 through December 31, 2022

![LOGO](g370882g80a03.jpg)

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Average Annual Total Returns — December 31, 2022<sup>4</sup>

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Expense Ratios<sup>5</sup> | Expense Ratios<sup>5</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -20.95% | 8.02% | 13.06% | —% | 0.84% | 0.84% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -21.15 | 7.75 | 12.79 |  | 1.09 | 1.09 |
| &nbsp;&nbsp;&nbsp;*With 5.75% Maximum Sales Charge* | -25.68 | 6.49 | 12.12 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -21.77 | 6.94 | 12.11 |  | 1.84 | 1.84 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -22.33 | 6.94 | 12.11 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 5/1/17) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -20.88 | 8.12 |  | 10.10 | 1.33 | 0.78 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;S&P 500<sup>®</sup> Index<sup>2</sup> | -18.11 | 9.42 | 12.56 | 10.67 |  |  |
| &nbsp;&nbsp;&nbsp;Russell 1000<sup>®</sup> Index<sup>3</sup> | -19.13 | 9.13 | 12.37 | 10.39 |  |  |

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

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

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| | |
|:---|:---|
| 2 | S&P 500<sup>®</sup> Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.  |

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| | |
|:---|:---|
| 3 | Russell 1000<sup>®</sup> Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000<sup>®</sup> Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000<sup>®</sup> Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.  |

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

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|:---|:---|
| 5 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

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VAUGHAN NELSON MID CAP FUND

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| | |
|:---|:---|
| Managers | Symbols |
| Dennis G. Alff, CFA<sup>®</sup> | Class A VNVAX |
| Chad D. Fargason, PhD | Class C VNVCX |
| Chris D. Wallis, CFA<sup>®</sup>, CPA | Class N VNVNX |
| *Vaughan Nelson Investment Management, L.P.* | Class Y VNVYX |

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Investment Goal

The Fund seeks long-term capital appreciation.

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Market Conditions

During the fiscal year ended December 31, 2022, equity market performance was initially defined by Russia's invasion of Ukraine and NATO's sharp response. These events further supported inflationary pressures and weighed on future economic growth.

The US Federal Reserve (Fed) raised the fed funds rate, kicking off the first Fed hiking cycle since 2018. The high inflation environment proved stickier than expected. With inflation elevated, the cost of capital rising, liquidity conditions deteriorating, and earnings estimates set for negative revisions, heightened equity market volatility led to further downside.

As we moved through the summer months, risk assets continued to be pressured by accelerating inflationary pressures, decelerating economic growth, and tightening financial conditions. Inflationary pressures in the US moved from goods to services and housing, in the form of owners' equivalent rent – the amount a property owner would have to pay in rent to equal their cost of ownership. The yield curve flattened with the M2 money supply decelerating. M2 measures liquid assets such as savings, checking and money market accounts.<u> </u>The rapid slowdown in economic growth and tightening financial conditions are creating a recessionary environment in the US, Europe, and most export-led economies.

Exceptional US dollar strength drove markets as the Fed dramatically tightened financial conditions by increasing interest rates and aggressively shrinking its balance sheet. The strong US dollar accelerated the exportation of US inflation to the rest of the world, forcing nearly all global central banks to follow the Fed in raising interest rates. Tighter financial conditions forced global equity and fixed income markets to reduce investment positions and leverage, driving nearly all asset classes lower.

The fourth quarter recovery in equity markets was driven by peaking inflationary conditions and the rapid increase in non-US interest rates relative to US interest rates, which triggered a broad-based decline in the US dollar. The 2022 bear market in equities reflects the impact of higher interest rates increasing the cost of capital, and thereby decreasing equity valuations.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Vaughan Nelson Mid Cap Fund returned -10.58% at net asset value. The Fund outperformed its benchmark, the Russell Midcap<sup>®</sup> Value Index, which returned -12.03%.

Explanation of Fund Performance

The Fund outperformed on a relative basis during the period.

The largest contributor was industrials, driven by security selection. WillScot Mobile Mini Holdings Corp. Class A was the top name in the sector. WillScot beat and raised earnings throughout the year and benefited from its initiatives in value-added products. Selection within consumer services assisted, with performance led by Nexstar Media Group, Inc. Nexstar benefited due to its strong free cash flow generation in a market where investors sought value and cash flow.

The Fund was void of real estate companies throughout 2022. This benefited the portfolio, as real estate was an underperforming sector. Information Technology was an outperforming sector, with Motorola Solutions, Inc. the top name. Motorola continued its beat and raise cycle with defensible end markets and a margin expansion story.

Selection within consumer discretionary, specifically Aramark, bolstered the Fund. Aramark's sales initiatives are beginning to bear fruit, and the market has become optimistic that margin expansion can follow. Financials contributed to the Fund's outperformance, with Reinsurance Group of America, Incorporated (RGA) the top name. RGA outperformed as Covid headwinds are beginning to abate for the company. An overweight to utilities, an outperforming sector, added to relative performance.

The largest detracting sector was healthcare, with Aveanna Healthcare Holdings Inc the most impaired name. Aveanna continued to experience both sales and margin pressure due to labor constraints. Selection within materials hurt performance, with Crown Holdings, Inc. the worst relative performer. Crown suffered as sales struggled to surpass the surge resulting from Covid. Margins were

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under pressure due to higher-cost inventory, foreign exchange and rising interest rates. Energy's selection detracted with Southwestern Energy Company the weakest name. Southwestern underperformed as natural gas prices fell back down as fears of being undersupplied abated. A warmer start to winter was a contributor. An underweight to consumer staples, an outperforming sector, weighed on the Fund's performance.

Outlook

With the current level of interest rates and expiring monetary and fiscal stimulus, we anticipate that by third quarter 2023, the trajectory of inflation will be on pace to meet the Fed's inflation target. However, we anticipate the tighter financial conditions and expiring monetary and fiscal stimulus will lead to an earnings recession and likely an economic recession. Should weakening economic and financial conditions force policy makers to restimulate the economy, we could see inflationary pressures begin to reaccelerate.

Top Ten Holdings as of December 31, 2022

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| | | |
|:---|:---|:---|
|  | Security Name | % of<br>Net Assets |
| 1 | WillScot Mobile Mini Holdings Corp. | 3.93% |
| 2 | Vistra Corp. | 3.35 |
| 3 | Motorola Solutions, Inc. | 3.21 |
| 4 | Nexstar Media Group, Inc., Class A | 3.08 |
| 5 | FactSet Research Systems, Inc. | 2.87 |
| 6 | AmerisourceBergen Corp. | 2.81 |
| 7 | Republic Services, Inc. | 2.68 |
| 8 | Allstate Corp. (The) | 2.62 |
| 9 | AMETEK, Inc. | 2.61 |
| 10 | Nasdaq, Inc. | 2.57 |

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The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>3</sup>

December 31, 2012 through December 31, 2022

![LOGO](g370882g80a04.jpg)

See notes to chart on page 23.

\| 22

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VAUGHAN NELSON MID CAP FUND

Average Annual Total Returns — December 31, 2022<sup>3</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Expense Ratios<sup>4</sup> | Expense Ratios<sup>4</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -10.58% | 5.76% | 9.22% | —% | 0.96% | 0.90% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -10.80 | 5.48 | 8.95 |  | 1.21 | 1.15 |
| &nbsp;&nbsp;&nbsp;*With 5.75% Maximum Sales Charge* | -15.91 | 4.24 | 8.30 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -11.46 | 4.70 | 8.29 |  | 1.96 | 1.90 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -12.32 | 4.70 | 8.29 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 5/1/13) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -10.54 | 5.83 |  | 8.20 | 0.87 | 0.85 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Russell Midcap<sup>®</sup> Value Index<sup>2</sup> | -12.03 | 5.72 | 10.11 | 8.95 |  |  |

---

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

---

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

---

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

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

---

| | |
|:---|:---|
| 4 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

---

23 \|

------

VAUGHAN NELSON SMALL CAP VALUE FUND

---

| | |
|:---|:---|
| Managers | Symbols |
| Chris D. Wallis, CFA<sup>®</sup>, CPA | Class A NEFJX |
| Stephen A. Davis, CFA<sup>®</sup> | Class C NEJCX |
| James Eisenman, CFA<sup>®</sup>\*, CPA | Class N VSCNX |
| *Vaughan Nelson Investment Management, L.P.* | Class Y NEJYX |

---

\* Effective May 1, 2022, James Eisenman serves as a co-portfolio manager on the Fund.

------

Investment Goal

The Fund seeks capital appreciation.

------

Market Conditions

During the fiscal year ended December 31, 2022, equity market performance was initially defined by Russia's invasion of Ukraine and NATO's sharp response. These events further supported inflationary pressures and weighed on future economic growth.

The US Federal Reserve (Fed) raised the fed funds rate, kicking off the first Fed hiking cycle since 2018. The high inflation environment proved stickier than expected. With inflation elevated, the cost of capital rising, liquidity conditions deteriorating, and earnings estimates set for negative revisions, heightened equity market volatility led to further downside.

As we moved through the summer months, risk assets continued to be pressured by accelerating inflationary pressures, decelerating economic growth, and tightening financial conditions. Inflationary pressures in the US moved from goods to services and housing, in the form of owners' equivalent rent. The yield curve flattened with the M2 money supply decelerating. M2 measures liquid assets such as savings, checking and money market accounts. The rapid slowdown in economic growth and tightening financial conditions are creating a recessionary environment in the US, Europe, and most export-led economies.

Exceptional US dollar strength drove markets as the Fed dramatically tightened financial conditions by increasing interest rates and aggressively shrinking its balance sheet. The strong US dollar accelerated the exportation of US inflation to the rest of the world, forcing nearly all global central banks to follow the Fed in raising interest rates. Tighter financial conditions forced global equity and fixed income markets to reduce investment positions and leverage, driving nearly all asset classes lower.

The fourth quarter recovery in equity markets was driven by peaking inflationary conditions and the rapid increase in non-US interest rates relative to US interest rates, which triggered a broad-based decline in the US dollar. The 2022 bear market in equities reflects the impact of higher interest rates increasing the cost of capital, and thereby decreasing equity valuations.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Vaughan Nelson Small Cap Value Fund returned -9.98% at net asset value. The Fund outperformed its benchmark, the Russell 2000<sup>®</sup> Value Index, which returned -14.48%.

Explanation of Fund Performance

The Fund outperformed on a relative basis during the period. The largest contributor was industrials, driven by security selection. Federal Signal Corporation was the top name in the sector due to strong book-to-bill ratios across the business for municipal commercial equipment combined with margin expansion due to improvements in the supply chain. Selection within communication services assisted, with the largest performance led by Tegna, Inc. which was acquired for a premium by Standard General. The Fund was underweight in real estate. This benefitted the portfolio, as real estate was an underperforming sector.

Information technology was an outperforming sector with EXL Service Holdings, Inc. the top name due to strong sequential revenue acceleration, long-term visibility due to the contract nature of its business, and margin improvement due to the higher revenue mix from its data analytics business. Selection within materials, specifically FMC Corporation, bolstered the Fund because of pricing actions regaining margin pressure from late 2021 combined with a higher percentage of revenues coming from new formulations that carry higher margins than legacy products. An underweight to health care, an underperforming sector, helped the Fund. Consumer staples contributed to the Fund's outperformance with Performance Food Group Company the top name due to continued market share gains across the food distribution business, margin expansion due to increased company scale, and inventory gains because of materially higher inflation throughout the year.

An underweight to energy, an outperforming sector, was the largest relative detractor. Financials impaired the relative return, specifically Trean Insurance Group, Inc. which had concerns about underwriting performance on core insurance offerings and exiting certain markets due to poor profitability. Selection within consumer discretionary diminished relative performance, with Bally's

\| 24

------

VAUGHAN NELSON SMALL CAP VALUE FUND

Corporation the worst performer due to high balance sheet leverage, the beginning of a new cap-ex cycle to build a new casino in Chicago and a longer time horizon on planned cost reductions to improve profitability. An underweight to utilities, an outperforming sector, weighed on the Fund's performance.

Outlook

With the current level of interest rates and expiring monetary and fiscal stimulus, we anticipate that by the third quarter 2023, the trajectory of inflation will be on pace to meet the Fed's inflation target. However, we anticipate the tighter financial conditions and expiring monetary and fiscal stimulus will lead to an earnings recession and likely an economic recession. Should weakening economic and financial conditions force policy makers to restimulate the economy, we could see inflationary pressures begin to reaccelerate.

Top Ten Holdings as of December 31, 2022

---

| | | |
|:---|:---|:---|
|  | Security Name | % of<br>Net Assets |
| 1 | Insight Enterprises, Inc. | 3.61% |
| 2 | Element Solutions, Inc. | 3.36 |
| 3 | GATX Corp. | 2.58 |
| 4 | Rambus, Inc. | 2.53 |
| 5 | WNS Holdings Ltd. ADR | 2.44 |
| 6 | Fabrinet | 2.37 |
| 7 | ASGN, Inc. | 2.06 |
| 8 | Performance Food Group Co. | 1.93 |
| 9 | Franklin Electric Co., Inc. | 1.90 |
| 10 | Landstar System, Inc. | 1.87 |

---

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>3</sup>

December 31, 2012 through December 31, 2022

![LOGO](g370882g80a05.jpg)

25 \|

------

Average Annual Total Returns — December 31, 2022<sup>3</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Expense Ratios<sup>4</sup> | Expense Ratios<sup>4</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of<br>Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -9.98% | 6.49% | 10.33% | —% | 1.16% | 1.00% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -10.19 | 6.22 | 10.05 |  | 1.41 | 1.25 |
| &nbsp;&nbsp;&nbsp;*With 5.75% Maximum Sales Charge* | -15.36 | 4.97 | 9.40 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C | &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -11.01 | 5.41 | 9.38 |  | 2.17 | 2.00 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -11.78 | 5.41 | 9.38 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 5/1/17) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -9.95 | 6.58 |  | 7.08 | 1.17 | 0.95 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Russell 2000<sup>®</sup> Value Index<sup>2</sup> | -14.48 | 4.13 | 8.48 | 4.88 |  |  |

---

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

---

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

---

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

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

---

| | |
|:---|:---|
| 4 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

---

\| 26

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ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC's website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA<sup>®</sup> and Chartered Financial Analyst<sup>®</sup> are registered trademarks owned by the CFA Institute.

27 \|

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2022 through December 31, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**LOOMIS SAYLES INTERNATIONAL GROWTH FUND** | BEGINNING<br>ACCOUNT VALUE<br>7/1/2022 | ENDING<br>ACCOUNT VALUE<br>12/31/2022 | EXPENSES PAID<br>DURING PERIOD\*<br>7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1043.10 | $6.18 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1019.16 | $6.11 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1040.20 | $10.03 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1015.38 | $9.91 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1045.90 | $4.64 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.67 | $4.58 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1045.50 | $4.90 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.42 | $4.84 |

---

\* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

\| 28

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**NATIXIS OAKMARK FUND** | BEGINNING<br> ACCOUNT VALUE<br> 7/1/2022 | ENDING<br> ACCOUNT VALUE<br> 12/31/2022 | EXPENSES PAID<br> DURING PERIOD\*<br> 7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1077.30 | $5.50 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1019.91 | $5.35 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1073.00 | $9.41 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1016.13 | $9.15 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1078.70 | $3.93 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.43 | $3.82 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1078.50 | $4.19 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.17 | $4.08 |

---

<sup>\*</sup> Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**NATIXIS OAKMARK INTERNATIONAL FUND** | BEGINNING<br> ACCOUNT VALUE<br> 7/1/2022 | ENDING<br> ACCOUNT VALUE<br> 12/31/2022 | EXPENSES PAID<br> DURING PERIOD\*<br> 7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1041.70 | $5.92 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1019.41 | $5.85 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1038.40 | $9.76 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1015.63 | $9.65 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1042.60 | $4.38 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.92 | $4.33 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1042.90 | $4.63 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.67 | $4.58 |

---

<sup>\*</sup> Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

29 \|

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**NATIXIS U.S. EQUITY OPPORTUNITIES FUND** | BEGINNING<br> ACCOUNT VALUE<br> 7/1/2022 | ENDING<br> ACCOUNT VALUE<br> 12/31/2022 | EXPENSES PAID<br> DURING PERIOD\*<br> 7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1048.20 | $5.68 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1019.66 | $5.60 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1043.60 | $9.53 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1015.88 | $9.40 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1049.90 | $4.08 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.22 | $4.02 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1049.40 | $4.39 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.92 | $4.33 |

---

<sup>\*</sup> Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85%, 0.79% and 0.85% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**VAUGHAN NELSON MID CAP FUND** | BEGINNING<br> ACCOUNT VALUE<br> 7/1/2022 | ENDING<br> ACCOUNT VALUE<br> 12/31/2022 | EXPENSES PAID<br> DURING PERIOD\*<br> 7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1042.90 | $5.92 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1019.41 | $5.85 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1039.20 | $9.77 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1015.63 | $9.65 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1044.80 | $4.38 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.92 | $4.33 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1044.60 | $4.64 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.67 | $4.58 |

---

<sup>\*</sup> Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

\| 30

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**VAUGHAN NELSON SMALL CAP VALUE FUND** | BEGINNING<br> ACCOUNT VALUE<br> 7/1/2022 | ENDING<br> ACCOUNT VALUE<br> 12/31/2022 | EXPENSES PAID<br> DURING PERIOD\*<br>7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1032.30 | $6.40 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1018.90 | $6.36 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1028.40 | $10.23 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1015.12 | $10.16 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1033.70 | $4.87 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.42 | $4.84 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1033.40 | $5.13 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.16 | $5.09 |

---

<sup>\*</sup> Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

31 \|

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Portfolio of Investments – as of December 31, 2022

Loomis Sayles International Growth Fund

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| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
| **Common Stocks — 98.8% of Net Assets** | **Common Stocks — 98.8% of Net Assets** | **Common Stocks — 98.8% of Net Assets** |
|  | **Australia — 5.6%** | **Australia — 5.6%** |
| 39944 | WiseTech Global Ltd. | $1373771 |
|  | **Belgium — 2.4%** | **Belgium — 2.4%** |
| 9789 | Anheuser-Busch InBev S.A. | 589601 |
|  | **Brazil — 8.6%** | **Brazil — 8.6%** |
| 376933 | Ambev S.A., ADR | 1025258 |
| 1280 | MercadoLibre, Inc.(a) | 1083187 |
|  |  | 2108445 |
|  | **Canada — 1.8%** | **Canada — 1.8%** |
| 13047 | Shopify, Inc., Class A(a) | 452861 |
|  | **China — 27.6%** | **China — 27.6%** |
| 4121 | Alibaba Group Holding Ltd., Sponsored ADR(a)(b) | 363019 |
| 5038 | Baidu, Inc., Sponsored ADR(a)(b) | 576246 |
| 70700 | Budweiser Brewing Co. APAC Ltd., 144A | 221008 |
| 553500 | Dali Foods Group Co. Ltd., 144A | 251813 |
| 3900 | Kweichow Moutai Co. Ltd., Class A | 969088 |
| 4363 | NXP Semiconductors NV | 689485 |
| 29400 | Tencent Holdings Ltd.(b) | 1246571 |
| 29164 | Trip.com Group Ltd., ADR(a)(b) | 1003242 |
| 48974 | Vipshop Holdings Ltd., ADR(a)(b) | 668005 |
| 14779 | Yum China Holdings, Inc. | 807672 |
|  |  | 6796149 |
|  | **Denmark — 5.5%** | **Denmark — 5.5%** |
| 10021 | Novo Nordisk A/S, Class B | 1361008 |
|  | **France — 5.2%** | **France — 5.2%** |
| 3017 | EssilorLuxottica S.A. | 545875 |
| 7683 | Sodexo S.A. | 735097 |
|  |  | 1280972 |
|  | **Germany — 2.8%** | **Germany — 2.8%** |
| 6753 | SAP SE | 697184 |
|  | **Japan — 4.6%** | **Japan — 4.6%** |
| 5900 | FANUC Corp. | 882914 |
| 6200 | Unicharm Corp. | 237375 |
|  |  | 1120289 |
|  | **Macau — 1.2%** | **Macau — 1.2%** |
| 43000 | Galaxy Entertainment Group Ltd. | 282710 |
|  | **Netherlands — 3.5%** | **Netherlands — 3.5%** |
| 616 | Adyen NV, 144A(a) | 855161 |
|  | **Switzerland — 5.6%** | **Switzerland — 5.6%** |
| 7883 | CRISPR Therapeutics AG(a) | 320444 |
| 11652 | Novartis AG, (Registered) | 1054476 |
|  |  | 1374920 |
|  | **United Kingdom — 10.0%** | **United Kingdom — 10.0%** |
| 7852 | Diageo PLC | 343697 |
| 21689 | Experian PLC | 734570 |
| 11545 | Reckitt Benckiser Group PLC | 800257 |
| 11782 | Unilever PLC | 591182 |
|  |  | 2469706 |
|  | **United States — 14.4%** | **United States — 14.4%** |
| 7585 | Block, Inc.(a) | 476641 |
| 14599 | Doximity, Inc., Class A(a) | 489943 |
| 8292 | Nestle S.A., (Registered) | 957804 |
| 3287 | Roche Holding AG | 1032898 |
| 4645 | Tesla, Inc.(a) | 572171 |
|  |  | 3529457 |
|  | Total Common Stocks <br>(Identified Cost $29,668,972) | 24292234 |
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Short-Term Investments — 0.3%** | **Short-Term Investments — 0.3%** | **Short-Term Investments — 0.3%** |
| $56161 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $56,172 on 1/03/2023 collateralized by $65,500 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $57,307 including accrued interest (Note 2 of Notes to Financial Statements) <br>(Identified Cost $56,161) | $56161 |
|  | Total Investments — 99.1% <br>(Identified Cost $29,725,133) | 24348395 |
|  | Other assets less liabilities — 0.9% | 232431 |
|  | Net Assets — 100.0% | $24580826 |
| (†) | See Note 2 of Notes to Financial Statements. | See Note 2 of Notes to Financial Statements. |
| (a) | Non-income producing security. | Non-income producing security. |
| (b) | Security invests in variable interest entities based in China. | Security invests in variable interest entities based in China. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $1,327,982 or 5.4% of net assets. | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $1,327,982 or 5.4% of net assets. |
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Pharmaceuticals | 14.0% |
|  Beverages | 12.8 |
|  Hotels, Restaurants & Leisure | 11.6 |
|  Internet & Direct Marketing Retail | 8.6 |
|  Software | 8.4 |
|  Interactive Media & Services | 7.4 |
|  IT Services | 7.3 |
|  Food Products | 4.9 |
|  Household Products | 4.2 |
|  Machinery | 3.6 |
|  Professional Services | 3.0 |
|  Semiconductors & Semiconductor Equipment | 2.8 |
|  Personal Products | 2.4 |
|  Automobiles | 2.3 |
|  Health Care Equipment & Supplies | 2.2 |
|  Health Care Technology | 2.0 |
|  Biotechnology | 1.3 |
|  Short-Term Investments | 0.3 |
|  Total Investments | 99.1 |
|  Other assets less liabilities | 0.9 |
|  Net Assets | 100.0% |

---

Currency Exposure Summary at December 31, 2022

---

| | |
|:---|:---|
|  United States Dollar | 35.0% |
|  Euro | 16.3 |
|  Swiss Franc | 12.4 |
|  Hong Kong Dollar | 8.2 |
|  British Pound | 7.6 |
|  Australian Dollar | 5.6 |
|  Danish Krone | 5.5 |
|  Japanese Yen | 4.6 |
|  Yuan Renminbi | 3.9 |
|  Total Investments | 99.1 |
|  Other assets less liabilities | 0.9 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 32

------

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark Fund

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
| **Common Stocks — 96.7% of Net Assets** | **Common Stocks — 96.7% of Net Assets** | **Common Stocks — 96.7% of Net Assets** |
|  | **Auto Components — 2.8%** | **Auto Components — 2.8%** |
| 158667 | BorgWarner, Inc. | $6386347 |
| 61000 | Magna International, Inc. | 3426980 |
|  |  | 9813327 |
|  | **Automobiles — 1.9%** | **Automobiles — 1.9%** |
| 197960 | General Motors Co. | 6659374 |
|  | **Banks — 6.9%** | **Banks — 6.9%** |
| 164136 | Bank of America Corp. | 5436185 |
| 188618 | Citigroup, Inc. | 8531192 |
| 243104 | Wells Fargo & Co. | 10037764 |
|  |  | 24005141 |
|  | **Building Products — 3.0%** | **Building Products — 3.0%** |
| 77000 | Fortune Brands Innovations, Inc. | 4397470 |
| 111700 | Masco Corp. | 5213039 |
| 128800 | MasterBrand, Inc.(a) | 972440 |
|  |  | 10582949 |
|  | **Capital Markets — 13.5%** | **Capital Markets — 13.5%** |
| 127482 | Bank of New York Mellon Corp. (The) | 5802981 |
| 64939 | Charles Schwab Corp. (The) | 5406821 |
| 23298 | Goldman Sachs Group, Inc. (The) | 8000067 |
| 72666 | Intercontinental Exchange, Inc. | 7454805 |
| 235110 | KKR & Co., Inc. | 10913806 |
| 4921 | Moody's Corp. | 1371089 |
| 102566 | State Street Corp. | 7956045 |
|  |  | 46905614 |
|  | **Consumer Finance — 6.0%** | **Consumer Finance — 6.0%** |
| 326054 | Ally Financial, Inc. | 7972020 |
| 32373 | American Express Co. | 4783111 |
| 88806 | Capital One Financial Corp. | 8255406 |
|  |  | 21010537 |
|  | **Electronic Equipment, Instruments & Components — 1.2%** | **Electronic Equipment, Instruments & Components — 1.2%** |
| 36265 | TE Connectivity Ltd. | 4163222 |
|  | **Entertainment — 5.6%** | **Entertainment — 5.6%** |
| 23526 | Netflix, Inc.(a) | 6937347 |
| 39097 | Take-Two Interactive Software, Inc.(a) | 4071171 |
| 46400 | Walt Disney Co. (The)(a) | 4031232 |
| 455200 | Warner Bros. Discovery, Inc.(a) | 4315296 |
|  |  | 19355046 |
|  | **Health Care Providers & Services — 2.1%** | **Health Care Providers & Services — 2.1%** |
| 30319 | HCA Healthcare, Inc. | 7275347 |
|  | **Hotels, Restaurants & Leisure — 2.8%** | **Hotels, Restaurants & Leisure — 2.8%** |
| 3383 | Booking Holdings, Inc.(a) | 6817692 |
| 23128 | Hilton Worldwide Holdings, Inc. | 2922454 |
|  |  | 9740146 |
|  | **Household Durables — 1.8%** | **Household Durables — 1.8%** |
| 138000 | PulteGroup, Inc. | 6283140 |
|  | **Insurance — 4.9%** | **Insurance — 4.9%** |
| 77935 | American International Group, Inc. | 4928609 |
| 27637 | Reinsurance Group of America, Inc. | 3926941 |
| 33663 | Willis Towers Watson PLC | 8233297 |
|  |  | 17088847 |
|  | **Interactive Media & Services — 7.3%** | **Interactive Media & Services — 7.3%** |
| 135820 | Alphabet, Inc., Class A(a) | 11983399 |
| 54366 | Meta Platforms, Inc., Class A(a) | 6542404 |
| 287100 | Pinterest, Inc., Class A(a) | 6970788 |
|  |  | 25496591 |
|  | **Internet & Direct Marketing Retail — 4.2%** | **Internet & Direct Marketing Retail — 4.2%** |
| 80300 | Amazon.com, Inc.(a) | $6745200 |
| 113565 | eBay, Inc. | 4709541 |
| 25600 | Etsy, Inc.(a) | 3066368 |
|  |  | 14521109 |
|  | **IT Services — 4.0%** | **IT Services — 4.0%** |
| 75069 | Fiserv, Inc.(a) | 7587224 |
| 7966 | Gartner, Inc.(a) | 2677691 |
| 37600 | Global Payments, Inc. | 3734432 |
|  |  | 13999347 |
|  | **Machinery — 3.5%** | **Machinery — 3.5%** |
| 5371 | Cummins, Inc. | 1301340 |
| 43966 | PACCAR, Inc. | 4351315 |
| 22900 | Parker-Hannifin Corp. | 6663900 |
|  |  | 12316555 |
|  | **Media — 4.4%** | **Media — 4.4%** |
| 22144 | Charter Communications, Inc., Class A(a) | 7509030 |
| 219742 | Comcast Corp., Class A | 7684378 |
|  |  | 15193408 |
|  | **Oil, Gas & Consumable Fuels — 6.2%** | **Oil, Gas & Consumable Fuels — 6.2%** |
| 175272 | APA Corp. | 8181697 |
| 42277 | ConocoPhillips | 4988686 |
| 64877 | EOG Resources, Inc. | 8402869 |
|  |  | 21573252 |
|  | **Professional Services — 1.6%** | **Professional Services — 1.6%** |
| 28600 | Equifax, Inc. | 5558696 |
|  | **Real Estate Management & Development — 2.3%** | **Real Estate Management & Development — 2.3%** |
| 105518 | CBRE Group, Inc., Class A(a) | 8120665 |
|  | **Road & Rail — 0.9%** | **Road & Rail — 0.9%** |
| 123600 | Uber Technologies, Inc.(a) | 3056628 |
|  | **Software — 8.0%** | **Software — 8.0%** |
| 13400 | Adobe, Inc.(a) | 4509502 |
| 114900 | Oracle Corp. | 9391926 |
| 54200 | Salesforce, Inc.(a) | 7186378 |
| 40980 | Workday, Inc., Class A(a) | 6857183 |
|  |  | 27944989 |
|  | **Tobacco — 1.8%** | **Tobacco — 1.8%** |
| 136914 | Altria Group, Inc. | 6258339 |
|  | Total Common Stocks <br>(Identified Cost $343,773,300) | 336922269 |
| **Principal<br>Amount** |  |  |
| **Short-Term Investments — 2.7%** | **Short-Term Investments — 2.7%** | **Short-Term Investments — 2.7%** |
| $9517756 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $9,519,660 on 1/03/2023 collateralized by $11,096,000 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $9,708,135 including accrued interest (Note 2 of Notes to Financial Statements) <br>(Identified Cost $9,517,756) | 9517756 |
|  | Total Investments — 99.4% <br>(Identified Cost $353,291,056) | 346440025 |
|  | Other assets less liabilities — 0.6% | 2027532 |
|  | Net Assets — 100.0% | $348467557 |
| (†) | See Note 2 of Notes to Financial Statements. |  |
| (a) | Non-income producing security. |  |

---

See accompanying notes to financial statements.

33 \|

------

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark Fund – (continued)

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Capital Markets | 13.5% |
|  Software | 8.0 |
|  Interactive Media & Services | 7.3 |
|  Banks | 6.9 |
|  Oil, Gas & Consumable Fuels | 6.2 |
|  Consumer Finance | 6.0 |
|  Entertainment | 5.6 |
|  Insurance | 4.9 |
|  Media | 4.4 |
|  Internet & Direct Marketing Retail | 4.2 |
|  IT Services | 4.0 |
|  Machinery | 3.5 |
|  Building Products | 3.0 |
|  Auto Components | 2.8 |
|  Hotels, Restaurants & Leisure | 2.8 |
|  Real Estate Management & Development | 2.3 |
|  Health Care Providers & Services | 2.1 |
|  Other Investments, less than 2% each | 9.2 |
|  Short-Term Investments | 2.7 |
|  Total Investments | 99.4 |
|  Other assets less liabilities | 0.6 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 34

------

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark International Fund

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
| **Common Stocks — 95.4% of Net Assets** | **Common Stocks — 95.4% of Net Assets** | **Common Stocks — 95.4% of Net Assets** |
|  | **Australia — 0.7%** | **Australia — 0.7%** |
| 254020 | Orica Ltd. | $2597205 |
|  | **Belgium — 2.0%** | **Belgium — 2.0%** |
| 119900 | Anheuser-Busch InBev S.A. | 7221690 |
|  | **Canada — 2.1%** | **Canada — 2.1%** |
| 204600 | Open Text Corp. | 6062446 |
| 23899 | Restaurant Brands International, Inc. | 1545548 |
|  |  | 7607994 |
|  | **China — 5.8%** | **China — 5.8%** |
| 712300 | Alibaba Group Holding Ltd.(a) | 7816003 |
| 140775 | Prosus NV | 9719583 |
| 256096 | Vipshop Holdings Ltd., ADR(a) | 3493149 |
|  |  | 21028735 |
|  | **Denmark — 1.2%** | **Denmark — 1.2%** |
| 28100 | DSV AS | 4443654 |
|  | **France — 15.2%** | **France — 15.2%** |
| 300305 | Accor S.A.(a) | 7491875 |
| 215191 | BNP Paribas S.A. | 12252789 |
| 28200 | Capgemini SE | 4714363 |
| 73100 | Danone S.A. | 3852783 |
| 50063 | Edenred | 2724697 |
| 11155 | Kering S.A. | 5677086 |
| 85098 | Publicis Groupe S.A. | 5436255 |
| 300598 | Valeo S.A. | 5371030 |
| 186051 | Worldline S.A., 144A(a) | 7286213 |
|  |  | 54807091 |
|  | **Germany — 27.4%** | **Germany — 27.4%** |
| 64300 | Adidas AG | 8714341 |
| 43710 | Allianz SE, (Registered) | 9334603 |
| 156030 | Bayer AG, (Registered) | 8030872 |
| 104700 | Bayerische Motoren Werke AG | 9269610 |
| 156359 | Continental AG | 9321263 |
| 233407 | Daimler Truck Holding AG(a) | 7175330 |
| 124100 | Fresenius Medical Care AG & Co. KGaA | 4053418 |
| 320500 | Fresenius SE & Co. KGaA | 8952168 |
| 80400 | Henkel AG & Co. KGaA | 5166878 |
| 163414 | Mercedes-Benz Group AG, (Registered) | 10686437 |
| 69100 | SAP SE | 7133931 |
| 52200 | Siemens AG, (Registered) | 7195833 |
| 581663 | thyssenkrupp AG(a) | 3532170 |
|  |  | 98566854 |
|  | **Hong Kong — 2.1%** | **Hong Kong — 2.1%** |
| 563200 | Prudential PLC | 7679394 |
|  | **India — 0.4%** | **India — 0.4%** |
| 141675 | Axis Bank Ltd. | 1594358 |
|  | **Ireland — 2.0%** | **Ireland — 2.0%** |
| 94238 | Ryanair Holdings PLC, Sponsored ADR(a) | 7045233 |
|  | **Italy — 3.2%** | **Italy — 3.2%** |
| 5205700 | Intesa Sanpaolo SpA | 11532753 |
|  | **Japan — 1.8%** | **Japan — 1.8%** |
| 19500 | Fujitsu Ltd. | 2599692 |
| 172000 | Komatsu Ltd. | 3717627 |
|  |  | 6317319 |
|  | **Korea — 1.9%** | **Korea — 1.9%** |
| 47550 | NAVER Corp. | 6762606 |
|  | **Mexico — 0.3%** | **Mexico — 0.3%** |
| 225687 | Grupo Televisa SAB, Sponsored ADR | 1029133 |
|  | **Netherlands — 3.4%** | **Netherlands — 3.4%** |
| 34400 | Akzo Nobel NV | $2308327 |
| 102444 | EXOR NV(a) | 7500363 |
| 167438 | Koninklijke Philips NV | 2519475 |
|  |  | 12328165 |
|  | **Spain — 1.4%** | **Spain — 1.4%** |
| 94630 | Amadeus IT Group S.A.(a) | 4909188 |
|  | **Sweden — 3.1%** | **Sweden — 3.1%** |
| 74400 | Sandvik AB | 1344526 |
| 342403 | SKF AB, B Shares | 5229701 |
| 259400 | Volvo AB, B Shares | 4685697 |
|  |  | 11259924 |
|  | **Switzerland — 7.1%** | **Switzerland — 7.1%** |
| 12400 | Cie Financiere Richemont S.A., Class A (Registered) | 1607783 |
| 571021 | Credit Suisse Group AG, (Registered) | 1704754 |
| 914080 | Glencore PLC | 6095674 |
| 129721 | Holcim AG, (Registered) | 6714783 |
| 42900 | Novartis AG, (Registered) | 3882339 |
| 12800 | Schindler Holding AG | 2407453 |
| 10499 | Swatch Group AG (The) | 2984032 |
|  |  | 25396818 |
|  | **United Kingdom — 13.7%** | **United Kingdom — 13.7%** |
| 68800 | Ashtead Group PLC | 3908167 |
| 521092 | CNH Industrial NV | 8359353 |
| 91400 | Compass Group PLC | 2110611 |
| 414477 | Informa PLC | 3091900 |
| 250232 | Liberty Global PLC, Class A(a) | 4736892 |
| 20113500 | Lloyds Banking Group PLC | 10976195 |
| 25000 | Reckitt Benckiser Group PLC | 1732908 |
| 1136500 | Rolls-Royce Holdings PLC(a) | 1269441 |
| 1277482 | Schroders PLC | 6712519 |
| 96200 | Smiths Group PLC | 1846277 |
| 474500 | WPP PLC | 4688052 |
|  |  | 49432315 |
|  | **United States — 0.6%** | **United States — 0.6%** |
| 6290 | Roche Holding AG | 1976553 |
|  | Total Common Stocks <br>(Identified Cost $376,233,477) | 343536982 |
| **Preferred Stocks — 1.5%** | **Preferred Stocks — 1.5%** | **Preferred Stocks — 1.5%** |
|  | **Korea — 1.5%** | **Korea — 1.5%** |
| 130400 | Samsung Electronics Co. Ltd., <br>2.145%, (KRW) <br>(Identified Cost $7,333,977) | 5225566 |
| **Principal<br>Amount** |  |  |
| **Short-Term Investments — 1.8%** | **Short-Term Investments — 1.8%** | **Short-Term Investments — 1.8%** |
| $6501999 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $6,503,299 on 1/03/2023 collateralized by $3,293,200 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $6,632,143 including accrued interest (Note 2 of Notes to Financial Statements) <br>(Identified Cost $6,501,999) | 6501999 |
|  | Total Investments — 98.7% <br>(Identified Cost $390,069,453) | 355264547 |
|  | Other assets less liabilities — 1.3% | 4649260 |
|  | Net Assets — 100.0% | $359913807 |

---

See accompanying notes to financial statements.

35 \|

------

Portfolio of Investments – as of December 31, 2022

Natixis Oakmark International Fund – (continued)

---

| | |
|:---|:---|
| (†) | See Note 2 of Notes to Financial Statements. |
| (a) | Non-income producing security. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $7,286,213 or 2.0% of net assets. |
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
| KRW | South Korean Won |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Banks | 10.0% |
|  Machinery | 9.2 |
|  IT Services | 6.1 |
|  Internet & Direct Marketing Retail | 5.8 |
|  Automobiles | 5.6 |
|  Textiles, Apparel & Luxury Goods | 5.2 |
|  Insurance | 4.7 |
|  Auto Components | 4.1 |
|  Media | 4.0 |
|  Pharmaceuticals | 3.9 |
|  Software | 3.7 |
|  Health Care Providers & Services | 3.6 |
|  Hotels, Restaurants & Leisure | 3.1 |
|  Metals & Mining | 2.7 |
|  Industrial Conglomerates | 2.5 |
|  Capital Markets | 2.4 |
|  Diversified Financial Services | 2.1 |
|  Beverages | 2.0 |
|  Airlines | 2.0 |
|  Other Investments, less than 2% each | 14.2 |
|  Short-Term Investments | 1.8 |
|  Total Investments | 98.7 |
|  Other assets less liabilities | 1.3 |
|  Net Assets | 100.0% |

---

Currency Exposure Summary at December 31, 2022

---

| | |
|:---|:---|
|  Euro | 57.6% |
|  British Pound | 13.9 |
|  United States Dollar | 6.7 |
|  Swiss Franc | 6.0 |
|  South Korean Won | 3.4 |
|  Swedish Krona | 3.1 |
|  Hong Kong Dollar | 2.2 |
|  Other, less than 2% each | 5.8 |
|  Total Investments | 98.7 |
|  Other assets less liabilities | 1.3 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 36

------

Portfolio of Investments – as of December 31, 2022

Natixis U.S. Equity Opportunities Fund

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
| **Common Stocks — 99.4% of Net Assets** | **Common Stocks — 99.4% of Net Assets** | **Common Stocks — 99.4% of Net Assets** |
|  | **Aerospace & Defense — 2.4%** | **Aerospace & Defense — 2.4%** |
| 93105 | Boeing Co. (The)(a) | $17735571 |
|  | **Air Freight & Logistics — 0.7%** | **Air Freight & Logistics — 0.7%** |
| 47986 | Expeditors International of Washington, Inc. | 4986705 |
|  | **Auto Components — 0.1%** | **Auto Components — 0.1%** |
| 18900 | Mobileye Global, Inc., Class A(a) | 662634 |
|  | **Automobiles — 2.8%** | **Automobiles — 2.8%** |
| 405400 | General Motors Co. | 13637656 |
| 57257 | Tesla, Inc.(a) | 7052917 |
|  |  | 20690573 |
|  | **Banks — 4.8%** | **Banks — 4.8%** |
| 329305 | Citigroup, Inc. | 14894465 |
| 500900 | Wells Fargo & Co. | 20682161 |
|  |  | 35576626 |
|  | **Beverages — 2.7%** | **Beverages — 2.7%** |
| 11851 | Boston Beer Co., Inc. (The), Class A(a) | 3905141 |
| 155211 | Monster Beverage Corp.(a) | 15758573 |
|  |  | 19663714 |
|  | **Biotechnology — 3.7%** | **Biotechnology — 3.7%** |
| 54809 | Alnylam Pharmaceuticals, Inc.(a) | 13025359 |
| 20626 | BioMarin Pharmaceutical, Inc.(a) | 2134585 |
| 62008 | CRISPR Therapeutics AG(a) | 2520625 |
| 12680 | Regeneron Pharmaceuticals, Inc.(a) | 9148493 |
|  |  | 26829062 |
|  | **Building Products — 1.2%** | **Building Products — 1.2%** |
| 182500 | Masco Corp. | 8517275 |
|  | **Capital Markets — 11.9%** | **Capital Markets — 11.9%** |
| 112845 | Charles Schwab Corp. (The) | 9395475 |
| 15151 | FactSet Research Systems, Inc. | 6078733 |
| 40700 | Goldman Sachs Group, Inc. (The) | 13975566 |
| 126400 | Intercontinental Exchange, Inc. | 12967376 |
| 410200 | KKR & Co., Inc. | 19041484 |
| 12535 | MSCI, Inc. | 5830906 |
| 94571 | SEI Investments Co. | 5513489 |
| 191000 | State Street Corp. | 14815870 |
|  |  | 87618899 |
|  | **Consumer Finance — 3.4%** | **Consumer Finance — 3.4%** |
| 224200 | Ally Financial, Inc. | 5481690 |
| 207185 | Capital One Financial Corp. | 19259918 |
|  |  | 24741608 |
|  | **Entertainment — 4.6%** | **Entertainment — 4.6%** |
| 88619 | Netflix, Inc.(a) | 26131971 |
| 88963 | Walt Disney Co. (The)(a) | 7729105 |
|  |  | 33861076 |
|  | **Health Care Equipment & Supplies — 0.5%** | **Health Care Equipment & Supplies — 0.5%** |
| 14262 | Intuitive Surgical, Inc.(a) | 3784422 |
|  | **Health Care Providers & Services — 1.7%** | **Health Care Providers & Services — 1.7%** |
| 52900 | HCA Healthcare, Inc. | 12693884 |
|  | **Health Care Technology — 1.7%** | **Health Care Technology — 1.7%** |
| 201593 | Doximity, Inc., Class A(a) | 6765461 |
| 35085 | Veeva Systems, Inc., Class A(a) | 5662017 |
|  |  | 12427478 |
|  | **Hotels, Restaurants & Leisure — 4.0%** | **Hotels, Restaurants & Leisure — 4.0%** |
| 5920 | Booking Holdings, Inc.(a) | 11930458 |
| 81052 | Starbucks Corp. | 8040358 |
| 102126 | Yum China Holdings, Inc. | 5581186 |
| 32228 | Yum! Brands, Inc. | 4127762 |
|  |  | 29679764 |
|  | **Insurance — 2.1%** | **Insurance — 2.1%** |
| 61800 | Willis Towers Watson PLC | $15115044 |
|  | **Interactive Media & Services — 9.0%** | **Interactive Media & Services — 9.0%** |
| 395382 | Alphabet, Inc., Class A(a) | 34884554 |
| 51099 | Alphabet, Inc., Class C(a) | 4534014 |
| 111956 | Meta Platforms, Inc., Class A(a) | 13472785 |
| 543200 | Pinterest, Inc., Class A(a) | 13188896 |
|  |  | 66080249 |
|  | **Internet & Direct Marketing Retail — 4.4%** | **Internet & Direct Marketing Retail — 4.4%** |
| 49745 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 4382037 |
| 336339 | Amazon.com, Inc.(a) | 28252476 |
|  |  | 32634513 |
|  | **IT Services — 5.6%** | **IT Services — 5.6%** |
| 63576 | Block, Inc.(a) | 3995116 |
| 131000 | Fiserv, Inc.(a) | 13240170 |
| 64835 | PayPal Holdings, Inc.(a) | 4617548 |
| 99880 | Shopify, Inc., Class A(a) | 3466835 |
| 74271 | Visa, Inc., Class A | 15430543 |
|  |  | 40750212 |
|  | **Life Sciences Tools & Services — 0.8%** | **Life Sciences Tools & Services — 0.8%** |
| 28868 | Illumina, Inc.(a) | 5837110 |
|  | **Machinery — 2.0%** | **Machinery — 2.0%** |
| 7883 | Deere & Co. | 3379915 |
| 40000 | Parker-Hannifin Corp. | 11640000 |
|  |  | 15019915 |
|  | **Media — 3.6%** | **Media — 3.6%** |
| 19310 | Charter Communications, Inc., Class A(a) | 6548021 |
| 382880 | Comcast Corp., Class A | 13389314 |
| 84200 | Liberty Broadband Corp., Class C(a) | 6421934 |
|  |  | 26359269 |
|  | **Oil, Gas & Consumable Fuels — 4.4%** | **Oil, Gas & Consumable Fuels — 4.4%** |
| 331241 | APA Corp. | 15462330 |
| 128338 | EOG Resources, Inc. | 16622338 |
|  |  | 32084668 |
|  | **Pharmaceuticals — 2.5%** | **Pharmaceuticals — 2.5%** |
| 86487 | Novartis AG, Sponsored ADR | 7846101 |
| 39029 | Novo Nordisk A/S, Sponsored ADR | 5282185 |
| 140503 | Roche Holding AG, Sponsored ADR | 5500692 |
|  |  | 18628978 |
|  | **Real Estate Management & Development — 1.9%** | **Real Estate Management & Development — 1.9%** |
| 177700 | CBRE Group, Inc., Class A(a) | 13675792 |
|  | **Semiconductors & Semiconductor Equipment — 2.8%** | **Semiconductors & Semiconductor Equipment — 2.8%** |
| 95994 | NVIDIA Corp. | 14028563 |
| 57906 | QUALCOMM, Inc. | 6366186 |
|  |  | 20394749 |
|  | **Software — 12.1%** | **Software — 12.1%** |
| 59455 | Autodesk, Inc.(a) | 11110356 |
| 39616 | Microsoft Corp. | 9500709 |
| 372438 | Oracle Corp. | 30443082 |
| 155267 | Salesforce, Inc.(a) | 20586852 |
| 101155 | Workday, Inc., Class A(a) | 16926266 |
|  |  | 88567265 |
|  | **Textiles, Apparel & Luxury Goods — 0.5%** | **Textiles, Apparel & Luxury Goods — 0.5%** |
| 380757 | Under Armour, Inc., Class A(a) | 3868491 |
|  | **Tobacco — 1.5%** | **Tobacco — 1.5%** |
| 239000 | Altria Group, Inc. | 10924690 |
|  | Total Common Stocks <br>(Identified Cost $626,481,553) | 729410236 |

---

See accompanying notes to financial statements.

37 \|

------

Portfolio of Investments – as of December 31, 2022

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

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Short-Term Investments — 0.4%** | **Short-Term Investments — 0.4%** | **Short-Term Investments — 0.4%** |
| $2869506 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $2,870,080 on 1/03/2023 collateralized by $3,345,400 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $2,926,964 including accrued interest (Note 2 of Notes to Financial Statements)<br> (Identified Cost $2,869,506) | $2869506 |
|  | Total Investments — 99.8% <br>(Identified Cost $629,351,059) | 732279742 |
|  | Other assets less liabilities — 0.2% | 1546749 |
|  | Net Assets — 100.0% | $733826491 |
| (†) | See Note 2 of Notes to Financial Statements. | See Note 2 of Notes to Financial Statements. |
| (a) | Non-income producing security. | Non-income producing security. |
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Software | 12.1% |
|  Capital Markets | 11.9 |
|  Interactive Media & Services | 9.0 |
|  IT Services | 5.6 |
|  Banks | 4.8 |
|  Entertainment | 4.6 |
|  Internet & Direct Marketing Retail | 4.4 |
|  Oil, Gas & Consumable Fuels | 4.4 |
|  Hotels, Restaurants & Leisure | 4.0 |
|  Biotechnology | 3.7 |
|  Media | 3.6 |
|  Consumer Finance | 3.4 |
|  Automobiles | 2.8 |
|  Semiconductors & Semiconductor Equipment | 2.8 |
|  Beverages | 2.7 |
|  Pharmaceuticals | 2.5 |
|  Aerospace & Defense | 2.4 |
|  Insurance | 2.1 |
|  Machinery | 2.0 |
|  Other Investments, less than 2% each | 10.6 |
|  Short-Term Investments | 0.4 |
|  Total Investments | 99.8 |
|  Other assets less liabilities | 0.2 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 38

------

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Mid Cap Fund

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
| **Common Stocks — 98.0% of Net Assets** | **Common Stocks — 98.0% of Net Assets** | **Common Stocks — 98.0% of Net Assets** |
|  | **Aerospace & Defense — 1.3%** | **Aerospace & Defense — 1.3%** |
| 21210 | Axon Enterprise, Inc.(a) | $3519375 |
|  | **Banks — 4.4%** | **Banks — 4.4%** |
| 88420 | Bank of N.T. Butterfield & Son Ltd. (The) | 2635800 |
| 41680 | First Republic Bank | 5080375 |
| 127681 | Huntington Bancshares, Inc. | 1800302 |
| 91290 | PacWest Bancorp | 2095106 |
|  |  | 11611583 |
|  | **Building Products — 2.2%** | **Building Products — 2.2%** |
| 26450 | Allegion PLC | 2784127 |
| 152375 | AZEK Co., Inc. (The)(a) | 3096260 |
|  |  | 5880387 |
|  | **Capital Markets — 9.7%** | **Capital Markets — 9.7%** |
| 29500 | Ares Management Corp., Class A | 2018980 |
| 174912 | Brightsphere Investment Group, Inc. | 3599689 |
| 31940 | Cboe Global Markets, Inc. | 4007512 |
| 18735 | FactSet Research Systems, Inc. | 7516669 |
| 109740 | Nasdaq, Inc. | 6732549 |
| 15097 | Raymond James Financial, Inc. | 1613115 |
|  |  | 25488514 |
|  | **Chemicals — 4.2%** | **Chemicals — 4.2%** |
| 140300 | Axalta Coating Systems Ltd.(a) | 3573441 |
| 43095 | FMC Corp. | 5378256 |
| 24895 | LyondellBasell Industries NV, Class A | 2067032 |
|  |  | 11018729 |
|  | **Commercial Services & Supplies — 2.7%** | **Commercial Services & Supplies — 2.7%** |
| 54535 | Republic Services, Inc. | 7034470 |
|  | **Communications Equipment — 3.2%** | **Communications Equipment — 3.2%** |
| 32615 | Motorola Solutions, Inc. | 8405212 |
|  | **Construction & Engineering — 3.9%** | **Construction & Engineering — 3.9%** |
| 228050 | WillScot Mobile Mini Holdings Corp.(a) | 10301018 |
|  | **Construction Materials — 0.6%** | **Construction Materials — 0.6%** |
| 9065 | Vulcan Materials Co. | 1587372 |
|  | **Containers & Packaging — 1.8%** | **Containers & Packaging — 1.8%** |
| 8815 | Avery Dennison Corp. | 1595515 |
| 37890 | Crown Holdings, Inc. | 3114937 |
|  |  | 4710452 |
|  | **Diversified Consumer Services — 0.7%** | **Diversified Consumer Services — 0.7%** |
| 18310 | Grand Canyon Education, Inc.(a) | 1934635 |
|  | **Diversified Financial Services — 1.0%** | **Diversified Financial Services — 1.0%** |
| 42492 | Apollo Global Management, Inc. | 2710565 |
|  | **Electric Utilities — 2.8%** | **Electric Utilities — 2.8%** |
| 66220 | Alliant Energy Corp. | 3656006 |
| 57010 | Evergy, Inc. | 3587639 |
|  |  | 7243645 |
|  | **Electrical Equipment — 5.4%** | **Electrical Equipment — 5.4%** |
| 48905 | AMETEK, Inc. | 6833007 |
| 8075 | Hubbell, Inc. | 1895041 |
| 138990 | nVent Electric PLC | 5346945 |
|  |  | 14074993 |
|  | **Electronic Equipment, Instruments & Components — 2.3%** | **Electronic Equipment, Instruments & Components — 2.3%** |
| 18555 | CDW Corp. | 3313552 |
| 15155 | Keysight Technologies, Inc.(a) | 2592566 |
|  |  | 5906118 |
|  | **Food & Staples Retailing — 1.9%** | **Food & Staples Retailing — 1.9%** |
| 83535 | Performance Food Group Co.(a) | 4877609 |
|  | **Health Care Equipment & Supplies — 2.6%** | **Health Care Equipment & Supplies — 2.6%** |
| 10555 | Cooper Cos., Inc. (The) | $3490222 |
| 45045 | Hologic, Inc.(a) | 3369816 |
|  |  | 6860038 |
|  | **Health Care Providers & Services — 2.8%** | **Health Care Providers & Services — 2.8%** |
| 44475 | AmerisourceBergen Corp. | 7369952 |
|  | **Hotels, Restaurants & Leisure — 2.0%** | **Hotels, Restaurants & Leisure — 2.0%** |
| 128860 | Aramark | 5327072 |
|  | **Household Products — 1.0%** | **Household Products — 1.0%** |
| 32720 | Church & Dwight Co., Inc. | 2637559 |
|  | **Independent Power & Renewable Electricity Producers — 3.4%** | **Independent Power & Renewable Electricity Producers — 3.4%** |
| 378120 | Vistra Corp. | 8772384 |
|  | **Insurance — 6.4%** | **Insurance — 6.4%** |
| 50675 | Allstate Corp. (The) | 6871530 |
| 30455 | Arthur J. Gallagher & Co. | 5741986 |
| 28470 | Reinsurance Group of America, Inc. | 4045302 |
|  |  | 16658818 |
|  | **IT Services — 4.7%** | **IT Services — 4.7%** |
| 86050 | MAXIMUS, Inc. | 6310046 |
| 114980 | SS&C Technologies Holdings, Inc. | 5985859 |
|  |  | 12295905 |
|  | **Life Sciences Tools & Services — 3.8%** | **Life Sciences Tools & Services — 3.8%** |
| 16395 | Agilent Technologies, Inc. | 2453512 |
| 99645 | Avantor, Inc.(a) | 2101513 |
| 25807 | IQVIA Holdings, Inc.(a) | 5287596 |
|  |  | 9842621 |
|  | **Machinery — 3.7%** | **Machinery — 3.7%** |
| 50140 | Crane Holdings Co. | 5036563 |
| 57755 | Otis Worldwide Corp. | 4522794 |
|  |  | 9559357 |
|  | **Media — 3.1%** | **Media — 3.1%** |
| 46140 | Nexstar Media Group, Inc., Class A | 8075884 |
|  | **Metals & Mining — 1.7%** | **Metals & Mining — 1.7%** |
| 375960 | Constellium SE(a) | 4447607 |
|  | **Multi-Utilities — 2.9%** | **Multi-Utilities — 2.9%** |
| 42460 | Ameren Corp. | 3775543 |
| 60835 | CMS Energy Corp. | 3852681 |
|  |  | 7628224 |
|  | **Oil, Gas & Consumable Fuels — 4.9%** | **Oil, Gas & Consumable Fuels — 4.9%** |
| 32085 | Diamondback Energy, Inc. | 4388586 |
| 17705 | Pioneer Natural Resources Co. | 4043645 |
| 756665 | Southwestern Energy Co.(a) | 4426490 |
|  |  | 12858721 |
|  | **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** |
| 94830 | Elanco Animal Health, Inc.(a) | 1158823 |
|  | **Professional Services — 3.0%** | **Professional Services — 3.0%** |
| 19230 | CACI International, Inc., Class A(a) | 5780346 |
| 10625 | Equifax, Inc. | 2065075 |
|  |  | 7845421 |
|  | **REITs – Diversified — 1.5%** | **REITs – Diversified — 1.5%** |
| 495830 | Rithm Capital Corp. | 4050931 |
|  | **Semiconductors & Semiconductor Equipment — 1.0%** | **Semiconductors & Semiconductor Equipment — 1.0%** |
| 8145 | Analog Devices, Inc. | 1336025 |
| 19580 | Entegris, Inc. | 1284252 |
|  |  | 2620277 |

---

See accompanying notes to financial statements.

39 \|

------

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Mid Cap Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
|  | **Software — 0.5%** | **Software — 0.5%** |
| 120432 | N-Able, Inc.(a) | $1238041 |
|  | **Textiles, Apparel & Luxury Goods — 0.5%** | **Textiles, Apparel & Luxury Goods — 0.5%** |
| 32010 | Skechers U.S.A., Inc., Class A(a) | 1342819 |
|  | Total Common Stocks <br>(Identified Cost $219,883,657) | 256895131 |
| **Principal<br>Amount** |  |  |
| **Short-Term Investments — 2.4%** | **Short-Term Investments — 2.4%** | **Short-Term Investments — 2.4%** |
| $6285880 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $6,287,137 on 1/03/2023 collateralized by $3,183,700 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $6,411,622 including accrued interest (Note 2 of Notes to Financial Statements) <br>(Identified Cost $6,285,880) | 6285880 |
|  | Total Investments — 100.4% <br>(Identified Cost $226,169,537) | 263181011 |
|  | Other assets less liabilities — (0.4)% | (960323) |
|  | Net Assets — 100.0% | $262220688 |
| (†) | See Note 2 of Notes to Financial Statements. | See Note 2 of Notes to Financial Statements. |
| (a) | Non-income producing security. | Non-income producing security. |
| REITs | Real Estate Investment Trusts | Real Estate Investment Trusts |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Capital Markets | 9.7% |
|  Insurance | 6.4 |
|  Electrical Equipment | 5.4 |
|  Oil, Gas & Consumable Fuels | 4.9 |
|  IT Services | 4.7 |
|  Banks | 4.4 |
|  Chemicals | 4.2 |
|  Construction & Engineering | 3.9 |
|  Life Sciences Tools & Services | 3.8 |
|  Machinery | 3.7 |
|  Independent Power & Renewable Electricity Producers | 3.4 |
|  Communications Equipment | 3.2 |
|  Media | 3.1 |
|  Professional Services | 3.0 |
|  Multi-Utilities | 2.9 |
|  Health Care Providers & Services | 2.8 |
|  Electric Utilities | 2.8 |
|  Commercial Services & Supplies | 2.7 |
|  Health Care Equipment & Supplies | 2.6 |
|  Electronic Equipment, Instruments & Components | 2.3 |
|  Building Products | 2.2 |
|  Hotels, Restaurants & Leisure | 2.0 |
|  Other Investments, less than 2% each | 13.9 |
|  Short-Term Investments | 2.4 |
|  Total Investments | 100.4 |
|  Other assets less liabilities | (0.4) |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 40

------

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Small Cap Value Fund

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value (†)** |
| **Common Stocks — 92.3% of Net Assets** | **Common Stocks — 92.3% of Net Assets** | **Common Stocks — 92.3% of Net Assets** |
|  | **Banks — 5.5%** | **Banks — 5.5%** |
| 96235 | Cadence Bank | $2373155 |
| 137475 | Old National Bancorp | 2471801 |
| 25795 | SouthState Corp. | 1969706 |
| 47270 | United Bankshares, Inc. | 1913962 |
| 54585 | United Community Banks, Inc. | 1844973 |
|  |  | 10573597 |
|  | **Building Products — 0.9%** | **Building Products — 0.9%** |
| 20720 | Advanced Drainage Systems, Inc. | 1698418 |
|  | **Capital Markets — 5.0%** | **Capital Markets — 5.0%** |
| 59180 | Artisan Partners Asset Management, Inc., Class A | 1757646 |
| 27460 | Cboe Global Markets, Inc. | 3445406 |
| 50705 | Moelis & Co., Class A | 1945551 |
| 113860 | Virtu Financial, Inc., Class A | 2323883 |
|  |  | 9472486 |
|  | **Chemicals — 6.9%** | **Chemicals — 6.9%** |
| 108710 | Chemours Co. (The) | 3328700 |
| 351430 | Element Solutions, Inc. | 6392512 |
| 27450 | FMC Corp. | 3425760 |
|  |  | 13146972 |
|  | **Commercial Services & Supplies — 1.1%** | **Commercial Services & Supplies — 1.1%** |
| 36470 | Ritchie Bros. Auctioneers, Inc. | 2109060 |
|  | **Electronic Equipment, Instruments & Components — 8.7%** | **Electronic Equipment, Instruments & Components — 8.7%** |
| 33210 | Advanced Energy Industries, Inc. | 2848754 |
| 67315 | Coherent Corp.(a) | 2362757 |
| 35175 | Fabrinet(a) | 4510138 |
| 68625 | Insight Enterprises, Inc.(a) | 6881029 |
|  |  | 16602678 |
|  | **Energy Equipment & Services — 1.0%** | **Energy Equipment & Services — 1.0%** |
| 114255 | Patterson-UTI Energy, Inc. | 1924054 |
|  | **Food & Staples Retailing — 1.9%** | **Food & Staples Retailing — 1.9%** |
| 62965 | Performance Food Group Co.(a) | 3676526 |
|  | **Gas Utilities — 3.2%** | **Gas Utilities — 3.2%** |
| 44335 | Southwest Gas Holdings, Inc. | 2743450 |
| 47370 | Spire, Inc. | 3261898 |
|  |  | 6005348 |
|  | **Health Care Providers & Services — 0.9%** | **Health Care Providers & Services — 0.9%** |
| 36645 | Tenet Healthcare Corp.(a) | 1787910 |
|  | **Hotels, Restaurants & Leisure — 4.3%** | **Hotels, Restaurants & Leisure — 4.3%** |
| 111935 | Bally's Corp.(a) | 2169300 |
| 177275 | Everi Holdings, Inc.(a) | 2543896 |
| 156779 | International Game Technology PLC | 3555748 |
|  |  | 8268944 |
|  | **Household Durables — 2.4%** | **Household Durables — 2.4%** |
| 36000 | Installed Building Products, Inc. | 3081600 |
| 15405 | Meritage Homes Corp.(a) | 1420341 |
|  |  | 4501941 |
|  | **Insurance — 3.0%** | **Insurance — 3.0%** |
| 55820 | First American Financial Corp. | 2921619 |
| 31350 | Selective Insurance Group, Inc. | 2777923 |
|  |  | 5699542 |
|  | **IT Services — 3.8%** | **IT Services — 3.8%** |
| 15715 | ExlService Holdings, Inc.(a) | 2662593 |
| 58175 | WNS Holdings Ltd., ADR(a) | 4653418 |
|  |  | 7316011 |
|  | **Life Sciences Tools & Services — 2.3%** | **Life Sciences Tools & Services — 2.3%** |
| 134495 | Avantor, Inc.(a) | $2836500 |
| 105950 | Maravai LifeSciences Holdings, Inc., Class A(a) | 1516144 |
|  |  | 4352644 |
|  | **Machinery — 6.6%** | **Machinery — 6.6%** |
| 22220 | Alamo Group, Inc. | 3146352 |
| 51775 | Federal Signal Corp. | 2405984 |
| 45280 | Franklin Electric Co., Inc. | 3611080 |
| 23630 | Watts Water Technologies, Inc., Class A | 3455415 |
|  |  | 12618831 |
|  | **Marine — 1.6%** | **Marine — 1.6%** |
| 46475 | Kirby Corp.(a) | 2990666 |
|  | **Media — 0.4%** | **Media — 0.4%** |
| 66740 | Gray Television, Inc. | 746821 |
|  | **Oil, Gas & Consumable Fuels — 3.1%** | **Oil, Gas & Consumable Fuels — 3.1%** |
| 37535 | Antero Resources Corp.(a) | 1163210 |
| 48070 | Comstock Resources, Inc. | 659040 |
| 25070 | Ovintiv, Inc. | 1271300 |
| 28630 | PDC Energy, Inc. | 1817432 |
| 184045 | Southwestern Energy Co.(a) | 1076663 |
|  |  | 5987645 |
|  | **Personal Products — 0.5%** | **Personal Products — 0.5%** |
| 110570 | Coty, Inc., Class A(a) | 946479 |
|  | **Professional Services — 3.2%** | **Professional Services — 3.2%** |
| 48150 | ASGN, Inc.(a) | 3923262 |
| 38830 | Kforce, Inc. | 2129049 |
|  |  | 6052311 |
|  | **REITs – Mortgage — 1.6%** | **REITs – Mortgage — 1.6%** |
| 123440 | MFA Financial, Inc. | 1215884 |
| 65050 | PennyMac Mortgage Investment Trust | 805970 |
| 59850 | Two Harbors Investment Corp. | 943834 |
|  |  | 2965688 |
|  | **REITs – Storage — 1.5%** | **REITs – Storage — 1.5%** |
| 77675 | National Storage Affiliates Trust | 2805621 |
|  | **REITs – Warehouse/Industrials — 1.7%** | **REITs – Warehouse/Industrials — 1.7%** |
| 100840 | STAG Industrial, Inc. | 3258140 |
|  | **Road & Rail — 3.3%** | **Road & Rail — 3.3%** |
| 21830 | Landstar System, Inc. | 3556107 |
| 13280 | Saia, Inc.(a) | 2784550 |
|  |  | 6340657 |
|  | **Semiconductors & Semiconductor Equipment — 6.1%** | **Semiconductors & Semiconductor Equipment — 6.1%** |
| 73700 | Ichor Holdings Ltd.(a) | 1976634 |
| 31955 | MKS Instruments, Inc. | 2707547 |
| 134565 | Rambus, Inc.(a) | 4820118 |
| 63510 | Ultra Clean Holdings, Inc.(a) | 2105357 |
|  |  | 11609656 |
|  | **Specialty Retail — 0.9%** | **Specialty Retail — 0.9%** |
| 6165 | RH(a) | 1647226 |
|  | **Textiles, Apparel & Luxury Goods — 1.4%** | **Textiles, Apparel & Luxury Goods — 1.4%** |
| 46830 | Capri Holdings Ltd.(a) | 2684296 |
|  | **Trading Companies & Distributors — 9.5%** | **Trading Companies & Distributors — 9.5%** |
| 52080 | Beacon Roofing Supply, Inc.(a) | 2749303 |
| 130295 | Core & Main, Inc., Class A(a) | 2515997 |
| 46220 | GATX Corp. | 4915035 |
| 36155 | Rush Enterprises, Inc., Class A | 1890183 |
| 102185 | Univar Solutions, Inc.(a) | 3249483 |
| 11215 | Watsco, Inc. | 2797021 |
|  |  | 18117022 |
|  | Total Common Stocks <br>(Identified Cost $170,680,218) | 175907190 |

---

See accompanying notes to financial statements.

41 \|

------

Portfolio of Investments – as of December 31, 2022

Vaughan Nelson Small Cap Value Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Short-Term Investments — 5.9%** | **Short-Term Investments — 5.9%** | **Short-Term Investments — 5.9%** |
| $11203500 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $11,205,740 on 1/03/2023 collateralized by $5,674,400 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $11,427,618 including accrued interest (Note 2 of Notes to Financial Statements) <br>(Identified Cost $11,203,500) | $11203500 |
|  | Total Investments — 98.2% <br>(Identified Cost $181,883,718) | 187110690 |
|  | Other assets less liabilities — 1.8% | 3423843 |
|  | Net Assets — 100.0% | $190534533 |
| (†) | See Note 2 of Notes to Financial Statements. |  |
| (a) | Non-income producing security. |  |
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
| REITs | Real Estate Investment Trusts |  |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Trading Companies & Distributors | 9.5% |
|  Electronic Equipment, Instruments & Components | 8.7 |
|  Chemicals | 6.9 |
|  Machinery | 6.6 |
|  Semiconductors & Semiconductor Equipment | 6.1 |
|  Banks | 5.5 |
|  Capital Markets | 5.0 |
|  Hotels, Restaurants & Leisure | 4.3 |
|  IT Services | 3.8 |
|  Road & Rail | 3.3 |
|  Professional Services | 3.2 |
|  Gas Utilities | 3.2 |
|  Oil, Gas & Consumable Fuels | 3.1 |
|  Insurance | 3.0 |
|  Household Durables | 2.4 |
|  Life Sciences Tools & Services | 2.3 |
|  Other Investments, less than 2% each | 15.4 |
|  Short-Term Investments | 5.9 |
|  Total Investments | 98.2 |
|  Other assets less liabilities | 1.8 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 42

------

Statements of Assets and Liabilities

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International<br>Growth Fund** | **Natixis<br>Oakmark<br>Fund** | **Natixis<br>Oakmark<br>International<br>Fund** | **Natixis U.S.<br>Equity<br>Opportunities<br>Fund** |
|  **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments at cost | $29725133 | $353291056 | $390069453 | $629351059 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | (5376738) | (6851031) | (34804906) | 102928683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments at value | 24348395 | 346440025 | 355264547 | 732279742 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 18 | 11 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency at value (identified cost $42,380, $0, $103,550 and $0, respectively) | 43103 |  | 103596 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold |  | 3214559 | 1059829 | 3904350 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for securities sold | 198763 |  | 524466 | 3339180 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 58714 | 423072 | 11620 | 447824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax reclaims receivable | 49957 |  | 4589998 | 455920 |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses (Note 8) | 558 | 597 | 593 | 633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSETS** | 24699490 | 350078271 | 361554660 | 740427649 |
|  **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for securities purchased | 49986 |  | 508653 | 651776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares redeemed |  | 707405 | 590044 | 3575528 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes payable (Note 2) |  |  | 65132 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fees payable (Note 6) | 2120 | 149707 | 176831 | 454057 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred Trustees' fees (Note 6) | 5779 | 662702 | 126450 | 508361 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administrative fees payable (Note 6) | 990 | 14932 | 14681 | 29985 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to distributor (Note 6d) | 2 | 2668 | 6200 | 2443 |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax services fees payable | 44820 | 43526 | 44962 | 44627 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accounts payable and accrued expenses | 14967 | 29774 | 107900 | 1334381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL LIABILITIES** | 118664 | 1610714 | 1640853 | 6601158 |
|  **NET ASSETS** | $24580826 | $348467557 | $359913807 | $733826491 |
|  **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $30614860 | $366340856 | $531637430 | $637349787 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accumulated earnings (loss) | (6034034) | (17873299) | (171723623) | 96476704 |
|  **NET ASSETS** | $24580826 | $348467557 | $359913807 | $733826491 |
|  **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $125085 | $192750028 | $120315724 | $512391643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 15953 | 8945206 | 9610821 | 17660428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value and redemption price per share | $7.84 | $21.55 | $12.52 | $29.01 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Offering price per share (100/94.25 of net asset value) (Note 1) | $8.32 | $22.86 | $13.28 | $30.78 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $788 | $51987425 | $39201565 | $29355662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 101 | 3105417 | 3185678 | 2421225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value and offering price per share | $7.77 \* | $16.74 | $12.31 | $12.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $21330920 | $517155 | $221614 | $167383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 2717489 | 22140 | 17784 | 4438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $7.85 | $23.36 | $12.46 | $37.72 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $3124033 | $103212949 | $200174904 | $191911803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 397996 | 4432248 | 16072947 | 5103467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $7.85 | $23.29 | $12.45 | $37.60 |

---

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

See accompanying notes to financial statements.

43 \|

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
|  | **Vaughan<br>Nelson Mid<br>Cap Fund** | **Vaughan<br>Nelson<br>Small Cap<br>Value Fund** |
|  **ASSETS** | **ASSETS** | **ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments at cost | $226169537 | $181883718 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation | 37011474 | 5226972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments at value | 263181011 | 187110690 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 10995 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 99520 | 3902107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 282314 | 219556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses (Note 8) | 582 | 568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSETS** | 263574422 | 191232921 |
|  **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for securities purchased | 703559 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares redeemed | 218144 | 300292 |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fees payable (Note 6) | 143942 | 105650 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred Trustees' fees (Note 6) | 197539 | 222185 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administrative fees payable (Note 6) | 10668 | 7493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to distributor (Note 6d) | 2113 | 1107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax services fees payable | 44483 | 43556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accounts payable and accrued expenses | 33286 | 18105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL LIABILITIES** | 1353734 | 698388 |
|  **NET ASSETS** | $262220688 | $190534533 |
|  **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $250562518 | $188067956 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accumulated earnings | 11658170 | 2466577 |
|  **NET ASSETS** | $262220688 | $190534533 |
|  **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $33507179 | $66338608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 1706007 | 4372373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value and redemption price per share | $19.64 | $15.17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Offering price per share (100/94.25 of net asset value) (Note 1) | $20.84 | $16.10 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales<br>charge) (Note 1)** | &nbsp;&nbsp;&nbsp;&nbsp; **Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales<br>charge) (Note 1)** | &nbsp;&nbsp;&nbsp;&nbsp; **Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales<br>charge) (Note 1)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $7404688 | $2118173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 417245 | 399337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value and offering price per share | $17.75 | $5.30 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $72804251 | $1492979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 3649950 | 92360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $19.95 | $16.16 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $148504570 | $120584773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 7430185 | 7467964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $19.99 | $16.15 |

---

See accompanying notes to financial statements.

\| 44

------

Statements of Operations

For the Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International<br>Growth Fund** | **Natixis<br>Oakmark<br>Fund** | **Natixis<br>Oakmark<br>International<br>Fund** | **Natixis<br>U.S. Equity<br>Opportunities<br>Fund** |
|  **INVESTMENT INCOME** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends | $361963 | $7377720 | $12087259 | $10752217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 2350 | 92619 | 37971 | 89389 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less net foreign taxes withheld | (31132) | (400) | (1283297) | (121515) |
|  | 333181 | 7469939 | 10841933 | 10720091 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fees (Note 6) | 166121 | 2959141 | 3278920 | 6413195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees (Note 6) | 379 | 1080718 | 813869 | 1906756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administrative fees (Note 6) | 10010 | 198579 | 187904 | 397716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and expenses (Note 6) | 12522 | 25691 | 24801 | 38626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees deferred compensation (Note 6) | 2762 | (95019) | (12938) | (69538) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees and expenses (Notes 6 and 7) | 4349 | 394095 | 719310 | 554506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit and tax services fees | 44825 | 43569 | 66982 | 46437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian fees and expenses | 15905 | 19708 | 130582 | 39195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees (Note 8) | 761 | 15476 | 14014 | 30092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 64670 | 110190 | 88142 | 87708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting expenses | 11698 | 49008 | 104608 | 92215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous expenses | 39711 | 38841 | 101519 | 55148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 373713 | 4839997 | 5517713 | 9592056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less waiver and/or expense reimbursement (Note 6) | (172690) | (238414) | (948938) | (906) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 201023 | 4601583 | 4568775 | 9591150 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | 132158 | 2868356 | 6273158 | 1128941 |
|  **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (86495) | 42131981 | (26067532) | 79629441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts (Note 2d) |  |  | 473946 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions (Note 2c) | (4211) |  | (21402) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (4318729) | (116959779) | (63246155) | (306104548) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts (Note 2d) |  |  | 94327 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations (Note 2c) | 398 |  | (243343) | (5545) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized loss on investments, forward foreign currency contracts and foreign currency transactions | (4409037) | (74827798) | (89010159) | (226480652) |
|  **NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS** | $(4276879) | $(71959442) | $(82737001) | $(225351711) |

---

See accompanying notes to financial statements.

45 \|

------

Statements of Operations (continued)

For the Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
|  | **Vaughan<br>Nelson Mid<br>Cap Fund** | **Vaughan<br>Nelson<br>Small Cap<br>Value Fund** |
|  **INVESTMENT INCOME** | **INVESTMENT INCOME** | **INVESTMENT INCOME** |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends | $5095697 | $1735376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 60836 | 71194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less net foreign taxes withheld |  | (5211) |
|  | 5156533 | 1801359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp; Expenses |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fees (Note 6) | 2292180 | 1298748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees (Note 6) | 176160 | 191256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administrative fees (Note 6) | 137881 | 69157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and expenses (Note 6) | 21253 | 16648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees deferred compensation (Note 6) | (24416) | (30346) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees and expenses (Notes 6 and 7) | 205559 | 151516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit and tax services fees | 44492 | 43575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian fees and expenses | 14946 | 11469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees (Note 8) | 10553 | 4784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 78393 | 89262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting expenses | 36100 | 28121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous expenses | 38661 | 31982 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 3031762 | 1906172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less waiver and/or expense reimbursement (Note 6) | (142438) | (187632) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 2889324 | 1718540 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | 2267209 | 82819 |
|  **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS** | **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS** | **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (21324989) | 4298905 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (18052025) | (19344302) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized loss on investments | (39377014) | (15045397) |
|  **NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS** | $(37109805) | $(14962578) |

---

See accompanying notes to financial statements.

\| 46

------

Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International Growth Fund** | **International Growth Fund** | **Natixis Oakmark Fund** | **Natixis Oakmark Fund** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $132158 | $68456 | $2868356 | $633264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments and foreign currency transactions | (90706) | (203613) | 42131981 | 28561069 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (4318331) | (1246367) | (116959779) | 53375247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets resulting from operations | (4276879) | (1381524) | (71959442) | 82569580 |
|  **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A | (565) | (1712) | (28746130) | (14668177) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class C |  | (540) | (9213071) | (3860638) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class N | (155851) | (404221) | (73284) | (42243) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class Y | (21469) | (3739) | (15943567) | (6180207) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (177885) | (410212) | (53976052) | (24751265) |
|  **NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)** | 5709899 | 9897595 | 102236626 | 69746167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets | 1255135 | 8105859 | (23698868) | 127564482 |
|  **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of the year | 23325691 | 15219832 | 372166425 | 244601943 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of the year | $24580826 | $23325691 | $348467557 | $372166425 |

---

See accompanying notes to financial statements.

47 \|

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark International Fund** | **Natixis Oakmark International Fund** | **Natixis U.S. Equity Opportunities Fund** | **Natixis U.S. Equity Opportunities Fund** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $6273158 | $9327403 | $1128941 | $(2363534) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions | (25614988) | 37081829 | 79629441 | 116863738 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations | (63395171) | (4477434) | (306110093) | 97061972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets resulting from operations | (82737001) | 41931798 | (225351711) | 211562176 |
|  **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A | (2112696) | (2330358) | (85070822) | (76697366) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class C | (316972) | (418451) | (10955220) | (11757176) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class N | (4576) | (12581) | (20693) | (15616) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class Y | (4025613) | (5540267) | (26488550) | (23677132) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (6459857) | (8301657) | (122535285) | (112147290) |
|  **NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)** | (86758283) | (1920547) | 5882691 | 20061764 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets | (175955141) | 31709594 | (342004305) | 119476650 |
|  **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of the year | 535868948 | 504159354 | 1075830796 | 956354146 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of the year | $359913807 | $535868948 | $733826491 | $1075830796 |

---

See accompanying notes to financial statements.

\| 48

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Mid Cap Fund** | **Vaughan Nelson Mid Cap Fund** | **Vaughan Nelson Small Cap Value Fund** | **Vaughan Nelson Small Cap Value Fund** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $2267209 | $1331082 | $82819 | $174435 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments | (21324989) | 56422377 | 4298905 | 33988295 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments | (18052025) | 4168218 | (19344302) | 828120 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets resulting from operations | (37109805) | 61921677 | (14962578) | 34990850 |
|  **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A | (1087431) | (5329869) | (3939067) | (14352433) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class C | (262976) | (1799416) | (240247) | (339165) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class N | (2652401) | (12164843) | (77738) | (233321) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class Y | (5985855) | (33148269) | (5400412) | (11433578) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (9988663) | (52442397) | (9657464) | (26358497) |
|  **NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)** | (58219497) | 68004051 | 65258561 | 29370496 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets | (105317965) | 77483331 | 40638519 | 38002849 |
|  **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of the year | 367538653 | 290055322 | 149896014 | 111893165 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of the year | $262220688 | $367538653 | $190534533 | $149896014 |

---

See accompanying notes to financial statements.

49 \|

------

Financial Highlights

For a share outstanding throughout each period.

---

| | | | |
|:---|:---|:---|:---|
|  | **International Growth Fund—Class A** | **International Growth Fund—Class A** | **International Growth Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** |
|  Net asset value, beginning of the period | $9.57 | $10.13 | $10.00 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income (loss)(a) | 0.02 | (0.01) | 0.01 |
|  Net realized and unrealized gain (loss) | (1.71) | (0.41) | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.69) | (0.42) | 0.14 |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |
|  Net investment income | (0.04) | (0.01) | (0.01) |
|  Net realized capital gains |  | (0.13) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.04) | (0.14) | (0.01) |
|  Net asset value, end of the period | $7.84 | $9.57 | $10.13 |
|  Total return(b)(c) | (17.71)% | (4.07)% | 1.37 %(d) |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |
|  Net assets, end of the period (000's) | $125 | $113 | $1 |
|  Net expenses(e) | 1.20% | 1.20% | 1.20 %(f) |
|  Gross expenses | 2.05% | 2.71% | 13.05 %(f) |
|  Net investment income (loss) | 0.26% | (0.07)% | 1.28 %(f) |
|  Portfolio turnover rate | 11% | 9% | 1% |

---

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

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 50

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | |
|:---|:---|:---|:---|
|  | **International Growth Fund—Class C** | **International Growth Fund—Class C** | **International Growth Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** |
|  Net asset value, beginning of the period | $9.51 | $10.13 | $10.00 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |
|  Net investment income (loss)(a) | 0.02 | (0.09) | 0.00 (b) |
|  Net realized and unrealized gain (loss) | (1.76) | (0.40) | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.74) | (0.49) | 0.13 |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |
|  Net investment income |  | (0.00)(b) | (0.00)(b) |
|  Net realized capital gains |  | (0.13) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions |  | (0.13) | (0.00) |
|  Net asset value, end of the period | $7.77 | $9.51 | $10.13 |
|  Total return(c)(d) | (18.30)% | (4.79)% | 1.33 %(e) |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |
|  Net assets, end of the period (000's) | $1 | $38 | $1 |
|  Net expenses(f) | 1.95% | 1.95% | 1.95 %(g) |
|  Gross expenses | 2.79% | 3.46% | 13.78 %(g) |
|  Net investment income (loss) | 0.21% | (0.90)% | 0.55 %(g) |
|  Portfolio turnover rate | 11% | 9% | 1% |

---

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

51 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | |
|:---|:---|:---|:---|
|  | **International Growth Fund—Class N** | **International Growth Fund—Class N** | **International Growth Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** |
|  Net asset value, beginning of the period | $9.58 | $10.13 | $10.00 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |
|  Net investment income(a) | 0.05 | 0.03 | 0.01 |
|  Net realized and unrealized gain (loss) | (1.72) | (0.42) | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.67) | (0.39) | 0.14 |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |
|  Net investment income | (0.06) | (0.03) | (0.01) |
|  Net realized capital gains |  | (0.13) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.06) | (0.16) | (0.01) |
|  Net asset value, end of the period | $7.85 | $9.58 | $10.13 |
|  Total return(b) | (17.47)% | (3.77)% | 1.38 %(c) |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |
|  Net assets, end of the period (000's) | $21331 | $22953 | $15206 |
|  Net expenses(d) | 0.90% | 0.90% | 0.90 %(e) |
|  Gross expenses | 1.67% | 1.58% | 6.48 %(e) |
|  Net investment income | 0.62% | 0.29% | 1.43 %(e) |
|  Portfolio turnover rate | 11% | 9% | 1% |

---

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 52

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | |
|:---|:---|:---|:---|
|  | **International Growth Fund—Class Y** | **International Growth Fund—Class Y** | **International Growth Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** |
|  Net asset value, beginning of the period | $9.58 | $10.13 | $10.00 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |
|  Net investment income(a) | 0.04 | 0.02 | 0.01 |
|  Net realized and unrealized gain (loss) | (1.72) | (0.41) | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.68) | (0.39) | 0.14 |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |
|  Net investment income | (0.05) | (0.03) | (0.01) |
|  Net realized capital gains |  | (0.13) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.05) | (0.16) | (0.01) |
|  Net asset value, end of the period | $7.85 | $9.58 | $10.13 |
|  Total return(b) | (17.50)% | (3.81)% | 1.38 %(c) |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |
|  Net assets, end of the period (000's) | $3124 | $222 | $12 |
|  Net expenses(d) | 0.95% | 0.95% | 0.95 %(e) |
|  Gross expenses | 1.80% | 2.46% | 12.58 %(e) |
|  Net investment income | 0.47% | 0.19% | 1.63 %(e) |
|  Portfolio turnover rate | 11% | 9% | 1% |

---

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

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

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

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

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

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

See accompanying notes to financial statements.

53 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark Fund—Class A** | **Natixis Oakmark Fund—Class A** | **Natixis Oakmark Fund—Class A** | **Natixis Oakmark Fund—Class A** | **Natixis Oakmark Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $29.04 | $23.20 | $22.45 | $19.44 | $24.72 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.17 | 0.07 | 0.11 (b) | 0.18 (c) | 0.10 |
|  Net realized and unrealized gain (loss) | (4.00) | 7.81 | 2.78 | 4.93 | (3.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (3.83) | 7.88 | 2.89 | 5.11 | (3.18) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.20) | (0.05) | (0.12) | (0.21) | (0.08) |
|  Net realized capital gains | (3.46) | (1.99) | (2.02) | (1.89) | (2.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (3.66) | (2.04) | (2.14) | (2.10) | (2.10) |
|  Net asset value, end of the period | $21.55 | $29.04 | $23.20 | $22.45 | $19.44 |
|  Total return(d) | (13.30)%(e) | 33.97 %(e) | 13.01 %(b) | 26.77 %(c) | (13.01)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $192750 | $222435 | $170702 | $181417 | $164748 |
|  Net expenses | 1.05 %(f) | 1.12 %(f)(g) | 1.20 %(h) | 1.17% | 1.13% |
|  Gross expenses | 1.10% | 1.14% | 1.20 %(h) | 1.17% | 1.13% |
|  Net investment income | 0.65% | 0.25% | 0.53 %(b) | 0.85 %(c) | 0.41% |
|  Portfolio turnover rate | 69% | 23% | 22% | 15% | 39% |

---

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 54

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark Fund—Class C** | **Natixis Oakmark Fund—Class C** | **Natixis Oakmark Fund—Class C** | **Natixis Oakmark Fund—Class C** | **Natixis Oakmark Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $23.50 | $19.17 | $18.92 | $16.66 | $21.58 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income (loss)(a) | (0.02) | (0.12) | (0.04)(b) | 0.02 (c) | (0.07) |
|  Net realized and unrealized gain (loss) | (3.23) | 6.44 | 2.31 | 4.20 | (2.83) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (3.25) | 6.32 | 2.27 | 4.22 | (2.90) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.05) | (0.00)(d) |  | (0.07) |  |
|  Net realized capital gains | (3.46) | (1.99) | (2.02) | (1.89) | (2.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (3.51) | (1.99) | (2.02) | (1.96) | (2.02) |
|  Net asset value, end of the period | $16.74 | $23.50 | $19.17 | $18.92 | $16.66 |
|  Total return(e) | (13.97)%(f) | 32.99 %(f) | 12.15 %(b) | 25.82 %(c) | (13.63)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $51987 | $50042 | $35940 | $54384 | $53606 |
|  Net expenses | 1.80 %(g) | 1.87 %(g)(h) | 1.95% | 1.92% | 1.88% |
|  Gross expenses | 1.85% | 1.89% | 1.95% | 1.92% | 1.88% |
|  Net investment income (loss) | (0.10)% | (0.49)% | (0.23)%(b) | 0.12 %(c) | (0.33)% |
|  Portfolio turnover rate | 69% | 23% | 22% | 15% | 39% |

---

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

55 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark Fund—Class N** | **Natixis Oakmark Fund—Class N** | **Natixis Oakmark Fund—Class N** | **Natixis Oakmark Fund—Class N** | **Natixis Oakmark Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $31.13 | $24.72 | $23.78 | $20.49 | $25.91 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |
|  Net investment income(a) | 0.26 | 0.23 | 0.18 (b) | 0.22 (c) | 0.22 |
|  Net realized and unrealized gain (loss) | (4.29) | 8.31 | 2.98 | 5.25 | (3.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (4.03) | 8.54 | 3.16 | 5.47 | (3.23) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.28) | (0.14) | (0.20) | (0.29) | (0.17) |
|  Net realized capital gains | (3.46) | (1.99) | (2.02) | (1.89) | (2.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (3.74) | (2.13) | (2.22) | (2.18) | (2.19) |
|  Net asset value, end of the period | $23.36 | $31.13 | $24.72 | $23.78 | $20.49 |
|  Total return(d) | (13.06)% | 34.54% | 13.41 %(b) | 27.16 %(c) | (12.60)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $517 | $682 | $364 | $801 | $10 |
|  Net expenses(e) | 0.75% | 0.80 %(f) | 0.86% | 0.83% | 0.75% |
|  Gross expenses | 0.93% | 1.55% | 1.05% | 1.25% | 3.79% |
|  Net investment income | 0.93% | 0.79% | 0.85 %(b) | 0.93 %(c) | 0.88% |
|  Portfolio turnover rate | 69% | 23% | 22% | 15% | 39% |

---

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 56

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark Fund—Class Y** | **Natixis Oakmark Fund—Class Y** | **Natixis Oakmark Fund—Class Y** | **Natixis Oakmark Fund—Class Y** | **Natixis Oakmark Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $31.04 | $24.68 | $23.75 | $20.46 | $25.90 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |
|  Net investment income(a) | 0.25 | 0.17 | 0.17 (b) | 0.27 (c) | 0.17 |
|  Net realized and unrealized gain (loss) | (4.28) | 8.31 | 2.95 | 5.17 | (3.44) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (4.03) | 8.48 | 3.12 | 5.44 | (3.27) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |  |  |
|  Net investment income | (0.26) | (0.13) | (0.17) | (0.26) | (0.15) |
|  Net realized capital gains | (3.46) | (1.99) | (2.02) | (1.89) | (2.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (3.72) | (2.12) | (2.19) | (2.15) | (2.17) |
|  Net asset value, end of the period | $23.29 | $31.04 | $24.68 | $23.75 | $20.46 |
|  Total return | (13.10)%(d) | 34.35 %(d) | 13.28 %(b) | 27.06 %(c)(d) | (12.76)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |  |  |
|  Net assets, end of the period (000's) | $103213 | $99008 | $37595 | $46836 | $53829 |
|  Net expenses | 0.80 %(e) | 0.86 %(e)(f) | 0.95% | 0.91 %(e) | 0.88% |
|  Gross expenses | 0.85% | 0.89% | 0.95% | 0.92% | 0.88% |
|  Net investment income | 0.89% | 0.56% | 0.79 %(b) | 1.16 %(c) | 0.68% |
|  Portfolio turnover rate | 69% | 23% | 22% | 15% | 39% |

---

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

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

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

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

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

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

See accompanying notes to financial statements.

57 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark International Fund—Class A** | **Natixis Oakmark International Fund—Class A** | **Natixis Oakmark International Fund—Class A** | **Natixis Oakmark International Fund—Class A** | **Natixis Oakmark International Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $15.15 | $14.15 | $13.63 | $11.29 | $15.58 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |
|  Net investment income (loss)(a) | 0.19 | 0.27 (b) | (0.00)(c) | 0.37 (d) | 0.25 |
|  Net realized and unrealized gain (loss) | (2.60) | 0.96 | 0.55 (e) | 2.38 | (4.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.41) | 1.23 | 0.55 | 2.75 | (3.77) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |  |  |
|  Net investment income | (0.22) | (0.23) | (0.03) | (0.41) | (0.29) |
|  Net realized capital gains |  |  |  |  | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.22) | (0.23) | (0.03) | (0.41) | (0.52) |
|  Net asset value, end of the period | $12.52 | $15.15 | $14.15 | $13.63 | $11.29 |
|  Total return(f) | (15.91)%(g) | 8.73 %(b)(g) | 4.06 %(g) | 24.35 %(d) | (24.15)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |  |  |
|  Net assets, end of the period (000's) | $120316 | $152900 | $131630 | $172906 | $257551 |
|  Net expenses | 1.15 %(h) | 1.17 %(h)(i) | 1.29 %(h)(j) | 1.29% | 1.31% |
|  Gross expenses | 1.38% | 1.34% | 1.36% | 1.29% | 1.31% |
|  Net investment income (loss) | 1.48% | 1.73 %(b) | (0.03)% | 2.91 %(d) | 1.72% |
|  Portfolio turnover rate | 33% | 37% | 63% | 28% | 50% |

---

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

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

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 58

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark International Fund—Class C** | **Natixis Oakmark International Fund—Class C** | **Natixis Oakmark International Fund—Class C** | **Natixis Oakmark International Fund—Class C** | **Natixis Oakmark International Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $14.86 | $13.85 | $13.41 | $11.11 | $15.30 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income (loss)(a) | 0.10 | 0.13 (b) | (0.08) | 0.26 (c) | 0.13 |
|  Net realized and unrealized gain (loss) | (2.55) | 0.97 | 0.52 (d) | 2.34 | (3.92) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.45) | 1.10 | 0.44 | 2.60 | (3.79) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.10) | (0.09) |  | (0.30) | (0.17) |
|  Net realized capital gains |  |  |  |  | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.10) | (0.09) |  | (0.30) | (0.40) |
|  Net asset value, end of the period | $12.31 | $14.86 | $13.85 | $13.41 | $11.11 |
|  Total return(e) | (16.50)%(f) | 7.92 %(b)(f) | 3.28 %(f) | 23.44 %(c) | (24.74)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $39202 | $69335 | $96772 | $179533 | $212618 |
|  Net expenses | 1.90 %(g) | 1.93 %(g)(h) | 2.05 %(g)(i) | 2.04% | 2.07% |
|  Gross expenses | 2.13% | 2.09% | 2.11% | 2.04% | 2.07% |
|  Net investment income (loss) | 0.78% | 0.85 %(b) | (0.76)% | 2.09 %(c) | 0.94% |
|  Portfolio turnover rate | 33% | 37% | 63% | 28% | 50% |

---

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

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

59 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark International Fund—Class N** | **Natixis Oakmark International Fund—Class N** | **Natixis Oakmark International Fund—Class N** | **Natixis Oakmark International Fund—Class N** | **Natixis Oakmark International Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $15.08 | $14.09 | $13.56 | $11.25 | $15.58 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |
|  Net investment income(a) | 0.32 | 0.38 (b) | 0.04 | 0.33 (c) | 0.28 |
|  Net realized and unrealized gain (loss) | (2.68) | 0.89 | 0.56 (d) | 2.45 | (4.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.36) | 1.27 | 0.60 | 2.78 | (3.74) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |  |  |
|  Net investment income | (0.26) | (0.28) | (0.07) | (0.47) | (0.36) |
|  Net realized capital gains |  |  |  |  | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.26) | (0.28) | (0.07) | (0.47) | (0.59) |
|  Net asset value, end of the period | $12.46 | $15.08 | $14.09 | $13.56 | $11.25 |
|  Total return(e) | (15.65)% | 9.01 %(b) | 4.44% | 24.75 %(c) | (23.94)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |  |  |
|  Net assets, end of the period (000's) | $222 | $704 | $290 | $811 | $758 |
|  Net expenses(f) | 0.85% | 0.87 %(g) | 0.92 %(h) | 0.94% | 0.99% |
|  Gross expenses | 1.01% | 1.25% | 1.17% | 1.08% | 1.02% |
|  Net investment income | 2.56% | 2.49 %(b) | 0.37% | 2.56 %(c) | 2.04% |
|  Portfolio turnover rate | 33% | 37% | 63% | 28% | 50% |

---

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 60

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis Oakmark International Fund—Class Y** | **Natixis Oakmark International Fund—Class Y** | **Natixis Oakmark International Fund—Class Y** | **Natixis Oakmark International Fund—Class Y** | **Natixis Oakmark International Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $15.07 | $14.08 | $13.56 | $11.25 | $15.56 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |
|  Net investment income(a) | 0.22 | 0.30 (b) | 0.04 | 0.37 (c) | 0.26 |
|  Net realized and unrealized gain (loss) | (2.58) | 0.96 | 0.55 (d) | 2.40 | (3.99) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.36) | 1.26 | 0.59 | 2.77 | (3.73) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |  |  |
|  Net investment income | (0.26) | (0.27) | (0.07) | (0.46) | (0.35) |
|  Net realized capital gains |  |  |  |  | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.26) | (0.27) | (0.07) | (0.46) | (0.58) |
|  Net asset value, end of the period | $12.45 | $15.07 | $14.08 | $13.56 | $11.25 |
|  Total return | (15.71)%(e) | 8.97 %(b)(e) | 4.32 %(e) | 24.64 %(c) | (23.93)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |  |  |
|  Net assets, end of the period (000's) | $200175 | $312930 | $275468 | $244586 | $215123 |
|  Net expenses | 0.90 %(f) | 0.92 %(f)(g) | 1.03 %(f)(h) | 1.04% | 1.07% |
|  Gross expenses | 1.13% | 1.09% | 1.11% | 1.04% | 1.07% |
|  Net investment income | 1.66% | 1.96 %(b) | 0.41% | 2.91 %(c) | 1.85% |
|  Portfolio turnover rate | 33% | 37% | 63% | 28% | 50% |

---

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

61 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis U.S. Equity Opportunities Fund—Class A** | **Natixis U.S. Equity Opportunities Fund—Class A** | **Natixis U.S. Equity Opportunities Fund—Class A** | **Natixis U.S. Equity Opportunities Fund—Class A** | **Natixis U.S. Equity Opportunities Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $43.12 | $39.04 | $36.53 | $31.00 | $36.90 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income (loss)(a) | 0.03 | (0.11) | (0.05) | 0.15 (b) | 0.08 |
|  Net realized and unrealized gain (loss) | (8.89) | 8.99 | 7.66 | 9.34 | (2.51) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (8.86) | 8.88 | 7.61 | 9.49 | (2.43) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.03) |  |  | (0.17) | (0.05) |
|  Net realized capital gains | (5.22) | (4.80) | (5.10) | (3.79) | (3.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (5.25) | (4.80) | (5.10) | (3.96) | (3.47) |
|  Net asset value, end of the period | $29.01 | $43.12 | $39.04 | $36.53 | $31.00 |
|  Total return(c) | (21.15)% | 23.14% | 22.09% | 31.03 %(b) | (6.48)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $512392 | $733423 | $649754 | $616922 | $523665 |
|  Net expenses | 1.12% | 1.14% | 1.17% | 1.17% | 1.16% |
|  Gross expenses | 1.12% | 1.14% | 1.17% | 1.17% | 1.16% |
|  Net investment income (loss) | 0.09% | (0.25)% | (0.14)% | 0.42 %(b) | 0.20% |
|  Portfolio turnover rate | 46% | 18% | 26% | 12% | 23% |

---

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

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

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

See accompanying notes to financial statements.

\| 62

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis U.S. Equity Opportunities Fund—Class C** | **Natixis U.S. Equity Opportunities Fund—Class C** | **Natixis U.S. Equity Opportunities Fund—Class C** | **Natixis U.S. Equity Opportunities Fund—Class C** | **Natixis U.S. Equity Opportunities Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $21.82 | $21.89 | $22.65 | $20.42 | $25.73 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment loss(a) | (0.12) | (0.24) | (0.19) | (0.07)(b) | (0.14) |
|  Net realized and unrealized gain (loss) | (4.36) | 4.97 | 4.53 | 6.10 | (1.75) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (4.48) | 4.73 | 4.34 | 6.03 | (1.89) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income |  |  |  | (0.01) |  |
|  Net realized capital gains | (5.22) | (4.80) | (5.10) | (3.79) | (3.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (5.22) | (4.80) | (5.10) | (3.80) | (3.42) |
|  Net asset value, end of the period | $12.12 | $21.82 | $21.89 | $22.65 | $20.42 |
|  Total return(c) | (21.77)% | 22.27% | 21.15% | 30.06 %(b) | (7.18)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $29356 | $57492 | $63126 | $77924 | $78783 |
|  Net expenses | 1.87% | 1.89% | 1.92% | 1.92% | 1.91% |
|  Gross expenses | 1.87% | 1.89% | 1.92% | 1.92% | 1.91% |
|  Net investment loss | (0.66)% | (0.99)% | (0.87)% | (0.31)%(b) | (0.54)% |
|  Portfolio turnover rate | 46% | 18% | 26% | 12% | 23% |

---

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

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

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

See accompanying notes to financial statements.

63 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis U.S. Equity Opportunities Fund—Class N** | **Natixis U.S. Equity Opportunities Fund—Class N** | **Natixis U.S. Equity Opportunities Fund—Class N** | **Natixis U.S. Equity Opportunities Fund—Class N** | **Natixis U.S. Equity Opportunities Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $54.14 | $47.84 | $43.61 | $36.37 | $42.63 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.18 | 0.03 | 0.13 | 0.19 (b) | 0.25 |
|  Net realized and unrealized gain (loss) | (11.23) | 11.07 | 9.20 | 11.14 | (2.91) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (11.05) | 11.10 | 9.33 | 11.33 | (2.66) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.15) |  |  | (0.30) | (0.18) |
|  Net realized capital gains | (5.22) | (4.80) | (5.10) | (3.79) | (3.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (5.37) | (4.80) | (5.10) | (4.09) | (3.60) |
|  Net asset value, end of the period | $37.72 | $54.14 | $47.84 | $43.61 | $36.37 |
|  Total return(c) | (20.88)% | 23.53% | 22.48% | 31.44 %(b) | (6.11)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $167 | $177 | $172 | $654 | $1 |
|  Net expenses(d) | 0.81% | 0.83% | 0.84% | 0.83% | 0.76% |
|  Gross expenses | 1.34% | 1.38% | 1.13% | 1.42% | 13.35% |
|  Net investment income | 0.41% | 0.06% | 0.31% | 0.44 %(b) | 0.56% |
|  Portfolio turnover rate | 46% | 18% | 26% | 12% | 23% |

---

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

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

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

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

See accompanying notes to financial statements.

\| 64

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Natixis U.S. Equity Opportunities Fund—Class Y** | **Natixis U.S. Equity Opportunities Fund—Class Y** | **Natixis U.S. Equity Opportunities Fund—Class Y** | **Natixis U.S. Equity Opportunities Fund—Class Y** | **Natixis U.S. Equity Opportunities Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $53.99 | $47.74 | $43.56 | $36.33 | $42.61 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.15 | 0.00 (b) | 0.05 | 0.29 (c) | 0.20 |
|  Net realized and unrealized gain (loss) | (11.20) | 11.05 | 9.23 | 10.99 | (2.92) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (11.05) | 11.05 | 9.28 | 11.28 | (2.72) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.12) |  |  | (0.26) | (0.14) |
|  Net realized capital gains | (5.22) | (4.80) | (5.10) | (3.79) | (3.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (5.34) | (4.80) | (5.10) | (4.05) | (3.56) |
|  Net asset value, end of the period | $37.60 | $53.99 | $47.74 | $43.56 | $36.33 |
|  Total return | (20.95)% | 23.48% | 22.36% | 31.36 %(c)(d) | (6.24)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $191912 | $284738 | $243302 | $283864 | $296255 |
|  Net expenses | 0.87% | 0.89% | 0.92% | 0.91 %(e) | 0.91% |
|  Gross expenses | 0.87% | 0.89% | 0.92% | 0.92% | 0.91% |
|  Net investment income | 0.35% | 0.00 %(f) | 0.13% | 0.69 %(c) | 0.45% |
|  Portfolio turnover rate | 46% | 18% | 26% | 12% | 23% |

---

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

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

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

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

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

(f) Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

65 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Mid Cap Fund—Class A** | **Vaughan Nelson Mid Cap Fund—Class A** | **Vaughan Nelson Mid Cap Fund—Class A** | **Vaughan Nelson Mid Cap Fund—Class A** | **Vaughan Nelson Mid Cap Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $22.70 | $21.79 | $22.42 | $17.37 | $22.65 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.11 | 0.05 | 0.07 | 0.03 | 0.09 |
|  Net realized and unrealized gain (loss) | (2.53) | 4.52 | 1.96 | 5.21 | (3.71) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.42) | 4.57 | 2.03 | 5.24 | (3.62) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.13) | (0.04) | (0.04) | (0.02) | (0.15) |
|  Net realized capital gains | (0.51) | (3.62) | (2.62) | (0.17) | (1.51) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.64) | (3.66) | (2.66) | (0.19) | (1.66) |
|  Net asset value, end of the period | $19.64 | $22.70 | $21.79 | $22.42 | $17.37 |
|  Total return(b) | (10.80)%(c) | 21.32 %(c) | 10.46 %(c) | 30.21 %(c) | (16.10)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $33507 | $37849 | $30567 | $33434 | $43769 |
|  Net expenses | 1.15 %(d) | 1.17 %(d)(e) | 1.20 %(d) | 1.25 %(d)(f)(g) | 1.24% |
|  Gross expenses | 1.21% | 1.23% | 1.29% | 1.28 %(f) | 1.24% |
|  Net investment income | 0.55% | 0.22% | 0.35% | 0.16% | 0.42% |
|  Portfolio turnover rate | 53% | 71% | 52% | 52% | 44% |

---

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

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 66

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Mid Cap Fund—Class C** | **Vaughan Nelson Mid Cap Fund—Class C** | **Vaughan Nelson Mid Cap Fund—Class C** | **Vaughan Nelson Mid Cap Fund—Class C** | **Vaughan Nelson Mid Cap Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $20.58 | $20.15 | $21.06 | $16.43 | $21.50 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment loss(a) | (0.04) | (0.13) | (0.08) | (0.10) | (0.08) |
|  Net realized and unrealized gain (loss) | (2.28) | 4.18 | 1.79 | 4.90 | (3.48) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.32) | 4.05 | 1.71 | 4.80 | (3.56) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income |  | (0.00)(b) |  | (0.00)(b) |  |
|  Net realized capital gains | (0.51) | (3.62) | (2.62) | (0.17) | (1.51) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.51) | (3.62) | (2.62) | (0.17) | (1.51) |
|  Net asset value, end of the period | $17.75 | $20.58 | $20.15 | $21.06 | $16.43 |
|  Total return(c) | (11.46)%(d) | 20.44 %(d) | 9.60 %(d) | 29.25 %(d) | (16.71)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $7405 | $11436 | $14023 | $21932 | $23967 |
|  Net expenses | 1.90 %(e) | 1.93 %(e)(f) | 1.95 %(e) | 1.99 %(e)(g)(h) | 1.98% |
|  Gross expenses | 1.96% | 1.98% | 2.04% | 2.02 %(g) | 1.98% |
|  Net investment loss | (0.22)% | (0.56)% | (0.42)% | (0.50)% | (0.36)% |
|  Portfolio turnover rate | 53% | 71% | 52% | 52% | 44% |

---

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

67 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Mid Cap Fund—Class N** | **Vaughan Nelson Mid Cap Fund—Class N** | **Vaughan Nelson Mid Cap Fund—Class N** | **Vaughan Nelson Mid Cap Fund—Class N** | **Vaughan Nelson Mid Cap Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $23.05 | $22.07 | $22.66 | $17.54 | $22.87 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.17 | 0.14 | 0.13 | 0.11 | 0.17 |
|  Net realized and unrealized gain (loss) | (2.57) | 4.58 | 2.00 | 5.27 | (3.75) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.40) | 4.72 | 2.13 | 5.38 | (3.58) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.19) | (0.12) | (0.10) | (0.09) | (0.24) |
|  Net realized capital gains | (0.51) | (3.62) | (2.62) | (0.17) | (1.51) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.70) | (3.74) | (2.72) | (0.26) | (1.75) |
|  Net asset value, end of the period | $19.95 | $23.05 | $22.07 | $22.66 | $17.54 |
|  Total return | (10.54)%(b) | 21.70 %(b) | 10.83 %(b) | 30.67 %(b) | (15.78)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $72804 | $91416 | $17965 | $18262 | $70902 |
|  Net expenses | 0.85 %(c) | 0.86 %(c)(d) | 0.90 %(c) | 0.92 %(c)(e)(f) | 0.88% |
|  Gross expenses | 0.87% | 0.89% | 0.94% | 0.93 %(e) | 0.88% |
|  Net investment income | 0.84% | 0.55% | 0.65% | 0.51% | 0.76% |
|  Portfolio turnover rate | 53% | 71% | 52% | 52% | 44% |

---

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 68

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Mid Cap Fund—Class Y** | **Vaughan Nelson Mid Cap Fund—Class Y** | **Vaughan Nelson Mid Cap Fund—Class Y** | **Vaughan Nelson Mid Cap Fund—Class Y** | **Vaughan Nelson Mid Cap Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $23.09 | $22.10 | $22.69 | $17.57 | $22.89 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.16 | 0.11 | 0.12 | 0.10 | 0.15 |
|  Net realized and unrealized gain (loss) | (2.57) | 4.60 | 2.00 | 5.26 | (3.75) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (2.41) | 4.71 | 2.12 | 5.36 | (3.60) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.18) | (0.10) | (0.09) | (0.07) | (0.21) |
|  Net realized capital gains | (0.51) | (3.62) | (2.62) | (0.17) | (1.51) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.69) | (3.72) | (2.71) | (0.24) | (1.72) |
|  Net asset value, end of the period | $19.99 | $23.09 | $22.10 | $22.69 | $17.57 |
|  Total return | (10.58)%(b) | 21.65 %(b) | 10.76 %(b) | 30.52 %(b) | (15.85)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $148505 | $226838 | $227501 | $298705 | $453085 |
|  Net expenses | 0.90 %(c) | 0.93 %(c)(d) | 0.95 %(c) | 1.00 %(c)(e)(f) | 0.99% |
|  Gross expenses | 0.96% | 0.98% | 1.04% | 1.02 %(e) | 0.99% |
|  Net investment income | 0.78% | 0.45% | 0.60% | 0.48% | 0.66% |
|  Portfolio turnover rate | 53% | 71% | 52% | 52% | 44% |

---

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

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

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

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

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

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

See accompanying notes to financial statements.

69 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Small Cap Value Fund—Class A** | **Vaughan Nelson Small Cap Value Fund—Class A** | **Vaughan Nelson Small Cap Value Fund—Class A** | **Vaughan Nelson Small Cap Value Fund—Class A** | **Vaughan Nelson Small Cap Value Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $17.87 | $16.69 | $15.45 | $12.48 | $18.71 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income (loss)(a) | (0.02) | 0.00 (b)(c) | 0.00 (c) | 0.02 | 0.01 |
|  Net realized and unrealized gain (loss) | (1.78) | 4.98 | 1.33 | 3.06 | (2.76) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.80) | 4.98 | 1.33 | 3.08 | (2.75) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income |  | (0.01) | (0.00)(c) | (0.03) | (0.00)(c) |
|  Net realized capital gains | (0.90) | (3.79) | (0.09) | (0.08) | (3.48) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.90) | (3.80) | (0.09) | (0.11) | (3.48) |
|  Net asset value, end of the period | $15.17 | $17.87 | $16.69 | $15.45 | $12.48 |
|  Total return(d) | (10.19)%(e) | 30.24 %(b)(e) | 8.91 %(e) | 24.66 %(e) | (14.84)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $66339 | $81493 | $61571 | $67525 | $66376 |
|  Net expenses | 1.25 %(f) | 1.27 %(f)(g) | 1.32 %(f)(h) | 1.40 %(f)(i) | 1.38% |
|  Gross expenses | 1.37% | 1.43% | 1.53% | 1.47% | 1.38% |
|  Net investment income (loss) | (0.12)% | 0.01 %(b) | 0.02% | 0.12% | 0.03% |
|  Portfolio turnover rate | 63% | 92% | 105% | 61% | 70% |

---

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

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

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Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Small Cap Value Fund—Class C** | **Vaughan Nelson Small Cap Value Fund—Class C** | **Vaughan Nelson Small Cap Value Fund—Class C** | **Vaughan Nelson Small Cap Value Fund—Class C** | **Vaughan Nelson Small Cap Value Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $6.94 | $8.34 | $7.84 | $6.41 | $11.67 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment loss(a) | (0.04) | (0.06)(b) | (0.05) | (0.05) | (0.09) |
|  Net realized and unrealized gain (loss) | (0.70) | 2.45 | 0.64 | 1.57 | (1.69) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.74) | 2.39 | 0.59 | 1.52 | (1.78) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income |  |  | (0.00)(c) | (0.01) | (0.00)(c) |
|  Net realized capital gains | (0.90) | (3.79) | (0.09) | (0.08) | (3.48) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.90) | (3.79) | (0.09) | (0.09) | (3.48) |
|  Net asset value, end of the period | $5.30 | $6.94 | $8.34 | $7.84 | $6.41 |
|  Total return(d) | (11.01)%(e) | 29.45 %(b)(e) | 8.08 %(e) | 23.69 %(e) | (15.51)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $2118 | $966 | $983 | $1450 | $3480 |
|  Net expenses | 2.00 %(f) | 2.03 %(f)(g) | 2.07 %(f)(h) | 2.16 %(f)(i) | 2.12% |
|  Gross expenses | 2.12% | 2.19% | 2.28% | 2.23% | 2.12% |
|  Net investment loss | (0.74)% | (0.67)%(b) | (0.71)% | (0.68)% | (0.83)% |
|  Portfolio turnover rate | 63% | 92% | 105% | 61% | 70% |

---

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

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

71 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Small Cap Value Fund—Class N** | **Vaughan Nelson Small Cap Value Fund—Class N** | **Vaughan Nelson Small Cap Value Fund—Class N** | **Vaughan Nelson Small Cap Value Fund—Class N** | **Vaughan Nelson Small Cap Value Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $18.96 | $17.52 | $16.20 | $13.08 | $19.37 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.04 | 0.01 (b) | 0.04 | 0.08 | 0.08 |
|  Net realized and unrealized gain (loss) | (1.91) | 5.29 | 1.42 | 3.20 | (2.86) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.87) | 5.30 | 1.46 | 3.28 | (2.78) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.03) | (0.07) | (0.05) | (0.08) | (0.03) |
|  Net realized capital gains | (0.90) | (3.79) | (0.09) | (0.08) | (3.48) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.93) | (3.86) | (0.14) | (0.16) | (3.51) |
|  Net asset value, end of the period | $16.16 | $18.96 | $17.52 | $16.20 | $13.08 |
|  Total return(c) | (9.95)% | 30.64 %(b) | 9.27% | 25.08% | (14.48)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $1493 | $1383 | $23 | $21 | $1 |
|  Net expenses(d) | 0.95% | 0.97 %(e) | 1.02 %(f) | 1.03 %(g) | 0.96% |
|  Gross expenses | 1.10% | 1.19% | 6.54% | 11.80% | 15.17% |
|  Net investment income | 0.22% | 0.03 %(b) | 0.31% | 0.52% | 0.43% |
|  Portfolio turnover rate | 63% | 92% | 105% | 61% | 70% |

---

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

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

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

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

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

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

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

See accompanying notes to financial statements.

\| 72

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Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Vaughan Nelson Small Cap Value Fund—Class Y** | **Vaughan Nelson Small Cap Value Fund—Class Y** | **Vaughan Nelson Small Cap Value Fund—Class Y** | **Vaughan Nelson Small Cap Value Fund—Class Y** | **Vaughan Nelson Small Cap Value Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $18.95 | $17.51 | $16.19 | $13.08 | $19.37 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.04 | 0.06 (b) | 0.04 | 0.05 | 0.04 |
|  Net realized and unrealized gain (loss) | (1.91) | 5.23 | 1.41 | 3.21 | (2.84) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.87) | 5.29 | 1.45 | 3.26 | (2.80) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.03) | (0.06) | (0.04) | (0.07) | (0.01) |
|  Net realized capital gains | (0.90) | (3.79) | (0.09) | (0.08) | (3.48) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.93) | (3.85) | (0.13) | (0.15) | (3.49) |
|  Net asset value, end of the period | $16.15 | $18.95 | $17.51 | $16.19 | $13.08 |
|  Total return | (9.98)%(c) | 30.61 %(b)(c) | 9.23 %(c) | 24.88 %(c) | (14.61)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $120585 | $66054 | $49315 | $44482 | $58538 |
|  Net expenses | 1.00 %(d) | 1.02 %(d)(e) | 1.07 %(d)(f) | 1.15 %(d)(g) | 1.12% |
|  Gross expenses | 1.12% | 1.18% | 1.28% | 1.23% | 1.12% |
|  Net investment income | 0.22% | 0.28 %(b) | 0.26% | 0.35% | 0.22% |
|  Portfolio turnover rate | 63% | 92% | 105% | 61% | 70% |

---

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

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

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

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

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

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

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

See accompanying notes to financial statements.

73 \|

------

Notes to Financial Statements

December 31, 2022

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

<u>Loomis Sayles Funds II:</u> 

Loomis Sayles International Growth Fund (the "International Growth Fund")

<u>Natixis Funds Trust I:</u> 

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund (the "U.S. Equity Opportunities Fund")

Vaughan Nelson Small Cap Value Fund (the "Small Cap Value Fund")

<u>Natixis Funds Trust II:</u> 

Natixis Oakmark Fund

Vaughan Nelson Mid Cap Fund (the "Mid Cap Fund")

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

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

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

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

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

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

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

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

\| 74

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Notes to Financial Statements (continued)

December 31, 2022

bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

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

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

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

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

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

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

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

75 \|

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Notes to Financial Statements (continued)

December 31, 2022

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

**e. Federal and Foreign Income Taxes.** The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund's tax positions for the open tax years as of December 31, 2022 and has concluded that no provisions for income tax are required. The Funds' federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management's conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

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

\| 76

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Notes to Financial Statements (continued)

December 31, 2022

Funds' fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2022 and 2021 was as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 2022 Distributions | 2022 Distributions | 2022 Distributions | 2021 Distributions | 2021 Distributions | 2021 Distributions |
| Fund | Ordinary<br>Income | Long-Term<br>Capital<br>Gains | Total | Ordinary<br>Income | Long-Term<br>Capital<br>Gains | Total |
|  International Growth Fund | $177885 | $— | $177885 | $410212 | $— | $410212 |
|  Natixis Oakmark Fund | 2835653 | 51140399 | 53976052 | 1954068 | 22797197 | 24751265 |
|  Natixis Oakmark International Fund | 6459857 |  | 6459857 | 8301657 |  | 8301657 |
|  U.S. Equity Opportunities Fund | 1935796 | 120599489 | 122535285 | 7131636 | 105015654 | 112147290 |
|  Mid Cap Fund | 2282950 | 7705713 | 9988663 | 11228135 | 41214262 | 52442397 |
|  Small Cap Value Fund | 2901818 | 6755646 | 9657464 | 20173469 | 6185028 | 26358497 |

---

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

As of December 31, 2022, the components of distributable earnings on a tax basis were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | International<br>Growth Fund | Natixis<br>Oakmark<br>Fund | Natixis<br>Oakmark<br>International<br>Fund | U.S. Equity<br>Opportunities<br>Fund |
|  Undistributed ordinary income | $— | $2372 | $14369 | $— |
|  Undistributed long-term capital gains |  |  |  | 1466467 |
|  Total undistributed earnings |  | 2372 | 14369 | 1466467 |
|  Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; No expiration date | (318617) |  | (7975554) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-term: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; No expiration date |  |  | (112759862) |  |
|  Total capital loss carryforward | (318617) |  | (120735416) |  |
|  Late-year ordinary and post-October capital loss deferrals\* |  | (5213543) |  |  |
|  Unrealized appreciation (depreciation) | (5709638) | (11999426) | (50876126) | 95518598 |
|  Total accumulated earnings (losses) | $(6028255) | $(17210597) | $(171597173) | $96985065 |

---

77 \|

------

Notes to Financial Statements (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
|  | Mid Cap<br> Fund | Small Cap<br>Value Fund |
|  Undistributed long-term capital gains | $— | $— |
|  Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; No expiration date | (16690689) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-term: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-term: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-term: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; No expiration date | (5472473) |  |
|  Total capital loss carryforward | (22163162) |  |
|  Late-year ordinary and post-October capital loss deferrals\* |  | (581338) |
|  Unrealized appreciation | 34018871 | 3270100 |
|  Total accumulated earnings | $11855709 | $2688762 |

---

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

As of December 31, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | International<br>Growth Fund | Natixis<br>Oakmark<br>Fund | Natixis<br>Oakmark<br>International<br>Fund | U.S. Equity<br>Opportunities<br>Fund | Mid Cap<br>Fund | Small Cap<br>Value Fund |
|  Federal tax cost | $30058612 | $358439451 | $405678484 | $636754009 | $229162140 | $183840590 |
|  Gross tax appreciation | $1098009 | $26981840 | $32573017 | $154043740 | $41968636 | $15671607 |
|  Gross tax depreciation | (6808226) | (38981266) | (82986954) | (58518007) | (7949765) | (12401507) |
|  Net tax appreciation (depreciation) | $(5710217) | $(11999426) | $(50413937) | $95525733 | $34018871 | $3270100 |

---

The difference between these amounts and those reported in the components of distributable earnings, if any, are primarily attributable to foreign currency mark-to-market and foreign capital gains taxes.

**g. Repurchase Agreements.** Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund's ability to dispose of the underlying securities. As of December 31, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

For the year ended December 31, 2022, none of the Funds had loaned securities under this agreement.

\| 78

------

Notes to Financial Statements (continued)

December 31, 2022

**i. Indemnifications.** Under the Trusts' organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

**j. New Accounting Pronouncement.** In June 2022, the Financial Accounting Standards Board issued Accounting Standards Update 2022-03, "Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions" ("ASU 2022-03"). ASU 2022-03 clarifies the guidance in ASC 820 related to the measurement of fair value of an equity security subject to contractual sale restrictions, eliminating the ability to apply a discount to the fair value of such securities, and introducing related disclosure requirements. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. Management is currently evaluating the impact of applying this update.

**3. Fair Value Measurements.** In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly
through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are
unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best information
available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

79 \|

------

Notes to Financial Statements (continued)

December 31, 2022

The following is a summary of the inputs used to value the Funds' investments as of December 31, 2022, at value:

**International Growth Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $1373771 | $— | $1373771 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 589601 |  | 589601 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 4107669 | 2688480 |  | 6796149 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 1361008 |  | 1361008 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 1280972 |  | 1280972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 697184 |  | 697184 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 1120289 |  | 1120289 |
| &nbsp;&nbsp;&nbsp;&nbsp; Macau |  | 282710 |  | 282710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 855161 |  | 855161 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 320444 | 1054476 |  | 1374920 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 2469706 |  | 2469706 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1538755 | 1990702 |  | 3529457 |
| &nbsp;&nbsp;&nbsp;&nbsp; All Other Common Stocks(a) | 2561306 |  |  | 2561306 |
|  Total Common Stocks | $8528174 | $15764060 | $— | $24292234 |
|  Short-Term Investments |  | 56161 |  | 56161 |
|  Total | $8528174 | $15820221 | $— | $24348395 |

---

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

**Natixis Oakmark Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Common Stocks(a) | $336922269 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $336922269 |
|  Short-Term Investments |  | 9517756 |  | 9517756 |
|  Total | $336922269 | $9517756 | $— | $346440025 |

---

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

\| 80

------

Notes to Financial Statements (continued)

December 31, 2022

**Natixis Oakmark International Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $2597205 | $— | $2597205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 7221690 |  | 7221690 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 3493149 | 17535586 |  | 21028735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 4443654 |  | 4443654 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 54807091 |  | 54807091 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 98566854 |  | 98566854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 7679394 |  | 7679394 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 1594358 |  | 1594358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 11532753 |  | 11532753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 6317319 |  | 6317319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Korea |  | 6762606 |  | 6762606 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 12328165 |  | 12328165 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 4909188 |  | 4909188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 11259924 |  | 11259924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 25396818 |  | 25396818 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 4736892 | 44695423 |  | 49432315 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  | 1976553 |  | 1976553 |
| &nbsp;&nbsp;&nbsp;&nbsp; All Other Common Stocks(a) | 15682360 |  |  | 15682360 |
|  Total Common Stocks | 23912401 | 319624581 |  | 343536982 |
|  Preferred Stocks(a) |  | 5225566 |  | 5225566 |
|  Short-Term Investments |  | 6501999 |  | 6501999 |
|  Total | $23912401 | $331352146 | $— | $355264547 |

---

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

**U.S. Equity Opportunities Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Common Stocks(a) | $729410236 | $— | $— | $729410236 |
|  Short-Term Investments |  | 2869506 |  | 2869506 |
|  Total | $729410236 | $2869506 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $732279742 |

---

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

**Mid Cap Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Common Stocks(a) | $256895131 | $— | $— | $256895131 |
|  Short-Term Investments |  | 6285880 |  | 6285880 |
|  Total | $256895131 | $6285880 | $— | $263181011 |

---

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

**Small Cap Value Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Common Stocks(a) | $175907190 | $— | $— | $175907190 |
|  Short-Term Investments |  | 11203500 |  | 11203500 |
|  Total | $175907190 | $11203500 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $187110690 |

---

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

81 \|

------

Notes to Financial Statements (continued)

December 31, 2022

**4. Derivatives.** Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

Natixis Oakmark International Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund's holdings of foreign securities. During the year ended December 31, 2022, Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:

---

| | |
|:---|:---|
| Net Realized Gain (Loss) on: | Forward foreign<br>currency<br>contracts |
|  Foreign exchange contracts | $473946 |
| Net Change in Unrealized <br>Appreciation (Depreciation) on: | Forward foreign<br>currency<br>contracts |
|  Foreign exchange contracts | $94327 |

---

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund's investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2022:

---

| | |
|:---|:---|
| Natixis Oakmark International Fund | Forwards |
|  Average Notional Amount Outstanding | 0.90% |
|  Highest Notional Amount Outstanding | 2.03% |
|  Lowest Notional Amount Outstanding | 0.00% |
|  Notional Amount Outstanding as of December 31, 2022 | 0.00% |

---

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

**5. Purchases and Sales of Securities.** For the year ended December 31, 2022, purchases and sales of securities (excluding short-term investments) were as follows:

---

| | | |
|:---|:---|:---|
| Fund | Purchases | Sales |
|  International Growth Fund | $8278874 | $2327113 |
|  Natixis Oakmark Fund | 346264953 | 284004614 |
|  Natixis Oakmark International Fund | 133972224 | 221944655 |
|  U.S. Equity Opportunities Fund | 395441524 | 475722271 |
|  Mid Cap Fund | 154302046 | 217952372 |
|  Small Cap Value Fund | 134482918 | 91315366 |

---

**6. Management Fees and Other Transactions with Affiliates.**

**a. Management Fees.** Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as investment adviser to International Growth Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreement, International Growth Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund's average daily net assets.

\| 82

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Notes to Financial Statements (continued)

December 31, 2022

Natixis Advisors, LLC ("Natixis Advisors") serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund's average daily net assets:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets |
| Fund | First<br>$150 million | Next<br>$50 million | Next<br>$300 million | Next<br>$500 million | Next<br>$500 million | Over<br>$1.5 billion |
|  Natixis Oakmark Fund | 0.70% | 0.70% | 0.65% | 0.60% | 0.60% | 0.60% |
|  Natixis Oakmark International Fund | 0.85% | 0.75% | 0.75% | 0.75% | 0.70% | 0.70% |
|  U.S. Equity Opportunities Fund | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% |
|  Mid Cap Fund | 0.75% | 0.75% | 0.75% | 0.75% | 0.75% | 0.70% |
|  Small Cap Value Fund | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% |

---

Prior to July 1, 2022, U.S. Equity Opportunities Fund paid a management fee at the annual rate of 0.75% of the Fund's average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

---

| | |
|:---|:---|
|  Natixis Oakmark Fund | Harris Associates L.P. ("Harris") |
|  Natixis Oakmark International Fund | Harris |
|  U.S. Equity Opportunities Fund | Harris<br> Loomis Sayles |
|  Mid Cap Fund | Vaughan Nelson Investment Management, L.P. ("Vaughan Nelson") |
|  Small Cap Value Fund | Vaughan Nelson |

---

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund's average daily net assets:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets |
| Fund | Subadviser | First<br>$150 million | Next<br>$50 million | Next<br>$800 million | Next<br>$500 million | Over<br>$1.5 billion |
|  Natixis Oakmark Fund | Harris | 0.52% | 0.52% | 0.50% | 0.50% | 0.50% |
|  Natixis Oakmark International Fund | Harris | 0.60% | 0.50% | 0.50% | 0.45% | 0.45% |
|  U.S. Equity Opportunities Fund |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Large Cap Value Segment | Harris | 0.52% | 0.52% | 0.52% | 0.52% | 0.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Cap Growth Segment | Loomis Sayles | 0.35% | 0.35% | 0.35% | 0.35% | 0.35% |
|  Mid Cap Fund | Vaughan Nelson | 0.47% | 0.47% | 0.47% | 0.47% | 0.44% |
|  Small Cap Value Fund | Vaughan Nelson | 0.52% | 0.52% | 0.52% | 0.52% | 0.52% |

---

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Loomis Sayles and Natixis Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds' operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, except for U.S. Equity Opportunities Fund, which is in effect until April 30, 2024, may be terminated before then only with the consent of the Funds' Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

83 \|

------

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Expense Limit as a Percentage of Average<br>Daily Net Assets | Expense Limit as a Percentage of Average<br>Daily Net Assets | Expense Limit as a Percentage of Average<br>Daily Net Assets | Expense Limit as a Percentage of Average<br>Daily Net Assets |
| Fund | Class A | Class C | Class N | Class Y |
|  International Growth Fund | 1.20% | 1.95% | 0.90% | 0.95% |
|  Natixis Oakmark Fund | 1.05% | 1.80% | 0.75% | 0.80% |
|  Natixis Oakmark International Fund | 1.15% | 1.90% | 0.85% | 0.90% |
|  U.S. Equity Opportunities Fund | 1.15% | 1.90% | 0.85% | 0.90% |
|  Mid Cap Fund | 1.15% | 1.90% | 0.85% | 0.90% |
|  Small Cap Value Fund | 1.25% | 2.00% | 0.95% | 1.00% |

---

Prior to July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for U.S. Equity Opportunities Fund were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Expense Limit as a Percentage of Average<br>Daily Net Assets | Expense Limit as a Percentage of Average<br>Daily Net Assets | Expense Limit as a Percentage of Average<br>Daily Net Assets | Expense Limit as a Percentage of Average<br>Daily Net Assets |
| Fund | Class A | Class C | Class N | Class Y |
|  U.S. Equity Opportunities Fund | 1.20% | 1.95% | 0.90% | 0.95% |

---

Loomis Sayles and Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class' expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class' current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the year ended December 31, 2022, the management fees and waiver of management fees for each Fund were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Fund | Gross<br>Management Fees | Contractual<br>Waivers of<br>Management Fees<sup>1</sup> | Net<br>Management Fees | Percentage of<br>Average<br>Daily Net Assets | Percentage of<br>Average<br>Daily Net Assets |
| Fund | Gross<br>Management Fees | Contractual<br>Waivers of<br>Management Fees<sup>1</sup> | Net<br>Management Fees | Gross | Net |
|  International Growth Fund | $166121 | $166121 | $— | 0.75% | —% |
|  Natixis Oakmark Fund | 2959141 | 237489 | 2721652 | 0.67% | 0.62% |
|  Natixis Oakmark International Fund | 3278920 | 947991 | 2330929 | 0.79% | 0.56% |
|  U.S. Equity Opportunities Fund | 6413195 |  | 6413195 | 0.73% | 0.73% |
|  Mid Cap Fund | 2292180 | 141410 | 2150770 | 0.75% | 0.70% |
|  Small Cap Value Fund | 1298748 | 186690 | 1112058 | 0.85% | 0.73% |

---

<sup>1</sup> Management fee waivers are subject to possible recovery until December 31, 2023.

In addition, Loomis Sayles reimbursed non-class specific expenses of International Growth Fund in the amount of $5,588. Expense reimbursements are subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the year ended December 31, 2022 under the terms of the expense limitation agreements.

**b. Service and Distribution Fees.** Natixis Distribution, LLC ("Natixis Distribution"), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund's Class A shares (the "Class A Plans") and a Distribution and Service Plan relating to each Fund's Class C shares (the "Class C Plans").

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds' Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds' Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

\| 84

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Notes to Financial Statements (continued)

December 31, 2022

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds' Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the year ended December 31, 2022, the service and distribution fees for each Fund were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | Service Fees | Service Fees | Distribution<br>Fees |
| Fund | Class A | Class C | Class C |
|  International Growth Fund | $288 | $23 | $68 |
|  Natixis Oakmark Fund | 515407 | 141328 | 423983 |
|  Natixis Oakmark International Fund | 321347 | 123131 | 369391 |
|  U.S. Equity Opportunities Fund | 1490974 | 103946 | 311836 |
|  Mid Cap Fund | 86271 | 22472 | 67417 |
|  Small Cap Value Fund | 179777 | 2870 | 8609 |

---

**c. Administrative Fees.** Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its *pro rata* portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2022, the administrative fees for each Fund were as follows:

---

| | |
|:---|:---|
| Fund | Administrative<br>Fees |
|  International Growth Fund | $10010 |
|  Natixis Oakmark Fund | 198579 |
|  Natixis Oakmark International Fund | 187904 |
|  U.S. Equity Opportunities Fund | 397716 |
|  Mid Cap Fund | 137881 |
|  Small Cap Value Fund | 69157 |

---

**d. Sub-Transfer Agent Fees.** Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds' transfer agent and other service providers if the shareholders' accounts were maintained directly at the Funds' transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds' Board of Trustees, which is based on fees for similar services paid to the Funds' transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended December 31, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

---

| | |
|:---|:---|
| Fund | Sub-Transfer<br>Agent Fees |
|  International Growth Fund | $139 |
|  Natixis Oakmark Fund | 256839 |
|  Natixis Oakmark International Fund | 684893 |
|  U.S. Equity Opportunities Fund | 266729 |
|  Mid Cap Fund | 185201 |
|  Small Cap Value Fund | 93662 |

---

85 \|

------

Notes to Financial Statements (continued)

December 31, 2022

As of December 31, 2022, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

---

| | |
|:---|:---|
| Fund | Reimbursements<br>of Sub-Transfer<br>Agent Fees |
|  International Growth Fund | $2 |
|  Natixis Oakmark Fund | 2668 |
|  Natixis Oakmark International Fund | 6200 |
|  U.S. Equity Opportunities Fund | 2443 |
|  Mid Cap Fund | 2113 |
|  Small Cap Value Fund | 1107 |

---

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a *pro rat*a basis to each class based on the relative net assets of each class to the total net assets of those classes.

**e. Commissions.** Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2022 was as follows:

---

| | |
|:---|:---|
| Fund | Commissions |
|  Natixis Oakmark Fund | $59461 |
|  Natixis Oakmark International Fund | 17871 |
|  U.S. Equity Opportunities Fund | 18802 |
|  Mid Cap Fund | 529 |
|  Small Cap Value Fund | 2641 |

---

**f. Trustees Fees and Expenses.** The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2023, each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically.

A deferred compensation plan (the "Plan") is available to the Trustees on a voluntary basis. The value of a participating Trustee's deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants' deferral accounts are allocated *pro rata* among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees' fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees' fees in the Statements of Assets and Liabilities.

\| 86

------

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, net depreciation in the value of participants' deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:

---

| | |
|:---|:---|
| Fund | Amount |
|  Natixis Oakmark Fund | $(95019) |
|  Natixis Oakmark International Fund | (12938) |
|  U.S. Equity Opportunities Fund | (69538) |
|  Mid Cap Fund | (24416) |
|  Small Cap Value Fund | (30346) |

---

Certain officers and employees of Natixis Advisors, Loomis Sayles and affiliates are also officers and/or Trustees of the Trusts.

**g. Affiliated Ownership.** As of December 31, 2022, Natixis and affiliates held shares of International Growth Fund representing 98.06% of the Fund's net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

**h. Reimbursement of Transfer Agent Fees and Expenses.** Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds' Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the year ended December 31, 2022, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

---

| | |
|:---|:---|
|  | Reimbursement of<br>Transfer Agency<br>Expenses |
| Fund | Class N |
|  International Growth Fund | $981 |
|  Natixis Oakmark Fund | 925 |
|  Natixis Oakmark International Fund | 947 |
|  U.S. Equity Opportunities Fund | 906 |
|  Mid Cap Fund | 1028 |
|  Small Cap Value Fund | 942 |

---

**7. Class-Specific Transfer Agent Fees and Expenses.** Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a *pro rata* basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the year ended December 31, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses |
| Fund | Class A | Class C | Class N | Class Y |
|  International Growth Fund | $150 | $12 | $981 | $3206 |
|  Natixis Oakmark Fund | 183953 | 50467 | 925 | 158750 |
|  Natixis Oakmark International Fund | 222034 | 85477 | 947 | 410852 |
|  U.S. Equity Opportunities Fund | 374199 | 25951 | 906 | 153450 |
|  Mid Cap Fund | 31036 | 8089 | 1028 | 165406 |
|  Small Cap Value Fund | 72051 | 1127 | 942 | 77396 |

---

**8. Line of Credit.** Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund's investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

87 \|

------

Notes to Financial Statements (continued)

December 31, 2022

For the year ended December 31, 2022, Natixis Oakmark Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $4,025,000 at a weighted average interest rate of 4.93%. Interest expense incurred on the line of credit was $2,205.

For the year ended December 31, 2022, Mid Cap Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $5,500,000 at a weighted average interest rate of 4.93%. Interest expense incurred on the line of credit was $753.

**9. Risk.** The Funds' investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund's investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

The International Growth Fund may invest to a significant extent in variable interest entity ("VIE") structures. VIE structures can vary, but generally consist of a U.S.-listed company with contractual arrangements, through one or more wholly-owned special purpose vehicles, with a Chinese company that ultimately provides the U.S.-listed company with contractual rights to obtain economic benefits from the Chinese company. The VIE structure enables foreign investors, such as the Fund, to obtain investment exposure similar to that of an equity owner in a Chinese company in situations in which the Chinese government has restricted or prohibited the ownership of such company by foreign investors. The Fund's exposure to VIE structures may pose additional risks because the VIE structure is not formally recognized under Chinese law. The Chinese government may cease to tolerate VIE structures at any time or impose new restrictions. In addition, Chinese companies using the VIE structure, and listed on stock exchanges in the U.S., could also face delisting or other ramifications for failure to meet the expectations and/or requirements of the U.S. Securities and Exchange Commission, the Public Company Accounting Oversight Board, or other U.S. regulators. Any of these risks could reduce the liquidity and value of these investments or render them valueless.

International Growth Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

Russia's military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These and any related events could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.

**10. Concentration of Ownership.** From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2022, based on management's evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds' total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

---

| | | |
|:---|:---|:---|
|  | Number of 5%<br>Account Holders | Percentage of<br>Ownership |
| Fund |  |  |
|  Natixis Oakmark International Fund | 1 | 25.13% |
|  U.S. Equity Opportunities Fund | 1 | 5.09% |
|  Mid Cap Fund | 1 | 29.14% |
|  Small Cap Value Fund | 2 | 12.69% |

---

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

\| 88

------

Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares.** Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **International Growth Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 4118 | $33249 | 11486 | $119493 |
|  Issued in connection with the reinvestment of distributions | 71 | 565 | 178 | 1712 |
|  Net change | 4189 | $33814 | 11664 | $121205 |
| **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  Issued from the sale of shares |  | $— | 5141 | $52756 |
|  Issued in connection with the reinvestment of distributions |  |  | 56 | 540 |
|  Redeemed | (3928) | (33853) | (1268) | (12908) |
|  Net change | (3928) | $(33853) | 3929 | $40388 |
| **Class N** | **Class N** | **Class N** | **Class N** | **Class N** |
|  Issued from the sale of shares | 319693 | $2500000 | 940733 | $10000000 |
|  Issued in connection with the reinvestment of distributions | 2314 | 18351 | 517 | 5372 |
|  Redeemed |  |  | (46992) | (500000) |
|  Net change | 322007 | $2518351 | 894258 | $9505372 |
| **Class Y** | **Class Y** | **Class Y** | **Class Y** | **Class Y** |
|  Issued from the sale of shares | 374914 | $3190418 | 24598 | $256782 |
|  Issued in connection with the reinvestment of distributions | 2707 | 21469 | 388 | 3739 |
|  Redeemed | (2822) | (20300) | (2953) | (29891) |
|  Net change | 374799 | $3191587 | 22033 | $230630 |
|  Increase from capital share transactions | 697067 | $5709899 | 931884 | $9897595 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Natixis Oakmark Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 1251455 | $32636811 | 691558 | $20206685 |
|  Issued in connection with the reinvestment of distributions | 1168653 | 25751399 | 463894 | 13477187 |
|  Redeemed | (1134294) | (28656218) | (855457) | (24491426) |
|  Net change | 1285814 | $29731992 | 299995 | $9192446 |
| **Class C** |  |  |  |  |
|  Issued from the sale of shares | 1217488 | $26738602 | 546929 | $13338620 |
|  Issued in connection with the reinvestment of distributions | 492676 | 8476261 | 147029 | 3458822 |
|  Redeemed | (734433) | (14940011) | (439521) | (10138945) |
|  Net change | 975731 | $20274852 | 254437 | $6658497 |
| **Class N** |  |  |  |  |
|  Issued from the sale of shares | 58 | $1547 | 20230 | $668794 |
|  Issued in connection with the reinvestment of distributions | 3064 | 73284 | 1354 | 42243 |
|  Redeemed | (2888) | (81794) | (14413) | (395951) |
|  Net change | 234 | $(6963) | 7171 | $315086 |
| **Class Y** |  |  |  |  |
|  Issued from the sale of shares | 6361056 | $191465914 | 2239599 | $69629845 |
|  Issued in connection with the reinvestment of distributions | 638488 | 15388143 | 194941 | 6059178 |
|  Redeemed | (5757253) | (154617312) | (767848) | (22108885) |
|  Net change | 1242291 | $52236745 | 1666692 | $53580138 |
|  Increase from capital share transactions | 3504070 | $102236626 | 2228295 | $69746167 |

---

89 \|

------

Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares (continued).**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Natixis Oakmark International Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 2081450 | $27188627 | 2335450 | $36472444 |
|  Issued in connection with the reinvestment of distributions | 108247 | 1369329 | 105442 | 1593676 |
|  Redeemed | (2674538) | (34233303) | (1647832) | (25699049) |
|  Net change | (484841) | $(5675347) | 793060 | $12367071 |
| **Class C** |  |  |  |  |
|  Issued from the sale of shares | 146028 | $1872215 | 335969 | $5138230 |
|  Issued in connection with the reinvestment of distributions | 23961 | 297840 | 25276 | 376368 |
|  Redeemed | (1650271) | (21038433) | (2680195) | (40587344) |
|  Net change | (1480282) | $(18868378) | (2318950) | $(35072746) |
| **Class N** |  |  |  |  |
|  Issued from the sale of shares | 145580 | $2017090 | 27769 | $415638 |
|  Issued in connection with the reinvestment of distributions | 363 | 4576 | 837 | 12581 |
|  Redeemed | (174806) | (2201343) | (2541) | (37341) |
|  Net change | (28863) | $(179677) | 26065 | $390878 |
| **Class Y** |  |  |  |  |
|  Issued from the sale of shares | 7667504 | $104077801 | 5468533 | $86311348 |
|  Issued in connection with the reinvestment of distributions | 303265 | 3815073 | 353698 | 5316490 |
|  Redeemed | (12663967) | (169927755) | (4621536) | (71233588) |
|  Net change | (4693198) | $(62034881) | 1200695 | $20394250 |
|  Decrease from capital share transactions | (6687184) | $(86758283) | (299130) | $(1920547) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **U.S. Equity Opportunities Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 682513 | $23765153 | 706028 | $30893730 |
|  Issued in connection with the reinvestment of distributions | 2458392 | 77467012 | 1609947 | 68881940 |
|  Redeemed | (2488264) | (85464740) | (1953593) | (84776070) |
|  Net change | 652641 | $15767425 | 362382 | $14999600 |
| **Class C** |  |  |  |  |
|  Issued from the sale of shares | 188655 | $3147013 | 226043 | $5356200 |
|  Issued in connection with the reinvestment of distributions | 731774 | 10169356 | 475273 | 10545794 |
|  Redeemed | (1134470) | (19010339) | (949764) | (22561088) |
|  Net change | (214041) | $(5693970) | (248448) | $(6659094) |
| **Class N** |  |  |  |  |
|  Issued from the sale of shares | 721 | $30208 |  | $— |
|  Issued in connection with the reinvestment of distributions | 516 | 20693 | 293 | 15616 |
|  Redeemed | (72) | (2729) | (620) | (35725) |
|  Net change | 1165 | $48172 | (327) | $(20109) |
| **Class Y** |  |  |  |  |
|  Issued from the sale of shares | 1826215 | $81090815 | 1490330 | $81108161 |
|  Issued in connection with the reinvestment of distributions | 558904 | 22817734 | 370262 | 19743173 |
|  Redeemed | (2555340) | (108147485) | (1682880) | (89109967) |
|  Net change | (170221) | $(4238936) | 177712 | $11741367 |
|  Increase from capital share transactions | 269544 | $5882691 | 291319 | $20061764 |

---

\| 90

------

Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares (continued).**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Mid Cap Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 254188 | $5207282 | 261646 | $6416364 |
|  Issued in connection with the reinvestment of distributions | 47991 | 1002920 | 216292 | 4872528 |
|  Redeemed | (263346) | (5258953) | (213572) | (5159634) |
|  Net change | 38833 | $951249 | 264366 | $6129258 |
| **Class C** |  |  |  |  |
|  Issued from the sale of shares | 41957 | $749400 | 16158 | $374819 |
|  Issued in connection with the reinvestment of distributions | 13437 | 257591 | 85496 | 1752803 |
|  Redeemed | (193780) | (3552548) | (241770) | (5500556) |
|  Net change | (138386) | $(2545557) | (140116) | $(3372934) |
| **Class N** |  |  |  |  |
|  Issued from the sale of shares | 157734 | $3317147 | 2826157 | $72192384 |
|  Issued in connection with the reinvestment of distributions | 125027 | 2643594 | 531924 | 12118098 |
|  Redeemed | (599530) | (12583501) | (205461) | (5123004) |
|  Net change | (316769) | $(6622760) | 3152620 | $79187478 |
| **Class Y** |  |  |  |  |
|  Issued from the sale of shares | 994932 | $20936431 | 1675522 | $41044197 |
|  Issued in connection with the reinvestment of distributions | 271832 | 5776106 | 1387574 | 31819928 |
|  Redeemed | (3661665) | (76714966) | (3531602) | (86803876) |
|  Net change | (2394901) | $(50002429) | (468506) | $(13939751) |
|  Increase (decrease) from capital share transactions | (2811223) | $(58219497) | 2808364 | $68004051 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Small Cap Value Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 294742 | $4937363 | 642790 | $12042869 |
|  Issued in connection with the reinvestment of distributions | 238814 | 3785851 | 782913 | 13763408 |
|  Redeemed | (720255) | (11602583) | (555154) | (10594338) |
|  Net change | (186699) | $(2879369) | 870549 | $15211939 |
| **Class C** |  |  |  |  |
|  Issued from the sale of shares | 269996 | $1616908 | 6936 | $66135 |
|  Issued in connection with the reinvestment of distributions | 43643 | 240247 | 49731 | 339165 |
|  Redeemed | (53628) | (323660) | (35173) | (333625) |
|  Net change | 260011 | $1533495 | 21494 | $71675 |
| **Class N** |  |  |  |  |
|  Issued from the sale of shares | 16766 | $293058 | 59076 | $1134239 |
|  Issued in connection with the reinvestment of distributions | 4642 | 77738 | 12510 | 233321 |
|  Redeemed | (1959) | (31168) | (1) | (27) |
|  Net change | 19449 | $339628 | 71585 | $1367533 |
| **Class Y** |  |  |  |  |
|  Issued from the sale of shares | 5751752 | $96719232 | 793405 | $16230504 |
|  Issued in connection with the reinvestment of distributions | 313912 | 5212202 | 591535 | 11020292 |
|  Redeemed | (2083989) | (35666627) | (714903) | (14531447) |
|  Net change | 3981675 | $66264807 | 670037 | $12719349 |
|  Increase from capital share transactions | 4074436 | $65258561 | 1633665 | $29370496 |

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds II, Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Loomis Sayles International Growth Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Small Cap Value Fund, Natixis Oakmark Fund and Vaughan Nelson Mid Cap Fund

***Opinions on the Financial Statements***

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles International Growth Fund (one of the funds constituting Loomis Sayles Funds II), Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund and Vaughan Nelson Small Cap Value Fund (three of the funds constituting Natixis Funds Trust I), and Natixis Oakmark Fund and Vaughan Nelson Mid Cap Fund (two of the funds constituting Natixis Funds Trust II) (hereafter collectively referred to as the "Funds") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinions***

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2023

We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.

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2022 U.S. Tax Distribution Information to Shareholders (Unaudited)

**Corporate Dividends Received Deduction.** For the fiscal year ended December 31, 2022, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

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| | |
|:---|:---|
| Fund | Qualifying<br>Percentage |
|  International Growth Fund | 3.25% |
|  Natixis Oakmark Fund | 100.00% |
|  U.S. Equity Opportunities Fund | 100.00% |
|  Mid Cap Fund | 100.00% |
|  Small Cap Value Fund | 59.03% |

---

**Capital Gains Distributions.** Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2022.

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| | |
|:---|:---|
| Fund | Amount |
|  Natixis Oakmark Fund | $51140399 |
|  U.S. Equity Opportunities Fund | 120599489 |
|  Mid Cap Fund | 7705713 |
|  Small Cap Value Fund | 6755646 |

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**Qualified Dividend Income.** For the fiscal year ended December 31, 2022, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual's tax bracket. If the Funds paid a distribution during calendar year 2022, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

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| | |
|:---|:---|
| Fund | Qualifying<br>Percentage |
|  International Growth Fund | 100.00% |
|  Natixis Oakmark Fund | 100.00% |
|  Natixis Oakmark International Fund | 100.00% |
|  U.S. Equity Opportunities Fund | 100.00% |
|  Mid Cap Fund | 100.00% |
|  Small Cap Value Fund | 58.93% |

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**Foreign Tax Credit.** For the year ended December 31, 2022, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:

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| | | |
|:---|:---|:---|
| Fund | Foreign Tax<br>Credit Pass-Through | Foreign Source<br>Income |
|  International Growth Fund | $27083 | $392802 |
|  Natixis Oakmark International Fund | 1109096 | 12087259 |

---

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Trustee and Officer Information

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I, Natixis Funds Trust II, and Loomis Sayles Funds II (the "Trusts"). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds' Statements of Additional Information includes additional information about the Trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with<br>the Trusts, Length of<br>Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal Occupation(s)<br>During**<br> **Past 5 Years** | **Number of Portfolios in<br>Fund Complex Overseen<sup>2</sup>**<br> **and Other Directorships<br>Held During Past 5 Years** | **Experience,<br>Qualifications,<br>Attributes, Skills for<br>Board Membership** |
| **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** |
| **Edmond J. English** <br> (1953) | Trustee since 2013<br> Chairperson of the Governance Committee and Contract Review Committee Member | Executive Chairman of Bob's Discount Furniture (retail) | 54<br> Director, Burlington Stores, Inc. (retail) and Director, Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
| **Richard A. Goglia**<br> (1951) | Trustee since 2015<br> Audit Committee Member and Governance Committee Member | Retired | 54<br> Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
| **Wendell J. Knox**<br> (1948) | Trustee since 2009<br> Chairperson of the Contract Review Committee | Retired | 54<br> Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank) | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) |
| **Martin T. Meehan** (1956) | Trustee since 2012<br> Contract Review Committee Member and Governance Committee Member | President, University of Massachusetts | 54<br> None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |

---

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Trustee and Officer Information

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with<br>the Trusts, Length of<br>Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal Occupation(s)<br>During**<br> **Past 5 Years** | **Number of Portfolios in<br>Fund Complex Overseen<sup>2</sup>**<br> **and Other Directorships<br>Held During Past 5 Years** | **Experience,<br>Qualifications,<br>Attributes, Skills for<br>Board Membership** |
| **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** |
| **Maureen B. Mitchell**<br> (1951) | Trustee since 2017<br> Contract Review Committee Member and Governance Committee Member | Retired | 54<br> Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) |
| **James P. Palermo**<br> (1955) | Trustee since 2016<br> Audit Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 54<br> Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) |
| **Erik R. Sirri**<br> (1958) | Chairperson of the Board of Trustees since 2021<br> Trustee since 2009<br> *Ex Officio* member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 54<br> None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
| **Peter J. Smail**<br> (1952) | Trustee since 2009<br> Audit Committee Member | Retired | 54<br> None | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
| **Kirk A. Sykes**<br> (1958) | Trustee since 2019<br> Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 54<br> Advisor Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust);<br> formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |

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Trustee and Officer Information

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with<br>the Trusts, Length of<br>Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal Occupation(s)<br>During**<br> **Past 5 Years** | **Number of Portfolios in<br>Fund Complex Overseen<sup>2</sup>**<br> **and Other Directorships<br>Held During Past 5 Years** | **Experience,<br>Qualifications,<br>Attributes, Skills for<br>Board Membership** |
| **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** | **<u>INDEPENDENT TRUSTEES-continued</u>** |
| **Cynthia L. Walker**<br> (1956) | Trustee since 2005<br> Chairperson of the Audit Committee | Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 54<br> None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
| **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** |
| **Kevin P. Charleston<sup>3</sup>**<br> (1965)<br> One Financial Center<br> Boston, MA 02111 | Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 54<br> None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| **David L. Giunta<sup>4</sup>** <br> (1965) | Trustee since 2011<br> President and Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II since 2008; President of Loomis Sayles Funds II since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 54<br> None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |

---

<sup>1</sup> Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

<sup>2</sup> The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the "Fund Complex"). 

<sup>3</sup> Mr. Charleston is deemed an "interested person" of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

<sup>4</sup> Mr. Giunta is deemed an "interested person" of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.

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Trustee and Officer Information

---

| | | | |
|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with<br>the Trusts** | **Term of Office<sup>1</sup> and<br>Length of Time Served** | **Principal<br>Occupation(s) During<br>Past 5 Years<sup>2</sup>** |
| **<u>OFFICERS OF THE TRUSTS</u>** | **<u>OFFICERS OF THE TRUSTS</u>** |  |  |
| **Matthew Block**<br> (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company |
| **Susan McWhan Tobin**<br> (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019– May 2022) and Senior Vice President and Head of Compliance, US for Natixis Investment Managers (July 2011–March 2019) |
| **Natalie R. Wagner**<br> (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |

---

<sup>1</sup> Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

<sup>2</sup> Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer's current position with such entity. 

97 \|

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![LOGO](g398157g93h10.jpg)

![LOGO](g398157g44v19.jpg)

December 31, 2022

Loomis Sayles High Income Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

**Table of Contents** 

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| | |
|:---|:---|
| [Portfolio Review](#wrpcov398157_1) | 1 |
| [Portfolio of Investments](#wrpcov398157_2) | 21 |
| [Financial Statements](#wrpcov398157_3) | 66 |
| [Notes to Financial Statements](#wrpcov398157_4) | 88 |

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![LOGO](g398157g30s39.jpg)

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LOOMIS SAYLES HIGH INCOME FUND

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| | |
|:---|:---|
| Managers | Symbols |
| Matthew J. Eagan, CFA<sup>®</sup> | Class A NEFHX |
| Brian P. Kennedy | Class C NEHCX |
| Elaine M. Stokes | Class N LSHNX |
| Todd P. Vandam, CFA<sup>®</sup> | Class Y NEHYX |
| *Loomis, Sayles & Company, L.P.* |  |

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Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

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Market Conditions

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as "transitory" as initially expected. The outlook grew even more challenging after Russia's invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 6% through the last three quarters of the year, well above the US Federal Reserve's (Fed's) 2% target.

These developments prompted the Fed and other major central banks to tighten monetary policy aggressively. The Fed, in addition to ending its stimulative quantitative easing policy, raised interest rates at seven consecutive meetings from March onward. The benchmark fed funds rate, which stood in a range of 0% to 0.25% at the start of 2022, finished the year at 4.25% to 4.50%. This represented the most aggressive increase in short-term rates since the early 1980s.

The backdrop of high inflation and rising rates weighed heavily on US Treasuries. The yield on the two-year note surged from 0.39% to 4.41% over the course of 2022, while the 10-year yield climbed from 1.44% to 3.88%. The Treasury market suffered its second consecutive year of negative returns in 2022 — the first time this has happened since 1958-59. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt), an unusual event that typically precedes a recession.

Investment grade corporate bonds posted a double-digit loss and lagged US Treasuries. In addition to suffering from the uptrend in prevailing yields, corporates experienced a large increase in yield spreads relative to government debt. Rising spreads were the result of investors' declining appetite for risk and concerns about the impact slowing economic growth could have on corporations' earnings and balance sheets.

High yield bonds, while finishing 2022 in the red, outperformed US Treasuries and other segments of the investment grade market. The category was helped by its higher income, lower interest rate sensitivity, and a relatively large representation of the energy sector. Senior loans, which experienced elevated demand due to their floating rate feature, were the best-performing segment of the fixed income market for the year with a return just below the break-even mark.

Securitized assets — including agency mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted negative total returns but outperformed the broader US bond market due to the category's shorter duration (lower interest rate sensitivity). ABS, particularly credit card and auto ABS, were the strongest performers among securitized assets due to their higher quality, better liquidity, and shorter duration.

Emerging market bonds underperformed the US due to the combination of growth fears, investors' increased aversion to risk, the conflict in Ukraine, and negative headlines out of China. US-based investors were also hurt by a meaningful decline in emerging market currencies in relation to the US dollar.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles High Income Fund returned -13.47% at net asset value. The Fund underperformed its benchmark, the Bloomberg U.S. Corporate High-Yield Bond Index, which returned -11.19%.

Explanation of Fund Performance

This past year has been extremely challenging for fixed income markets. Security selection within high yield credit was the primary source of underperformance for the Fund. High yield has lagged as aggressive central bank policy and an increasingly slower growth outlook have put pressure on risk assets. In addition, a handful of our higher conviction positions, particularly in the communications

1 \|

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and consumer non-cyclical sectors, have underperformed the broader market. The team's investment thesis for these higher conviction positions started to play out in the second half of the year, but was not enough to offset the drawdown experienced earlier in the period. An allocation to emerging market credit was also a detractor of relative returns, with holdings in Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China had exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector had been limited, resulting in further bond price erosion. More recently, however, we have started to see coordinated efforts here as Chinese authorities release rounds of policies to support the property sector. Finally, convertible securities weighed on returns given the tumultuous equity market backdrop. Here, selected communications holdings were performance laggards.

An allocation to defensive, reserve-like positions and US Treasuries was beneficial as risk-off sentiment prevailed.

Outlook

Initial inflation data in the beginning of the fourth quarter of 2022 came in above expectations; however, subsequent readings were moderately positive, suggesting we may have passed peak inflation. The positive news appeared to usher in optimism that perhaps the Fed's aggressive rate hiking cycle is finally working to bring inflation down. As we moved closer to the potential peak in Fed policy, risk assets stabilized and spreads on investment grade and high yield corporates finished the quarter at tighter levels.

In our view, the credit cycle<sup>1</sup> is firmly in the late cycle stage and the risk of downturn has become more balanced. We expect growth to continue to trend lower as manufacturing and housing metrics have deteriorated; however, in our view the US consumer appears on solid footing, maintaining strong levels of excess savings and continuing to spend at a healthy rate. Labor markets remain tight. We've observed higher wages, cost of living adjustments, an elevated number of job openings and employers who are reluctant to shed workers in industries where they may have trouble getting them back, which could help to support consumer confidence. We believe a healthy consumer combined with positive corporate fundamentals and a strong banking system should help provide a floor to economic activity and support credit fundamentals to some degree.

While inflation has likely peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, we believe inflation will likely remain sticky and above the Fed's target throughout 2023, primarily as result of wage pressure. We now believe much of the movement from the Fed has occurred or is currently being priced into the market, which in turn may also put a cap on the Treasury curve. We're currently expecting an additional 50 bps of tightening in the first quarter of 2023, which would bring the policy rate up to 5.00% after the March meeting. In our view, the market continues to want to compress this cycle and lean towards a Fed pivot, but we believe inflation is structural at this point. We find it difficult for the Fed to begin cutting rates when inflation remains above their target. As a result, we're anticipating a Fed pause after the March meeting which would likely extend into the latter stage of 2023. Throughout the year, the Fed will likely be driven by the extent to which there is firm evidence of inflation moderating, and at this point, we have not eliminated the possibility that the next Fed move could be a rate hike. We expect the US 10-year bond yield to move only modestly higher from here and we continue to be positioned defensively on rate risk, but to a lesser extent than earlier in 2022.

We believe that value has returned to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. While corporate bond spreads in both investment grade and high yield are currently tighter than their long-term averages, we believe overall yields remain favorable post the 2008 Great Financial Crisis (GFC). Dollar prices on bonds are also currently at post-GFC lows. We believe the combination of discount-to-par and attractive yield could be increasing the potential value opportunity in bonds. We remain mindful of the risks to the global economy, such as tighter financial conditions, slowing Chinese growth, the Eastern Europe conflict, disruptions to the global supply chain and the lingering effects of the Covid pandemic. All of the turmoil around the world leaves us with a wide range of potential outcomes for growth, inflation, and central bank policy response. With the likelihood of downturn in 2023 rising, we have been holding larger than average liquid reserves and seeking to maintain an up-in-quality bias. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. At the same time, short-term yields have risen meaningfully and we are comfortable with how we are being compensated as we wait for opportunities to potentially develop.

<sup>1</sup> A credit cycle is a cyclical pattern that follows credit availability and corporate health.

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LOOMIS SAYLES HIGH INCOME FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>3</sup>

December 31, 2012 through December 31, 2022

![LOGO](g398157g00s01.jpg)

3 \|

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Average Annual Total Returns — December 31, 2022<sup>3</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | Expense Ratios<sup>4</sup> | Expense Ratios<sup>4</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.47% | 1.01% | 3.03% | —% | 0.95% | 0.76% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.66 | 0.75 | 2.76 |  | 1.20 | 1.01 |
| &nbsp;&nbsp;&nbsp;*With 4.25% Maximum Sales Charge* | -17.32 | -0.11 | 2.31 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -14.50 | -0.07 | 2.15 |  | 1.95 | 1.76 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -15.31 | -0.07 | 2.15 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 11/30/16) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.40 | 1.06 |  | 2.40 | 0.87 | 0.71 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Bloomberg U.S. Corporate High-Yield<br>Bond Index<sup>2</sup> | -11.19 | 2.31 | 4.03 | 3.41 |  |  |

---

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

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| | |
|:---|:---|
| 1 | Class C shares performance assumes a 1% contingent deferred sales charge ("CDSC") applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.  |

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| | |
|:---|:---|
| 2 | Bloomberg U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody's, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. Bloomberg U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices.  |

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

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| | |
|:---|:---|
| 4 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

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\| 4

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND

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| | | |
|:---|:---|:---|
| Managers | Symbols |  |
| Matthew J. Eagan, CFA<sup>®</sup> | Class A | LIGRX |
| Brian P. Kennedy | Class C | LGBCX |
| Elaine M. Stokes | Class N | LGBNX |
| *Loomis, Sayles & Company, L.P.* | Class Y | LSIIX |
|  | Admin Class | LIGAX |

---

------

Investment Goal

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

------

Market Conditions

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as "transitory" as initially expected. The outlook grew even more challenging after Russia's invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 6% through the last three quarters of the year, well above the US Federal Reserve's (Fed's) 2% target.

These developments prompted the Fed and other major central banks to tighten monetary policy aggressively. The Fed, in addition to ending its stimulative quantitative easing policy, raised interest rates at seven consecutive meetings from March onward. The benchmark fed funds rate, which stood in a range of 0% to 0.25% at the start of 2022, finished the year at 4.25% to 4.50%. This represented the most aggressive increase in short-term rates since the early 1980s.

The backdrop of high inflation and rising rates weighed heavily on US Treasuries. The yield on the two-year note surged from 0.39% to 4.41% over the course of 2022, while the 10-year yield climbed from 1.44% to 3.88%. The Treasury market suffered its second consecutive year of negative returns in 2022 — the first time this has happened since 1958-59. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt), an unusual event that typically precedes a recession.

Investment grade corporate bonds posted a double-digit loss and lagged US Treasuries. In addition to suffering from the uptrend in prevailing yields, corporates experienced a large increase in yield spreads relative to government debt. Rising spreads were the result of investors' declining appetite for risk and concerns about the impact slowing economic growth could have on corporations' earnings and balance sheets.

High yield bonds, while finishing 2022 in the red, outperformed US Treasuries and other segments of the investment grade market. The category was helped by its higher income, lower interest rate sensitivity, and a relatively large representation of the energy sector. Senior loans, which experienced elevated demand due to their floating rate feature, were the best-performing segment of the fixed income market for the year with a return just below the break-even mark.

Securitized assets — including agency mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted negative total returns but outperformed the broader US bond market due to the category's shorter duration (lower interest rate sensitivity). ABS, particularly credit card and auto ABS, were the strongest performers among securitized assets due to their higher quality, better liquidity, and shorter duration.

Emerging market bonds underperformed the US due to the combination of growth fears, investors' increased aversion to risk, the conflict in Ukraine, and negative headlines out of China. US-based investors were also hurt by a meaningful decline in emerging market currencies in relation to the US dollar.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles Investment Grade Bond Fund returned -11.31% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Government/Credit Bond Index, which returned -13.58%. The Fund also outperformed its secondary benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -13.01%.

5 \|

------

Explanation Of Fund Performance

Despite an extremely challenging year for fixed income markets, the Fund posted positive relative returns versus its benchmark. Yield curve positioning was the primary source of outperformance. The Fund has been targeting an overall duration shorter than that of the benchmark, which has been a positive contributor given the sharp upward movement in interest rates. We utilized Treasury futures to assist with meeting this objective. We have added back duration over the course of the year, but on a relative basis remain short versus the benchmark. Securitized credit was also beneficial given the sector's shorter duration profile. Here, holdings in ABS (asset-backed securities) aided returns. Investment grade corporate credit was positive — once again, our shorter duration positioning within the sector was helpful. Finally, performance was aided by defensive, reserve-like positions as risk-off sentiment prevailed.

Exposure to high yield credit was the primary source of underperformance for the Fund. High yield has lagged as aggressive central bank policy and an increasingly slower growth outlook have put pressure on risk assets. In addition, a handful of our higher conviction positions, particularly in the communications sector, have underperformed the broader market. The team's investment thesis for these higher conviction positions started to play out in the second half of the year but was not enough to offset the drawdown experienced earlier in the period. An allocation to emerging market credit was also a detractor of relative returns, with holdings in Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China had exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector had been limited, resulting in further bond price erosion. More recently, however, we have started to see coordinated efforts here as Chinese authorities release rounds of policies to support the property sector.

Outlook

Initial inflation data in the beginning of the fourth quarter of 2022 came in above expectations; however, subsequent readings were moderately positive, suggesting we may have passed peak inflation. The positive news appeared to usher in optimism that perhaps the Fed's aggressive rate hiking cycle is finally working to bring inflation down. As we moved closer to the potential peak in Fed policy, risk assets stabilized and spreads on investment grade and high yield corporates finished the quarter at tighter levels.

In our view, the credit cycle<sup>1</sup> is firmly in the late cycle stage and the risk of downturn has become more balanced. We expect growth to continue to trend lower as manufacturing and housing metrics have deteriorated; however, in our view the US consumer appears on solid footing, maintaining strong levels of excess savings and continuing to spend at a healthy rate. Labor markets remain tight. We've observed higher wages, cost of living adjustments, an elevated number of job openings and employers who are reluctant to shed workers in industries where they may have trouble getting them back, which could help to support consumer confidence. We believe a healthy consumer combined with positive corporate fundamentals and a strong banking system should help provide a floor to economic activity and support credit fundamentals to some degree.

While inflation has likely peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, we believe inflation will likely remain sticky and above the Fed's target throughout 2023, primarily as result of wage pressure. We now believe much of the movement from the Fed has occurred or is currently being priced into the market, which in turn may also put a cap on the Treasury curve. We're currently expecting an additional 50 bps of tightening in the first quarter of 2023, which would bring the policy rate up to 5.00% after the March meeting. In our view, the market continues to want to compress this cycle and lean towards a Fed pivot, but we believe inflation is structural at this point. We find it difficult for the Fed to begin cutting rates when inflation remains above their target. As a result, we're anticipating a Fed pause after the March meeting which would likely extend into the latter stage of 2023. Throughout the year, the Fed will likely be driven by the extent to which there is firm evidence of inflation moderating, and at this point, we have not eliminated the possibility that the next Fed move could be a rate hike. We expect the US 10-year bond yield to move only modestly higher from here and we continue to be positioned defensively on rate risk, but to a lesser extent than earlier in 2022.

We believe that value has returned to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. While corporate bond spreads in both investment grade and high yield are currently tighter than their long-term averages, we believe overall yields remain favorable post the 2008 Great Financial Crisis (GFC). Dollar prices on bonds are also currently at post-GFC lows. We believe the combination of discount-to-par and attractive yield could be increasing the potential value opportunity in bonds. We remain mindful of the risks to the global economy, such as tighter financial conditions, slowing Chinese growth, the Eastern Europe conflict, disruptions to the global supply chain and the lingering effects of the Covid pandemic. All of the turmoil around the world leaves us with a wide range of potential outcomes for growth, inflation, and central bank policy response. With the likelihood of downturn in 2023 rising, we have been holding larger than average liquid reserves and seeking to maintain an up-in-quality bias. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. At the same time, short-term yields have risen meaningfully and we are comfortable with how we are being compensated as we wait for opportunities to potentially develop.

<sup>1</sup> A credit cycle is a cyclical pattern that follows credit availability and corporate health.

\| 6

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>4</sup>

December 31, 2012 through December 31, 2022

![LOGO](g398157g00s02.jpg)

7 \|

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Average Annual Total Returns — December 31, 2022<sup>4</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | Expense Ratios<sup>5</sup> | Expense Ratios<sup>5</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -11.31% | 1.54% | 2.14% | —% | 0.54% | 0.49% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -11.62 | 1.27 | 1.88 |  | 0.79 | 0.74 |
| &nbsp;&nbsp;&nbsp;*With 4.25% Maximum Sales Charge* | -15.39 | 0.39 | 1.44 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -12.26 | 0.52 | 1.27 |  | 1.54 | 1.49 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -13.12 | 0.52 | 1.27 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 2/1/13) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -11.26 | 1.59 |  | 2.17 | 0.47 | 0.44 |
| &nbsp;&nbsp;&nbsp;Admin Class |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -11.80 | 1.03 | 1.64 |  | 1.04 | 0.99 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Bloomberg U.S. Government/Credit Bond Index<sup>2</sup> | -13.58 | 0.21 | 1.16 | 1.26 |  |  |
| &nbsp;&nbsp;&nbsp;Bloomberg U.S. Aggregate Bond Index<sup>3</sup> | -13.01 | 0.02 | 1.06 | 1.14 |  |  |

---

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

---

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

---

---

| | |
|:---|:---|
| 2 | Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg U.S. Aggregate Index.  |

---

---

| | |
|:---|:---|
| 3 | Bloomberg U.S. Aggregate Bond Index is a broad based index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.  |

---

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

---

| | |
|:---|:---|
| 5 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

---

\| 8

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LOOMIS SAYLES STRATEGIC ALPHA FUND

---

| | |
|:---|:---|
| Managers | Symbols |
| Matthew J. Eagan, CFA<sup>®</sup> | Class A LABAX |
| Brian P. Kennedy | Class C LABCX |
| Elaine M. Stokes | Class N LASNX |
| Todd P. Vandam, CFA<sup>®</sup> | Class Y LASYX |
| *Loomis, Sayles & Company, L.P.* |  |

---

------

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

------

Market Conditions

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as "transitory" as initially expected. The outlook grew even more challenging after Russia's invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 7% in both the October and November reports, well above the US Federal Reserve's (Fed's) 2% target.

These developments prompted the Fed and other major central banks to tighten monetary policy aggressively. The Fed, in addition to ending its stimulative quantitative easing policy, raised interest rates at seven consecutive meetings from March onward. The benchmark fed funds rate, which stood in a range of 0% to 0.25% at the start of 2022, finished the year at 4.25% to 4.50%. This represented the most aggressive increase in short-term rates since the early 1980s.

The backdrop of high inflation and rising rates weighed heavily on US Treasuries. The yield on the two-year note surged from 0.39% to 4.41% over the course of 2022, while the 10-year yield climbed from 1.44% to 3.88%. The Treasury market suffered its second consecutive year of negative returns in 2022 — the first time this has happened since 1958-59. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt), an unusual event that typically precedes a recession.

Investment grade corporate bonds posted a double-digit loss and lagged Treasuries. In addition to suffering from the upward trend in prevailing yields, corporates experienced a large increase in yield spreads relative to government debt. Rising spreads were the result of investors' declining appetite for risk and concerns about the impact that slowing economic growth could have on corporations' earnings and balance sheets.

High yield bonds, while finishing 2022 in the red, outperformed US Treasuries and other segments of the investment grade market. The category was helped by its higher income, lower interest rate sensitivity, and a relatively large representation of the energy sector. Senior loans, which experienced elevated demand due to their floating rate feature, were the best-performing segment of the fixed income market for the year with a return just below the break-even mark.

Securitized assets — including agency mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted negative total returns but outperformed the broader US bond market due to the category's shorter duration (lower interest rate sensitivity). ABS, particularly credit card and auto ABS, were the strongest performers among securitized assets due to their higher quality, better liquidity, and shorter duration.

Emerging market bonds underperformed the US due to the combination of growth fears, investors' increased aversion to risk, the conflict in Ukraine, and negative headlines out of China. US-based investors were also hurt by a meaningful decline in emerging market currencies in relation to the US dollar.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles Strategic Alpha Fund returned -7.97%. The Fund underperformed its benchmark, ICE BofA U.S. 3-Month Treasury Bill Index, which returned 1.46%. The Fund also underperformed its secondary benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points, which returned 4.44%. The Fund follows an absolute return strategy and is not managed to an index.

9 \|

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Explanation of Fund Performance

High yield corporates were the main detractor for the year as credit spreads (the incremental yield provided by lower quality bonds) expanded during the year. Within the portfolio, consumer, communications and banking names were the largest detractors. Almost every area of fixed income suffered its greatest loss in decades with the Fed raising rates over the year. At the Fed's December meeting, the Fed disclosed that it anticipated rate hikes to take the fed funds rate above 5% (from the current 4.375%), which was higher than market expectations. New issuance in the US high yield bond market fell significantly in 2022 and performance moved in a similar direction with the high yield index, returning -11.19% for the year.

The allocation to investment grade corporate bonds diminished performance for the period as well. In what was considered the most difficult year on record for fixed income markets and specifically US bond investors, bond yields began the period at their lowest levels in 150 years. Despite a challenging 2022 which saw sharply rising bond yields, corporate bonds look more compelling going forward from a total return perspective. Compared to government bonds, corporate bonds arguably carry more long-term value. Within the portfolio, holdings of banking, communications, consumer, and finance company issues weighed most heavily on performance.

Exposure to securitized assets including ABS, non-agency MBS, and CMBS detracted from performance for the period. In particular, housing, whole business, and student loan exposure weighed on returns. While the Biden administration's debt forgiveness plan for student loans rests in the hands of the Supreme Court, the office sector is facing headwinds due to work-from-home pressures, job migration out of certain cities, and tenants reducing workspace to save costs. The Russian invasion of Ukraine in early February 2022 left dozens of aircraft in ABS transactions stranded in Russia with leases being terminated and planes repossessed. Aircraft lessors have since filed insurance claims under their policies for the confiscated planes, but resolution of these claims will likely take years.

The Fund's positioning with respect to duration (and corresponding interest rate sensitivity) and non-US dollar currency exposure was additive to performance during the period. Rising inflation concerns and increasingly hawkish Fed policy through rate hikes led to higher yields for US Treasuries across the curve. The yield on the benchmark 10-year note finished the year up 235 basis points at 3.87%. In this environment, our short position in 10-year US Treasury interest rate futures aided performance. While the job market remains steady, the yield curve (which depicts the relationship among bond yields across the maturity spectrum) has historically been a reliable indicator of imminent economic turmoil. The curve inverted further in December, suggesting elevated risks of recession.

Outlook

Inflation data in the beginning of the fourth quarter of 2022 came in above expectations. However, subsequent readings eased modestly, suggesting we may have passed peak inflation. The positive news appeared to usher in optimism that perhaps the Fed's aggressive rate hiking cycle is finally working to bring inflation down. As the potential peak in Fed policy tightening came into view, risk assets stabilized and spreads on investment grade and high yield corporates finished the quarter at tighter levels.

In our view, the credit cycle<sup>1</sup> is firmly in the late stages and the risk of downturn has become more balanced. We expect growth to continue to trend lower as manufacturing and housing metrics have deteriorated. However, in our view the US consumer appears on solid footing, maintaining strong levels of excess savings and continuing to spend at a healthy rate. Labor markets remain tight. We've observed higher wages, cost of living adjustments, an elevated number of job openings, and employers who are reluctant to shed workers in industries where they may have trouble getting them back, all of which could help support consumer confidence. We believe a healthy consumer combined with positive corporate fundamentals and a strong banking system should help provide a floor to economic activity and support credit fundamentals to some degree.

While inflation has likely peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, we believe inflation will likely remain sticky and above the Fed's target throughout 2023, primarily as a result of wage pressures. We now believe much of the movement from the Fed has occurred or is currently being priced into the market, which in turn may also put a cap on the Treasury curve. We're currently expecting an additional 50 basis points of tightening in the first quarter of 2023, which would bring the policy rate up to 5.00% after the March meeting. In our view, the market continues to want to compress this cycle and lean towards a Fed pivot to more dovish policy, but we believe inflation is structural at this point. We believe it will be difficult for the Fed to begin cutting rates when inflation remains above its target. As a result, we're anticipating a Fed pause after the March meeting which would likely extend into the latter stage of 2023. Throughout the year, the Fed will likely be driven by the extent to which there is firm evidence of inflation moderating, and at this point we have not eliminated the possibility that the next Fed move could be an additional rate hike. We expect the US 10-year bond yield to move only modestly higher from here, and while we continue to be positioned defensively on rate risk it is to a lesser extent than through most of 2022.

We believe that value has returned to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. While corporate bond spreads in both investment grade and high yield are currently tighter than their long-term averages, we believe overall yields remain favorable in terms of post 2008 Great Financial Crisis (GFC) levels. Dollar prices on bonds are also currently at

<sup>1</sup> A credit cycle is a cyclical pattern that follows credit availability and corporate health.

\| 10

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LOOMIS SAYLES STRATEGIC ALPHA FUND

post-GFC lows. We believe the combination of discount-to-par and attractive yield could be increasing the potential value opportunity in bonds. We remain mindful of the risks to the global economy, such as tighter financial conditions, slowing Chinese growth, the Eastern Europe conflict, disruptions to the global supply chain and the lingering effects of the Covid pandemic. All of the turmoil around the world leaves us with a wide range of potential outcomes for growth, inflation, and central bank policy response. With the likelihood of a downturn in 2023 having increased, we have been holding larger than average liquid reserves and seeking to maintain an up-in-quality bias. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. At the same time, short-term yields have risen meaningfully, and we are comfortable with how we are being compensated as we wait for opportunities to potentially develop.

During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds, foreign currency, or foreign currency-based derivative securities ("Foreign Currency Exposures") may realize currency losses in connection with the maturity or sale of certain Foreign Currency Exposures. These losses impact a fund's ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund's fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a fund has available to distribute, even though non-US-dollar-denominated bonds continue to generate coupon income. Fund officers have analyzed the Fund's current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the current fiscal year. This analysis is performed regularly to determine how realized currency losses have and will impact periodic ordinary income distributions for the Fund. Based on the most recent quarterly analysis (as of December 31, 2022), realized currency losses will continue to have an impact on the distributions in the 2023 fiscal year. This analysis is based on certain assumptions including, but not limited to, the amount of foreign currency exposures held by the Fund, the level of foreign currency exchange rates, security prices, interest rates, the Fund advisers' ability to manage realized currency losses, and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the Fund's distributions to address realized currency losses while seeking to avoid a return of capital distribution.

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>3</sup>

December 31, 2012 through December 31, 2022

![LOGO](g398157g00s03.jpg)

11 \|

------

Average Annual Total Returns — December 31, 2022<sup>3</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | Expense Ratios<sup>4</sup> | Expense Ratios<sup>4</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -7.97% | 1.43% | 1.95% |  | 0.72% | 0.72% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -8.29 | 1.17 | 1.69 |  | 0.97 | 0.97 |
| &nbsp;&nbsp;&nbsp;*With 4.25% Maximum Sales Charge* | -12.20 | 0.30 | 1.25 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -8.90 | 0.42 | 1.08 |  | 1.73 | 1.73 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -9.79 | 0.42 | 1.08 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 5/1/17) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;NAV | -8.00 | 1.49 |  | 1.67 | 0.67 | 0.67 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;ICE BofA U.S. 3-Month Treasury Bill Index<sup>2</sup> | 1.46 | 1.26 | 0.76 | 1.23 |  |  |
| &nbsp;&nbsp;&nbsp;ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points<sup>2</sup> | 4.44 | 4.24 | 3.75 | 3.64 |  |  |

---

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

---

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

---

---

| | |
|:---|:---|
| 2 | Effective May 1, 2022, the ICE BofA U.S. 3-Month Treasury Bill Index replaced the 3-Month LIBOR as the Fund's primary benchmark and the ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points was added as the Fund's secondary benchmark. The ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index that is comprised of a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month. The Fund believes, given the discontinuation of LIBOR, it is appropriate and necessary to transition to new benchmarks for the Fund.  |

---

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

---

| | |
|:---|:---|
| 4 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

---

\| 12

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LOOMIS SAYLES STRATEGIC INCOME FUND

---

| | | |
|:---|:---|:---|
| Managers | Symbols |  |
| Matthew J. Eagan, CFA<sup>®</sup> | Class A | NEFZX |
| Brian P. Kennedy | Class C | NECZX |
| Elaine M. Stokes | Class N | NEZNX |
| *Loomis, Sayles & Company, L.P.* | Class Y | NEZYX |
|  | Admin Class | NEZAX |

---

------

Investment Goal

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

------

Market Conditions

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as "transitory" as initially expected. The outlook grew even more challenging after Russia's invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 6% through the last three quarters of the year, well above the US Federal Reserve's (Fed's) 2% target.

These developments prompted the Fed and other major central banks to tighten monetary policy aggressively. The Fed, in addition to ending its stimulative quantitative easing policy, raised interest rates at seven consecutive meetings from March onward. The benchmark fed funds rate, which stood in a range of 0% to 0.25% at the start of 2022, finished the year at 4.25% to 4.50%. This represented the most aggressive increase in short-term rates since the early 1980s.

The backdrop of high inflation and rising rates weighed heavily on US Treasuries. The yield on the two-year note surged from 0.39% to 4.41% over the course of 2022, while the 10-year yield climbed from 1.44% to 3.88%. The Treasury market suffered its second consecutive year of negative returns in 2022 — the first time this has happened since 1958-59. One result of these moves was that the yield curve inverted significantly (meaning that short-term yields traded above those on longer-term debt), an unusual event that typically precedes a recession.

Investment grade corporate bonds posted a double-digit loss and lagged US Treasuries. In addition to suffering from the uptrend in prevailing yields, corporates experienced a large increase in yield spreads relative to government debt. Rising spreads were the result of investors' declining appetite for risk and concerns about the impact slowing economic growth could have on corporations' earnings and balance sheets.

High yield bonds, while finishing 2022 in the red, outperformed US Treasuries and other segments of the investment grade market. The category was helped by its higher income, lower interest rate sensitivity, and a relatively large representation of the energy sector. Senior loans, which experienced elevated demand due to their floating rate feature, were the best-performing segment of the fixed income market for the year with a return just below the break-even mark.

Securitized assets — including agency mortgage-backed securities (MBS), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) — posted negative total returns but outperformed the broader US bond market due to the category's shorter duration (lower interest rate sensitivity). ABS, particularly credit card and auto ABS, were the strongest performers among securitized assets due to their higher quality, better liquidity, and shorter duration.

Emerging market bonds underperformed the US due to the combination of growth fears, investors' increased aversion to risk, the conflict in Ukraine, and negative headlines out of China. US-based investors were also hurt by a meaningful decline in emerging market currencies in relation to the US dollar.

Performance Results

For the 12 months ended December 31, 2022, Class Y shares of the Loomis Sayles Strategic Income Fund returned -12.60% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -13.01%. The Fund also outperformed its secondary benchmark, the Bloomberg U.S. Universal Bond Index, which returned -12.99%.

Explanation of Fund Performance

Despite an extremely challenging year for fixed income markets, the Fund posted positive relative returns versus its benchmark. Yield curve positioning was the primary source of outperformance. The Fund has been targeting an overall duration shorter than that of the

13 \|

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benchmark, which has been a positive contributor given the sharp upward movement in interest rates. We utilized Treasury futures to assist with meeting this objective. We have added back duration over the course of the year, but on a relative basis remain short versus the benchmark. An allocation to equities was also positive for relative returns. For equities, the team has employed a basket approach seeking a diversified allocation that provides attractive dividend yields and capital appreciation potential versus fixed income. This exposure was reduced during the year as fixed income yields increased. Securitized credit was also beneficial given the sector's shorter duration profile. Here, holdings in collateralized loan obligations (CLOs) were helpful for returns. Finally, performance was aided by defensive, reserve-like positions as risk-off sentiment prevailed.

Exposure to high yield credit was the primary source of underperformance for the Fund. High yield has lagged as aggressive central bank policy and an increasingly slower growth outlook have put pressure on risk assets. In addition, a handful of our higher conviction positions, particularly in the communications sector, have underperformed the broader market. The team's investment thesis for these higher conviction positions started to play out in the second half of the year but was not enough to offset the drawdown experienced earlier in the period. An allocation to emerging market credit was also a detractor of relative returns, with holdings in Chinese property developers as the main sources of underperformance. Extended Covid-related lockdowns in China had exacerbated already-declining housing sales and government measures taken thus far to alleviate stresses on this sector had been limited, resulting in further bond price erosion. More recently, however, we have started to see coordinated efforts here as Chinese authorities release rounds of policies to support the property sector. Finally, convertible securities weighed on returns given the tumultuous equity market backdrop. Here, selected communications holdings were performance laggards.

Outlook

Initial inflation data in the beginning of the fourth quarter of 2022 came in above expectations; however, subsequent readings were moderately positive, suggesting we may have passed peak inflation. The positive news appeared to usher in optimism that perhaps the Fed's aggressive rate hiking cycle is finally working to bring inflation down. As we moved closer to the potential peak in Fed policy, risk assets stabilized and spreads on investment grade and high yield corporates finished the quarter at tighter levels.

In our view, the credit cycle<sup>1</sup> is firmly in the late cycle stage and the risk of downturn has become more balanced. We expect growth to continue to trend lower as manufacturing and housing metrics have deteriorated; however, in our view the US consumer appears on solid footing, maintaining strong levels of excess savings and continuing to spend at a healthy rate. Labor markets remain tight. We've observed higher wages, cost of living adjustments, an elevated number of job openings and employers who are reluctant to shed workers in industries where they may have trouble getting them back, which could help to support consumer confidence. We believe a healthy consumer combined with positive corporate fundamentals and a strong banking system should help provide a floor to economic activity and support credit fundamentals to some degree.

While inflation has likely peaked and positive real rates should have the effect of slowing growth and rolling inflation down over time, we believe inflation will likely remain sticky and above the Fed's target throughout 2023, primarily as result of wage pressure. We now believe much of the movement from the Fed has occurred or is currently being priced into the market, which in turn may also put a cap on the Treasury curve. We're currently expecting an additional 50 bps of tightening in the first quarter of 2023, which would bring the policy rate up to 5.00% after the March meeting. In our view, the market continues to want to compress this cycle and lean towards a Fed pivot, but we believe inflation is structural at this point. We find it difficult for the Fed to begin cutting rates when inflation remains above their target. As a result, we're anticipating a Fed pause after the March meeting which would likely extend into the latter stage of 2023. Throughout the year, the Fed will likely be driven by the extent to which there is firm evidence of inflation moderating, and at this point, we have not eliminated the possibility that the next Fed move could be a rate hike. We expect the US 10-year bond yield to move only modestly higher from here and we continue to be positioned defensively on rate risk, but to a lesser extent than earlier in 2022.

We believe that value has returned to US fixed income markets. Bond structures (price, yield and spread) appear relatively attractive. While corporate bond spreads in both investment grade and high yield are currently tighter than their long-term averages, we believe overall yields remain favorable post the 2008 Great Financial Crisis (GFC). Dollar prices on bonds are also currently at post-GFC lows. We believe the combination of discount-to-par and attractive yield could be increasing the potential value opportunity in bonds. We remain mindful of the risks to the global economy, such as tighter financial conditions, slowing Chinese growth, the Eastern Europe conflict, disruptions to the global supply chain and the lingering effects of the Covid pandemic. All of the turmoil around the world leaves us with a wide range of potential outcomes for growth, inflation, and central bank policy response. With the likelihood of downturn in 2023 rising, we have been holding larger than average liquid reserves and seeking to maintain an up-in-quality bias. If volatility increases and we see what we view as more attractive yields and spreads, we would consider redeploying reserves. At the same time, short-term yields have risen meaningfully and we are comfortable with how we are being compensated as we wait for opportunities to potentially develop.

<sup>1</sup> A credit cycle is a cyclical pattern that follows credit availability and corporate health.

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LOOMIS SAYLES STRATEGIC INCOME FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares<sup>4</sup>

December 31, 2012 through December 31, 2022

![LOGO](g398157g00s04.jpg)

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Average Annual Total Returns — December 31, 2022<sup>4</sup>

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | Expense Ratios<sup>5</sup> | Expense Ratios<sup>5</sup> |
|  | 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -12.60% | -0.06% | 2.40% | —% | 0.72% | 0.69% |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -12.80 | -0.31 | 2.15 |  | 0.97 | 0.94 |
| &nbsp;&nbsp;&nbsp;*With 4.25% Maximum Sales Charge* | -16.51 | -1.18 | 1.70 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.48 | -1.05 | 1.53 |  | 1.72 | 1.69 |
| &nbsp;&nbsp;&nbsp;With CDSC<sup>1</sup> | -14.30 | -1.05 | 1.53 |  |  |  |
| &nbsp;&nbsp;&nbsp;Class N (Inception 2/1/13) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -12.55 | 0.02 |  | 2.25 | 0.65 | 0.64 |
| &nbsp;&nbsp;&nbsp;Admin Class |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*NAV* | -13.07 | -0.55 | 1.90 |  | 1.22 | 1.19 |
| &nbsp;&nbsp;&nbsp;Comparative Performance |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Bloomberg U.S. Aggregate Bond Index<sup>2</sup> | -13.01 | 0.02 | 1.06 | 1.14 |  |  |
| &nbsp;&nbsp;&nbsp;Bloomberg U.S. Universal Bond Index<sup>3</sup> | -12.99 | 0.18 | 1.33 | 1.40 |  |  |

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

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

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

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| | |
|:---|:---|
| 3 | Bloomberg U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.  |

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

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| | |
|:---|:---|
| 5 | Expense ratios are as shown in the Fund's prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund's expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund's expense limitations.  |

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ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC's website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at ***im.natixis.com/funddocuments***. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA<sup>®</sup> and Chartered Financial Analyst<sup>®</sup> are registered trademarks owned by the CFA Institute.

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2022 through December 31, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**LOOMIS SAYLES HIGH INCOME FUND** | BEGINNING<br>ACCOUNT VALUE<br>7/1/2022 | ENDING <br>ACCOUNT VALUE<br>12/31/2022 | EXPENSES PAID <br>DURING PERIOD\*<br>7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1035.60 | $5.13 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.16 | $5.09 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1031.40 | $8.96 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1016.38 | $8.89 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1037.20 | $3.59 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.68 | $3.57 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1037.10 | $3.85 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.43 | $3.82 |

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\* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**LOOMIS SAYLES INVESTMENT GRADE BOND FUND** | BEGINNING<br>ACCOUNT VALUE<br>7/1/2022 | ENDING <br>ACCOUNT VALUE<br>12/31/2022 | EXPENSES PAID<br>DURING PERIOD\*<br>7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $984.00 | $3.70 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.48 | $3.77 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $981.00 | $7.44 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1017.69 | $7.58 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $986.60 | $2.20 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1022.99 | $2.24 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $986.30 | $2.45 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1022.74 | $2.50 |
| &nbsp;&nbsp;&nbsp;Admin Class |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $982.70 | $4.95 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.22 | $5.04 |

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\* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.44%, 0.49% and 0.99% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**LOOMIS SAYLES STRATEGIC ALPHA FUND** | BEGINNING<br>ACCOUNT VALUE<br>7/1/2022 | ENDING<br>ACCOUNT VALUE<br>12/31/2022 | EXPENSES PAID<br>DURING PERIOD\*<br>7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1013.10 | $5.07 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.16 | $5.09 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1010.40 | $8.87 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1016.38 | $8.89 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1014.90 | $3.50 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.73 | $3.52 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1015.70 | $3.81 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.43 | $3.82 |

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\* Expenses are equal to the Fund's annualized expense ratio: 1.00%, 1.75%, 0.69% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

19 \|

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**LOOMIS SAYLES STRATEGIC INCOME FUND** | BEGINNING<br>ACCOUNT VALUE<br>7/1/2022 | ENDING<br>ACCOUNT VALUE<br>12/31/2022 | EXPENSES PAID <br>DURING PERIOD\*<br>7/1/2022 – 12/31/2022 |
| &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1009.50 | $4.76 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1020.47 | $4.79 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1005.30 | $8.54 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1016.69 | $8.59 |
| &nbsp;&nbsp;&nbsp;Class N |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1010.30 | $3.24 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.98 | $3.26 |
| &nbsp;&nbsp;&nbsp;Class Y |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1010.00 | $3.50 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1021.73 | $3.52 |
| &nbsp;&nbsp;&nbsp;Admin Class |  |  |  |
| &nbsp;&nbsp;&nbsp;Actual | $1000.00 | $1007.40 | $6.02 |
| &nbsp;&nbsp;&nbsp;Hypothetical (5% return before expenses) | $1000.00 | $1019.21 | $6.06 |

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\* Expenses are equal to the Fund's annualized expense ratio: 0.94%, 1.69%, 0.64%, 0.69% and 1.19% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). 

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Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes — 91.7% of Net Assets** | **Bonds and Notes — 91.7% of Net Assets** | **Bonds and Notes — 91.7% of Net Assets** |
| **Non-Convertible Bonds — 86.7%** | **Non-Convertible Bonds — 86.7%** | **Non-Convertible Bonds — 86.7%** |
|  | **ABS Home Equity — 0.1%** | **ABS Home Equity — 0.1%** |
| $105110 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%,<br>4.999%, 9/19/2045(a) | $65710 |
|  | **Aerospace & Defense — 2.3%** | **Aerospace & Defense — 2.3%** |
| 100000 | Bombardier, Inc., 6.000%, 2/15/2028, 144A | 92472 |
| 850000 | Bombardier, Inc., 7.125%, 6/15/2026, 144A | 824682 |
| 60000 | Moog, Inc., 4.250%, 12/15/2027, 144A | 55500 |
| 615000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 496553 |
| 190000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 187750 |
| 215000 | TransDigm, Inc., 4.875%, 5/01/2029 | 187534 |
| 40000 | TransDigm, Inc., 5.500%, 11/15/2027 | 37562 |
| 270000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A | 266271 |
| 495000 | TransDigm, Inc., 8.000%, 12/15/2025, 144A | 502321 |
|  |  | 2650645 |
|  | **Airlines — 1.2%** | **Airlines — 1.2%** |
| 180000 | Allegiant Travel Co., 7.250%, 8/15/2027, 144A | 171209 |
| 1355000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 1238410 |
|  |  | 1409619 |
|  | **Automotive — 2.5%** | **Automotive — 2.5%** |
| 30000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 27820 |
| 75000 | Dana Financing Luxembourg S.a.r.l., <br>5.750%, 4/15/2025, 144A | 73384 |
| 710000 | Ford Motor Co., 3.250%, 2/12/2032 | 532459 |
| 820000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 | 748562 |
| 200000 | Ford Motor Credit Co. LLC, 3.375%, 11/13/2025 | 180803 |
| 635000 | Ford Motor Credit Co. LLC, 4.063%, 11/01/2024 | 609646 |
| 55000 | General Motors Co., 6.125%, 10/01/2025 | 55974 |
| 105000 | General Motors Co., 6.250%, 10/02/2043 | 97075 |
| 275000 | Goodyear Tire & Rubber Co. (The), <br>4.875%, 3/15/2027 | 251551 |
| 55000 | Goodyear Tire & Rubber Co. (The), <br>5.000%, 7/15/2029 | 45878 |
| 300000 | Jaguar Land Rover Automotive PLC, <br>5.875%, 1/15/2028 | 228135 |
| 65000 | Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A | 44557 |
| 85000 | Wheel Pros, Inc., 6.500%, 5/15/2029, 144A | 31877 |
|  |  | 2927721 |
|  | **Banking — 2.9%** | **Banking — 2.9%** |
| 200000 | Banco Santander S.A, 5.147%, 8/18/2025 | 197786 |
| 355000 | Bank of America Corp., (fixed rate to 3/05/2023, variable rate thereafter), 3.550%, 3/05/2024 | 353664 |
| 250000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A | 255967 |
| 250000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | 213523 |
| 475000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 445953 |
| 410000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 291172 |
| 200000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 146643 |
| 600000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 501491 |
| 400000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 384400 |
| 800000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 649958 |
|  |  | 3440557 |
|  | **Brokerage — 0.2%** | **Brokerage — 0.2%** |
| 130000 | Coinbase Global, Inc., 3.375%, 10/01/2028, 144A | 68718 |
| 60000 | Coinbase Global, Inc., 3.625%, 10/01/2031, 144A | 28897 |
| 200000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., <br>5.000%, 8/15/2028, 144A | 163146 |
|  |  | 260761 |
|  | **Building Materials — 2.3%** | **Building Materials — 2.3%** |
| 90000 | Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A | 72965 |
| 265000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A | 234811 |
| 1060000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 894677 |
| 285000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 265873 |
| 205000 | Cornerstone Building Brands, Inc., <br>6.125%, 1/15/2029, 144A | 144369 |
| 50000 | CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A | 37133 |
| 290000 | Foundation Building Materials, Inc., <br>6.000%, 3/01/2029, 144A | 217124 |
| 120000 | JELD-WEN, Inc., 4.625%, 12/15/2025, 144A | 100476 |
| 235000 | LBM Acquisition LLC, 6.250%, 1/15/2029, 144A | 149543 |
| 130000 | MIWD Holdco II LLC/MIWD Finance Corp., <br>5.500%, 2/01/2030, 144A | 103500 |
| 250000 | Park River Holdings, Inc., 5.625%, 2/01/2029, 144A | 166476 |
| 125000 | Patrick Industries, Inc., 4.750%, 5/01/2029, 144A | 103750 |
| 105000 | Standard Industries, Inc., 4.375%, 7/15/2030, 144A | 85567 |
| 45000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 41896 |
| 165000 | Victors Merger Corp., 6.375%, 5/15/2029, 144A | 90750 |
|  |  | 2708910 |
|  | **Cable Satellite — 8.4%** | **Cable Satellite — 8.4%** |
| 410000 | Altice Financing S.A., 5.000%, 1/15/2028, 144A | 330050 |
| 80000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A | 69800 |
| 355000 | CCO Holdings LLC/CCO Holdings Capital Corp.,<br>4.250%, 2/01/2031, 144A | 285022 |
| 410000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>4.250%, 1/15/2034, 144A | 302598 |
| 1355000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>4.750%, 3/01/2030, 144A | 1168572 |
| 690000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>5.000%, 2/01/2028, 144A | 626513 |
| 700000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>5.125%, 5/01/2027, 144A | 652449 |
| 60000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>5.500%, 5/01/2026, 144A | 58086 |
| 30000 | Charter Communications Operating LLC/Charter Communications Operating Capital, <br>4.908%, 7/23/2025 | 29403 |
| 2920000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 1613691 |
| 555000 | CSC Holdings LLC, 4.625%, 12/01/2030 | 306712 |
| 405000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 226274 |
| 250000 | CSC Holdings LLC, 5.750%, 1/15/2030 | 140998 |
| 730000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 653102 |
| 925000 | DISH DBS Corp., 5.125%, 6/01/2029 | 596727 |
| 35000 | DISH DBS Corp., 5.750%, 12/01/2028, 144A | 27934 |
| 150000 | DISH DBS Corp., 7.375%, 7/01/2028 | 106125 |
| 980000 | DISH DBS Corp., 7.750%, 7/01/2026 | 790262 |
| 329385 | Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(b) | 105766 |
| 109130 | Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(b) | 10397 |
| 300000 | Radiate Holdco LLC/Radiate Finance, Inc., <br>6.500%, 9/15/2028, 144A | 125705 |
| 400000 | Telenet Finance Luxembourg Notes S.a.r.l., <br>5.500%, 3/01/2028, 144A | 360056 |

---

See accompanying notes to financial statements.

21 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Cable Satellite — continued** | **Cable Satellite — continued** |
| $125000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A | 57503 |
| 310000 | UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A | 257856 |
| 110000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A | 82525 |
| 445000 | Virgin Media Secured Finance PLC, <br>5.500%, 5/15/2029, 144A | 398622 |
| 565000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A | 525687 |
|  |  | 9908435 |
|  | **Chemicals — 0.5%** | **Chemicals — 0.5%** |
| 150000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A | 120700 |
| 55000 | Chemours Co. (The), 5.375%, 5/15/2027 | 50789 |
| 150000 | Consolidated Energy Finance S.A., <br>5.625%, 10/15/2028, 144A | 127451 |
| 330000 | Hercules LLC, 6.500%, 6/30/2029 | 313619 |
|  |  | 612559 |
|  | **Consumer Cyclical Services — 3.7%** | **Consumer Cyclical Services — 3.7%** |
| 640000 | ADT Security Corp. (The), 4.125%, 8/01/2029, 144A | 544292 |
| 95000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A | 70498 |
| 35000 | Arches Buyer, Inc., 6.125%, 12/01/2028, 144A | 28087 |
| 45000 | Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A | 34509 |
| 125000 | Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A | 115000 |
| 55000 | Realogy Group LLC/Realogy Co-Issuer Corp., <br>5.250%, 4/15/2030, 144A | 40123 |
| 330000 | Realogy Group LLC/Realogy Co-Issuer Corp., <br>5.750%, 1/15/2029, 144A | 249609 |
| 1560000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 1359158 |
| 760000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 729600 |
| 115000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 115080 |
| 1045000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 1048597 |
|  |  | 4334553 |
|  | **Consumer Products — 0.7%** | **Consumer Products — 0.7%** |
| 145000 | Coty, Inc., 5.000%, 4/15/2026, 144A | 137500 |
| 20000 | Coty, Inc., 6.500%, 4/15/2026, 144A | 19200 |
| 305000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A | 276025 |
| 250000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A | 212013 |
| 85000 | Prestige Brands, Inc., 3.750%, 4/01/2031, 144A | 70097 |
| 135000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A | 105978 |
|  |  | 820813 |
|  | **Diversified Manufacturing — 0.4%** | **Diversified Manufacturing — 0.4%** |
| 135000 | Chart Industries, Inc., 7.500%, 1/01/2030, 144A | 135714 |
| 120000 | Madison IAQ LLC, 5.875%, 6/30/2029, 144A | 82248 |
| 120000 | Resideo Funding, Inc., 4.000%, 9/01/2029, 144A | 97026 |
| 200000 | TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A | 177508 |
|  |  | 492496 |
|  | **Electric — 1.5%** | **Electric — 1.5%** |
| 1060000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 945830 |
| 315000 | NRG Energy, Inc., 3.625%, 2/15/2031, 144A | 239462 |
| 40000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | 30042 |
| 140000 | PG&E Corp., 5.000%, 7/01/2028 | 127798 |
| 25000 | PG&E Corp., 5.250%, 7/01/2030 | 22750 |
| 460000 | Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A | 441168 |
|  |  | 1807050 |
|  | **Environmental — 0.2%** | **Environmental — 0.2%** |
| 315000 | GFL Environmental, Inc., 4.000%, 8/01/2028, 144A | 269325 |
|  | **Finance Companies — 3.9%** | **Finance Companies — 3.9%** |
| 455000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A | 268450 |
| 295000 | Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A | 246067 |
| 155437 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(c) | 132122 |
| 115000 | LFS Topco LLC, 5.875%, 10/15/2026, 144A | 92662 |
| 655000 | Navient Corp., 4.875%, 3/15/2028 | 538683 |
| 300000 | Navient Corp., 5.500%, 3/15/2029 | 244800 |
| 95000 | Navient Corp., 6.750%, 6/25/2025 | 91191 |
| 205000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 169734 |
| 600000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 570528 |
| 275000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 239250 |
| 395000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 338579 |
| 20000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 15849 |
| 300000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 237731 |
| 795000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 606804 |
| 995000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 743126 |
| 100000 | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 2.875%, 10/15/2026 | 85716 |
|  |  | 4621292 |
|  | **Financial Other — 1.7%** | **Financial Other — 1.7%** |
| 210000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 97163 |
| 200000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d)(e) | 22728 |
| 200000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(d)(e) | 22928 |
| 200000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(d) | 16354 |
| 200000 | China Evergrande Group, 8.750%, 6/28/2025(d) | 14442 |
| 206049 | Easy Tactic Ltd.,<br> 7.500% PIK or 6.500% Cash, 7/11/2027(f) | 42747 |
| 220000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(d) | 15950 |
| 85000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 71880 |
| 1130000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1034628 |
| 200000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 27222 |
| 200000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) | 27042 |
| 400000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) | 54252 |
| 335000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A | 260462 |
| 120000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A | 107400 |
| 200000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 37336 |
| 200000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(d) | 42602 |
| 200000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(d) | 42866 |
| 200000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 32422 |
| 400000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 36944 |
| 400000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d) | 20028 |
| 200000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d) | 9856 |
|  |  | 2037252 |
|  | **Food & Beverage — 1.2%** | **Food & Beverage — 1.2%** |
| 65000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A | 60641 |
| 165000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A | 153816 |
| 40000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A | 39100 |

---

See accompanying notes to financial statements.

\| 22

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Food & Beverage — continued** | **Food & Beverage — continued** | **Food & Beverage — continued** |
| $165000 | HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.875%, 6/01/2029, 144A | $| 113647 |
| 140000 | Performance Food Group, Inc., 4.250%, 8/01/2029, 144A |  | 121327 |
| 230000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A |  | 216928 |
| 200000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A |  | 172548 |
| 125000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A |  | 120885 |
| 105000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A |  | 85475 |
| 120000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 |  | 102000 |
| 205000 | US Foods, Inc., 4.750%, 2/15/2029, 144A |  | 182024 |
|  |  |  | 1368391 |
|  | **Gaming — 3.6%** | **Gaming — 3.6%** | **Gaming — 3.6%** |
| 280000 | Boyd Gaming Corp., 4.750%, 12/01/2027 |  | 260786 |
| 165000 | Boyd Gaming Corp., 4.750%, 6/15/2031, 144A |  | 143550 |
| 220000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A |  | 213769 |
| 400000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A |  | 319836 |
| 200000 | Sands China Ltd., 3.350%, 3/08/2029 |  | 163390 |
| 605000 | Sands China Ltd., 4.875%, 6/18/2030 |  | 531662 |
| 200000 | Sands China Ltd., 5.900%, 8/08/2028 |  | 187261 |
| 575000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A |  | 548498 |
| 415000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A |  | 398400 |
| 200000 | Studio City Finance Ltd., 5.000%, 1/15/2029, 144A |  | 147972 |
| 230000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A |  | 178600 |
| 135000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A |  | 125945 |
| 140000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A |  | 131751 |
| 205000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 1/15/2028, 144A |  | 188114 |
| 125000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A |  | 119844 |
| 105000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A |  | 103977 |
| 450000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A |  | 364090 |
| 165000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A |  | 141426 |
|  |  |  | 4268871 |
|  | **Government Owned – No Guarantee — 0.4%** | **Government Owned – No Guarantee — 0.4%** | **Government Owned – No Guarantee — 0.4%** |
| 95000 | EcoPetrol S.A., 4.625%, 11/02/2031 |  | 72565 |
| 340000 | Petroleos Mexicanos, 5.950%, 1/28/2031 |  | 257328 |
| 205000 | YPF S.A., 6.950%, 7/21/2027, 144A |  | 145226 |
|  |  |  | 475119 |
|  | **Health Insurance — 0.3%** | **Health Insurance — 0.3%** | **Health Insurance — 0.3%** |
| 420000 | Centene Corp., 2.450%, 7/15/2028 |  | 354501 |
| 70000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A |  | 58131 |
|  |  |  | 412632 |
|  | **Healthcare — 2.7%** | **Healthcare — 2.7%** | **Healthcare — 2.7%** |
| 100000 | AdaptHealth LLC, 5.125%, 3/01/2030, 144A |  | 85129 |
| 110000 | AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A |  | 85938 |
| 710000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A |  | 535366 |
| 95000 | CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A |  | 86489 |
| 400000 | DaVita, Inc., 3.750%, 2/15/2031, 144A |  | 298540 |
|  | **Healthcare — continued** | **Healthcare — continued** | **Healthcare — continued** |
| 180000 | DaVita, Inc., 4.625%, 6/01/2030, 144A |  | 144797 |
| 155000 | Encompass Health Corp., 4.500%, 2/01/2028 |  | 140802 |
| 260000 | Encompass Health Corp., 4.750%, 2/01/2030 |  | 228317 |
| 205000 | Garden Spinco Corp., 8.625%, 7/20/2030, 144A |  | 217300 |
| 470000 | LifePoint Health, Inc., 5.375%, 1/15/2029, 144A |  | 265597 |
| 210000 | Medline Borrower LP, 5.250%, 10/01/2029, 144A |  | 166797 |
| 75000 | ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A |  | 63248 |
| 40000 | ModivCare, Inc., 5.875%, 11/15/2025, 144A |  | 37573 |
| 75000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A |  | 57274 |
| 135000 | Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A |  | 125582 |
| 95000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A |  | 85055 |
| 490000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A |  | 470650 |
| 80000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A |  | 70994 |
|  |  |  | 3165448 |
|  | **Home Construction — 0.2%** | **Home Construction — 0.2%** | **Home Construction — 0.2%** |
| 155000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A |  | 120861 |
| 1200000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(g) |  |  |
| 100000 | Empire Communities Corp., 7.000%, 12/15/2025, 144A |  | 90416 |
|  |  |  | 211277 |
|  | **Independent Energy — 6.8%** | **Independent Energy — 6.8%** | **Independent Energy — 6.8%** |
| 215000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A |  | 208554 |
| 390000 | Baytex Energy Corp., 8.750%, 4/01/2027, 144A |  | 396813 |
| 115000 | California Resources Corp., 7.125%, 2/01/2026, 144A |  | 110520 |
| 190000 | Callon Petroleum Co., 8.000%, 8/01/2028, 144A |  | 181124 |
| 580000 | Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A |  | 559686 |
| 120000 | Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A |  | 116832 |
| 65000 | Chord Energy Corp., 6.375%, 6/01/2026, 144A |  | 63305 |
| 255000 | CNX Resources Corp., 7.250%, 3/14/2027, 144A |  | 253087 |
| 135000 | Colgate Energy Partners III LLC, <br>5.875%, 7/01/2029, 144A |  | 115946 |
| 105000 | Comstock Resources, Inc., 6.750%, 3/01/2029, 144A |  | 94763 |
| 470000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A |  | 348123 |
| 155000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A |  | 144283 |
| 150000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A |  | 141351 |
| 165000 | Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A |  | 152278 |
| 85000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A |  | 76075 |
| 285000 | EQT Corp., 3.900%, 10/01/2027 |  | 263102 |
| 40000 | EQT Corp., 5.678%, 10/01/2025 |  | 39806 |
| 30000 | EQT Corp., 5.700%, 4/01/2028 |  | 29839 |
| 165000 | EQT Corp., 6.125%, 2/01/2025 |  | 165388 |
| 125000 | Gulfport Energy Corp., 8.000%, 5/17/2026, 144A |  | 121875 |
| 285000 | Matador Resources Co., 5.875%, 9/15/2026 |  | 274016 |
| 60000 | MEG Energy Corp., 5.875%, 2/01/2029, 144A |  | 56582 |
| 130000 | Murphy Oil Corp., 6.125%, 12/01/2042 |  | 101400 |
| 425000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A |  | 408082 |
| 70000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 |  | 69738 |
| 260000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 |  | 262389 |
| 80000 | Occidental Petroleum Corp., 6.450%, 9/15/2036 |  | 81600 |
| 470000 | Occidental Petroleum Corp., 6.600%, 3/15/2046 |  | 483625 |
| 225000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 |  | 232510 |
| 85000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 |  | 90820 |
| 40000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 |  | 44160 |

---

See accompanying notes to financial statements.

23 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Independent Energy — continued** | **Independent Energy — continued** | **Independent Energy — continued** |
| $45000 | Occidental Petroleum Corp., 8.500%, 7/15/2027 | $| 48456 |
| 780000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 |  | 880624 |
| 470000 | PDC Energy, Inc., 5.750%, 5/15/2026 |  | 448648 |
| 115000 | Permian Resources Operating LLC, 6.875%, 4/01/2027, 144A |  | 108357 |
| 85000 | Range Resources Corp., 8.250%, 1/15/2029 |  | 87588 |
| 110000 | SM Energy Co., 5.625%, 6/01/2025 |  | 105599 |
| 165000 | SM Energy Co., 6.750%, 9/15/2026 |  | 160190 |
| 125000 | Southwestern Energy Co., 5.375%, 2/01/2029 |  | 115883 |
| 250000 | Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A |  | 182466 |
| 125000 | Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A |  | 116263 |
|  |  |  | 7941746 |
|  | **Industrial Other — 0.3%** | **Industrial Other — 0.3%** | **Industrial Other — 0.3%** |
| 220000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A |  | 200562 |
| 130000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A |  | 116889 |
|  |  |  | 317451 |
|  | **Leisure — 3.1%** | **Leisure — 3.1%** | **Leisure — 3.1%** |
| 650000 | Carnival Corp., 5.750%, 3/01/2027, 144A |  | 464126 |
| 125000 | Cinemark USA, Inc., 5.250%, 7/15/2028, 144A |  | 92824 |
| 110000 | Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A |  | 93729 |
| 370000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A |  | 329420 |
| 950000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A |  | 746196 |
| 10000 | NCL Corp. Ltd., 5.875%, 3/15/2026 |  | 7855 |
| 70000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A |  | 51675 |
| 125000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 |  | 91875 |
| 325000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A |  | 262713 |
| 1065000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A |  | 849918 |
| 30000 | Royal Caribbean Cruises Ltd., 11.625%, 8/15/2027, 144A |  | 30127 |
| 120000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A |  | 104484 |
| 180000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A |  | 159725 |
| 375000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A |  | 301875 |
| 110000 | VOC Escrow Ltd., 5.000%, 2/15/2028, 144A |  | 94611 |
|  |  |  | 3681153 |
|  | **Lodging — 2.1%** | **Lodging — 2.1%** | **Lodging — 2.1%** |
| 595000 | Hilton Domestic Operating Co., Inc., 5.375%, 5/01/2025, 144A |  | 588934 |
| 225000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A |  | 183635 |
| 450000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A |  | 387000 |
| 100000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A |  | 82963 |
| 605000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 |  | 526823 |
| 895000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A |  | 729273 |
| 20000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A |  | 16585 |
|  |  |  | 2515213 |
|  | **Media Entertainment — 1.9%** | **Media Entertainment — 1.9%** | **Media Entertainment — 1.9%** |
| 170000 | CMG Media Corp., 8.875%, 12/15/2027, 144A |  | 127959 |
| 130000 | Deluxe Corp., 8.000%, 6/01/2029, 144A |  | 106925 |
|  | **Media Entertainment — continued** | **Media Entertainment — continued** | **Media Entertainment — continued** |
| 310000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A |  | 36425 |
| 140000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A |  | 1050 |
| 395000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A |  | 321664 |
| 245000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 |  | 225400 |
| 430000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 |  | 365684 |
| 20000 | Netflix, Inc., 5.375%, 11/15/2029, 144A |  | 19400 |
| 185000 | Netflix, Inc., 5.875%, 2/15/2025 |  | 187331 |
| 35000 | Netflix, Inc., 6.375%, 5/15/2029 |  | 36025 |
| 105000 | Nexstar Media, Inc., 5.625%, 7/15/2027, 144A |  | 96323 |
| 110000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A |  | 99027 |
| 35000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A |  | 34674 |
| 65000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A |  | 51022 |
| 185000 | Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A |  | 150888 |
| 120000 | Stagwell Global LLC, 5.625%, 8/15/2029, 144A |  | 98927 |
| 170000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A |  | 153432 |
| 85000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A |  | 70084 |
|  |  |  | 2182240 |
|  | **Metals & Mining — 3.3%** | **Metals & Mining — 3.3%** | **Metals & Mining — 3.3%** |
| 200000 | Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A |  | 192732 |
| 120000 | ATI, Inc., 4.875%, 10/01/2029 |  | 106048 |
| 205000 | ATI, Inc., 5.875%, 12/01/2027 |  | 196038 |
| 200000 | Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A |  | 171514 |
| 265000 | Cleveland-Cliffs, Inc., 6.750%, 3/15/2026, 144A |  | 265663 |
| 175000 | Commercial Metals Co., 4.125%, 1/15/2030 |  | 154850 |
| 845000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A |  | 800233 |
| 1245000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A |  | 1168088 |
| 285000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A |  | 286976 |
| 525000 | Novelis Corp., 4.750%, 1/30/2030, 144A |  | 465447 |
| 76000 | United States Steel Corp., 6.875%, 3/01/2029 |  | 73769 |
| 40000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A |  | 34462 |
|  |  |  | 3915820 |
|  | **Midstream — 4.3%** | **Midstream — 4.3%** | **Midstream — 4.3%** |
| 85000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A |  | 77710 |
| 195000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A |  | 197392 |
| 250000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A |  | 248139 |
| 185000 | Buckeye Partners LP, 4.500%, 3/01/2028, 144A |  | 162614 |
| 80000 | Buckeye Partners LP, 5.600%, 10/15/2044 |  | 58416 |
| 55000 | Buckeye Partners LP, 5.850%, 11/15/2043 |  | 40979 |
| 220000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 |  | 187299 |
| 115000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A |  | 105514 |
| 30000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 |  | 24814 |
| 175000 | DCP Midstream Operating LP, 5.375%, 7/15/2025 |  | 173373 |
| 230000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 |  | 228510 |
| 195000 | EnLink Midstream LLC, 6.500%, 9/01/2030, 144A |  | 192992 |
| 170000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 |  | 140210 |
| 160000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 |  | 143065 |

---

See accompanying notes to financial statements.

\| 24

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Midstream — continued** | **Midstream — continued** | **Midstream — continued** |
| $41000 | EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A | $| 39565 |
| 200000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A |  | 191150 |
| 50000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 |  | 37479 |
| 440000 | EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A |  | 430874 |
| 80000 | EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A |  | 77082 |
| 115000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A |  | 104609 |
| 300000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 |  | 276144 |
| 150000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A |  | 128238 |
| 250000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A |  | 243521 |
| 150000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A |  | 147374 |
| 145000 | NuStar Logistics LP, 5.750%, 10/01/2025 |  | 139393 |
| 125000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A |  | 106248 |
| 135000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 |  | 118085 |
| 295000 | Targa Resources Corp., 5.200%, 7/01/2027 |  | 289139 |
| 40000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 |  | 36118 |
| 30000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2028 |  | 28619 |
| 240000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 |  | 225821 |
| 50000 | Western Midstream Operating LP, 4.500%, 3/01/2028 |  | 45875 |
| 170000 | Western Midstream Operating LP, 4.750%, 8/15/2028 |  | 155259 |
| 160000 | Western Midstream Operating LP, 5.300%, 3/01/2048 |  | 131556 |
| 120000 | Western Midstream Operating LP, 5.500%, 2/01/2050 |  | 98856 |
|  |  |  | 5032032 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — 1.4%** | **Non-Agency Commercial Mortgage-Backed Securities — 1.4%** | **Non-Agency Commercial Mortgage-Backed Securities — 1.4%** |
| 96223 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 7.818%, 11/15/2031, 144A(a) |  | 80577 |
| 216502 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 8.818%, 11/15/2031, 144A(a) |  | 138518 |
| 260000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.941%, 5/10/2047, 144A(h) |  | 210600 |
| 1020000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A |  | 592685 |
| 45000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.154%, 8/10/2044, 144A(h) |  | 33863 |
| 100000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.686%, 6/10/2047, 144A(h) |  | 88410 |
| 100000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.282%, 10/15/2030, 144A(h) |  | 72050 |
| 380000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 7.818%, 11/15/2027, 144A(a)(g) |  | 102199 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** |
| 420000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 8.718%, 11/15/2027, 144A(a)(g) |  | 39916 |
| 145000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 |  | 89543 |
| 60000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.134%, 11/15/2059(h) |  | 45663 |
| 99910 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(h) |  | 39824 |
| 80000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.357%, 12/15/2045(h) |  | 71579 |
| 120641 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(h) |  | 2714 |
|  |  |  | 1608141 |
|  | **Oil Field Services — 1.1%** | **Oil Field Services — 1.1%** | **Oil Field Services — 1.1%** |
| 125000 | Nabors Industries, Inc., 7.375%, 5/15/2027, 144A |  | 122480 |
| 90000 | Precision Drilling Corp., 6.875%, 1/15/2029, 144A |  | 83791 |
| 10000 | Precision Drilling Corp., 7.125%, 1/15/2026, 144A |  | 9675 |
| 55000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A |  | 54705 |
| 134400 | Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A |  | 131680 |
| 656250 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A |  | 638610 |
| 38000 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A |  | 37433 |
| 180000 | Weatherford International Ltd., 8.625%, 4/30/2030, 144A |  | 172855 |
| 8000 | Weatherford International Ltd., 11.000%, 12/01/2024, 144A |  | 8160 |
|  |  |  | 1259389 |
|  | **Packaging — 0.1%** | **Packaging — 0.1%** | **Packaging — 0.1%** |
| 75000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A |  | 62576 |
|  | **Pharmaceuticals — 3.5%** | **Pharmaceuticals — 3.5%** | **Pharmaceuticals — 3.5%** |
| 1245000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A |  | 791872 |
| 565000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A |  | 271008 |
| 185000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027, 144A |  | 127581 |
| 200000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A |  | 168528 |
| 240000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(d) |  | 12600 |
| 30000 | Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A |  | 22759 |
| 200000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A |  | 172694 |
| 335000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A |  | 290070 |
| 200000 | Perrigo Finance Unlimited Co., 4.400%, 6/15/2030 |  | 170403 |
| 325000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 |  | 285697 |
| 690000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |  | 603405 |
| 1930000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |  | 1180051 |
|  |  |  | 4096668 |
|  | **Property & Casualty Insurance — 0.8%** | **Property & Casualty Insurance — 0.8%** | **Property & Casualty Insurance — 0.8%** |
| 240000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A |  | 196135 |
| 240000 | AmWINS Group, Inc., 4.875%, 6/30/2029, 144A |  | 203555 |
| 160000 | AssuredPartners, Inc., 5.625%, 1/15/2029, 144A |  | 131686 |
| 125000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A |  | 106385 |
| 275000 | USI, Inc., 6.875%, 5/01/2025, 144A |  | 264920 |
|  |  |  | 902681 |

---

See accompanying notes to financial statements.

25 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Refining — 0.3%** | **Refining — 0.3%** |
| $55000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A | $57326 |
| 370000 | CVR Energy, Inc., 5.250%, 2/15/2025, 144A | 340400 |
|  |  | 397726 |
|  | **REITs – Hotels — 0.3%** | **REITs – Hotels — 0.3%** |
| 395000 | Service Properties Trust, 4.750%, 10/01/2026 | 310845 |
| 70000 | Service Properties Trust, 7.500%, 9/15/2025 | 66705 |
|  |  | 377550 |
|  | **REITs – Mortgage — 0.2%** | **REITs – Mortgage — 0.2%** |
| 45000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 37802 |
| 215000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 202001 |
|  |  | 239803 |
|  | **Restaurants — 1.1%** | **Restaurants — 1.1%** |
| 770000 | 1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A | 688800 |
| 100000 | Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A | 84110 |
| 425000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A | 408000 |
| 90000 | Papa John's International, Inc., 3.875%, 9/15/2029, 144A | 75150 |
|  |  | 1256060 |
|  | **Retailers — 1.4%** | **Retailers — 1.4%** |
| 160000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 140864 |
| 225000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A | 189594 |
| 83000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 69417 |
| 120000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 111438 |
| 100000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 87890 |
| 55000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 48890 |
| 195000 | Carvana Co., 4.875%, 9/01/2029, 144A | 75126 |
| 255000 | Carvana Co., 5.500%, 4/15/2027, 144A | 101027 |
| 35000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 29625 |
| 50000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 41826 |
| 85000 | Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A | 56794 |
| 115000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A | 107786 |
| 250000 | PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A | 234798 |
| 240000 | Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A | 192170 |
| 245000 | Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A | 192615 |
|  |  | 1679860 |
|  | **Supermarkets — 0.2%** | **Supermarkets — 0.2%** |
| 200000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A | 185774 |
|  | **Technology — 5.5%** | **Technology — 5.5%** |
| 185000 | Block, Inc., 2.750%, 6/01/2026 | 165279 |
| 345000 | Broadcom, Inc., 4.300%, 11/15/2032 | 304062 |
| 215000 | Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A | 182825 |
| 85000 | Cloud Software Group Holdings, Inc., 6.500%, 3/31/2029, 144A | 71594 |
| 205000 | Coherent Corp., 5.000%, 12/15/2029, 144A | 176798 |
| 1410000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 957674 |
| 75000 | Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A | 64182 |
| 320000 | Elastic NV, 4.125%, 7/15/2029, 144A | 258464 |
|  | **Technology — continued** | **Technology — continued** |
| 495000 | Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A | 322186 |
| 60000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 51538 |
| 290000 | Gen Digital, Inc., 6.750%, 9/30/2027, 144A | 284200 |
| 320000 | Global Payments, Inc., 4.950%, 8/15/2027 | 310401 |
| 95000 | GoTo Group, Inc., 5.500%, 9/01/2027, 144A | 51093 |
| 185000 | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A | 152059 |
| 115000 | Iron Mountain, Inc., 4.875%, 9/15/2027, 144A | 105754 |
| 440000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 383768 |
| 445000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 452021 |
| 370000 | NCR Corp., 5.000%, 10/01/2028, 144A | 315438 |
| 45000 | NCR Corp., 5.125%, 4/15/2029, 144A | 37634 |
| 65000 | NCR Corp., 5.750%, 9/01/2027, 144A | 62200 |
| 220000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029, 144A | 207350 |
| 455000 | Open Text Corp., 3.875%, 12/01/2029, 144A | 365905 |
| 280000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 280000 |
| 280000 | Oracle Corp., 2.950%, 5/15/2025 | 265652 |
| 110000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A | 100312 |
| 110000 | Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A | 101979 |
| 90000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A | 39556 |
| 80000 | Sabre GLBL, Inc., 11.250%, 12/15/2027, 144A | 82378 |
| 60000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 55933 |
| 90000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A | 74038 |
| 50000 | Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A | 43525 |
| 105000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 98322 |
| 70000 | Ziff Davis, Inc., 4.625%, 10/15/2030, 144A | 59233 |
|  |  | 6483353 |
|  | **Treasuries — 3.3%** | **Treasuries — 3.3%** |
| 920000 | U.S. Treasury Note, 0.125%, 2/28/2023 | 913863 |
| 1390000 | U.S. Treasury Note, 0.125%, 3/31/2023 | 1375765 |
| 1575000 | U.S. Treasury Note, 0.125%, 7/15/2023 | 1536732 |
|  |  | 3826360 |
|  | **Wireless — 3.3%** | **Wireless — 3.3%** |
| 640000 | Altice France S.A., 5.125%, 1/15/2029, 144A | 481223 |
| 495000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 455400 |
| 200000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 165100 |
| 400000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 322624 |
| 305000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 289256 |
| 630000 | SBA Communications Corp., 3.125%, 2/01/2029 | 523839 |
| 275000 | SBA Communications Corp., 3.875%, 2/15/2027 | 248466 |
| 1630000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 1338295 |
|  |  | 3824203 |
|  | **Wirelines — 1.5%** | **Wirelines — 1.5%** |
| 130000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 113413 |
| 30000 | Embarq Corp., 7.995%, 6/01/2036 | 13950 |
| 430000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A | 399285 |
| 135000 | Frontier Communications Holdings LLC, 8.750%, 5/15/2030, 144A | 137261 |
| 210000 | Iliad Holding SASU, 6.500%, 10/15/2026, 144A | 194766 |
| 275000 | Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A | 201366 |
| 95000 | Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A | 74832 |
| 435000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 355869 |
| 120000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 97428 |
| 210000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A | 168000 |
|  |  | 1756170 |
|  | Total Non-Convertible Bonds <br>(Identified Cost $121,580,891) | 101811405 |

---

See accompanying notes to financial statements.

\| 26

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Convertible Bonds — 5.0%** | **Convertible Bonds — 5.0%** | **Convertible Bonds — 5.0%** |
|  | **Airlines — 0.5%** | **Airlines — 0.5%** |
| $535000 | Southwest Airlines Co., 1.250%, 5/01/2025 | $642535 |
|  | **Cable Satellite — 1.7%** | **Cable Satellite — 1.7%** |
| 3185000 | DISH Network Corp., 3.375%, 8/15/2026 | 1995403 |
| 40000 | DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(i) | 25604 |
|  |  | 2021007 |
|  | **Consumer Cyclical Services — 0.2%** | **Consumer Cyclical Services — 0.2%** |
| 310000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(i) | 261823 |
| 30000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 30225 |
|  |  | 292048 |
|  | **Consumer Products — 0.0%** | **Consumer Products — 0.0%** |
| 30000 | Beauty Health Co. (The), 1.250%, 10/01/2026, 144A | 22680 |
|  | **Gaming — 0.1%** | **Gaming — 0.1%** |
| 60000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 88440 |
|  | **Healthcare — 0.8%** | **Healthcare — 0.8%** |
| 140000 | Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A | 140966 |
| 990000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 760513 |
|  |  | 901479 |
|  | **Leisure — 0.2%** | **Leisure — 0.2%** |
| 275000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 188358 |
|  | **Media Entertainment — 0.1%** | **Media Entertainment — 0.1%** |
| 175000 | Bilibili, Inc., 0.500%, 12/01/2026 | 128625 |
|  | **Pharmaceuticals — 1.2%** | **Pharmaceuticals — 1.2%** |
| 255000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 270632 |
| 825000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 886513 |
| 230000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 201337 |
|  |  | 1358482 |
|  | **Technology — 0.2%** | **Technology — 0.2%** |
| 145000 | RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(i) | 113825 |
| 125000 | Unity Software, Inc., Zero Coupon, 7.449%-7.662%, 11/15/2026(i) | 93562 |
| 45000 | Wolfspeed, Inc., 0.250%, 2/15/2028, 144A | 38903 |
| 50000 | Wolfspeed, Inc., 1.875%, 12/01/2029, 144A | 45025 |
|  |  | 291315 |
|  | Total Convertible Bonds <br>(Identified Cost $7,877,632) | 5934969 |
|  | Total Bonds and Notes <br>(Identified Cost $129,458,523) | 107746374 |
| **Collateralized Loan Obligations — 1.6%** | **Collateralized Loan Obligations — 1.6%** | **Collateralized Loan Obligations — 1.6%** |
| 295000 | AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 10.743%, 7/20/2034, 144A(a) | 263977 |
| 250000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.600%, 10.843%, 12/19/2032, 144A(a) | 216512 |
| 250000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 10.343%, 10/20/2034, 144A(a) | 217497 |
| 250000 | Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 10.829%, 10/15/2034, 144A(a) | 212730 |
| 260000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 10.638%, 4/21/2034, 144A(a) | 228776 |
| $310000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 10.493%, 7/02/2035, 144A(a) | $280518 |
| 260000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 10.129%, 10/15/2034, 144A(a) | 234137 |
| 250000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 10.229%, 1/15/2035, 144A(a) | 225123 |
|  | Total Collateralized Loan Obligations <br>(Identified Cost $2,122,374) | 1879270 |
| **Shares** |  |  |
| **Preferred Stocks — 0.7%** | **Preferred Stocks — 0.7%** | **Preferred Stocks — 0.7%** |
|  | **Technology — 0.2%** | **Technology — 0.2%** |
| 6664 | Clarivate PLC, Series A, 5.250% | 252432 |
|  | **Wireless — 0.5%** | **Wireless — 0.5%** |
| 506 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 578874 |
|  | Total Preferred Stocks <br>(Identified Cost $999,485) | 831306 |
| **Common Stocks — 0.1%** | **Common Stocks — 0.1%** | **Common Stocks — 0.1%** |
|  | **Energy Equipment & Services — 0.0%** | **Energy Equipment & Services — 0.0%** |
| 10149 | McDermott International Ltd.(j) | 3248 |
|  | **Media — 0.1%** | **Media — 0.1%** |
| 9786 | iHeartMedia, Inc., Class A(j) | 59988 |
|  | **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** |
| 3650 | Battalion Oil Corp.(j) | 35441 |
|  | Total Common Stocks <br>(Identified Cost $841,517) | 98677 |
| **Other Investments — 0.0%** | **Other Investments — 0.0%** | **Other Investments — 0.0%** |
|  | **Aircraft ABS — 0.0%** | **Aircraft ABS — 0.0%** |
| 100 | ECAF I Blocker Ltd.(e)(g) <br>(Identified Cost $1,000,000) | 6825 |
| **Warrants — 0.0%** | **Warrants — 0.0%** | **Warrants — 0.0%** |
| 20319 | McDermott International Ltd., Tranche A,<br>Expiration on 5/1/2024(g)(j) | 73 |
| 22577 | McDermott International Ltd., Tranche B,<br>Expiration on 5/1/2024(g)(j) | 22 |
|  | Total Warrants <br>(Identified Cost $31,517) | 95 |
| **Exchange-Traded Funds — 1.2%** | **Exchange-Traded Funds — 1.2%** | **Exchange-Traded Funds — 1.2%** |
| 18931 | iShares<sup>®</sup> iBoxx $ High Yield Corporate Bond ETF <br>(Identified Cost $1,610,340) | 1393890 |
| **Principal<br>Amount** |  |  |
| **Short-Term Investments — 4.4%** | **Short-Term Investments — 4.4%** | **Short-Term Investments — 4.4%** |
| $3745078 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $3,745,827 on 1/03/2023 collateralized by $4,019,700 U.S. Treasury Note, 2.875% due 5/15/2028 valued at $3,820,049 including accrued interest (Note 2 of Notes to Financial Statements) | 3745078 |

---

See accompanying notes to financial statements.

27 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| $1425000 | U.S. Treasury Bills,<br>4.307%, 3/30/2023(k) | $1410403 |
|  | Total Short-Term Investments<br>(Identified Cost $5,155,416) | 5155481 |
|  | Total Investments — 99.7%<br>(Identified Cost $141,219,172) | 117111918 |
|  | Other assets less liabilities — 0.3% | 369199 |
|  | Net Assets — 100.0% | $117481117 |
| (†) | See Note 2 of Notes to Financial Statements. | See Note 2 of Notes to Financial Statements. |
| (a) | Variable rate security. Rate as of December 31, 2022 is disclosed. | Variable rate security. Rate as of December 31, 2022 is disclosed. |
| (b) | Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal. | Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal. |
| (c) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2022, interest payments were made in cash and principal. | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2022, interest payments were made in cash and principal. |
| (d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (e) | Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows: | Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows: |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value** | **% of<br>Net Assets** |
| CFLD Cayman Investment Ltd. | 11/11/2021 | $66000 | $22728 | Less than 0.1% |
| CFLD Cayman Investment Ltd. | 3/11/2020 | 64000 | 22928 | Less than 0.1% |
| ECAF I Blocker Ltd. | 12/20/2016 | 1000000 | 6825 | Less than 0.1% |

---

---

| | |
|:---|:---|
| (f) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. |
| (g) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| (h) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. |
| (i) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund's investment in this security is comprised of various lots with differing annualized yields. |
| (j) | Non-income producing security. |
| (k) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $71,207,910 or 60.6% of net assets. |
| ABS | Asset-Backed Securities |
| ETF | Exchange-Traded Fund |
| LIBOR | London Interbank Offered Rate |
| PIK | Payment-in-Kind |
| REITs | Real Estate Investment Trusts |

---

At December 31, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Obligation | (Pay)/<br>Receive<br>Fixed Rate | Expiration<br>Date | Implied<br>Credit<br>Spread^ | Notional<br>Value(‡) | Unamortized<br>Up Front<br>Premium<br>Paid/(Received) | Market<br>Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  CDX.NA HY\* Series 37 500, 5-Year | 5.00% | 12/20/2026 | 4.12% | 1158300 | $(10643) | $35656 | $46299 |

---

(‡) Notional value stated in U.S. dollars unless otherwise noted.

---

| | |
|:---|:---|
| ^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.  |

---

\* CDX.NA.HY is an index composed of North American high yield credit default swaps.

See accompanying notes to financial statements.

\| 28

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles High Income Fund – (continued)

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Cable Satellite | 10.1% |
|  Independent Energy | 6.8 |
|  Technology | 5.9 |
|  Pharmaceuticals | 4.7 |
|  Midstream | 4.3 |
|  Consumer Cyclical Services | 3.9 |
|  Finance Companies | 3.9 |
|  Wireless | 3.8 |
|  Gaming | 3.7 |
|  Healthcare | 3.5 |
|  Metals & Mining | 3.3 |
|  Leisure | 3.3 |
|  Treasuries | 3.3 |
|  Banking | 2.9 |
|  Automotive | 2.5 |
|  Building Materials | 2.3 |
|  Aerospace & Defense | 2.3 |
|  Lodging | 2.1 |
|  Media Entertainment | 2.0 |
|  Other Investments, less than 2% each | 17.9 |
|  Short-Term Investments | 4.4 |
|  Collateralized Loan Obligations | 1.6 |
|  Exchange-Traded Funds | 1.2 |
|  Total Investments | 99.7 |
|  Other assets less liabilities (including swap agreements) | 0.3 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

29 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes — 73.2% of Net Assets** | **Bonds and Notes — 73.2% of Net Assets** | **Bonds and Notes — 73.2% of Net Assets** |
| **Non-Convertible Bonds — 72.0%** | **Non-Convertible Bonds — 72.0%** | **Non-Convertible Bonds — 72.0%** |
|  | **ABS Car Loan — 4.5%** | **ABS Car Loan — 4.5%** |
| $3733377 | American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A | $3711871 |
| 3200000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A | 2879182 |
| 1785000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | 1807584 |
| 1941756 | AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024 | 1938424 |
| 10515000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024 | 10438865 |
| 25880000 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025 | 25461751 |
| 12340000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025 | 12015917 |
| 1395000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 | 1306772 |
| 11000000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A | 10293118 |
| 1940000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 1874386 |
| 8910000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 8074513 |
| 7500000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A | 6075728 |
| 13585000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025 | 13248812 |
| 5811000 | CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025 | 5691433 |
| 2315000 | CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026 | 2247227 |
| 4625000 | CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026 | 4447289 |
| 2550000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 2223703 |
| 1100000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 957299 |
| 2525000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 2414044 |
| 275000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A | 259145 |
| 3147456 | Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026 | 3144628 |
| 6944700 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026 | 6927744 |
| 2593703 | Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026 | 2574269 |
| 2355183 | DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A | 2352712 |
| 2156041 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A | 2132632 |
| 2614543 | DT Auto Owner Trust, Series 2019-3A,<br>Class D, 2.960%, 4/15/2025, 144A | 2580392 |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| 10500000 | DT Auto Owner Trust, Series 2022-1A,<br>Class D, 3.400%, 12/15/2027, 144A | 9434786 |
| 7410000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 6908454 |
| 2685000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 2516147 |
| 2575000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 2576173 |
| 3252334 | First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A | 3237959 |
| 2660000 | First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028, 144A | 2407492 |
| 4610000 | Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A | 4433522 |
| 8618880 | Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024 | 8525002 |
| 10768291 | Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025 | 10507741 |
| 20913908 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 20315269 |
| 4539008 | GLS Auto Receivables Trust, Series 2019-2A,<br>Class C, 3.540%, 2/18/2025, 144A | 4506745 |
| 947409 | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024 | 941075 |
| 7022605 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 6793914 |
| 20450683 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 19650067 |
| 1400000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A | 1352744 |
| 11298000 | Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A | 9938342 |
| 8396000 | Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A | 8005149 |
| 6675000 | Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A | 6152741 |
| 11391683 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 11019238 |
| 1089096 | JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A | 1046934 |
| 786277 | Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024 | 783463 |
| 4186571 | Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024 | 4142042 |
| 4350000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A | 4253243 |
| 4466440 | Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025 | 4458661 |
| 3563333 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 3540881 |
| 4134105 | Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025 | 4114922 |
| 12815000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028 | 12794016 |
| 2900000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | 2821822 |
|  |  | 314257984 |

---

See accompanying notes to financial statements.

\| 30

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **ABS Credit Card — 0.2%** | **ABS Credit Card — 0.2%** |
| $3460000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | $3422461 |
| 6355000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A | 6063020 |
| 5000000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A | 4573401 |
| 1525000 | Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A | 1476675 |
|  |  | 15535557 |
|  | **ABS Home Equity — 3.7%** | **ABS Home Equity — 3.7%** |
| 15451000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 15016881 |
| 811282 | Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 5.344%, 11/16/2066, 144A(a) | 811106 |
| 10390000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(b) | 9448097 |
| 1398708 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 6.228%, 11/25/2070, 144A(b) | 1376491 |
| 3288288 | Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(b) | 3103348 |
| 2434000 | CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A | 2188251 |
| 3145002 | CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A | 2945183 |
| 2929000 | CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A | 2479879 |
| 1259000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.596%, 5/15/2052, 144A(b) | 1159177 |
| 1870000 | CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1413970 |
| 3094414 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b) | 2903244 |
| 5120853 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b) | 4831116 |
| 6511148 | Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, 30-day Average SOFR + 2.000%, 5.928%, 4/25/2042, 144A(a) | 6478594 |
| 1515000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A | 1352528 |
| 11696000 | FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A | 10244394 |
| 3083000 | FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A | 2742725 |
| 9710000 | FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A | 8508001 |
| 3952976 | GCAT Trust, Series 2019-RPL1, Class A1,<br>2.650%, 10/25/2068, 144A(b) | 3707302 |
| 2369310 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A | 2037445 |
| 2430560 | Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A | 2020134 |
| 1000267 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 763742 |
| 10451466 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 8529639 |
| 5216011 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 4256022 |
| 7981115 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 6.250%, 11/25/2059, 144A(b) | 7966896 |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| 5580970 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b) | 5539390 |
| 1495469 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b) | 1471142 |
| 2091107 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(b) | 1869224 |
| 1467786 | Mill City Mortgage Loan Trust, Series 2018-2,<br>Class M1, 3.750%, 5/25/2058, 144A(b) | 1389167 |
| 2368801 | Mill City Mortgage Loan Trust, Series 2019-1,<br>Class A1, 3.250%, 10/25/2069, 144A(b) | 2227538 |
| 2744944 | Mill City Mortgage Loan Trust, Series 2019-1,<br>Class M1, 3.500%, 10/25/2069, 144A(b) | 2425278 |
| 5056499 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(b) | 4698323 |
| 3860000 | Progress Residential Trust, Series 2019-SFR4,<br>Class D, 3.136%, 10/17/2036, 144A | 3614906 |
| 155000 | Progress Residential Trust, Series 2020-SFR2,<br>Class C, 3.077%, 6/17/2037, 144A | 142077 |
| 295000 | Progress Residential Trust, Series 2020-SFR3,<br>Class B, 1.495%, 10/17/2027, 144A | 260604 |
| 1818000 | Progress Residential Trust, Series 2020-SFR3,<br>Class E, 2.296%, 10/17/2027, 144A | 1586117 |
| 5780000 | Progress Residential Trust, Series 2021-SFR2,<br>Class E1, 2.547%, 4/19/2038, 144A | 4890114 |
| 2420000 | Progress Residential Trust, Series 2021-SFR3,<br>Class E1, 2.538%, 5/17/2026, 144A | 2047475 |
| 2015000 | Progress Residential Trust, Series 2021-SFR3,<br>Class E2, 2.688%, 5/17/2026, 144A | 1700426 |
| 3575000 | Progress Residential Trust, Series 2021-SFR6,<br>Class E1, 2.425%, 7/17/2038, 144A | 2963595 |
| 1795000 | Progress Residential Trust, Series 2021-SFR6,<br>Class E2, 2.525%, 7/17/2038, 144A | 1469423 |
| 1400000 | Progress Residential Trust, Series 2021-SFR9,<br>Class E1, 2.811%, 11/17/2040, 144A | 1087132 |
| 960000 | Progress Residential Trust, Series 2021-SFR9,<br>Class E2, 3.010%, 11/17/2040, 144A | 748660 |
| 4224581 | PRPM LLC, Series 2020-4, Class A1, <br>2.951%, 10/25/2025, 144A(b) | 4075749 |
| 6617643 | PRPM LLC, Series 2021-1, Class A1, <br>2.115%, 1/25/2026, 144A(b) | 6187548 |
| 5754005 | PRPM LLC, Series 2021-10, Class A1, <br>2.487%, 10/25/2026, 144A(b) | 5216437 |
| 235972 | PRPM LLC, Series 2021-2, Class A1, <br>2.115%, 3/25/2026, 144A(b) | 217255 |
| 5891178 | PRPM LLC, Series 2021-8, Class A1, <br>1.743%, 9/25/2026, 144A(b) | 5278147 |
| 15156275 | PRPM LLC, Series 2022-5, Class A1, <br>6.900%, 9/27/2027, 144A(b) | 15041523 |
| 398352 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(b) | 365372 |
| 212116 | Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(b) | 207066 |
| 4930000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(b) | 3991096 |
| 1775000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(b) | 1450281 |
| 1943340 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b) | 1553656 |
| 17610000 | Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(b) | 14025504 |
| 5133890 | Towd Point Mortgage Trust, Series 2019-4,<br>Class A1, 2.900%, 10/25/2059, 144A(b) | 4767024 |
| 3325000 | Towd Point Mortgage Trust, Series 2020-1,<br>Class A2B, 3.250%, 1/25/2060, 144A(b) | 2700728 |

---

See accompanying notes to financial statements.

31 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| $3950000 | Tricon American Homes, Series 2020-SFR1,<br>Class D, 2.548%, 7/17/2038, 144A | $| 3426098 |
| 2575000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A |  | 2313702 |
| 1169230 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b) |  | 1103704 |
| 7778094 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b) |  | 6852884 |
| 12545932 | VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(b) |  | 10922065 |
| 2712153 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b) |  | 2340260 |
| 6918221 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b) |  | 6223718 |
| 6152376 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b) |  | 5561826 |
| 4325366 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b) |  | 3921175 |
| 8745706 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b) |  | 7692880 |
|  |  |  | 261850454 |
|  | **ABS Other — 1.9%** | **ABS Other — 1.9%** | **ABS Other — 1.9%** |
| 5748684 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A |  | 4591651 |
| 11270000 | BHG Securitization Trust, Series 2022-A,<br>Class B, 2.700%, 2/20/2035, 144A |  | 9795565 |
| 3903089 | Business Jet Securities LLC, Series 2021-1A,<br>Class A, 2.162%, 4/15/2036, 144A |  | 3427121 |
| 7076563 | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A |  | 6114630 |
| 6418175 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A |  | 5570523 |
| 3714866 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A |  | 3167569 |
| 940000 | Dell Equipment Finance Trust, Series 2020-2,<br>Class C, 1.370%, 1/22/2024, 144A |  | 921371 |
| 945000 | Dell Equipment Finance Trust, Series 2020-2,<br>Class D, 1.920%, 3/23/2026, 144A |  | 927490 |
| 5029748 | Hardee's Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048, 144A |  | 4723652 |
| 2396216 | Horizon Aircraft Finance II Ltd., Series 2019-1,<br>Class A, 3.721%, 7/15/2039, 144A |  | 1880845 |
| 3645000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A |  | 3607772 |
| 1779215 | HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A |  | 1770618 |
| 2795000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A |  | 2636347 |
| 3135000 | HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A |  | 2840022 |
| 6880651 | Kestrel Aircraft Funding Ltd., Series 2018-1A,<br>Class A, 4.250%, 12/15/2038, 144A |  | 5435989 |
| 8331385 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A |  | 6809224 |
| 9126400 | MAPS Ltd., Series 2018-1A, Class A, <br>4.212%, 5/15/2043, 144A |  | 7657406 |
| 2334839 | MAPS Ltd., Series 2019-1A, Class A, <br>4.458%, 3/15/2044, 144A |  | 2048731 |
| 1359303 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b) |  | 1039908 |
| 436644 | MVW LLC, Series 2020-1A, Class C, <br>4.210%, 10/20/2037, 144A |  | 408298 |
|  | **ABS Other — continued** | **ABS Other — continued** | **ABS Other — continued** |
| 279408 | MVW Owner Trust, Series 2019-1A, Class C, <br>3.330%, 11/20/2036, 144A |  | 258266 |
| 12671398 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(b) |  | 10643363 |
| 4675000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A |  | 4594249 |
| 6585000 | OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A |  | 5752461 |
| 8040000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A |  | 7404856 |
| 11923493 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A |  | 9240826 |
| 530000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A |  | 462297 |
| 2555000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A |  | 2262818 |
| 3365000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A |  | 3281651 |
| 1118615 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A |  | 855751 |
| 761832 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A |  | 696429 |
| 340000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 7.892%, 9/15/2032(a) |  | 330942 |
| 743171 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 7.792%, 9/15/2032(a) |  | 723373 |
| 10779254 | Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049, 144A |  | 10362111 |
| 3178941 | Wave Trust, Series 2017-1A, Class A, <br>3.844%, 11/15/2042, 144A |  | 2400133 |
|  |  |  | 134644258 |
|  | **ABS Student Loan — 0.6%** | **ABS Student Loan — 0.6%** | **ABS Student Loan — 0.6%** |
| 745000 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A |  | 668389 |
| 2705205 | Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A |  | 2323003 |
| 2179236 | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A |  | 1845660 |
| 3218494 | ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A |  | 2935307 |
| 4778996 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A |  | 4249780 |
| 873531 | Navient Private Education Refi Loan Trust,<br>Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A |  | 783973 |
| 3295578 | Navient Private Education Refi Loan Trust,<br>Series 2021-A, Class A, 0.840%, 5/15/2069, 144A |  | 2849382 |
| 560000 | Navient Private Education Refi Loan Trust,<br>Series 2021-A, Class B, 2.240%, 5/15/2069, 144A |  | 394711 |
| 2105000 | Navient Private Education Refi Loan Trust,<br>Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A |  | 1341142 |
| 4790000 | Navient Private Education Refi Loan Trust,<br>Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A |  | 3086435 |

---

See accompanying notes to financial statements.

\| 32

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **ABS Student Loan — continued** | **ABS Student Loan — continued** | **ABS Student Loan — continued** |
| $369000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate<br>Security, 7.884%, 6/15/2032(a) | $| 359489 |
| 295000 | SLM Private Credit Student Loan Trust,<br>Series 2003-A, Class A4, 28-day Auction Rate<br>Security, 7.818%, 6/15/2032(a) |  | 287396 |
| 568000 | SLM Private Credit Student Loan Trust,<br>Series 2003-B, Class A3, 28-day Auction Rate<br>Security, 7.770%, 3/15/2033(a) |  | 553300 |
| 386000 | SLM Private Credit Student Loan Trust,<br>Series 2003-B, Class A4, 28-day Auction Rate<br>Security, 7.826%, 3/15/2033(a) |  | 376010 |
| 2500000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A |  | 2350607 |
| 565000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A |  | 500297 |
| 1525000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A |  | 1382304 |
| 5620360 | SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A |  | 5345031 |
| 9549120 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A |  | 8926468 |
| 761272 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A |  | 694565 |
|  |  |  | 41253249 |
|  | **ABS Whole Business — 1.0%** | **ABS Whole Business — 1.0%** | **ABS Whole Business — 1.0%** |
| 9073034 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A |  | 8601115 |
| 3595000 | Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A |  | 3386176 |
| 8604945 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A |  | 7845851 |
| 2845118 | Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A |  | 2607337 |
| 5098560 | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A |  | 4714088 |
| 4001838 | Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A |  | 3456947 |
| 15237950 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A |  | 12818788 |
| 3925750 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A |  | 3676131 |
| 2477380 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A |  | 2057927 |
| 148875 | Planet Fitness Master Issuer LLC,<br> Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A |  | 130539 |
| 17050350 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A |  | 16636804 |
| 2446250 | Wendy's Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A |  | 2203455 |
| 339825 | Wendy's Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A |  | 274349 |
|  |  |  | 68409507 |
|  | **Aerospace & Defense — 1.7%** | **Aerospace & Defense — 1.7%** | **Aerospace & Defense — 1.7%** |
| 13620000 | BAE Systems PLC, 3.400%, 4/15/2030, 144A |  | 12018473 |
| 29500000 | Boeing Co. (The), 2.196%, 2/04/2026 |  | 26802597 |
| 3780000 | Boeing Co. (The), 2.250%, 6/15/2026 |  | 3402737 |
|  | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** |
| 4874000 | Boeing Co. (The), 2.950%, 2/01/2030 |  | 4127901 |
| 655000 | Boeing Co. (The), 3.100%, 5/01/2026 |  | 616332 |
| 3225000 | Boeing Co. (The), 3.200%, 3/01/2029 |  | 2827970 |
| 9088000 | Boeing Co. (The), 3.375%, 6/15/2046 |  | 5896749 |
| 3564000 | Boeing Co. (The), 3.625%, 3/01/2048 |  | 2331801 |
| 10129000 | Boeing Co. (The), 3.750%, 2/01/2050 |  | 6981920 |
| 2501000 | Boeing Co. (The), 3.850%, 11/01/2048 |  | 1716679 |
| 5870000 | Boeing Co. (The), 5.150%, 5/01/2030 |  | 5727002 |
| 4465000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 |  | 4333327 |
| 4350000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 |  | 4165125 |
| 6885000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 |  | 6652344 |
| 4245000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 |  | 3852878 |
| 29075000 | Textron, Inc., 3.000%, 6/01/2030 |  | 24708723 |
|  |  |  | 116162558 |
|  | **Airlines — 0.7%** | **Airlines — 0.7%** | **Airlines — 0.7%** |
| 1533253 | American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025 |  | 1480172 |
| 5512474 | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 |  | 5363803 |
| 11174615 | American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 |  | 8669903 |
| 1144069 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 |  | 1016299 |
| 4799666 | American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031 |  | 3744005 |
| 2430254 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 |  | 2183721 |
| 15981865 | American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029 |  | 13357004 |
| 4988476 | British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A |  | 4281559 |
| 2301928 | United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031 |  | 1917860 |
| 5232338 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 |  | 5154009 |
|  |  |  | 47168335 |
|  | **Automotive — 1.3%** | **Automotive — 1.3%** | **Automotive — 1.3%** |
| 25580000 | American Honda Finance Corp., MTN, <br>0.550%, 7/12/2024 |  | 23883783 |
| 5274000 | Cummins, Inc., 6.750%, 2/15/2027 |  | 5552817 |
| 8600000 | Ford Motor Co., 3.250%, 2/12/2032 |  | 6449499 |
| 9966000 | General Motors Co., 5.200%, 4/01/2045 |  | 8100070 |
| 16870000 | General Motors Co., 5.400%, 4/01/2048 |  | 13788257 |
| 200000 | General Motors Co., 5.950%, 4/01/2049 |  | 174303 |
| 9600000 | General Motors Co., 6.250%, 10/02/2043 |  | 8875473 |
| 24360000 | Volkswagen Group of America Finance LLC, <br>0.875%, 11/22/2023, 144A |  | 23431622 |
| 2895000 | Volkswagen Group of America Finance LLC, <br>3.350%, 5/13/2025, 144A |  | 2764751 |
|  |  |  | 93020575 |
|  | **Banking — 10.8%** | **Banking — 10.8%** | **Banking — 10.8%** |
| 5125000 | Ally Financial, Inc., 2.200%, 11/02/2028 |  | 3995810 |
| 36220000 | Ally Financial, Inc., 4.625%, 3/30/2025 |  | 35408700 |
| 8800000 | Ally Financial, Inc., 5.750%, 11/20/2025 |  | 8524981 |
| 1468000 | Ally Financial, Inc., 8.000%, 11/01/2031 |  | 1526246 |
| 11790000 | American Express Co., 5.850%, 11/05/2027 |  | 12273750 |
| 10155000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, <br>5.375%, 4/17/2025, 144A |  | 10048373 |

---

See accompanying notes to financial statements.

33 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Banking — continued** | **Banking — continued** | **Banking — continued** |
| $5800000 | Banco Santander S.A., 2.749%, 12/03/2030 | $| 4442226 |
| 49304000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 |  | 44646220 |
| 11022000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 |  | 8098528 |
| 100000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 |  | 96595 |
| 25627000 | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 |  | 24307225 |
| 24260000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 |  | 20969773 |
| 4287000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 |  | 3948586 |
| 18255000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 |  | 13891044 |
| 3335000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A |  | 3022344 |
| 14045000 | BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A |  | 12352612 |
| 22500000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A |  | 19883147 |
| 460000 | Capital One Financial Corp., 4.200%, 10/29/2025 |  | 444514 |
| 1230000 | Citigroup, Inc., 4.125%, 7/25/2028 |  | 1144818 |
| 30355000 | Citigroup, Inc., (fixed rate to 9/29/2025, variable rate thereafter), 5.610%, 9/29/2026 |  | 30484828 |
| 7155000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A |  | 6234008 |
| 14970000 | Credit Suisse AG, 3.700%, 2/21/2025 |  | 13803722 |
| 250000 | Credit Suisse Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A |  | 200387 |
| 8810000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A |  | 9020270 |
| 1675000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A |  | 1430604 |
| 11685000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A |  | 10970452 |
| 11410000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A |  | 10392913 |
| 3515000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A |  | 3087857 |
| 14200000 | Danske Bank A/S, 5.375%, 1/12/2024, 144A |  | 14082378 |
| 3390000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A |  | 3172647 |
| 4690000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |  | 3438773 |
| 2640000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 |  | 2206561 |
| 9260000 | Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024 |  | 8943529 |
| 6235000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 |  | 4998527 |
| 19755000 | Deutsche Bank AG, Series E, 0.962%, 11/08/2023 |  | 19006850 |
| 61445000 | Goldman Sachs Group, Inc. (The), (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 |  | 58889780 |
|  | **Banking — continued** | **Banking — continued** | **Banking — continued** |
| 11115000 | Goldman Sachs Group, Inc. (The), (fixed rate to 9/10/2026, variable rate thereafter), 1.542%, 9/10/2027 |  | 9602249 |
| 70245000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 |  | 67873278 |
| 28715000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 |  | 26818559 |
| 12025000 | JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027 |  | 10565916 |
| 100000 | KeyBank NA, 6.950%, 2/01/2028 |  | 105365 |
| 25937000 | Mitsubishi UFJ Financial Group, Inc., 3.850%, 3/01/2026 |  | 24814437 |
| 30210000 | Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024 |  | 30007364 |
| 11262000 | Morgan Stanley, (fixed rate to 4/28/2025, variable rate thereafter), 2.188%, 4/28/2026 |  | 10465386 |
| 15150000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |  | 15094613 |
| 25560000 | Nationwide Building Society, 0.550%, 1/22/2024, 144A |  | 24317784 |
| 7340000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 |  | 7249583 |
| 15160000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 |  | 14069483 |
| 20295000 | Societe Generale S.A., 4.250%, 4/14/2025, 144A |  | 19483809 |
| 11950000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A |  | 9381912 |
| 16790000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A |  | 12414886 |
| 7090000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A |  | 6371336 |
| 11923000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 |  | 10863850 |
| 3270000 | Synchrony Bank, 5.400%, 8/22/2025 |  | 3225855 |
| 9645000 | Synchrony Bank, 5.625%, 8/23/2027 |  | 9417860 |
| 3865000 | Synchrony Financial, 4.375%, 3/19/2024 |  | 3795416 |
| 5578000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A |  | 4755345 |
| 4125000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A |  | 3351348 |
|  |  |  | 753435212 |
|  | **Brokerage — 0.4%** | **Brokerage — 0.4%** | **Brokerage — 0.4%** |
| 19498000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 |  | 19663954 |
| 8760000 | Jefferies Financial Group, Inc., 6.450%, 6/08/2027 |  | 9141487 |
|  |  |  | 28805441 |
|  | **Building Materials — 1.1%** | **Building Materials — 1.1%** | **Building Materials — 1.1%** |
| 33030000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A |  | 27878473 |
| 16180000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A |  | 15094111 |
| 5955000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A |  | 5716770 |
| 3285000 | Ferguson Finance PLC, 3.250%, 6/02/2030, 144A |  | 2785227 |
| 23975000 | Owens Corning, 7.000%, 12/01/2036 |  | 25372384 |
| 2655000 | Vulcan Materials Co., 3.500%, 6/01/2030 |  | 2338618 |
|  |  |  | 79185583 |
|  | **Cable Satellite — 1.5%** | **Cable Satellite — 1.5%** | **Cable Satellite — 1.5%** |
| 1110000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>4.250%, 1/15/2034, 144A |  | 819230 |
| 12605000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.400%, 12/01/2061 |  | 8063082 |

---

See accompanying notes to financial statements.

\| 34

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Cable Satellite — continued** | **Cable Satellite — continued** | **Cable Satellite — continued** |
| $1360000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | $| 1001706 |
| 8340000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 |  | 6492754 |
| 24760000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 |  | 14605926 |
| 1790000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 |  | 1531630 |
| 28090000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050 |  | 20391909 |
| 26515000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |  | 14653092 |
| 1115000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A |  | 622950 |
| 1035000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A |  | 583730 |
| 930000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A |  | 760275 |
| 3270000 | DISH DBS Corp., 5.125%, 6/01/2029 |  | 2109510 |
| 4326000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A |  | 3643941 |
| 2921000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A |  | 2700059 |
| 200000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A |  | 182556 |
| 17891000 | Time Warner Cable LLC, 4.500%, 9/15/2042 |  | 13098083 |
| 15815000 | Time Warner Cable LLC, 5.500%, 9/01/2041 |  | 13124468 |
|  |  |  | 104384901 |
|  | **Chemicals — 0.8%** | **Chemicals — 0.8%** | **Chemicals — 0.8%** |
| 3735000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A |  | 3112194 |
| 9180000 | Braskem Netherlands Finance BV,<br>4.500%, 1/31/2030, 144A |  | 7807210 |
| 6060000 | Braskem Netherlands Finance BV,<br>5.875%, 1/31/2050, 144A |  | 4694478 |
| 2240000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |  | 2176477 |
| 1645000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |  | 1564309 |
| 27205000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A |  | 26332046 |
| 3740000 | FMC Corp., 3.450%, 10/01/2029 |  | 3296493 |
| 10720000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A |  | 8416058 |
|  |  |  | 57399265 |
|  | **Construction Machinery — 0.6%** | **Construction Machinery — 0.6%** | **Construction Machinery — 0.6%** |
| 2470000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A |  | 2362479 |
| 23395000 | Caterpillar Financial Services Corp., MTN, <br>0.950%, 1/10/2024 |  | 22568330 |
| 5730000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 |  | 5517129 |
| 8900000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 |  | 8324443 |
|  |  |  | 38772381 |
|  | **Consumer Cyclical Services — 0.7%** | **Consumer Cyclical Services — 0.7%** | **Consumer Cyclical Services — 0.7%** |
| 8365000 | Expedia Group, Inc., 2.950%, 3/15/2031 |  | 6726559 |
| 32366000 | Expedia Group, Inc., 3.250%, 2/15/2030 |  | 27455921 |
| 1025000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A |  | 893036 |
| 8430000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A |  | 8092799 |
| 5015000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |  | 5018511 |
| 2715000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A |  | 2724344 |
|  |  |  | 50911170 |
|  | **Consumer Products — 0.2%** | **Consumer Products — 0.2%** | **Consumer Products — 0.2%** |
| 7458000 | Hasbro, Inc., 6.600%, 7/15/2028 |  | 7537316 |
| 6970000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A |  | 5687590 |
|  |  |  | 13224906 |
|  | **Diversified Manufacturing — 0.1%** | **Diversified Manufacturing — 0.1%** | **Diversified Manufacturing — 0.1%** |
| 4113000 | GE Capital Funding LLC, 4.550%, 5/15/2032 |  | 3904216 |
|  | **Electric — 1.2%** | **Electric — 1.2%** | **Electric — 1.2%** |
| 7435000 | AES Corp. (The), 2.450%, 1/15/2031 |  | 5914701 |
| 3695000 | AES Corp. (The), 3.950%, 7/15/2030, 144A |  | 3258990 |
| 14214750 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |  | 14048320 |
| 11318000 | Calpine Corp., 3.750%, 3/01/2031, 144A |  | 9112754 |
| 13025000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |  | 11851100 |
| 9007000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A |  | 8919977 |
| 2355000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 |  | 2092119 |
| 9641000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A |  | 8526002 |
| 6185000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 |  | 5027493 |
| 9060000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 |  | 6423431 |
| 2050000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 |  | 2021523 |
| 10835000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A |  | 9879588 |
|  |  |  | 87075998 |
|  | **Finance Companies — 3.3%** | **Finance Companies — 3.3%** | **Finance Companies — 3.3%** |
| 7910000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 |  | 6626803 |
| 9900000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 |  | 7739432 |
| 860000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 |  | 777432 |
| 23900000 | Air Lease Corp., 3.125%, 12/01/2030 |  | 19805849 |
| 2235000 | Air Lease Corp., 3.250%, 10/01/2029 |  | 1903048 |
| 10270000 | Air Lease Corp., 3.375%, 7/01/2025 |  | 9713580 |
| 345000 | Air Lease Corp., 4.625%, 10/01/2028 |  | 322693 |
| 8426000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 |  | 7027057 |
| 12430000 | Aircastle Ltd., 4.125%, 5/01/2024 |  | 12015450 |
| 8070000 | Aircastle Ltd., 4.400%, 9/25/2023 |  | 7989606 |
| 10260000 | Ares Capital Corp., 2.875%, 6/15/2028 |  | 8226766 |
| 14460000 | Ares Capital Corp., 3.200%, 11/15/2031 |  | 10611471 |
| 7560000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A |  | 6581572 |
| 7510000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A |  | 7376580 |
| 8135000 | Barings BDC, Inc., 3.300%, 11/23/2026 |  | 6895049 |
| 27825000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 |  | 23039545 |
| 9785000 | FS KKR Capital Corp., 3.125%, 10/12/2028 |  | 7888370 |
| 7275000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 |  | 6177379 |
| 10036000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 |  | 8279007 |
| 10466000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 |  | 8217634 |
| 13940000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 |  | 11363738 |
| 13705000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A |  | 11747410 |
| 7445000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 |  | 5899701 |
| 18485000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |  | 14109146 |
| 25002000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A |  | 18672994 |
|  |  |  | 229007312 |

---

See accompanying notes to financial statements.

35 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Financial Other — 0.2%** | **Financial Other — 0.2%** |
| $2310000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025 | $595494 |
| 720000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024 | 189000 |
| 6220000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 3290815 |
| 1110000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 938672 |
| 2050000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(c) | 457601 |
| 3445000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(c) | 775745 |
| 6065000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 1085635 |
| 400000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d) | 73624 |
| 3495000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(d) | 647589 |
| 4345000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 782099 |
| 3780000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 700207 |
| 1265000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 236150 |
| 5120000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 832051 |
| 1835000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 297472 |
| 1415000 | Times China Holdings Ltd., 6.750%, 7/08/2025 | 233942 |
|  |  | 11136096 |
|  | **Food & Beverage — 0.5%** | **Food & Beverage — 0.5%** |
| 4895000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 4051320 |
| 3625000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 2961265 |
| 10660000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A | 10143203 |
| 4125000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 4096166 |
| 13590000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032, 144A | 10622760 |
| 2065000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031, 144A | 1756396 |
| 1920000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | 1461875 |
|  |  | 35092985 |
|  | **Gaming — 0.6%** | **Gaming — 0.6%** |
| 14625000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 10889001 |
| 4880000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 3900998 |
| 9470000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 8834787 |
| 7785000 | VICI Properties LP/VICI Note Co., Inc., <br>4.500%, 9/01/2026, 144A | 7326288 |
| 6760000 | VICI Properties LP/VICI Note Co., Inc., <br>4.625%, 6/15/2025, 144A | 6481150 |
| 5560000 | VICI Properties LP/VICI Note Co., Inc., <br>5.625%, 5/01/2024, 144A | 5505846 |
|  |  | 42938070 |
|  | **Government Owned – No Guarantee — 0.4%** | **Government Owned – No Guarantee — 0.4%** |
| 8755000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 7013410 |
| 12655000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 10230264 |
| 6700000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 6604651 |
| 2185000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029 | 1184707 |
| 4210000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 2144995 |
|  |  | 27178027 |
|  | **Health Insurance — 0.3%** | **Health Insurance — 0.3%** |
| 19320000 | Centene Corp., 2.500%, 3/01/2031 | 15117381 |
| 4145000 | Centene Corp., 2.625%, 8/01/2031 | 3257141 |
| 2520000 | Centene Corp., 3.000%, 10/15/2030 | 2065768 |
| 565000 | Centene Corp., 4.625%, 12/15/2029 | 516317 |
|  |  | 20956607 |
|  | **Healthcare — 1.0%** | **Healthcare — 1.0%** |
| 6325000 | Alcon Finance Corp., 5.375%, 12/06/2032, 144A | 6357122 |
| 19420000 | Cigna Corp., 4.375%, 10/15/2028 | 18729307 |
| 1261000 | Cigna Corp., 7.875%, 5/15/2027 | 1390041 |
| 7210000 | CVS Health Corp., 3.250%, 8/15/2029 | 6450116 |
| 325734 | CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A | 316773 |
| 309512 | CVS Pass-Through Trust, 6.036%, 12/10/2028 | 307331 |
| 10076683 | CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A | 9227219 |
| 1058000 | CVS Pass-Through Trust, Series 2014, <br>4.163%, 8/11/2036, 144A | 939779 |
| 685000 | Encompass Health Corp., 4.750%, 2/01/2030 | 601527 |
| 2671000 | HCA, Inc., 3.500%, 9/01/2030 | 2303674 |
| 10120000 | HCA, Inc., 4.125%, 6/15/2029 | 9238458 |
| 16050000 | HCA, Inc., 4.500%, 2/15/2027 | 15468622 |
|  |  | 71329969 |
|  | **Home Construction — 0.3%** | **Home Construction — 0.3%** |
| 560000 | Lennar Corp., 4.875%, 12/15/2023 | 557335 |
| 5370000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 3000922 |
| 12384000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 10061136 |
| 6130000 | Meritage Homes Corp., 3.875%, 4/15/2029, 144A | 5198577 |
|  |  | 18817970 |
|  | **Independent Energy — 2.6%** | **Independent Energy — 2.6%** |
| 10085000 | Aker BP ASA, 2.000%, 7/15/2026, 144A | 8908189 |
| 3195000 | Aker BP ASA, 3.000%, 1/15/2025, 144A | 3029474 |
| 7360000 | Aker BP ASA, 3.100%, 7/15/2031, 144A | 6036108 |
| 9925000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 8730950 |
| 16455000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 14421112 |
| 18551000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 13740507 |
| 24997000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 23268715 |
| 4685000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 3879466 |
| 6910000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 6184450 |
| 9035000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 7871744 |
| 1625000 | EQT Corp., 3.125%, 5/15/2026, 144A | 1493432 |
| 9675000 | EQT Corp., 3.625%, 5/15/2031, 144A | 8198945 |
| 15955000 | EQT Corp., 3.900%, 10/01/2027 | 14729101 |
| 1970000 | EQT Corp., 5.000%, 1/15/2029 | 1849354 |
| 3595000 | EQT Corp., 5.678%, 10/01/2025 | 3577526 |
| 2480000 | EQT Corp., 5.700%, 4/01/2028 | 2466674 |
| 2639000 | EQT Corp., 6.125%, 2/01/2025 | 2645202 |
| 10475000 | Hess Corp., 4.300%, 4/01/2027 | 10004183 |
| 4675000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 4573366 |
| 6090000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 6067162 |
| 11260000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 11330345 |
| 1110000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1181469 |
| 1750000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1495533 |
| 5600000 | Var Energi ASA, 7.500%, 1/15/2028, 144A | 5704170 |
| 13015000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | 13440823 |
|  |  | 184828000 |

---

See accompanying notes to financial statements.

\| 36

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Leisure — 0.2%** | **Leisure — 0.2%** |
| $1985000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | $1559158 |
| 6665000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 5768958 |
| 4205000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 3355779 |
|  |  | 10683895 |
|  | **Life Insurance — 2.4%** | **Life Insurance — 2.4%** |
| 11800000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 10178334 |
| 18770000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 17317414 |
| 21550000 | Athene Global Funding, 2.550%, 11/19/2030, 144A | 16655634 |
| 7385000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 6063785 |
| 8255000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 7849597 |
| 19600000 | Fidelity & Guaranty Life Holdings, Inc., <br>5.500%, 5/01/2025, 144A | 19311997 |
| 9063000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 9430318 |
| 26914000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 35127345 |
| 23335000 | New York Life Global Funding, 0.850%, 1/15/2026, 144A | 20733385 |
| 6440000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 7071893 |
| 2872000 | Penn Mutual Life Insurance Co. (The), <br>6.650%, 6/15/2034, 144A | 2926598 |
| 14489000 | Penn Mutual Life Insurance Co. (The), <br>7.625%, 6/15/2040, 144A | 15617997 |
|  |  | 168284297 |
|  | **Local Authorities — 0.2%** | **Local Authorities — 0.2%** |
| 14455000 | Province of Quebec Canada, 0.600%, 7/23/2025 | 13093152 |
|  | **Lodging — 0.2%** | **Lodging — 0.2%** |
| 1795000 | Marriott International, Inc., Series FF, <br>4.625%, 6/15/2030 | 1674939 |
| 3525000 | Marriott International, Inc., Series HH, <br>2.850%, 4/15/2031 | 2854484 |
| 975000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 808886 |
| 7435000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 6058262 |
| 1610000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 1335125 |
| 205000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 194563 |
| 235000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 229892 |
|  |  | 13156151 |
|  | **Media Entertainment — 1.4%** | **Media Entertainment — 1.4%** |
| 2610000 | iHeartCommunications, Inc., <br>4.750%, 1/15/2028, 144A | 2125427 |
| 3925000 | iHeartCommunications, Inc., <br>5.250%, 8/15/2027, 144A | 3324802 |
| 13945000 | Meta Platforms, Inc., 3.500%, 8/15/2027 | 12996742 |
| 3105000 | Netflix, Inc., 4.875%, 4/15/2028 | 2998146 |
| 22100000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 20610438 |
| 2545000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 2468650 |
| 11295000 | Netflix, Inc., 5.875%, 11/15/2028 | 11447821 |
| 16970000 | Netflix, Inc., 6.375%, 5/15/2029 | 17467007 |
| 11520000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A | 10397261 |
| 4125000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A | 3575179 |
| 13045000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A | 10755863 |
|  |  | 98167336 |
|  | **Metals & Mining — 2.4%** | **Metals & Mining — 2.4%** |
| 3220000 | Alcoa Nederland Holding BV, 4.125%, 3/31/2029, 144A | 2856651 |
|  | **Metals & Mining — continued** | **Metals & Mining — continued** |
| 4390000 | Alcoa Nederland Holding BV, 6.125%, 5/15/2028, 144A | 4324677 |
| 550000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 446977 |
| 1325000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 1081875 |
| 6260000 | Anglo American Capital PLC, 4.000%, 9/11/2027, 144A | 5897638 |
| 34334000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | 32472018 |
| 8785000 | Anglo American Capital PLC, 4.750%, 4/10/2027, 144A | 8490627 |
| 11405000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 10997838 |
| 3363000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 3184834 |
| 5890000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 5526135 |
| 1800000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1752012 |
| 6325000 | FMG Resources August 2006 Pty Ltd., <br>4.375%, 4/01/2031, 144A | 5260398 |
| 7820000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 7099859 |
| 2930000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 2734774 |
| 8875000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 8266126 |
| 6175000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 5831560 |
| 7820000 | Glencore Funding LLC, 2.625%, 9/23/2031, 144A | 6229472 |
| 6704000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A | 5486052 |
| 7688000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 7191048 |
| 39092000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 36892025 |
| 4280000 | Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A | 3571855 |
| 1855000 | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 | 1460746 |
| 2010000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1731707 |
|  |  | 168786904 |
|  | **Midstream — 1.5%** | **Midstream — 1.5%** |
| 22495000 | Cheniere Corpus Christi Holdings LLC, <br>3.700%, 11/15/2029 | 20333705 |
| 13555000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 11211747 |
| 3045000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 2934569 |
| 650000 | DCP Midstream Operating LP, <br>6.450%, 11/03/2036, 144A | 636950 |
| 7000000 | Energy Transfer LP, 4.950%, 6/15/2028 | 6768897 |
| 6405000 | Energy Transfer LP, 5.250%, 4/15/2029 | 6193353 |
| 12240000 | Energy Transfer LP, 5.750%, 2/15/2033 | 11975126 |
| 1435000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | 1269077 |
| 14040000 | MPLX LP, 4.250%, 12/01/2027 | 13266698 |
| 85000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 88444 |
| 225000 | Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023 | 224646 |
| 3710000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 3224291 |
| 5335000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 3867887 |
| 12445000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030 | 11535478 |
| 810000 | Targa Resources Corp., 5.200%, 7/01/2027 | 793907 |
| 1955000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1765267 |
| 1975000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 1858317 |

---

See accompanying notes to financial statements.

37 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Midstream — continued** | **Midstream — continued** | **Midstream — continued** |
| $2170000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | $| 1894236 |
| 5070000 | Western Midstream Operating LP, 5.300%, 3/01/2048 |  | 4168690 |
| 950000 | Western Midstream Operating LP, 5.450%, 4/01/2044 |  | 789184 |
| 710000 | Western Midstream Operating LP, 5.500%, 8/15/2048 |  | 589281 |
| 2870000 | Western Midstream Operating LP, 5.500%, 2/01/2050 |  | 2364306 |
|  |  |  | 107754056 |
|  | **Mortgage Related — 0.0%** | **Mortgage Related — 0.0%** | **Mortgage Related — 0.0%** |
| 627 | FNMA, 6.000%, 7/01/2029 |  | 648 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — 1.5%** | **Non-Agency Commercial Mortgage-Backed Securities — 1.5%** | **Non-Agency Commercial Mortgage-Backed Securities — 1.5%** |
| 8625000 | BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064 |  | 6656853 |
| 410000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A |  | 355097 |
| 8370000 | BPR Trust, Series 2022-STAR, Class A, 1-month SOFR + 3.232%, 7.568%, 8/15/2024, 144A(a) |  | 8236727 |
| 738267 | Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A |  | 663680 |
| 748011 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A |  | 641335 |
| 625015 | Commercial Mortgage Trust, Series 2012-LC4,<br>Class B, 4.934%, 12/10/2044(b) |  | 623850 |
| 2010000 | Commercial Mortgage Trust, Series 2012-LC4,<br>Class C, 5.298%, 12/10/2044(b) |  | 1791960 |
| 370000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A |  | 314071 |
| 510000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A |  | 411802 |
| 12790000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A |  | 9406900 |
| 5095000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(b) |  | 4549716 |
| 3460601 | Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 6.018%, 7/15/2038, 144A(a) |  | 3321701 |
| 2390000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b) |  | 2167968 |
| 9406000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(b) |  | 7359091 |
| 6079000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) |  | 5565240 |
| 3031000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 |  | 2849882 |
| 6478000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, <br>4.064%, 12/15/2047, 144A(b) |  | 6120835 |
| 340000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, <br>4.064%, 12/15/2047, 144A(b) |  | 315243 |
| 2465000 | MedTrust, Series 2021-MDLN, Class B, 1-month LIBOR + 1.450%, 5.768%, 11/15/2038, 144A(a) |  | 2347546 |
| 4990000 | MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 6.118%, 11/15/2038, 144A(a) |  | 4740764 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** |
| 3048000 | MedTrust, Series 2021-MDLN, Class D, 1-month LIBOR + 2.000%, 6.318%, 11/15/2038, 144A(a) |  | 2879844 |
| 921984 | Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A |  | 742197 |
| 5050000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.198%, 8/15/2046(b) |  | 4976619 |
| 1405000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.756%, 10/15/2046(b) |  | 1331619 |
| 3456000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(b) |  | 2589626 |
| 4735000 | RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.834%, 1/15/2032, 144A(b) |  | 4557309 |
| 6706000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.702%, 5/10/2063, 144A(b) |  | 117355 |
| 766974 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A |  | 746317 |
| 4990000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.296%, 7/15/2046(b) |  | 4731289 |
| 4030000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059 |  | 3606688 |
| 1633139 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(b) |  | 650969 |
| 1565000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 |  | 1451745 |
| 1443877 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.651%, 6/15/2045(b) |  | 1025138 |
| 834835 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(b) |  | 18784 |
| 4615000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 |  | 3971257 |
| 1290000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b) |  | 1171145 |
|  |  |  | 103008162 |
|  | **Paper — 0.4%** | **Paper — 0.4%** | **Paper — 0.4%** |
| 10460000 | Suzano Austria GmbH, 3.750%, 1/15/2031 |  | 8775171 |
| 16595000 | Weyerhaeuser Co., 4.000%, 4/15/2030 |  | 15110092 |
| 2515000 | WRKCo, Inc., 4.000%, 3/15/2028 |  | 2340355 |
|  |  |  | 26225618 |
|  | **Pharmaceuticals — 0.6%** | **Pharmaceuticals — 0.6%** | **Pharmaceuticals — 0.6%** |
| 2935000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A |  | 1866783 |
| 19045000 | Pfizer, Inc., 3.000%, 12/15/2026 |  | 18019541 |
| 980000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 |  | 861485 |
| 15105000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |  | 13209323 |
| 6270000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |  | 3833637 |
| 4335000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 |  | 3918405 |
| 3140000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 |  | 2796318 |
|  |  |  | 44505492 |

---

See accompanying notes to financial statements.

\| 38

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Property & Casualty Insurance — 0.4%** | **Property & Casualty Insurance — 0.4%** |
| $16635000 | Fidelity National Financial, Inc., 3.400%, 6/15/2030 | $14041236 |
| 3159000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A | 2714371 |
| 14195000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 10878015 |
|  |  | 27633622 |
|  | **REITs – Apartments — 0.0%** | **REITs – Apartments — 0.0%** |
| 2185000 | American Homes 4 Rent, 2.375%, 7/15/2031 | 1685352 |
|  | **REITs – Health Care — 0.1%** | **REITs – Health Care — 0.1%** |
| 5972000 | Welltower, Inc., 6.500%, 3/15/2041 | 5946908 |
|  | **REITs – Office Property — 0.0%** | **REITs – Office Property — 0.0%** |
| 2085000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 1560417 |
|  | **REITs – Regional Malls — 0.1%** | **REITs – Regional Malls — 0.1%** |
| 6815000 | Simon Property Group LP, 2.650%, 7/15/2030 | 5667934 |
|  | **REITs – Shopping Centers — 0.0%** | **REITs – Shopping Centers — 0.0%** |
| 1600000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 1320388 |
| 2280000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 1994555 |
|  |  | 3314943 |
|  | **Restaurants — 0.0%** | **Restaurants — 0.0%** |
| 2375000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | 2179062 |
|  | **Retailers — 1.0%** | **Retailers — 1.0%** |
| 21520000 | 7-Eleven, Inc., 0.800%, 2/10/2024, 144A | 20478872 |
| 1960000 | AutoNation, Inc., 4.750%, 6/01/2030 | 1748702 |
| 9720000 | AutoZone, Inc., 3.625%, 4/15/2025 | 9404528 |
| 14585000 | AutoZone, Inc., 4.000%, 4/15/2030 | 13504944 |
| 5620000 | Dollar General Corp., 3.500%, 4/03/2030 | 5056007 |
| 4665000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 3844846 |
| 8064000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 7125754 |
| 3755000 | PVH Corp., 7.750%, 11/15/2023 | 3822966 |
| 3145000 | Tapestry, Inc., 3.050%, 3/15/2032 | 2447768 |
|  |  | 67434387 |
|  | **Supermarkets — 0.0%** | **Supermarkets — 0.0%** |
| 325000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 321924 |
|  | **Technology — 4.6%** | **Technology — 4.6%** |
| 6566000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 4827758 |
| 9915000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 7121824 |
| 8265000 | Broadcom, Inc., 4.150%, 11/15/2030 | 7406698 |
| 5480000 | Broadcom, Inc., 4.300%, 11/15/2032 | 4829747 |
| 2755000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 2445939 |
| 3210000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 2733925 |
| 22935000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 18899270 |
| 745000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 685646 |
| 1620000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1100306 |
| 3095000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 2495189 |
| 3900000 | CommScope, Inc., 6.000%, 3/01/2026, 144A | 3599271 |
| 3950000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 2823732 |
| 17625000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 16072895 |
| 10115000 | Equinix, Inc., 2.150%, 7/15/2030 | 8046880 |
| 17195000 | Equinix, Inc., 3.200%, 11/18/2029 | 14966894 |
|  | **Technology — continued** | **Technology — continued** |
| 4880000 | Fidelity National Information Services, Inc., 5.100%, 7/15/2032 | 4700534 |
| 5730000 | FLEX Ltd., 6.000%, 1/15/2028 | 5717557 |
| 2540000 | Global Payments, Inc., 2.900%, 11/15/2031 | 2002964 |
| 3705000 | Global Payments, Inc., 5.300%, 8/15/2029 | 3581885 |
| 8125000 | Global Payments, Inc., 5.400%, 8/15/2032 | 7737848 |
| 35505000 | Intel Corp., 3.750%, 8/05/2027 | 34109003 |
| 5320000 | Jabil, Inc., 1.700%, 4/15/2026 | 4714297 |
| 4610000 | Jabil, Inc., 3.000%, 1/15/2031 | 3815969 |
| 16735000 | KLA Corp., 5.650%, 11/01/2034 | 16584170 |
| 7480000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 6331380 |
| 6390000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 5139724 |
| 11425000 | Microchip Technology, Inc., 0.983%, 9/01/2024 | 10579095 |
| 25479000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 23108801 |
| 10622000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 10196262 |
| 3980000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027 | 3609967 |
| 2225000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030 | 1922721 |
| 1525000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 1461550 |
| 1055000 | Open Text Corp., 3.875%, 2/15/2028, 144A | 905433 |
| 5085000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 5085000 |
| 1015000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 814197 |
| 25480000 | Oracle Corp., 3.600%, 4/01/2050 | 17154835 |
| 6765000 | Oracle Corp., 6.150%, 11/09/2029 | 7021839 |
| 4402000 | S&P Global, Inc., 4.250%, 5/01/2029, 144A | 4200961 |
| 8000000 | Salesforce, Inc., 3.700%, 4/11/2028 | 7673273 |
| 1770000 | Skyworks Solutions, Inc., 1.800%, 6/01/2026 | 1555417 |
| 970000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 908304 |
| 13665000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 11614817 |
| 9135000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 8551564 |
| 5450000 | Western Digital Corp., 2.850%, 2/01/2029 | 4216501 |
| 8330000 | Western Digital Corp., 4.750%, 2/15/2026 | 7844528 |
|  |  | 320916370 |
|  | **Transportation Services — 0.1%** | **Transportation Services — 0.1%** |
| 9670000 | Adani Ports & Special Economic Zone Ltd., <br>4.200%, 8/04/2027, 144A | 8488064 |
|  | **Treasuries — 11.4%** | **Treasuries — 11.4%** |
| 142940000 | U.S. Treasury Bond, 2.000%, 11/15/2041 | 102062511 |
| 282435000 | U.S. Treasury Bond, 2.250%, 2/15/2052 | 196402650 |
| 46205000 | U.S. Treasury Bond, 2.875%, 5/15/2052 | 37021756 |
| 218545000 | U.S. Treasury Bond, 3.250%, 5/15/2042 | 191602499 |
| 79165000 | U.S. Treasury Note, 0.125%, 4/30/2023 | 78076481 |
| 200000000 | U.S. Treasury Note, 0.125%, 8/31/2023(e) | 193960938 |
|  |  | 799126835 |
|  | **Wireless — 1.3%** | **Wireless — 1.3%** |
| 2295000 | Crown Castle, Inc., 2.250%, 1/15/2031 | 1841122 |
| 3725000 | Crown Castle, Inc., 3.300%, 7/01/2030 | 3258605 |
| 22660000 | Crown Castle, Inc., 3.650%, 9/01/2027 | 21047454 |
| 6615000 | Crown Castle, Inc., 4.000%, 3/01/2027 | 6308386 |
| 610000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 633143 |
| 1960000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 1654097 |
| 3515000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 2839927 |
| 15320000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 13493389 |
| 7565000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 6534643 |
| 36385000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 32958070 |
|  |  | 90568836 |

---

See accompanying notes to financial statements.

39 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Wirelines — 0.0%** | **Wirelines — 0.0%** |
| $857000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A | $713453 |
|  | Total Non-Convertible Bonds <br>(Identified Cost $5,636,224,401) | 5039910404 |
| **Convertible Bonds — 1.1%** | **Convertible Bonds — 1.1%** | **Convertible Bonds — 1.1%** |
|  | **Airlines — 0.1%** | **Airlines — 0.1%** |
| 7215000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 8665215 |
|  | **Cable Satellite — 0.4%** | **Cable Satellite — 0.4%** |
| 9050000 | DISH Network Corp., 2.375%, 3/15/2024 | 8154050 |
| 20440000 | DISH Network Corp., 3.375%, 8/15/2026 | 12805660 |
| 4115000 | DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(f) | 2634053 |
|  |  | 23593763 |
|  | **Consumer Cyclical Services — 0.1%** | **Consumer Cyclical Services — 0.1%** |
| 1095000 | Peloton Interactive, Inc., Zero Coupon, <br>0.519%-0.799%, 2/15/2026(f) | 775140 |
| 5755000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(f) | 4860615 |
|  |  | 5635755 |
|  | **Healthcare — 0.2%** | **Healthcare — 0.2%** |
| 19015000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 14607224 |
|  | **Pharmaceuticals — 0.3%** | **Pharmaceuticals — 0.3%** |
| 5120000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 5433856 |
| 13985000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 15027733 |
| 2935000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 2569240 |
|  |  | 23030829 |
|  | Total Convertible Bonds <br>(Identified Cost $89,113,619) | 75532786 |
| **Municipals — 0.1%** | **Municipals — 0.1%** | **Municipals — 0.1%** |
|  | **Virginia — 0.1%** | **Virginia — 0.1%** |
| 7115000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 <br>(Identified Cost $6,861,259) | 6409483 |
|  | Total Bonds and Notes <br>(Identified Cost $5,732,199,279) | 5121852673 |
| **Collateralized Loan Obligations — 3.8%** | **Collateralized Loan Obligations — 3.8%** | **Collateralized Loan Obligations — 3.8%** |
| 3285000 | 522 Funding CLO Ltd., Series 2018-3A, Class AR, <br>3-month LIBOR + 1.040%, 5.283%, 10/20/2031, 144A(a) | 3215660 |
| 1585000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, <br>3-month LIBOR + 2.900%, 7.225%, 4/23/2034, 144A(a) | 1412343 |
| 5565000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, <br>3-month LIBOR + 1.700%, 5.943%, 7/20/2034, 144A(a) | 5307941 |
| 8720000 | AIG CLO LLC, Series 2018-1A, Class A1R, <br>3-month LIBOR + 1.120%, 5.363%, 4/20/2032, 144A(a) | 8567871 |
| 2505000 | AIMCO CLO Ltd., Series 2020-12A, Class AR, <br>3-month SOFR + 1.170%, 5.034%, 1/17/2032, 144A(a) | 2456789 |
| 14785000 | Alinea CLO Ltd., Series 2018-1A, Class B, <br>3-month LIBOR + 1.650%, 5.893%, 7/20/2031, 144A(a) | 14263991 |
| 4650000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, <br>3-month LIBOR + 1.670%, 5.749%, 7/15/2031, 144A(a) | 4483795 |
| 7655000 | Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2, 3-month LIBOR + 1.140%, 5.219%, 7/15/2032, 144A(a) | 7487937 |
| 3520000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 7.079%, 10/15/2034, 144A(a) | 3254852 |
| 4075000 | Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 5.579%, 10/15/2030, 144A(a) | 3925297 |
| 1651667 | Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 7.325%, 1/23/2031, 144A(a) | 1547975 |
| 1170000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, <br>3-month LIBOR + 1.400%, 6.075%, 11/20/2030, 144A(a) | 1125815 |
| 5320000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3-month LIBOR + 1.550%, 5.744%, 7/18/2030, 144A(a) | 5120899 |
| 2525000 | Canyon CLO Ltd., Series 2018-1A, Class B, <br>3-month LIBOR + 1.700%, 5.779%, 7/15/2031, 144A(a) | 2422998 |
| 3920000 | Canyon CLO Ltd., Series 2021-4A, Class B, <br>3-month LIBOR + 1.700%, 5.779%, 10/15/2034, 144A(a) | 3737869 |
| 7170000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, <br>3-month LIBOR + 1.650%, 5.893%, 10/20/2034, 144A(a) | 6880748 |
| 6500000 | CIFC Funding Ltd., Series 2014-5A, Class BR2, <br>3-month LIBOR + 1.800%, 5.879%, 10/17/2031, 144A(a) | 6284070 |
| 2535000 | CIFC Funding Ltd., Series 2017-1A, Class B, <br>3-month LIBOR + 1.700%, 5.978%, 4/23/2029, 144A(a) | 2488952 |
| 4415000 | CIFC Funding Ltd., Series 2021-6A, Class B, <br>3-month LIBOR + 1.650%, 5.729%, 10/15/2034, 144A(a) | 4251336 |
| 3335000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, <br>3-month LIBOR + 1.400%, 5.479%, 1/15/2031, 144A(a) | 3214080 |
| 1250000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, <br>3-month LIBOR + 1.650%, 6.008%, 10/25/2031, 144A(a) | 1203757 |
| 4465000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 6.365%, 11/22/2031, 144A(a) | 4303809 |
| 5405000 | Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 5.793%, 4/20/2030, 144A(a) | 5240520 |
| 13735000 | Hayfin U.S. XII Ltd., Series 2018-8A, Class B, <br>3-month LIBOR + 1.480%, 5.723%, 4/20/2031, 144A(a) | 13180793 |
| 3545000 | Invesco CLO Ltd., Series 2021-1A, Class D,, <br>3-month LIBOR + 3.050% 7.129%, 4/15/2034, 144A(a) | 3240243 |
| 13180000 | Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 6.025%, 10/22/2030, 144A(a) | 12807876 |
| 9544130 | Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3-month LIBOR + 0.970%, 5.328%, 4/25/2029, 144A(a) | 9421794 |
| 4410000 | Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, 3-month LIBOR + 1.070%, 5.149%, 7/15/2033, 144A(a) | 4323749 |
| 2945000 | Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3-month LIBOR + 1.600%, 5.794%, 10/18/2031, 144A(a) | 2856650 |

---

See accompanying notes to financial statements.

\| 40

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| $6060000 | Magnetite XV Ltd., Series 2015-15A, Class AR, <br>3-month LIBOR + 1.010%, 5.368%, 7/25/2031, 144A(a) | $5949653 |
| 13895000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3-month SOFR + 1.950%, 5.814%, 4/15/2035, 144A(a) | 13199514 |
| 2105000 | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 6.979%, 4/15/2034, 144A(a) | 1914024 |
| 545455 | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 5.978%, 10/21/2030, 144A(a) | 526248 |
| 6205000 | OCP CLO Ltd., Series 2016-12A, Class BR2, <br>3-month SOFR + 1.810%, 5.739%, 4/18/2033, 144A(a) | 5905168 |
| 14755000 | OCP CLO Ltd., Series 2020-8RA, Class A2, <br>3-month LIBOR + 1.550%, 5.629%, 1/17/2032, 144A(a) | 14109867 |
| 2000000 | Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 5.679%, 7/15/2030, 144A(a) | 1924398 |
| 1986282 | Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 6.125%, 10/24/2030, 144A(a) | 1922781 |
| 4155000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 7.379%, 7/15/2036, 144A(a) | 3737048 |
| 7170000 | Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 5.549%, 4/16/2031, 144A(a) | 6892851 |
| 9536000 | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3-month LIBOR + 0.970%, 5.197%, 7/19/2030, 144A(a) | 9421530 |
| 1440000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 6.375%, 5/21/2034, 144A(a) | 1377235 |
| 8844000 | Palmer Square CLO Ltd., Series 2021-2A, Class A, 3-month LIBOR + 1.150%, 5.229%, 7/15/2034, 144A(a) | 8615480 |
| 4129054 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3-month LIBOR + 0.800%, 5.043%, 7/20/2029, 144A(a) | 4071153 |
| 12875000 | Post CLO Ltd., Series 2022-1A, Class B, <br>3-month SOFR + 1.900%, 5.863%, 4/20/2035, 144A(a) | 12397891 |
| 4310000 | Rad CLO Ltd., Series 2021-15A, Class B, <br>3-month LIBOR + 1.650%, 5.893%, 1/20/2034, 144A(a) | 4116757 |
| 1730000 | Recette CLO Ltd., Series 2015-1A, Class BRR, <br>3-month LIBOR + 1.400%, 5.643%, 4/20/2034, 144A(a) | 1622807 |
| 1015000 | Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 6.208%, 10/25/2031, 144A(a) | 975459 |
| 6680000 | Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 7.493%, 4/20/2034, 144A(a) | 6191117 |
| 1830000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, <br>3-month LIBOR + 3.750%, 7.993%, 10/20/2034, 144A(a) | 1635797 |
| 3335000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, <br>3-month LIBOR + 1.700%, 5.894%, 10/18/2031, 144A(a) | 3197181 |
| 1610000 | Voya CLO Ltd., Series 2016-3A, Class A3R, <br>3-month LIBOR + 1.750%, 5.944%, 10/18/2031, 144A(a) | 1535000 |
| 6235000 | Voya CLO Ltd., Series 2018-3A, Class B, <br>3-month LIBOR + 1.650%, 5.729%, 10/15/2031, 144A(a) | 5968317 |
|  | Total Collateralized Loan Obligations <br>(Identified Cost $271,272,338) | 265237685 |
| **Shares** |  |  |
| **Preferred Stocks — 0.8%** | **Preferred Stocks — 0.8%** | **Preferred Stocks — 0.8%** |
| **Convertible Preferred Stocks — 0.8%** | **Convertible Preferred Stocks — 0.8%** | **Convertible Preferred Stocks — 0.8%** |
|  | **Banking — 0.6%** | **Banking — 0.6%** |
| 17832 | Bank of America Corp., Series L, 7.250% | 20685120 |
| 18269 | Wells Fargo & Co., Class A, Series L, 7.500% | 21648765 |
|  |  | 42333885 |
|  | **Wireless — 0.2%** | **Wireless — 0.2%** |
| 13185 | 2020 Cash Mandatory Exchangeable Trust, <br>5.250%, 144A | 15083904 |
|  | Total Convertible Preferred Stocks <br>(Identified Cost $64,871,406) | 57417789 |
|  | Total Preferred Stocks <br>(Identified Cost $64,871,406) | 57417789 |
| **Principal<br>Amount** |  |  |
| **Short-Term Investments — 19.3%** | **Short-Term Investments — 19.3%** | **Short-Term Investments — 19.3%** |
| $72295125 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $72,309,584 on 1/03/2023 collateralized by $76,819,900 U.S. Treasury Note, 3.250% due 6/30/2029 valued at $73,741,112 including accrued interest (Note 2 of Notes to Financial Statements) | 72295125 |
| 187905000 | U.S. Treasury Bills, 3.593%, 1/12/2023(g) | 187741874 |
| 154080000 | U.S. Treasury Bills, 3.923%, 1/26/2023(g) | 153698003 |
| 190090000 | U.S. Treasury Bills, 4.116%, 4/13/2023(g) | 187943566 |
| 66030000 | U.S. Treasury Bills, 4.170%, 2/23/2023(g) | 65632620 |
| 300000000 | U.S. Treasury Bills, 4.185%-4.188%, 3/16/2023(g)(h) | 297512100 |
| 154075000 | U.S. Treasury Bills, 4.275%, 4/27/2023(g) | 151903948 |
| 66850000 | U.S. Treasury Bills, 4.517%, 5/25/2023(g) | 65660380 |
| 174920000 | U.S. Treasury Bills, 4.541%-4.543%, 6/08/2023(g)(h) | 171501481 |
|  | Total Short-Term Investments<br>(Identified Cost $1,353,598,503) | 1353889097 |
|  | Total Investments — 97.1%<br>(Identified Cost $7,421,941,526) | 6798397244 |
|  | Other assets less liabilities — 2.9% | 204372455 |
|  | Net Assets — 100.0% | $7002769699 |
| (†) | See Note 2 of Notes to Financial Statements. | See Note 2 of Notes to Financial Statements. |
| (a) | Variable rate security. Rate as of December 31, 2022 is disclosed. | Variable rate security. Rate as of December 31, 2022 is disclosed. |
| (b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. |
| (c) | Non-income producing security. | Non-income producing security. |

---

See accompanying notes to financial statements.

41 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Investment Grade Bond Fund – (continued)

---

| | |
|:---|:---|
| (d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| (f) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund's investment in this security is comprised of various lots with differing annualized yields. |
| (g) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| (h) | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $2,167,121,333 or 30.9% of net assets. |
| ABS | Asset-Backed Securities |
| FNMA | Federal National Mortgage Association |
| LIBOR | London Interbank Offered Rate |
| MTN | Medium Term Note |
| REITs | Real Estate Investment Trusts |
| SLM | Sallie Mae |
| SOFR | Secured Overnight Financing Rate |

---

At December 31, 2022, open long futures contracts were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Financial Futures | Expiration<br>Date | Contracts | Notional<br>Amount | Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  Ultra Long U.S. Treasury Bond | 3/22/2023 | 2108 | $287957962 | $283130750 | $(4827212) |
|  Ultra 10 Year U.S. Treasury Note | 3/22/2023 | 4701 | 559735598 | 556040156 | (3695442) |
|  Total | Total | Total | Total | Total | $(8522654) |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Treasuries | 11.4% |
|  Banking | 11.4 |
|  Technology | 4.6 |
|  ABS Car Loan | 4.5 |
|  ABS Home Equity | 3.7 |
|  Finance Companies | 3.3 |
|  Independent Energy | 2.6 |
|  Metals & Mining | 2.4 |
|  Life Insurance | 2.4 |
|  Other Investments, less than 2% each | 27.7 |
|  Short-Term Investments | 19.3 |
|  Collateralized Loan Obligations | 3.8 |
|  Total Investments | 97.1 |
|  Other assets less liabilities (including futures contracts) | 2.9 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

\| 42

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes — 82.6% of Net Assets** | **Bonds and Notes — 82.6% of Net Assets** | **Bonds and Notes — 82.6% of Net Assets** |
| **Non-Convertible Bonds — 78.3%** | **Non-Convertible Bonds — 78.3%** | **Non-Convertible Bonds — 78.3%** |
|  | **ABS Car Loan — 5.7%** | **ABS Car Loan — 5.7%** |
| $2590000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A | $2497933 |
| 2660000 | American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A | 2541219 |
| 1056804 | Avid Automobile Receivables Trust,<br> Series 2019-1, Class C, 3.140%, 7/15/2026, 144A | 1051450 |
| 1035000 | Avid Automobile Receivables Trust,<br> Series 2019-1, Class D, 4.030%, 7/15/2026, 144A | 1027071 |
| 330000 | Avis Budget Rental Car Funding AESOP LLC,<br> Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A | 326927 |
| 1165000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A | 1111446 |
| 1565000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A | 1415744 |
| 2360000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026, 144A | 2121546 |
| 1200000 | Avis Budget Rental Car Funding AESOP LLC,<br> Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A | 1076832 |
| 1800000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A | 1607001 |
| 2350000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025 | 2291845 |
| 610000 | Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028 | 553854 |
| 1180000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A | 1111966 |
| 903354 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A | 893546 |
| 1110000 | DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A | 1010496 |
| 2290000 | DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028, 144A | 2155217 |
| 1265000 | Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A | 1252260 |
| 411772 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025 | 407120 |
| 635000 | First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A | 617066 |
| 1475000 | First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A | 1378334 |
| 3305000 | Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A | 3215755 |
| 3120000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A | 2756261 |
| 2555495 | GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A | 2528887 |
| 1889000 | Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A | 1661668 |
| 1493000 | Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A | 1423498 |
| 1050000 | Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A | 967847 |
| 910000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A | 893291 |
| 985000 | Prestige Auto Receivables Trust,<br> Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A | 963091 |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| 3210000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028 | 3204744 |
| 1140000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | 1109268 |
| 1675000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A | 1587234 |
| 1920000 | Westlake Automobile Receivables Trust, Series 2022-2A,Class D, 5.480%, 9/15/2027, 144A | 1829516 |
|  |  | 48589933 |
|  | **ABS Credit Card — 0.4%** | **ABS Credit Card — 0.4%** |
| 775000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 766591 |
| 2845000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A | 2714287 |
|  |  | 3480878 |
|  | **ABS Home Equity — 7.3%** | **ABS Home Equity — 7.3%** |
| 129375 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034 | 123022 |
| 128984 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034 | 123620 |
| 122808 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025 | 118380 |
| 300000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A | 288797 |
| 2170000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A | 2113412 |
| 1200000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A | 1183962 |
| 3138000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 3049833 |
| 229899 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 217514 |
| 193637 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 | 189576 |
| 119429 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034 | 105230 |
| 2315000 | BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(a) | 1657380 |
| 1851885 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a) | 1703930 |
| 2856419 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 6.228%, 11/25/2070, 144A(a) | 2811048 |
| 378562 | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 6.439%, 1/25/2040, 144A(b) | 375951 |
| 1310097 | Connecticut Avenue Securities Trust, Series 2022- R06, Class 1M1, 30-day Average SOFR + 2.750%, 6.678%, 5/25/2042, 144A(b) | 1326269 |
| 1830000 | CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A | 1594368 |
| 245000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.596%, 5/15/2052, 144A(a) | 225575 |
| 1340000 | CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A | 1050250 |
| 265956 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033 | 257940 |
| 326017 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 | 309967 |
| 33573 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.894%, 9/20/2034(a) | 30101 |

---

See accompanying notes to financial statements.

43 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| $1244992 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a) | $| 1168078 |
| 2004015 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) |  | 1783566 |
| 109606 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033 |  | 105936 |
| 339841 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 4.999%, 9/19/2045(b) |  | 212453 |
| 1008396 | Federal Home Loan Mortgage Corp., Series 2022-DN44, Class M1A, 30-day Average SOFR + 2.200%, 6.128%, 5/25/2042, 144A(b) |  | 1005272 |
| 1715000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A |  | 1531080 |
| 4165000 | FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A |  | 3670532 |
| 211244 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a) |  | 198115 |
| 235871 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A |  | 180096 |
| 363159 | IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 5.609%, 9/25/2034(b) |  | 312265 |
| 1668187 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 4.809%, 2/25/2046(b) |  | 1169689 |
| 592674 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 |  | 565936 |
| 1388670 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a) |  | 1378324 |
| 962936 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(a) |  | 947272 |
| 267963 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 4.909%, 2/25/2046(b) |  | 231119 |
| 181107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.750%, 5/25/2034(a) |  | 171011 |
| 148173 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033 |  | 140021 |
| 114793 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034 |  | 109995 |
| 151316 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034 |  | 146776 |
| 448241 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 |  | 423557 |
| 19988 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 3.674%, 5/25/2036(a) |  | 19293 |
| 245000 | Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a) |  | 201925 |
| 268480 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 |  | 181593 |
| 511063 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 |  | 462403 |
| 1005000 | Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A |  | 937384 |
| 785000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A |  | 684875 |
| 795000 | Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A |  | 671812 |
| 570000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A |  | 482257 |
| 470000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A |  | 396626 |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| 930000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A |  | 774418 |
| 400000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A |  | 331221 |
| 585000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A |  | 478893 |
| 415000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A |  | 317793 |
| 984252 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a) |  | 906182 |
| 2162729 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a) |  | 1928097 |
| 2888853 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a) |  | 2586780 |
| 1751553 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a) |  | 1576768 |
| 1781283 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 4.699%, 7/25/2035(b) |  | 1134373 |
| 655000 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a) |  | 523657 |
| 3712760 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a) |  | 3447447 |
| 1040000 | Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A |  | 922138 |
| 1170000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A |  | 956877 |
| 448559 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a) |  | 423421 |
| 987573 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(a) |  | 870100 |
| 1156932 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a) |  | 998293 |
| 3020102 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a) |  | 2716922 |
| 1434878 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a) |  | 1297148 |
| 1874099 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a) |  | 1698971 |
|  |  |  | 62234885 |
|  | **ABS Other — 3.8%** | **ABS Other — 3.8%** | **ABS Other — 3.8%** |
| 414098 | Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A |  | 394835 |
| 2218114 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 7.072%, 2/15/2040, 144A(a) |  | 775082 |
| 1754602 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A |  | 1401455 |
| 2340000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A |  | 2033862 |
| 797000 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a) |  | 652131 |
| 881100 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A |  | 724200 |
| 519580 | Diamond Resorts Owner Trust, Series 2019-1A,Class B, 3.530%, 2/20/2032, 144A |  | 506819 |
| 305000 | Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A |  | 296176 |
| 227625 | Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A |  | 216848 |
| 975000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A |  | 965042 |

---

See accompanying notes to financial statements.

\| 44

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** | **ABS Other — continued** |
| $5900000 | HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A | $| 5839194 |
| 700000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A |  | 660266 |
| 1921374 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A |  | 1517963 |
| 860411 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A |  | 721918 |
| 1292169 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A |  | 834597 |
| 310000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A |  | 286515 |
| 200933 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A |  | 187889 |
| 195203 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A |  | 180432 |
| 730000 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A |  | 568823 |
| 1110000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A |  | 1090827 |
| 1020000 | OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A |  | 850841 |
| 810000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A |  | 620474 |
| 3147739 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A |  | 2439530 |
| 775378 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A |  | 731187 |
| 978696 | SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A |  | 800830 |
| 1832923 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A |  | 1665476 |
| 327595 | Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A |  | 296608 |
| 3682557 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A |  | 3054113 |
| 1520122 | Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A |  | 1147707 |
| 545713 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a) |  | 435407 |
| 721844 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A |  | 555123 |
|  |  |  | 32452170 |
|  | **ABS Student Loan — 1.6%** | **ABS Student Loan — 1.6%** | **ABS Student Loan — 1.6%** |
| 175004 | Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A |  | 137014 |
| 1103669 | Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A |  | 1014054 |
| 1035000 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A |  | 980898 |
| 1775000 | Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042, 144A |  | 1639887 |
| 3410000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A |  | 2762965 |
| 695000 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A |  | 555110 |
| 320000 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A |  | 256383 |
|  | **ABS Student Loan — continued** | **ABS Student Loan — continued** | **ABS Student Loan — continued** |
| 1290000 | Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A |  | 1032603 |
| 810000 | Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062, 144A |  | 645390 |
| 385000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 7.884%, 6/15/2032(b) |  | 375077 |
| 1143000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 7.770%, 3/15/2033(b) |  | 1113419 |
| 122000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 7.826%, 3/15/2033(b) |  | 118843 |
| 800000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A |  | 752194 |
| 508917 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 5.068%, 10/15/2035, 144A(b) |  | 502273 |
| 190000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A |  | 168242 |
| 510000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A |  | 462279 |
| 1350000 | SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A |  | 1046806 |
|  |  |  | 13563437 |
|  | **ABS Whole Business — 1.1%** | **ABS Whole Business — 1.1%** | **ABS Whole Business — 1.1%** |
| 3781154 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A |  | 3584484 |
| 2982750 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A |  | 2477732 |
| 2509950 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A |  | 2449072 |
| 982800 | Wendy's Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A |  | 871455 |
|  |  |  | 9382743 |
|  | **Aerospace & Defense — 0.8%** | **Aerospace & Defense — 0.8%** | **Aerospace & Defense — 0.8%** |
| 1065000 | Boeing Co. (The), 3.375%, 6/15/2046 |  | 691025 |
| 90000 | Boeing Co. (The), 3.625%, 3/01/2048 |  | 58884 |
| 1915000 | Boeing Co. (The), 3.750%, 2/01/2050 |  | 1320010 |
| 375000 | Boeing Co. (The), 3.825%, 3/01/2059 |  | 239737 |
| 325000 | Boeing Co. (The), 3.850%, 11/01/2048 |  | 223079 |
| 1420000 | Boeing Co. (The), 3.900%, 5/01/2049 |  | 997074 |
| 2065000 | Boeing Co. (The), 5.150%, 5/01/2030 |  | 2014695 |
| 1150000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 |  | 1116087 |
| 490000 | TransDigm, Inc., 8.000%, 12/15/2025, 144A |  | 497247 |
|  |  |  | 7157838 |
|  | **Airlines — 0.6%** | **Airlines — 0.6%** | **Airlines — 0.6%** |
| 4970545 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029 |  | 4238036 |
| 548640 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 |  | 516479 |
|  |  |  | 4754515 |
|  | **Automotive — 1.8%** | **Automotive — 1.8%** | **Automotive — 1.8%** |
| 1640000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A |  | 1520836 |
| 4935000 | Aptiv PLC/Aptiv Corp., 2.396%, 2/18/2025 |  | 4653666 |
| 330000 | General Motors Co., 5.200%, 4/01/2045 |  | 268214 |
| 2530000 | General Motors Co., 5.400%, 4/01/2048 |  | 2067830 |
| 2905000 | General Motors Co., 5.950%, 4/01/2049 |  | 2531750 |

---

See accompanying notes to financial statements.

45 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
|  | **Automotive — continued** | **Automotive — continued** | **Automotive — continued** |
| $1365000 | General Motors Financial Co., Inc., 1.200%, 10/15/2024 | $| 1263671 |
| 1455000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c) |  | 1224960 |
| 1170000 | General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(c) |  | 1018520 |
| 470000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c) |  | 397796 |
|  |  |  | 14947243 |
|  | **Banking — 6.0%** | **Banking — 6.0%** | **Banking — 6.0%** |
| 2530000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c) |  | 1691938 |
| 2400000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c) |  | 1503000 |
| 1735000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c) |  | 1322938 |
| 4460000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 |  | 3393813 |
| 6580000 | Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter), 2.014%, 1/25/2026 |  | 6098126 |
| 1330000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 |  | 1245466 |
| 1030000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A |  | 1054583 |
| 375000 | Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A |  | 259105 |
| 4570000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A |  | 3903199 |
| 630000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A |  | 591475 |
| 740000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A |  | 674036 |
| 1000000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A |  | 878480 |
| 5280000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |  | 3871369 |
| 6595000 | JPMorgan Chase & Co., (fixed rate to 2/24/2025, variable rate thereafter), 2.595%, 2/24/2026 |  | 6200355 |
| 7575000 | Morgan Stanley, (fixed rate to 10/21/2024, variable rate thereafter), MTN, 1.164%, 10/21/2025 |  | 6969985 |
| 6595000 | Morgan Stanley, (fixed rate to 2/18/2025, variable rate thereafter), 2.630%, 2/18/2026 |  | 6192629 |
| 3550000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A |  | 2624946 |
| 2255000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A |  | 1996857 |
|  |  |  | 50472300 |
|  | **Building Materials — 1.5%** | **Building Materials — 1.5%** | **Building Materials — 1.5%** |
| 7070000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A |  | 5967327 |
| 3360000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A |  | 3134500 |
| 1725000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A |  | 1655991 |
|  | **Building Materials — continued** | **Building Materials — continued** | **Building Materials — continued** |
| 1720000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(c) |  | 1589297 |
|  |  |  | 12347115 |
|  | **Cable Satellite — 4.4%** | **Cable Satellite — 4.4%** | **Cable Satellite — 4.4%** |
| 12800000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A |  | 11930496 |
| 520000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A |  | 503412 |
| 11205000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.400%, 12/01/2061 |  | 7167540 |
| 225000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 |  | 165723 |
| 645000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 |  | 502138 |
| 330000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 |  | 282368 |
| 12090000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |  | 6681346 |
| 405000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A |  | 226274 |
| 405000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A |  | 228416 |
| 885000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A |  | 723487 |
| 3175000 | DISH DBS Corp., 5.125%, 6/01/2029 |  | 2048224 |
| 6305000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A |  | 5310922 |
| 1625000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A |  | 1511932 |
|  |  |  | 37282278 |
|  | **Chemicals — 0.5%** | **Chemicals — 0.5%** | **Chemicals — 0.5%** |
| 1330000 | Ashland LLC, 3.375%, 9/01/2031, 144A |  | 1063030 |
| 2115000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A |  | 1798720 |
| 210000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A |  | 192938 |
| 1105000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A |  | 867513 |
|  |  |  | 3922201 |
|  | **Consumer Cyclical Services — 2.0%** | **Consumer Cyclical Services — 2.0%** | **Consumer Cyclical Services — 2.0%** |
| 490000 | Expedia Group, Inc., 2.950%, 3/15/2031 |  | 394024 |
| 405000 | Expedia Group, Inc., 3.250%, 2/15/2030 |  | 343560 |
| 1080000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., 5.250%, 12/01/2027, 144A |  | 1022177 |
| 10725000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A |  | 9344210 |
| 680000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A |  | 652800 |
| 5255000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |  | 5258678 |
| 320000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A |  | 321101 |
|  |  |  | 17336550 |
|  | **Consumer Products — 0.2%** | **Consumer Products — 0.2%** | **Consumer Products — 0.2%** |
| 1605000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A |  | 1309696 |
|  | **Electric — 0.6%** | **Electric — 0.6%** | **Electric — 0.6%** |
| 3805000 | Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(c) |  | 3113974 |
| 1860000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 |  | 1318718 |
| 685000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 |  | 675484 |
|  |  |  | 5108176 |

---

See accompanying notes to financial statements.

\| 46

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
|  | **Finance Companies — 5.2%** | **Finance Companies — 5.2%** |
| $1140000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025 | $1155137 |
| 4455000 | Aircastle Ltd., 4.250%, 6/15/2026 | 4189624 |
| 855000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(c) | 658350 |
| 1530000 | Ares Capital Corp., 2.875%, 6/15/2028 | 1226798 |
| 3400000 | Ares Capital Corp., 3.200%, 11/15/2031 | 2495090 |
| 580000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 504935 |
| 1870000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 1584971 |
| 6355000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 5262042 |
| 2335000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 1882406 |
| 3855000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 3418434 |
| 1040000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 883089 |
| 2290000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 1896051 |
| 5000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 4803 |
| 2415000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 1896196 |
| 1415000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 1153493 |
| 11490000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 9848796 |
| 2865000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 2270335 |
| 105000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 80144 |
| 5245000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 3917281 |
|  |  | 44327975 |
|  | **Financial Other — 1.4%** | **Financial Other — 1.4%** |
| 540000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 286400 |
| 425000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 192797 |
| 430000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 228098 |
| 1540000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 712527 |
| 485000 | Central China Real Estate Ltd., 7.250%, 7/16/2024 | 137561 |
| 410000 | Central China Real Estate Ltd., 7.250%, 8/13/2024 | 114722 |
| 1000000 | Central China Real Estate Ltd., 7.650%, 8/27/2023 | 357620 |
| 625000 | Central China Real Estate Ltd., 7.750%, 5/24/2024 | 193056 |
| 670000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d)(e) | 76139 |
| 200000 | CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(d)(e) | 22000 |
| 590000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(d)(e) | 68788 |
| 870000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(d)(e) | 99737 |
| 785000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(d)(e) | 93334 |
| 1350000 | CFLD Cayman Investment Ltd., 9.000%, 7/31/2023(d)(e) | 149229 |
| 710000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(d) | 58064 |
| 645000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(d) | 54328 |
| 630000 | China Evergrande Group, 8.250%, 3/23/2022(d) | 44623 |
| 1020000 | China Evergrande Group, 8.750%, 6/28/2025(d) | 73654 |
| 270000 | China Evergrande Group, 9.500%, 4/11/2022(d) | 19297 |
| 220000 | China Evergrande Group, 9.500%, 3/29/2024(d) | 15567 |
| 1110000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 | 286302 |
|  | **Financial Other — continued** | **Financial Other — continued** |
| 480000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 405912 |
| 1115000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 1069008 |
| 1980000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1812888 |
| 125000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 | 120112 |
| 470000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 455806 |
| 1875000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 255206 |
| 205000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d) | 27755 |
| 855000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d) | 115827 |
| 4525000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d) | 612594 |
| 2045000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) | 276504 |
| 2125000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) | 288214 |
| 645000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 | 245584 |
| 845000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 329770 |
| 400000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(f) | 89288 |
| 230000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(f) | 51791 |
| 825000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 147675 |
| 725000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 130500 |
| 610000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 113875 |
| 410000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025(d) | 87658 |
| 2620000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(d) | 558086 |
| 205000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(d) | 43938 |
| 1090000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025(d) | 233020 |
| 210000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 34127 |
| 1085000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 175889 |
| 4400000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 406384 |
| 325000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(d) | 30082 |
| 415000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d) | 38446 |
| 555000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d) | 51354 |
| 1360000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d) | 68095 |
| 210000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d) | 10349 |
| 220000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(d) | 10670 |
|  |  | 11580250 |
|  | **Food & Beverage — 1.0%** | **Food & Beverage — 1.0%** |
| 2055000 | Aramark Services, Inc., 6.375%, 5/01/2025, 144A | 2029744 |
| 175000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A | 171063 |
| 1015000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 840059 |
| 3490000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 2678868 |
| 2980000 | Pilgrim's Pride Corp., 5.875%, 9/30/2027, 144A | 2890529 |
|  |  | 8610263 |

---

See accompanying notes to financial statements.

47 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
|  | **Gaming — 1.4%** | **Gaming — 1.4%** |
| $1810000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | $1347630 |
| 2940000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 2804496 |
| 910000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 873600 |
| 2670000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A | 2340079 |
| 1375000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 1282770 |
| 1140000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 1072828 |
| 985000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 944369 |
| 815000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 807062 |
|  |  | 11472834 |
|  | **Government Owned – No Guarantee — 1.8%** | **Government Owned – No Guarantee — 1.8%** |
| 2350000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 1882526 |
| 2790000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 2255427 |
| 845000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A | 725661 |
| 4801000000 | Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP) | 894904 |
| 6595000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 4991412 |
| 5290000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 3837404 |
| 1295000 | YPF S.A., 6.950%, 7/21/2027, 144A | 917404 |
|  |  | 15504738 |
|  | **Health Insurance — 0.1%** | **Health Insurance — 0.1%** |
| 965000 | Molina Healthcare, Inc., 4.375%, 6/15/2028, 144A | 880649 |
|  | **Healthcare — 0.4%** | **Healthcare — 0.4%** |
| 475000 | Charles River Laboratories International, Inc., 4.250%, 5/01/2028, 144A | 437461 |
| 2365000 | HCA, Inc., 5.875%, 2/15/2026 | 2380112 |
| 340000 | Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A | 321519 |
| 175000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 156681 |
| 255000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 244930 |
|  |  | 3540703 |
|  | **Independent Energy — 3.2%** | **Independent Energy — 3.2%** |
| 3095000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 2722649 |
| 1670000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 1463583 |
| 825000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 611068 |
| 5175000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 4817202 |
| 1515000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 1355925 |
| 2185000 | EQT Corp., 3.625%, 5/15/2031, 144A | 1851648 |
| 3045000 | EQT Corp., 3.900%, 10/01/2027 | 2811038 |
| 585000 | EQT Corp., 5.000%, 1/15/2029 | 549174 |
| 570000 | EQT Corp., 5.678%, 10/01/2025 | 567229 |
| 1790000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 1751085 |
| 740000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 717807 |
| 4240000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 4224100 |
| 115000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 116057 |
| 180000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 198720 |
| 180000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 203221 |
| 320000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 321999 |
| 140000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 138704 |
| 695000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 698994 |
|  | **Independent Energy — continued** | **Independent Energy — continued** |
| 90000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 94464 |
| 85000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 90473 |
| 385000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 422483 |
| 380000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 324744 |
| 870000 | Var Energi ASA, 7.500%, 1/15/2028, 144A | 886184 |
| 410000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | 423414 |
|  |  | 27361965 |
|  | **Industrial Other — 0.0%** | **Industrial Other — 0.0%** |
| 500000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 406305 |
|  | **Leisure — 0.9%** | **Leisure — 0.9%** |
| 1880000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 1342395 |
| 580000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 386502 |
| 1560000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 1225333 |
| 1405000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 1216112 |
| 570000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 420786 |
| 240000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 194003 |
| 3090000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 2465959 |
|  |  | 7251090 |
|  | **Life Insurance — 0.1%** | **Life Insurance — 0.1%** |
| 1110000 | Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A | 929170 |
|  | **Local Authorities — 0.0%** | **Local Authorities — 0.0%** |
| 67000000 | Provincia de Buenos Aires, Argentina Badlar Floating Rate Notes + 3.750% 72.913%, 4/12/2025, 144A, (ARS) | 175680 |
|  | **Lodging — 0.9%** | **Lodging — 0.9%** |
| 435000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 355027 |
| 1435000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 1234100 |
| 1605000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027 | 1527684 |
| 1125000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 933329 |
| 1000000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 814830 |
| 1535000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 1272930 |
| 195000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 185073 |
| 955000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 934240 |
|  |  | 7257213 |
|  | **Media Entertainment — 2.2%** | **Media Entertainment — 2.2%** |
| 2830000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 2304582 |
| 2400000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 2033000 |
| 1220000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 1037521 |
| 1040000 | Netflix, Inc., 4.875%, 4/15/2028 | 1004210 |
| 3215000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 2998306 |
| 860000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 834200 |
| 1325000 | Netflix, Inc., 5.875%, 11/15/2028 | 1342927 |
| 1705000 | Netflix, Inc., 6.375%, 5/15/2029 | 1754935 |
| 1025000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A | 922753 |
| 600000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A | 470970 |
| 805000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A | 726545 |
| 855000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A | 741037 |

---

See accompanying notes to financial statements.

\| 48

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
|  | **Media Entertainment — continued** | **Media Entertainment — continued** | **Media Entertainment — continued** |
| $2555000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A | $| 2106649 |
|  |  |  | 18277635 |
|  | **Metals & Mining — 1.4%** | **Metals & Mining — 1.4%** | **Metals & Mining — 1.4%** |
| 4180000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A |  | 3958550 |
| 3870000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A |  | 3766827 |
| 1930000 | FMG Resources August 2006 Pty Ltd., 4.500%, 9/15/2027, 144A |  | 1780425 |
| 1310000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 |  | 1189363 |
| 1595000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 |  | 1485574 |
|  |  |  | 12180739 |
|  | **Midstream — 0.7%** | **Midstream — 0.7%** | **Midstream — 0.7%** |
| 2340000 | DCP Midstream Operating LP, 5.375%, 7/15/2025 |  | 2318238 |
| 695000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A |  | 594170 |
| 640000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A |  | 623414 |
| 2070000 | Western Midstream Operating LP, 3.350%, 2/01/2025 |  | 1958676 |
|  |  |  | 5494498 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — 5.6%** | **Non-Agency Commercial Mortgage-Backed Securities — 5.6%** | **Non-Agency Commercial Mortgage-Backed Securities — 5.6%** |
| 2995000 | Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 6.858%, 10/15/2037, 144A(b) |  | 2863129 |
| 2155000 | BPR Trust, Series 2021-NRD, Class F, 1-month SOFR + 6.870%, 11.196%, 12/15/2038, 144A(b) |  | 1895330 |
| 2040000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.941%, 5/10/2047, 144A(a) |  | 1652400 |
| 2585000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A |  | 2244286 |
| 140000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.298%, 12/10/2044(a) |  | 124813 |
| 1890000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A |  | 1390074 |
| 5680000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A |  | 3300444 |
| 750000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(a) |  | 669733 |
| 600358 | Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 6.568%, 7/15/2038, 144A(b) |  | 574756 |
| 3195000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(a) |  | 2499712 |
| 540000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.154%, 8/10/2044, 144A(a) |  | 406351 |
| 3905000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.154%, 8/10/2044, 144A(a) |  | 1617072 |
| 1420000 | GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.650%, 4/10/2031, 144A(a) |  | 1373505 |
| 845000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a) |  | 773586 |
| 1945000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(a) |  | 1814677 |
| 2435000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.064%, 12/15/2047, 144A(a) |  | 2300746 |
| 1005417 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.211%, 6/15/2044, 144A(a) |  | 904875 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** |
| 2515000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(a) |  | 1884522 |
| 1350000 | RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.834%, 1/15/2032, 144A(a) |  | 1299339 |
| 1060000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 7.068%, 11/15/2027, 144A(b)(g) |  | 511491 |
| 4243654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 7.818%, 11/15/2027, 144A(b)(g) |  | 1141311 |
| 3575000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 8.718%, 11/15/2027, 144A(b)(g) |  | 339765 |
| 1370000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.702%, 5/10/2063, 144A(a) |  | 23975 |
| 3094293 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.296%, 7/15/2046(a) |  | 2933867 |
| 1690000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a) |  | 1405234 |
| 440000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.134%, 11/15/2059(a) |  | 334863 |
| 4885000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.038%, 9/15/2031, 144A(a) |  | 4220284 |
| 2873701 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(a) |  | 1145457 |
| 1699593 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.844%, 6/15/2044, 144A(a) |  | 1366814 |
| 2245000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.357%, 12/15/2045(a) |  | 2008675 |
| 599548 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.651%, 6/15/2045(a) |  | 425673 |
| 1909000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.651%, 6/15/2045, 144A(a) |  | 725420 |
| 940999 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(a) |  | 21173 |
| 1570000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 |  | 1351002 |
|  |  |  | 47544354 |
|  | **Pharmaceuticals — 2.3%** | **Pharmaceuticals — 2.3%** | **Pharmaceuticals — 2.3%** |
| 2485000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A |  | 1580564 |
| 1325000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A |  | 635993 |
| 145000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A |  | 69491 |
| 685000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A |  | 328567 |
| 165000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A |  | 79437 |
| 270000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A |  | 130504 |
| 380000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A |  | 328119 |
| 1665000 | Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR) |  | 1751768 |
| 5755000 | Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023 |  | 5628965 |
| 920000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |  | 804540 |

---

See accompanying notes to financial statements.

49 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
|  | **Pharmaceuticals — continued** | **Pharmaceuticals — continued** |
| $10035000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 6135652 |
| 200000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 180780 |
| 635000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 565497 |
| 1015000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | 1009306 |
|  |  | 19229183 |
|  | **REITs – Health Care — 0.0%** | **REITs – Health Care — 0.0%** |
| 455000 | National Health Investors, Inc., 3.000%, 2/01/2031 | 328016 |
|  | **REITs – Mortgage — 0.2%** | **REITs – Mortgage — 0.2%** |
| 1630000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 1369248 |
| 390000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 366421 |
|  |  | 1735669 |
|  | **Restaurants — 0.3%** | **Restaurants — 0.3%** |
| 2885000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | 2583246 |
|  | **Retailers — 0.1%** | **Retailers — 0.1%** |
| 1070000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 881883 |
|  | **Technology — 2.3%** | **Technology — 2.3%** |
| 1020000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 749972 |
| 2865000 | Broadcom, Inc., 4.150%, 11/15/2030 | 2567476 |
| 1805000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 1602511 |
| 2115000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 1801324 |
| 490000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 450962 |
| 1615000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1096910 |
| 3815000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 2727224 |
| 330000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 283459 |
| 395000 | Global Payments, Inc., 2.900%, 11/15/2031 | 311484 |
| 225000 | Global Payments, Inc., 5.400%, 8/15/2032 | 214279 |
| 3560000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 3616166 |
| 330000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030 | 285168 |
| 730000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 730000 |
| 1240000 | Western Digital Corp., 2.850%, 2/01/2029 | 959351 |
| 1780000 | Western Digital Corp., 4.750%, 2/15/2026 | 1676262 |
|  |  | 19072548 |
|  | **Transportation Services — 0.5%** | **Transportation Services — 0.5%** |
| 1855000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 1628269 |
| 1865000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 1734711 |
| 1270000 | GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024 | 1252423 |
|  |  | 4615403 |
|  | **Treasuries — 6.5%** | **Treasuries — 6.5%** |
| 338660000 | Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR) | 15795663 |
| 9150000 | U.S. Treasury Note, 1.250%, 7/31/2023(h) | 8969859 |
| 26640000 | U.S. Treasury Note, 1.375%, 8/31/2023 | 26043722 |
| 4235000 | U.S. Treasury Note, 4.250%, 9/30/2024 | 4213329 |
|  |  | 55022573 |
|  | **Wireless — 1.5%** | **Wireless — 1.5%** |
| 4365000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 4015800 |
| 1695000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 1399223 |
| 1525000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 1230004 |
| 1297000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 1230049 |
| 3385000 | SBA Communications Corp., 3.875%, 2/15/2027 | 3058393 |
| 1630000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 1338295 |
| 750000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 600000 |
|  |  | 12871764 |
|  | Total Non-Convertible Bonds <br>(Identified Cost $795,026,699) | 663478304 |
| **Convertible Bonds — 4.3%** | **Convertible Bonds — 4.3%** | **Convertible Bonds — 4.3%** |
|  | **Airlines — 0.6%** | **Airlines — 0.6%** |
| 915000 | JetBlue Airways Corp., 0.500%, 4/01/2026 | 667106 |
| 3680000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 4419680 |
|  |  | 5086786 |
|  | **Cable Satellite — 0.8%** | **Cable Satellite — 0.8%** |
| 35000 | Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(i) | 27492 |
| 1345000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(j) | 860948 |
| 1170000 | DISH Network Corp., 2.375%, 3/15/2024 | 1054170 |
| 7980000 | DISH Network Corp., 3.375%, 8/15/2026 | 4999470 |
|  |  | 6942080 |
|  | **Consumer Cyclical Services — 0.3%** | **Consumer Cyclical Services — 0.3%** |
| 235000 | Peloton Interactive, Inc., Zero Coupon, 0.519%-0.987%, 2/15/2026(j) | 166354 |
| 3150000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(j) | 2660459 |
|  |  | 2826813 |
|  | **Gaming — 0.1%** | **Gaming — 0.1%** |
| 615000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 906510 |
|  | **Healthcare — 0.5%** | **Healthcare — 0.5%** |
| 5175000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 3975408 |
|  | **Leisure — 0.1%** | **Leisure — 0.1%** |
| 2005000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 1373305 |
|  | **Media Entertainment — 0.3%** | **Media Entertainment — 0.3%** |
| 1560000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(j) | 1089660 |
| 1420000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(j) | 1143100 |
|  |  | 2232760 |
|  | **Pharmaceuticals — 1.2%** | **Pharmaceuticals — 1.2%** |
| 2990000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 3173287 |
| 4745000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 5098791 |
| 855000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(i) | 531724 |
| 1285000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(i) | 1186216 |
| 505000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 442067 |
|  |  | 10432085 |
|  | **Technology — 0.4%** | **Technology — 0.4%** |
| 85000 | Bentley Systems, Inc., 0.375%, 7/01/2027 | 69190 |
| 1260000 | RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(j) | 989100 |
| 1325000 | Splunk, Inc., 1.125%, 6/15/2027 | 1118035 |

---

See accompanying notes to financial statements.

\| 50

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
|  | **Technology — continued** | **Technology — continued** | **Technology — continued** |
| $1375000 | Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(j) | $| 1029187 |
|  |  |  | 3205512 |
|  | Total Convertible Bonds <br>(Identified Cost $44,875,150) |  | 36981259 |
|  | Total Bonds and Notes <br>(Identified Cost $839,901,849) |  | 700459563 |
| **Senior Loans — 0.5%** | **Senior Loans — 0.5%** | **Senior Loans — 0.5%** | **Senior Loans — 0.5%** |
|  | **Cable Satellite — 0.2%** | **Cable Satellite — 0.2%** | **Cable Satellite — 0.2%** |
| 1930000 | Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.000%, 3.764%, 1/31/2029, (EUR)(b)(k) |  | 1899409 |
|  | **Media Entertainment — 0.3%** | **Media Entertainment — 0.3%** | **Media Entertainment — 0.3%** |
| 2216436 | Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 7.134%, 3/13/2028(b)(k) |  | 2111399 |
|  | Total Senior Loans<br>(Identified Cost $4,351,833) |  | 4010808 |
| **Collateralized Loan Obligations — 7.7%** | **Collateralized Loan Obligations — 7.7%** | **Collateralized Loan Obligations — 7.7%** | **Collateralized Loan Obligations — 7.7%** |
| 1350000 | AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 6.229%, 1/15/2033, 144A(b) |  | 1272756 |
| 1740000 | AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 7.379%, 1/15/2033, 144A(b) |  | 1626479 |
| 3460000 | Aimco CLO 11 Ltd., Series 2020-11A, Class DR, 3-month LIBOR + 3.000%, 7.079%, 10/17/2034, 144A(b) |  | 3257580 |
| 1325000 | AIMCO CLO Ltd., Series 2020-12A, Class AR, 3-month SOFR + 1.170%, 5.034%, 1/17/2032, 144A(b) |  | 1299499 |
| 480000 | Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 6.029%, 7/16/2031, 144A(b) |  | 456201 |
| 3175000 | Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 6.079%, 4/15/2033, 144A(b) |  | 2996022 |
| 500000 | Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 10.608%, 4/25/2034, 144A(b) |  | 423463 |
| 1105000 | Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 7.943%, 1/20/2034, 144A(b) |  | 907678 |
| 400000 | Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 7.393%, 4/20/2031, 144A(b) |  | 360681 |
| 850000 | Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 6.879%, 1/15/2033, 144A(b) |  | 824275 |
| 1830000 | Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 6.893%, 4/20/2034, 144A(b) |  | 1635032 |
| 445000 | Battalion CLO XVI Ltd., Series 2019 16A, Class DR, 3-month LIBOR + 3.250%, 7.493%, 12/19/2032, 144A(b) |  | 402151 |
| 915000 | Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 6.029%, 4/15/2029, 144A(b) |  | 866737 |
| 455000 | Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 6.393%, 10/20/2029, 144A(b) |  | 433634 |
| 400000 | Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 6.043%, 1/20/2031, 144A(b) |  | 373517 |
| 970000 | CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 7.493%, 7/20/2034, 144A(b) |  | 901117 |
| 730000 | CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 6.144%, 10/18/2030, 144A(b) |  | 685554 |
| 265000 | CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 6.225%, 4/24/2030, 144A(b) |  | 252569 |
| 875000 | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 9.929%, 10/15/2030, 144A(b) |  | 706884 |
| 250000 | Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 5.944%, 4/18/2031, 144A(b) |  | 235623 |
| 300000 | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 5.929%, 4/15/2029, 144A(b) |  | 286940 |
| 1405000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 10.515%, 11/22/2031, 144A(b) |  | 1219983 |
| 2435000 | Generate CLO Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 8.125%, 1/22/2033, 144A(b) |  | 2290200 |
| 650000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 7.029%, 10/15/2030, 144A(b) |  | 605343 |
| 320000 | Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 6.143%, 4/20/2030, 144A(b) |  | 305401 |
| 1640000 | Greystone Commercial Real Estate Notes CDO Ltd., Series 2021-HC2, Class A, 1-month SOFR + 1.914%, 6.250%, 12/15/2039, 144A(b) |  | 1593993 |
| 1550000 | Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3-month LIBOR + 4.160%, 8.403%, 1/20/2034, 144A(b) |  | 1491012 |
| 310000 | LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 7.243%, 4/20/2031, 144A(b) |  | 264612 |
| 475000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 6.475%, 1/23/2031, 144A(b) |  | 449536 |
| 300000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 7.325%, 1/23/2031, 144A(b) |  | 279810 |
| 3300000 | Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 6.274%, 1/28/2030, 144A(b) |  | 3125803 |
| 2100000 | Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 11.473%, 10/20/2032, 144A(b) |  | 1883026 |
| 495000 | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 9.993%, 10/20/2030, 144A(b) |  | 430662 |
| 920000 | Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 6.225%, 1/22/2030, 144A(b) |  | 868118 |
| 445000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 10.638%, 4/21/2034, 144A(b) |  | 391558 |

---

See accompanying notes to financial statements.

51 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| $1900000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 10.493%, 7/02/2035, 144A(b) | $| 1719302 |
| 5105000 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3-month LIBOR + 6.400%, 10.725%, 10/22/2036, 144A(b) |  | 4654428 |
| 1745000 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 6.194%, 4/18/2033, 144A(b) |  | 1656371 |
| 2245000 | OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 7.375%, 7/23/2031, 144A(b) |  | 2059718 |
| 1570000 | OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 6.193%, 1/20/2033, 144A(b) |  | 1480023 |
| 2050000 | OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 7.829%, 4/15/2034, 144A(b) |  | 1879387 |
| 300000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 6.193%, 7/20/2030, 144A(b) |  | 285330 |
| 2610000 | Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 6.243%, 7/20/2029, 144A(b) |  | 2450953 |
| 1045000 | Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 7.475%, 7/24/2031, 144A(b) |  | 932596 |
| 1190000 | Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 7.043%, 7/20/2034, 144A(b) |  | 1065983 |
| 340000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 7.493%, 4/20/2034, 144A(b) |  | 297352 |
| 920000 | Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 7.179%, 7/15/2031, 144A(b) |  | 825101 |
| 2565000 | Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 5.979%, 10/15/2029, 144A(b) |  | 2431512 |
| 2000000 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3-month LIBOR + 1.100%, 5.775%, 5/20/2031, 144A(b) |  | 1966440 |
| 1017999 | Shackleton CLO Ltd., Series 2017-10A, Class AR2, 3-month LIBOR + 0.890%, 5.133%, 4/20/2029, 144A(b) |  | 1002618 |
| 1030000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3-month LIBOR + 1.160%, 5.239%, 4/17/2034, 144A(b) |  | 1004602 |
| 920000 | TCW CLO Ltd., Series 2018-1A,Class D, 3-month LIBOR + 2.910%, 7.268%, 4/25/2031, 144A(b) |  | 800924 |
| 1030000 | TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 6.229%, 4/15/2033, 144A(b) |  | 980416 |
| 610000 | TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 6.393%, 4/20/2033, 144A(b) |  | 561062 |
| 895000 | TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 10.108%, 7/25/2031, 144A(b) |  | 727269 |
| 895000 | VERDE CLO Ltd., Series 2019-1A, Class AR, 3-month LIBOR + 1.100%, 5.179%, 4/15/2032, 144A(b) |  | 878794 |
|  | Total Collateralized Loan Obligations <br>(Identified Cost $67,719,850) |  | 65063630 |
| **Common Stocks — 1.5%** | **Common Stocks — 1.5%** | **Common Stocks — 1.5%** | **Common Stocks — 1.5%** |
|  | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** |
| 698 | Lockheed Martin Corp. |  | 339570 |
|  | **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** | **Air Freight & Logistics — 0.0%** |
| 1613 | United Parcel Service, Inc., Class B |  | 280404 |
|  | **Beverages — 0.0%** | **Beverages — 0.0%** | **Beverages — 0.0%** |
| 4726 | Coca-Cola Co. (The) |  | 300621 |
|  | **Biotechnology — 0.1%** | **Biotechnology — 0.1%** | **Biotechnology — 0.1%** |
| 2747 | AbbVie, Inc. |  | 443943 |
|  | **Capital Markets — 0.1%** | **Capital Markets — 0.1%** | **Capital Markets — 0.1%** |
| 213 | BlackRock, Inc. |  | 150938 |
| 2249 | Morgan Stanley |  | 191210 |
|  |  |  | 342148 |
|  | **Communications Equipment — 0.0%** | **Communications Equipment — 0.0%** | **Communications Equipment — 0.0%** |
| 2771 | Cisco Systems, Inc. |  | 132010 |
|  | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
| 240838 | Cemex SAB de CV, Sponsored ADR(f) |  | 975394 |
|  | **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** |
| 938 | Packaging Corp. of America |  | 119980 |
|  | **Electric Utilities — 0.1%** | **Electric Utilities — 0.1%** | **Electric Utilities — 0.1%** |
| 1830 | Duke Energy Corp. |  | 188472 |
| 3245 | NextEra Energy, Inc. |  | 271282 |
|  |  |  | 459754 |
|  | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** |
| 1420 | Emerson Electric Co. |  | 136405 |
|  | **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** |
| 256 | Costco Wholesale Corp. |  | 116864 |
| 1736 | Walmart, Inc. |  | 246147 |
|  |  |  | 363011 |
|  | **Health Care Equipment & Supplies — 0.0%** | **Health Care Equipment & Supplies — 0.0%** | **Health Care Equipment & Supplies — 0.0%** |
| 2124 | Abbott Laboratories |  | 233194 |
|  | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** |
| 477 | Elevance Health, Inc. |  | 244687 |
| 452 | UnitedHealth Group, Inc. |  | 239641 |
|  |  |  | 484328 |
|  | **Hotels, Restaurants & Leisure — 0.0%** | **Hotels, Restaurants & Leisure — 0.0%** | **Hotels, Restaurants & Leisure — 0.0%** |
| 3110 | Starbucks Corp. |  | 308512 |
|  | **Household Products — 0.1%** | **Household Products — 0.1%** | **Household Products — 0.1%** |
| 2638 | Procter & Gamble Co. (The) |  | 399815 |
|  | **IT Services — 0.0%** | **IT Services — 0.0%** | **IT Services — 0.0%** |
| 659 | Accenture PLC, Class A |  | 175848 |
|  | **Life Sciences Tools & Services — 0.0%** | **Life Sciences Tools & Services — 0.0%** | **Life Sciences Tools & Services — 0.0%** |
| 331 | Thermo Fisher Scientific, Inc. |  | 182278 |
|  | **Machinery — 0.1%** | **Machinery — 0.1%** | **Machinery — 0.1%** |
| 539 | Cummins, Inc. |  | 130594 |
| 611 | Deere & Co. |  | 261973 |
|  |  |  | 392567 |
|  | **Media — 0.2%** | **Media — 0.2%** | **Media — 0.2%** |
| 365397 | Altice USA, Inc., Class A(f) |  | 1680826 |
| 8061 | Comcast Corp., Class A |  | 281893 |
|  |  |  | 1962719 |
|  | **Metals & Mining — 0.0%** | **Metals & Mining — 0.0%** | **Metals & Mining — 0.0%** |
| 3674 | Newmont Corp. |  | 173413 |
|  | **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** |
| 14685 | California Resources Corp. |  | 638944 |
| 703 | Devon Energy Corp. |  | 43242 |

---

See accompanying notes to financial statements.

\| 52

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value (†)** |
|  | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| 1038 | Pioneer Natural Resources Co. | $237069 |
| 5755 | Williams Cos., Inc. (The) | 189339 |
|  |  | 1108594 |
|  | **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** |
| 2375 | Bristol-Myers Squibb Co. | 170881 |
| 2211 | Johnson & Johnson | 390573 |
| 2177 | Merck & Co., Inc. | 241538 |
|  |  | 802992 |
|  | **REITs – Diversified — 0.0%** | **REITs – Diversified — 0.0%** |
| 1032 | American Tower Corp. | 218639 |
|  | **Road & Rail — 0.0%** | **Road & Rail — 0.0%** |
| 923 | Union Pacific Corp. | 191126 |
|  | **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** |
| 547 | Broadcom, Inc. | 305844 |
| 3434 | Microchip Technology, Inc. | 241239 |
| 2467 | QUALCOMM, Inc. | 271222 |
|  |  | 818305 |
|  | **Software — 0.0%** | **Software — 0.0%** |
| 1224 | Microsoft Corp. | 293540 |
|  | **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** |
| 642 | Home Depot, Inc. (The) | 202782 |
|  | **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** |
| 1954 | Apple, Inc. | 253883 |
|  | **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** |
| 4744 | T-Mobile US, Inc.(f) | 664160 |
|  | Total Common Stocks <br>(Identified Cost $16,545,976) | 12759935 |
| **Preferred Stocks — 0.6%** | **Preferred Stocks — 0.6%** | **Preferred Stocks — 0.6%** |
| **Convertible Preferred Stocks — 0.6%** | **Convertible Preferred Stocks — 0.6%** | **Convertible Preferred Stocks — 0.6%** |
|  | **Midstream — 0.0%** | **Midstream — 0.0%** |
| 2329 | El Paso Energy Capital Trust I, 4.750% | 104896 |
|  | **Technology — 0.1%** | **Technology — 0.1%** |
| 23100 | Clarivate PLC, Series A, 5.250% | 875028 |
|  | **Wireless — 0.5%** | **Wireless — 0.5%** |
| 3501 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 4005214 |
|  | Total Convertible Preferred Stocks <br>(Identified Cost $6,477,979) | 4985138 |
|  | Total Preferred Stocks <br>(Identified Cost $6,477,979) | 4985138 |
| **Other Investments — 0.0%** | **Other Investments — 0.0%** | **Other Investments — 0.0%** |
|  | **Aircraft ABS — 0.0%** | **Aircraft ABS — 0.0%** |
| 900 | ECAF I Blocker Ltd.(e)(g) <br>(Identified Cost $9,000,000) | 61425 |
| **Principal<br>Amount (‡)** |  |  |
| **Short-Term Investments — 3.7%** | **Short-Term Investments — 3.7%** | **Short-Term Investments — 3.7%** |
| $31761975 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $31,768,328 on 1/03/2023 collateralized by $16,086,900 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $32,397,250 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $31,761,975) | 31761975 |
|  | Total Investments — 96.6%<br>(Identified Cost $975,759,462) | 819102474 |
|  | Other assets less liabilities — 3.4% | 28509514 |
|  | Net Assets — 100.0% | $847611988 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  **Written Options – (0.0%)** | **Written Options – (0.0%)** | **Written Options – (0.0%)** | **Written Options – (0.0%)** | **Written Options – (0.0%)** | **Written Options – (0.0%)** | **Written Options – (0.0%)** |
| Description | Expiration<br>Date | Exercise<br>Price | Shares (††) | Notional<br>Amount | Premiums<br>(Received) | Value (†) |
| **Options on Securities – (0.0%)** | **Options on Securities – (0.0%)** | **Options on Securities – (0.0%)** | **Options on Securities – (0.0%)** | **Options on Securities – (0.0%)** | **Options on Securities – (0.0%)** | **Options on Securities – (0.0%)** |
|  Abbott Laboratories, Call | 2/17/2023 | 115.00 | (1600) | $(175664) | $(2028) | $(3072) |
|  AbbVie, Inc., Call | 2/17/2023 | 170.00 | (2100) | (339381) | (5496) | (4736) |
|  American Tower Corp., Call | 2/17/2023 | 230.00 | (700) | (148302) | (2637) | (2310) |
|  BlackRock, Inc., Call | 2/17/2023 | 790.00 | (100) | (70863) | (722) | (820) |
|  Bristol-Myers Squibb Co., Call | 2/17/2023 | 77.50 | (1900) | (136705) | (1743) | (845) |
|  Broadcom, Inc., Call | 2/17/2023 | 610.00 | (400) | (223652) | (3027) | (3340) |
|  Coca-Cola Co., Call | 2/17/2023 | 65.00 | (3700) | (235357) | (3912) | (4718) |
|  Cummins, Inc., Call | 2/17/2023 | 260.00 | (400) | (96916) | (1395) | (1440) |
|  Deere & Co., Call | 2/17/2023 | 470.00 | (400) | (171504) | (2987) | (2200) |
|  Devon Energy Corp., Call | 2/17/2023 | 75.00 | (400) | (24604) | (247) | (246) |
|  Duke Energy Corp., Call | 2/17/2023 | 105.00 | (1400) | (144186) | (2325) | (3185) |
|  Elevance Health, Inc., Call | 2/17/2023 | 550.00 | (300) | (153891) | (1880) | (2085) |
|  Emerson Electric Co., Call | 2/17/2023 | 100.00 | (700) | (67242) | (1363) | (1365) |
|  Home Depot, Inc., Call | 2/17/2023 | 350.00 | (300) | (94758) | (1205) | (787) |
|  Johnson & Johnson, Call | 2/17/2023 | 185.00 | (1700) | (300305) | (2477) | (2890) |
|  Lockheed Martin Corp., Call | 2/17/2023 | 505.00 | (500) | (243245) | (4784) | (5075) |
|  Merck & Co., Inc., Call | 2/17/2023 | 115.00 | (1500) | (166425) | (2951) | (3225) |
|  Microchip Technology, Inc., Call | 2/17/2023 | 80.00 | (2000) | (140500) | (2955) | (2150) |
|  Morgan Stanley, Call | 2/17/2023 | 95.00 | (1500) | (127530) | (1496) | (1050) |
|  NextEra Energy, Inc., Call | 2/17/2023 | 90.00 | (2500) | (209000) | (3693) | (2875) |
|  Pioneer Natural Resources Co., Call | 2/17/2023 | 245.00 | (700) | (159873) | (3197) | (4235) |

---

See accompanying notes to financial statements.

53 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Description | Expiration<br>Date | Exercise<br>Price | Shares (††) | Notional<br>Amount | Premiums<br>(Received) | Value (†) |
|  Procter & Gamble Co., Call | 2/17/2023 | 155.00 | (1300) | $(197028) | $(3441) | $(3679) |
|  Starbucks Corp., Call | 2/17/2023 | 110.00 | (2400) | (238080) | (2630) | (2544) |
|  United Parcel Service, Inc., Call | 2/17/2023 | 200.00 | (1100) | (191224) | (2297) | (1177) |
|  UnitedHealth Group, Inc., Call | 2/17/2023 | 560.00 | (300) | (159054) | (2420) | (2288) |
|  Walmart, Inc., Call | 2/17/2023 | 150.00 | (1200) | (170148) | (2193) | (1572) |
|  Williams Cos., Inc., Call | 2/17/2023 | 35.00 | (4000) | (131600) | (2029) | (2200) |
|  Total |  |  |  |  | $(67530) | $(66109) |

---

---

| | |
|:---|:---|
| (†) | See Note 2 of Notes to Financial Statements. |
| (‡) | Principal Amount/Par Value stated in U.S. dollars unless otherwise noted. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(††) | Options on securities are expressed as shares. |
| (a) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. |
| (b) | Variable rate security. Rate as of December 31, 2022 is disclosed. |
| (c) | Perpetual bond with no specified maturity date. |
| (d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (e) | Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows: |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value** | **% of<br>Net Assets** |
|  CFLD Cayman Investment Ltd. | 9/30/2021 | $288375 | $76139 | Less than 0.1% |
|  CFLD Cayman Investment Ltd. | 11/11/2021 | 66000 | 22000 | Less than 0.1% |
|  CFLD Cayman Investment Ltd. | 9/28/2021 | 230050 | 68788 | Less than 0.1% |
|  CFLD Cayman Investment Ltd. | 1/10/2020 | 349325 | 99737 | Less than 0.1% |
|  CFLD Cayman Investment Ltd. | 9/29/2021 | 311750 | 93334 | Less than 0.1% |
|  CFLD Cayman Investment Ltd. | 9/29/2022 | 116100 | 149229 | Less than 0.1% |
|  ECAF I Blocker Ltd. | 6/18/2015 | 9000000 | 61425 | Less than 0.1% |

---

---

| | |
|:---|:---|
| (f) | Non-income producing security. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| (h) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| (i) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
| (j) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund's investment in this security is comprised of various lots with differing annualized yields. |
| (k) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.00%, to which the spread is added. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $462,246,506 or 54.5% of net assets. |
| ABS | Asset-Backed Securities |
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
| EURIBOR | Euro Interbank Offered Rate |
| JIBAR | Johannesburg Interbank Agreed Rate |
| LIBOR | London Interbank Offered Rate |
| MTN | Medium Term Note |
| REITs | Real Estate Investment Trusts |
| SAFEX | South African Futures Exchange |
| SLM | Sallie Mae |
| SOFR | Secured Overnight Financing Rate |
| ARS | Argentine Peso |
| COP | Colombian Peso |
| EUR | Euro |
| ZAR | South African Rand |

---

At December 31, 2022, the Fund had the following open bilateral credit default swap agreements:

<u>Buy Protection</u>

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Counterparty | Reference Obligation | (Pay)/<br>Receive<br>Fixed Rate<sup>1</sup> | Expiration<br>Date | Notional<br>Value(‡) | Unamortized<br>Up Front<br>Premium<br>Paid/(Received) | Market Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  Barclays Bank PLC | United Mexican States | (1.00%) | 6/20/2026 | 16555000 | $44219 | $(26118) | $(70337) |

---

At December 31, 2022, the Fund had the following open centrally cleared interest rate swap agreements:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Notional<br>Value | Currency | Expiration Date | Fund Pays<sup>1</sup> | Fund Receives<sup>1</sup> | Market<br> Value | Unrealized<br>Appreciation<br>(Depreciation)<sup>2</sup> |
| 330000000 | ZAR | 5/07/2030 | 7.58% | 3-month SAFEX-JIBAR | $1249413 | $1247938 |

---

See accompanying notes to financial statements.

\| 54

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2022, the Fund had the following open centrally cleared credit default swap agreements:

<u>Buy Protection</u>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Reference Obligation | (Pay)/<br>Receive<br>Fixed Rate | Expiration<br>Date | Notional<br>Value(‡) | Unamortized Up<br>Front<br>Premium<br>Paid/ (Received) | Market Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  CDX.NA HY\* Series 39 500, 5-Year | (5.00%) | 12/20/2027 | 8240000 | (136809) | (64475) | 72334 |
|  CDX.NA HY\* Series 39 500, 5-Year | (5.00%) | 12/20/2027 | 39770000 | 1604223 | (311187) | (1915410) |
|  CDX.NA HY\* Series 39 500, 5-Year | (5.00%) | 12/20/2027 | 18730000 | (285397) | (146556) | 138841 |
|  CDX.NA HY\* Series 39 500, 5-Year | (5.00%) | 12/20/2027 | 23520000 | 245883 | (184036) | (429919) |
|  Total |  |  |  |  | $(706254) | $(2134154) |

---

(‡) Notional value stated in U.S. dollars unless otherwise noted.

<sup>1</sup> Payments are made quarterly.

<sup>2</sup> Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

\* CDX.NA.HY is an index composed of North American high yield credit default swaps.

At December 31, 2022, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Counterparty | Delivery<br>Date | Currency<br>Bought/<br>Sold (B/S) | Units<br>of<br>Currency | Units<br>of<br>Currency | In Exchange<br>for | Notional<br>Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  Bank of America N.A. | 1/30/2023 | EUR | S | 1665000 | $1658937 | $1785378 | $(126441) |
|  Barclays Bank PLC | 1/30/2023 | EUR | S | 1955000 | 1943233 | 2096345 | (153112) |
|  Morgan Stanley Capital Services, Inc. | 1/11/2023 | COP | S | 5186874000 | 1136426 | 1068541 | 67885 |
|  Morgan Stanley Capital Services, Inc. | 3/28/2023 | ZAR | S | 319874000 | 18519694 | 18693634 | (173940) |
|  Total |  |  |  |  |  |  | $(385608) |

---

At December 31, 2022, open long futures contracts were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Financial Futures | Expiration<br>Date | Contracts | Notional<br>Amount | Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  Ultra Long U.S. Treasury Bond | 3/22/2023 | 23 | $3116770 | $3089187 | $(27583) |

---

At December 31, 2022, open short futures contracts were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Financial Futures | Expiration<br>Date | Contracts | Notional<br>Amount | Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  Ultra 10 Year U.S. Treasury Note | 3/22/2023 | 461 | $54896091 | $54527656 | $368435 |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  ABS Home Equity | 7.3% |
|  Treasuries | 6.5 |
|  Banking | 6.0 |
|  ABS Car Loan | 5.7 |
|  Non-Agency Commercial Mortgage-Backed Securities | 5.6 |
|  Cable Satellite | 5.4 |
|  Finance Companies | 5.2 |
|  ABS Other | 3.8 |
|  Pharmaceuticals | 3.6 |
|  Independent Energy | 3.2 |
|  Technology | 2.8 |
|  Media Entertainment | 2.8 |
|  Consumer Cyclical Services | 2.3 |
|  Wireless | 2.0 |
|  Other Investments, less than 2% each | 23.0 |
|  Collateralized Loan Obligations | 7.7 |
|  Short-Term Investments | 3.7 |
|  Total Investments | 96.6 |
|  Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) | 3.4 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

55 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes — 89.6% of Net Assets** | **Bonds and Notes — 89.6% of Net Assets** | **Bonds and Notes — 89.6% of Net Assets** |
| **Non-Convertible Bonds — 80.1%** | **Non-Convertible Bonds — 80.1%** | **Non-Convertible Bonds — 80.1%** |
|  | **ABS Car Loan — 1.0%** | **ABS Car Loan — 1.0%** |
| $635000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | $643034 |
| 7500000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A | 6837145 |
| 5000000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A | 4233214 |
| 940000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028, 144A | 971990 |
| 7303000 | Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A | 6424120 |
| 5578000 | Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A | 5318333 |
| 4105000 | Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A | 3783821 |
| 2810000 | Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028, 144A | 2799070 |
|  |  | 31010727 |
|  | **ABS Credit Card — 0.0%** | **ABS Credit Card — 0.0%** |
| 975000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 964422 |
|  | **ABS Home Equity — 4.2%** | **ABS Home Equity — 4.2%** |
| 7218923 | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a) | 6585600 |
| 8555000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a) | 7779448 |
| 5350000 | CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A | 4109764 |
| 1510000 | CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1141762 |
| 10932797 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) | 9730145 |
| 2510000 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A | 1899372 |
| 7660000 | FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A | 6981251 |
| 1965000 | FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A | 1650839 |
| 2419000 | FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A | 1985000 |
| 6840251 | Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A | 5260768 |
| 8400062 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 6855449 |
| 4200031 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 3427030 |
| 4025000 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a) | 3402147 |
| 11507000 | Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A | 9777950 |
| 3623000 | Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A | 2986420 |
| 5465000 | Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A | 4533944 |
| 15160000 | Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A | 12100286 |
| 7586994 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a) | 6763889 |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| 2513000 | PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a) | 2072650 |
| 6981281 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a) | 6315616 |
| 5213840 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a) | 4693558 |
| 6416453 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a) | 6367872 |
| 8130000 | Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a) | 7688489 |
| 1120000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a) | 906699 |
| 795000 | Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a) | 645079 |
| 7865000 | VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a) | 6076585 |
| 3970000 | VCAT LLC, Series 2021-NPL5, Class A2, <br>3.844%, 8/25/2051, 144A(a) | 3135595 |
|  |  | 134873207 |
|  | **ABS Other — 1.5%** | **ABS Other — 1.5%** |
| 4639217 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | 3705486 |
| 3103649 | Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A | 2260896 |
| 506400 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A | 448977 |
| 68231 | HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A | 62541 |
| 2671877 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A | 2130830 |
| 12267730 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A | 9940873 |
| 13636273 | Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a) | 11147994 |
| 758346 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 587726 |
| 1930000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A | 1882195 |
| 591860 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A | 452778 |
| 10058820 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A | 8322064 |
| 8809594 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A | 6447645 |
|  |  | 47390005 |
|  | **ABS Whole Business — 0.1%** | **ABS Whole Business — 0.1%** |
| 2290125 | Hardee's Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 1825603 |
| 761450 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 632527 |
| 133988 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A | 117485 |
|  |  | 2575615 |
|  | **Aerospace & Defense — 0.5%** | **Aerospace & Defense — 0.5%** |
| 1995000 | Boeing Co. (The), 3.625%, 3/01/2048 | 1305259 |
| 2385000 | Boeing Co. (The), 3.750%, 2/01/2050 | 1643981 |
| 4190000 | Boeing Co. (The), 3.825%, 3/01/2059 | 2678665 |
| 415000 | Boeing Co. (The), 3.850%, 11/01/2048 | 284855 |
| 6000000 | Boeing Co. (The), 3.900%, 5/01/2049 | 4212990 |

---

See accompanying notes to financial statements.

\| 56

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** |
| $3230000 | Boeing Co. (The), 5.150%, 5/01/2030 | $| 3151315 |
| 3145000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 |  | 3011337 |
|  |  |  | 16288402 |
|  | **Airlines — 1.9%** | **Airlines — 1.9%** | **Airlines — 1.9%** |
| 13096644 | Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A |  | 12285699 |
| 1144069 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 |  | 1016299 |
| 636586 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 |  | 572009 |
| 24279065 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A |  | 24138291 |
| 19826766 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 |  | 19529959 |
| 2419350 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 |  | 2277528 |
|  |  |  | 59819785 |
|  | **Automotive — 0.5%** | **Automotive — 0.5%** | **Automotive — 0.5%** |
| 1625000 | Ford Motor Co., 3.250%, 2/12/2032 |  | 1218655 |
| 8880000 | Ford Motor Co., 4.750%, 1/15/2043 |  | 6374001 |
| 1220000 | Ford Motor Co., 6.625%, 2/15/2028 |  | 1225478 |
| 1345000 | Ford Motor Co., 7.500%, 8/01/2026 |  | 1400078 |
| 2845000 | General Motors Co., 5.200%, 4/01/2045 |  | 2312332 |
| 2120000 | General Motors Co., 6.250%, 10/02/2043 |  | 1960000 |
| 540000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(b) |  | 454624 |
| 865000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b) |  | 732114 |
|  |  |  | 15677282 |
|  | **Banking — 3.3%** | **Banking — 3.3%** | **Banking — 3.3%** |
| 6000000 | Ally Financial, Inc., 8.000%, 11/01/2031 |  | 6194078 |
| 8200000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b) |  | 5483750 |
| 7500000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b) |  | 4696875 |
| 11885000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(b) |  | 9062313 |
| 9000000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 |  | 6848502 |
| 545000 | Credit Suisse Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A |  | 436844 |
| 3695000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A |  | 3783189 |
| 325000 | Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A |  | 224558 |
| 5345000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A |  | 4565120 |
| 7760000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A |  | 7285469 |
| 7690000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A |  | 7004513 |
|  | **Banking — continued** | **Banking — continued** | **Banking — continued** |
| 3730000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A |  | 3276730 |
| 2945000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 |  | 2091467 |
| 16322000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |  | 11967515 |
| 1709000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 |  | 1428414 |
| 14965000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 |  | 11040129 |
| 1830000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 |  | 1807457 |
| 2890000 | Synchrony Bank, 5.400%, 8/22/2025 |  | 2850985 |
| 5875000 | Synchrony Bank, 5.625%, 8/23/2027 |  | 5736644 |
| 14800000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A |  | 12024232 |
|  |  |  | 107808784 |
|  | **Brokerage — 0.1%** | **Brokerage — 0.1%** | **Brokerage — 0.1%** |
| 3893000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 |  | 3926135 |
|  | **Building Materials — 1.8%** | **Building Materials — 1.8%** | **Building Materials — 1.8%** |
| 39615000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A |  | 33436443 |
| 2395000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A |  | 2234264 |
| 6090000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(b) |  | 5627221 |
| 1265000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A |  | 952128 |
| 1859000 | Masco Corp., 6.500%, 8/15/2032 |  | 1903000 |
| 1226000 | Masco Corp., 7.750%, 8/01/2029 |  | 1340044 |
| 10800000 | Owens Corning, 7.000%, 12/01/2036 |  | 11429478 |
|  |  |  | 56922578 |
|  | **Cable Satellite — 5.4%** | **Cable Satellite — 5.4%** | **Cable Satellite — 5.4%** |
| 34275000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A |  | 25296492 |
| 16130000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A |  | 13076591 |
| 7180000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 |  | 5288418 |
| 17890000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 |  | 13927504 |
| 16530000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 |  | 10051360 |
| 920000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 |  | 532092 |
| 31240000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 |  | 18428478 |
| 4025000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 |  | 3444028 |
| 47615000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |  | 26313671 |
| 6030000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A |  | 3368961 |
| 16340000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A |  | 13174125 |
| 1360000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A |  | 767026 |
| 3705000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A |  | 3314715 |
| 6470000 | DISH DBS Corp., 5.125%, 6/01/2029 |  | 4173862 |
| 22190000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A |  | 18691414 |

---

See accompanying notes to financial statements.

57 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Cable Satellite — continued** | **Cable Satellite — continued** | **Cable Satellite — continued** |
| $15865000 | DISH DBS Corp., 7.750%, 7/01/2026 | $| 12793377 |
|  |  |  | 172642114 |
|  | **Chemicals — 0.7%** | **Chemicals — 0.7%** | **Chemicals — 0.7%** |
| 13380000 | Ashland LLC, 3.375%, 9/01/2031, 144A |  | 10694243 |
| 1320000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A |  | 1122605 |
| 6735000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A |  | 5217378 |
| 2825000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |  | 2744887 |
| 2080000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |  | 1977972 |
| 905000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A |  | 831469 |
|  |  |  | 22588554 |
|  | **Construction Machinery — 0.0%** | **Construction Machinery — 0.0%** | **Construction Machinery — 0.0%** |
| 1530000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A |  | 1463398 |
|  | **Consumer Cyclical Services — 2.6%** | **Consumer Cyclical Services — 2.6%** | **Consumer Cyclical Services — 2.6%** |
| 1760000 | Expedia Group, Inc., 2.950%, 3/15/2031 |  | 1415271 |
| 1465000 | Expedia Group, Inc., 3.250%, 2/15/2030 |  | 1242752 |
| 10550000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A |  | 8832375 |
| 9620000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A |  | 7909564 |
| 8665000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A |  | 7549425 |
| 18350000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A |  | 17615998 |
| 38025000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |  | 38051617 |
| 1125000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A |  | 1128872 |
|  |  |  | 83745874 |
|  | **Consumer Products — 0.5%** | **Consumer Products — 0.5%** | **Consumer Products — 0.5%** |
| 11880000 | Avon Products, Inc., 8.450%, 3/15/2043 |  | 11373912 |
| 6110000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A |  | 4985821 |
|  |  |  | 16359733 |
|  | **Electric — 0.8%** | **Electric — 0.8%** | **Electric — 0.8%** |
| 18971081 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |  | 18748963 |
| 3570000 | Enel Generacion Chile S.A., 7.875%, 2/01/2027 |  | 3766350 |
| 2475000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 |  | 2440619 |
|  |  |  | 24955932 |
|  | **Finance Companies — 5.2%** | **Finance Companies — 5.2%** | **Finance Companies — 5.2%** |
| 10600000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b) |  | 8858631 |
| 3585000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(b) |  | 2760450 |
| 11555000 | Ares Capital Corp., 3.200%, 11/15/2031 |  | 8479637 |
| 2145000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A |  | 1867390 |
| 5955000 | Barings BDC, Inc., 3.300%, 11/23/2026 |  | 5047329 |
| 7650000 | FS KKR Capital Corp., 3.125%, 10/12/2028 |  | 6167198 |
| 5351000 | FS KKR Capital Corp., 3.400%, 1/15/2026 |  | 4745016 |
| 14755000 | Hercules Capital, Inc., 3.375%, 1/20/2027 |  | 12650048 |
| 135000 | Navient Corp., 5.000%, 3/15/2027 |  | 118181 |
| 3030000 | Navient Corp., 5.875%, 10/25/2024 |  | 2931677 |
| 950000 | Navient Corp., 6.750%, 6/15/2026 |  | 900397 |
| 4774000 | Navient Corp., MTN, 6.125%, 3/25/2024 |  | 4676702 |
| 2905000 | Navient Corp., Series A, 5.625%, 8/01/2033 |  | 2069480 |
| 1796000 | OneMain Finance Corp., 3.500%, 1/15/2027 |  | 1487034 |
| 8855000 | OneMain Finance Corp., 4.000%, 9/15/2030 |  | 6607066 |
| 4075000 | OneMain Finance Corp., 7.125%, 3/15/2026 |  | 3874836 |
|  | **Finance Companies — continued** | **Finance Companies — continued** | **Finance Companies — continued** |
| 7175000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 |  | 5633626 |
| 14750000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 |  | 13540772 |
| 7155000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A |  | 6478708 |
| 25975000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A |  | 22264793 |
| 13540000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A |  | 10729611 |
| 37540000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |  | 28653360 |
| 9630000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A |  | 7192262 |
|  |  |  | 167734204 |
|  | **Financial Other — 2.0%** | **Financial Other — 2.0%** | **Financial Other — 2.0%** |
| 1650000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 |  | 875110 |
| 1120000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 |  | 508077 |
| 1225000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 |  | 649813 |
| 6150000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 |  | 2845482 |
| 2060000 | Central China Real Estate Ltd., 7.250%, 4/24/2023 |  | 887910 |
| 4720000 | Central China Real Estate Ltd., 7.250%, 7/16/2024 |  | 1338734 |
| 1260000 | Central China Real Estate Ltd., 7.250%, 8/13/2024 |  | 352561 |
| 3260000 | Central China Real Estate Ltd., 7.500%, 7/14/2025 |  | 896025 |
| 4415000 | Central China Real Estate Ltd., 7.650%, 8/27/2023 |  | 1578892 |
| 1305000 | Central China Real Estate Ltd., 7.750%, 5/24/2024 |  | 403101 |
| 2370000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(c)(d) |  | 269327 |
| 800000 | CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(c)(d) |  | 88000 |
| 2835000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(c)(d) |  | 330533 |
| 2520000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(c)(d) |  | 288893 |
| 2955000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(c)(d) |  | 351338 |
| 4045000 | CFLD Cayman Investment Ltd., 9.000%, 7/31/2023(c)(d) |  | 447134 |
| 1035000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(c) |  | 84632 |
| 2400000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(c) |  | 196272 |
| 1240000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(c) |  | 104445 |
| 1800000 | China Evergrande Group, 8.250%, 3/23/2022(c) |  | 127494 |
| 4045000 | China Evergrande Group, 8.750%, 6/28/2025(c) |  | 292089 |
| 1405000 | China Evergrande Group, 9.500%, 4/11/2022(c) |  | 100415 |
| 335000 | China Evergrande Group, 9.500%, 3/29/2024(c) |  | 23705 |
| 4060000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 |  | 1047196 |
| 24490000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |  | 20709968 |
| 3580000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 |  | 3277848 |
| 6925000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(c) |  | 942562 |
| 1415000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(c) |  | 191577 |
| 1600000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(c) |  | 216752 |
| 8085000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(c) |  | 1094547 |
| 7075000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(c) |  | 956611 |

---

See accompanying notes to financial statements.

\| 58

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Financial Other — continued** | **Financial Other — continued** | **Financial Other — continued** |
| $4795000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(c) | $| 650346 |
| 1380000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 |  | 525435 |
| 3760000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 |  | 1467378 |
| 3345000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(e) |  | 746671 |
| 1320000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(e) |  | 297238 |
| 11820000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A |  | 9638162 |
| 2880000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c) |  | 515520 |
| 400000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c) |  | 73624 |
| 1830000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c) |  | 329400 |
| 280000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(c) |  | 51867 |
| 1970000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c) |  | 367760 |
| 425000 | Sunac China Holdings Ltd., 5.950%, 4/26/2024(c) |  | 91303 |
| 3610000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025(c) |  | 771818 |
| 8570000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(c) |  | 1825496 |
| 290000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(c) |  | 62156 |
| 4000000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025(c) |  | 855120 |
| 720000 | Times China Holdings Ltd., 5.750%, 1/14/2027 |  | 117007 |
| 4030000 | Times China Holdings Ltd., 6.200%, 3/22/2026 |  | 653303 |
| 23285000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c) |  | 2150603 |
| 1245000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(c) |  | 115237 |
| 9395000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(c) |  | 870353 |
| 5345000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(c) |  | 494573 |
| 3155000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(c) |  | 292279 |
| 4535000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c) |  | 227067 |
| 365000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c) |  | 17987 |
| 715000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(c) |  | 34677 |
|  |  |  | 64719423 |
|  | **Food & Beverage — 1.3%** | **Food & Beverage — 1.3%** | **Food & Beverage — 1.3%** |
| 6525000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A |  | 6082735 |
| 635000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A |  | 620713 |
| 24285000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A |  | 18640775 |
| 11860000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032, 144A |  | 9270488 |
| 10455000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A |  | 8789106 |
|  |  |  | 43403817 |
|  | **Gaming — 1.4%** | **Gaming — 1.4%** | **Gaming — 1.4%** |
| 12960000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A |  | 9649330 |
| 3845000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 |  | 3073634 |
| 12590000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A |  | 12009727 |
| 740000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A |  | 710400 |
|  | **Gaming — continued** | **Gaming — continued** | **Gaming — continued** |
| 6885000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A |  | 6423180 |
| 5680000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A |  | 5345320 |
| 4920000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A |  | 4717050 |
| 4050000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A |  | 4010553 |
|  |  |  | 45939194 |
|  | **Government Owned – No Guarantee — 1.4%** | **Government Owned – No Guarantee — 1.4%** | **Government Owned – No Guarantee — 1.4%** |
| 495000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A |  | 396532 |
| 585000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A |  | 472912 |
| 20000000 | Antares Holdings LP, 8.500%, 5/18/2025, 144A |  | 20417809 |
| 4085000 | EcoPetrol S.A., 4.625%, 11/02/2031 |  | 3120286 |
| 6535000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A |  | 6512368 |
| 6586000 | Petroleos Mexicanos, 6.625%, 6/15/2035 |  | 4777532 |
| 12239000 | Petroleos Mexicanos, 6.950%, 1/28/2060 |  | 7735337 |
|  |  |  | 43432776 |
|  | **Health Insurance — 0.9%** | **Health Insurance — 0.9%** | **Health Insurance — 0.9%** |
| 21450000 | Centene Corp., 2.500%, 3/01/2031 |  | 16784048 |
| 6390000 | Centene Corp., 2.625%, 8/01/2031 |  | 5021262 |
| 4510000 | Centene Corp., 3.000%, 10/15/2030 |  | 3697069 |
| 4280000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A |  | 3554281 |
|  |  |  | 29056660 |
|  | **Healthcare — 0.3%** | **Healthcare — 0.3%** | **Healthcare — 0.3%** |
| 1980000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A |  | 1751112 |
| 2110000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A |  | 1825150 |
| 6380000 | HCA, Inc., 4.125%, 6/15/2029 |  | 5824245 |
|  |  |  | 9400507 |
|  | **Home Construction — 0.7%** | **Home Construction — 0.7%** | **Home Construction — 0.7%** |
| 23546000 | PulteGroup, Inc., 6.000%, 2/15/2035 |  | 22513781 |
|  | **Independent Energy — 5.0%** | **Independent Energy — 5.0%** | **Independent Energy — 5.0%** |
| 12155000 | Aker BP ASA, 4.000%, 1/15/2031, 144A |  | 10652605 |
| 10240000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A |  | 7584647 |
| 37116000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A |  | 34549812 |
| 6210000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A |  | 5557950 |
| 8120000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A |  | 7074550 |
| 1765000 | EQT Corp., 3.125%, 5/15/2026, 144A |  | 1622097 |
| 7740000 | EQT Corp., 3.625%, 5/15/2031, 144A |  | 6559156 |
| 7670000 | EQT Corp., 3.900%, 10/01/2027 |  | 7080677 |
| 1535000 | EQT Corp., 5.000%, 1/15/2029 |  | 1440994 |
| 2120000 | EQT Corp., 5.678%, 10/01/2025 |  | 2109696 |
| 1460000 | EQT Corp., 5.700%, 4/01/2028 |  | 1452155 |
| 1555000 | EQT Corp., 6.125%, 2/01/2025 |  | 1558654 |
| 550000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A |  | 538043 |
| 10835000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A |  | 10510058 |
| 370000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 |  | 373400 |
| 32720000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 |  | 33812194 |
| 590000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 |  | 651360 |
| 590000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 |  | 666113 |
| 10085000 | Ovintiv, Inc., 6.500%, 8/15/2034 |  | 10148004 |
| 540000 | Ovintiv, Inc., 6.500%, 2/01/2038 |  | 535002 |
| 2715000 | Ovintiv, Inc., 6.625%, 8/15/2037 |  | 2730601 |

---

See accompanying notes to financial statements.

59 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  | **Independent Energy — continued** | **Independent Energy — continued** | **Independent Energy — continued** |
| $360000 | Ovintiv, Inc., 7.200%, 11/01/2031 | $| 377858 |
| 1200000 | Ovintiv, Inc., 7.375%, 11/01/2031 |  | 1277264 |
| 1495000 | Ovintiv, Inc., 8.125%, 9/15/2030 |  | 1640549 |
| 17908000 | Sanchez Energy Corp., 6.125%, 1/15/2023(c) |  | 246235 |
| 9520000 | Sanchez Energy Corp., 7.750%, 6/15/2021(c) |  | 130900 |
| 1295000 | Southwestern Energy Co., 4.750%, 2/01/2032 |  | 1106694 |
| 151000 | Southwestern Energy Co., 5.700%, 1/23/2025 |  | 148357 |
| 3035000 | Var Energi ASA, 7.500%, 1/15/2028, 144A |  | 3091456 |
| 6875000 | Var Energi ASA, 8.000%, 11/15/2032, 144A |  | 7099935 |
|  |  |  | 162327016 |
|  | **Industrial Other — 0.1%** | **Industrial Other — 0.1%** | **Industrial Other — 0.1%** |
| 3985000 | TopBuild Corp., 4.125%, 2/15/2032, 144A |  | 3238251 |
|  | **Leisure — 1.0%** | **Leisure — 1.0%** | **Leisure — 1.0%** |
| 8710000 | Carnival Corp., 5.750%, 3/01/2027, 144A |  | 6219288 |
| 6065000 | Carnival Corp., 6.000%, 5/01/2029, 144A |  | 4041607 |
| 6575000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A |  | 5164465 |
| 5085000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A |  | 4401373 |
| 2415000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A |  | 1782805 |
| 230000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A |  | 185920 |
| 12300000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A |  | 9815953 |
|  |  |  | 31611411 |
|  | **Life Insurance — 1.2%** | **Life Insurance — 1.2%** | **Life Insurance — 1.2%** |
| 3965000 | Athene Global Funding, 1.716%, 1/07/2025, 144A |  | 3658154 |
| 20000000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |  | 26103400 |
| 8920000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |  | 9795230 |
|  |  |  | 39556784 |
|  | **Lodging — 1.0%** | **Lodging — 1.0%** | **Lodging — 1.0%** |
| 7620000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A |  | 6102096 |
| 1745000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A |  | 1424187 |
| 5385000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A |  | 4631100 |
| 4155000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A |  | 3447097 |
| 13015000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A |  | 10605014 |
| 7670000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A |  | 6360504 |
| 680000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A |  | 665218 |
|  |  |  | 33235216 |
|  | **Media Entertainment — 1.8%** | **Media Entertainment — 1.8%** | **Media Entertainment — 1.8%** |
| 3925000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A |  | 3196284 |
| 1925000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A |  | 1630635 |
| 4380000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 |  | 3724872 |
| 1325000 | Netflix, Inc., 4.875%, 4/15/2028 |  | 1279402 |
| 14565000 | Netflix, Inc., 4.875%, 6/15/2030, 144A |  | 13583305 |
| 1805000 | Netflix, Inc., 5.375%, 11/15/2029, 144A |  | 1750850 |
| 8735000 | Netflix, Inc., 5.875%, 11/15/2028 |  | 8853185 |
| 11900000 | Netflix, Inc., 6.375%, 5/15/2029 |  | 12248520 |
| 3070000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A |  | 2660800 |
| 10960000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A |  | 9036739 |
|  |  |  | 57964592 |
|  | **Metals & Mining — 2.7%** | **Metals & Mining — 2.7%** | **Metals & Mining — 2.7%** |
| 14335000 | ArcelorMittal S.A., 6.750%, 3/01/2041 |  | 13823236 |
| 2630000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A |  | 2490667 |
| 35930000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A |  | 33710361 |
| 1810000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A |  | 1761746 |
| 9590000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A |  | 7975845 |
| 22815000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 |  | 21546079 |
| 6230000 | JSW Steel Ltd., 5.050%, 4/05/2032, 144A |  | 4915653 |
| 1900000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A |  | 1636937 |
|  |  |  | 87860524 |
|  | **Midstream — 1.2%** | **Midstream — 1.2%** | **Midstream — 1.2%** |
| 11365000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 |  | 9400333 |
| 1430000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 |  | 1378139 |
| 8515000 | Energy Transfer LP, 5.750%, 2/15/2033 |  | 8330735 |
| 2530000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A |  | 2162950 |
| 2760000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A |  | 2688475 |
| 505000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |  | 525461 |
| 320000 | Targa Resources Corp., 5.200%, 7/01/2027 |  | 313642 |
| 3515000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 |  | 2954920 |
| 880000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 |  | 794596 |
| 885000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 |  | 832714 |
| 1750000 | Western Midstream Operating LP, 4.300%, 2/01/2030 |  | 1527610 |
| 4055000 | Western Midstream Operating LP, 5.300%, 3/01/2048 |  | 3334130 |
| 745000 | Western Midstream Operating LP, 5.450%, 4/01/2044 |  | 618886 |
| 560000 | Western Midstream Operating LP, 5.500%, 8/15/2048 |  | 464785 |
| 2310000 | Western Midstream Operating LP, 5.500%, 2/01/2050 |  | 1902978 |
|  |  |  | 37230354 |
|  | **Non-Agency Commercial Mortgage-Backed Securities — 1.9%** | **Non-Agency Commercial Mortgage-Backed Securities — 1.9%** | **Non-Agency Commercial Mortgage-Backed Securities — 1.9%** |
| 335000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A |  | 290141 |
| 7375000 | BPR Trust, Series 2021-NRD, Class F, 1-month SOFR + 6.870%, 11.196%, 12/15/2038, 144A(f) |  | 6486339 |
| 9897160 | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.909%, 9/10/2045, 144A(a) |  | 9327178 |
| 119110 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A |  | 102123 |
| 516522 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a) |  | 515559 |
| 2925000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A |  | 2482857 |
| 1690000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A |  | 1242976 |
| 7680000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.550%, 3/05/2033, 144A(a) |  | 6326865 |
| 2535000 | GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.650%, 4/10/2031, 144A(a) |  | 2451997 |

---

See accompanying notes to financial statements.

\| 60

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Non-Agency Commercial Mortgage-Backed Securities — continued** | **Non-Agency Commercial Mortgage-Backed Securities — continued** |
| $5785000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.686%, 6/10/2047, 144A(a) | 5114490 |
| 290000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.064%, 12/15/2047, 144A(a) | 268884 |
| 3110000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a) | 2888522 |
| 4010000 | MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 6.118%, 11/15/2038, 144A(f) | 3809713 |
| 1135000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.398%, 8/15/2046(a) | 837650 |
| 2630755 | Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.164%, 3/15/2045, 144A(a) | 2429462 |
| 5285000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.296%, 7/15/2046(a) | 5010994 |
| 4340000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050 | 3736689 |
| 1315000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1219836 |
| 4000000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.529%, 8/15/2046(a) | 3411930 |
| 2612000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.529%, 8/15/2046(a) | 2126781 |
| 940000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 808880 |
|  |  | 60889866 |
|  | **Paper — 0.1%** | **Paper — 0.1%** |
| 2055000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 2309024 |
|  | **Pharmaceuticals — 1.8%** | **Pharmaceuticals — 1.8%** |
| 16925000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 10765008 |
| 9205000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 4418348 |
| 765000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 369761 |
| 1309000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 1130282 |
| 7750000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 6812767 |
| 3295000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 2881478 |
| 21480000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 13133415 |
| 12705000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 11484046 |
| 8725000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 7770024 |
|  |  | 58765129 |
|  | **Property & Casualty Insurance — 0.3%** | **Property & Casualty Insurance — 0.3%** |
| 12510000 | MBIA Insurance Corp., 3-month LIBOR + 11.260%, 15.339%, 1/15/2033, 144A(e)(f)(g) | 1251000 |
| 10900000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 8352967 |
|  |  | 9603967 |
|  | **REITs – Diversified — 0.1%** | **REITs – Diversified — 0.1%** |
| 2735000 | EPR Properties, 3.600%, 11/15/2031 | 1981511 |
|  | **Restaurants — 0.5%** | **Restaurants — 0.5%** |
| 19175000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 16949296 |
|  | **Retailers — 0.4%** | **Retailers — 0.4%** |
| 3325000 | Dillard's, Inc., 7.000%, 12/01/2028 | 3291085 |
| 1500000 | Dillard's, Inc., 7.750%, 7/15/2026 | 1547955 |
| 3975000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 3276155 |
| 6365000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 5624433 |
|  |  | 13739628 |
|  | **Supermarkets — 0.1%** | **Supermarkets — 0.1%** |
| 2290000 | Safeway, Inc., 7.250%, 2/01/2031 | 2272459 |
|  | **Technology — 4.5%** | **Technology — 4.5%** |
| 10205000 | Avnet, Inc., 5.500%, 6/01/2032 | 9423294 |
| 5770000 | Block, Inc., 3.500%, 6/01/2031 | 4604027 |
| 3800000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 2794012 |
| 8435000 | Broadcom, Inc., 4.150%, 11/15/2030 | 7559044 |
| 1480000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 1313971 |
| 1735000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 1477682 |
| 18245000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 15034541 |
| 400000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 368132 |
| 15295000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 10388388 |
| 14915000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 12024473 |
| 13035000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 11887103 |
| 1215000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 1043644 |
| 1475000 | Global Payments, Inc., 2.900%, 11/15/2031 | 1163138 |
| 2290000 | Global Payments, Inc., 5.300%, 8/15/2029 | 2213904 |
| 4965000 | Global Payments, Inc., 5.400%, 8/15/2032 | 4728420 |
| 13195000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 11508679 |
| 12925000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 13128916 |
| 5050000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 3899906 |
| 1360000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 1303415 |
| 2735000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 2735000 |
| 12565000 | Oracle Corp., 3.950%, 3/25/2051 | 8951799 |
| 3860000 | Oracle Corp., 6.150%, 11/09/2029 | 4006548 |
| 5200000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 4485000 |
| 3725000 | Western Digital Corp., 2.850%, 2/01/2029 | 2881921 |
| 7515000 | Western Digital Corp., 4.750%, 2/15/2026 | 7077026 |
|  |  | 146001983 |
|  | **Transportation Services — 0.5%** | **Transportation Services — 0.5%** |
| 4150000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A | 3044108 |
| 14685000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 12890095 |
| 1240000 | GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A | 1074881 |
| 255000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 237186 |
|  |  | 17246270 |
|  | **Treasuries — 14.5%** | **Treasuries — 14.5%** |
| 55170000 | U.S. Treasury Bond, 2.250%, 2/15/2052 | 38364701 |
| 23325000 | U.S. Treasury Bond, 3.250%, 5/15/2042 | 20449465 |
| 127470000 | U.S. Treasury Note, 0.125%, 2/28/2023 | 126619683 |
| 25065000 | U.S. Treasury Note, 0.125%, 4/30/2023 | 24720356 |
| 12675000 | U.S. Treasury Note, 0.250%, 9/30/2023 | 12253655 |
| 137335000 | U.S. Treasury Note, 0.500%, 11/30/2023 | 132131292 |
| 71835000 | U.S. Treasury Note, 0.875%, 1/31/2024(h) | 68925121 |

---

See accompanying notes to financial statements.

61 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | **Treasuries — continued** | **Treasuries — continued** |
| $45765000 | U.S. Treasury Note, 1.500%, 2/29/2024 | 44113170 |
|  |  | 467577443 |
|  | **Wireless — 3.0%** | **Wireless — 3.0%** |
| 10875000 | CT Trust, 5.125%, 2/03/2032, 144A | 9568260 |
| 1200000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 1104000 |
| 20720000 | HTA Group Ltd., 7.000%, 12/18/2025 | 19062400 |
| 6140000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 5068570 |
| 6140000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 4952278 |
| 7228000 | IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A | 6355291 |
| 2015000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 1910986 |
| 17545000 | SBA Communications Corp., 3.125%, 2/01/2029 | 14588492 |
| 8849000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 7265383 |
| 4091000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 3272800 |
| 27610000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 24318046 |
|  |  | 97466506 |
|  | **Wirelines — 0.3%** | **Wirelines — 0.3%** |
| 350000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 305344 |
| 490000 | Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A | 352531 |
| 3409000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 2576181 |
| 7960000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 6511996 |
|  |  | 9746052 |
|  | Total Non-Convertible Bonds <br>(Identified Cost $3,087,644,547) | 2582786191 |
| **Convertible Bonds — 7.7%** | **Convertible Bonds — 7.7%** | **Convertible Bonds — 7.7%** |
|  | **Airlines — 0.6%** | **Airlines — 0.6%** |
| 16795000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 20170795 |
|  | **Cable Satellite — 2.8%** | **Cable Satellite — 2.8%** |
| 125000 | Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(i) | 98188 |
| 143750000 | DISH Network Corp., 3.375%, 8/15/2026 | 90059375 |
|  |  | 90157563 |
|  | **Consumer Cyclical Services — 0.4%** | **Consumer Cyclical Services — 0.4%** |
| 455000 | Peloton Interactive, Inc., Zero Coupon, 0.519%-0.571%, 2/15/2026(j) | 322090 |
| 13205000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(j) | 11152811 |
| 1200000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 1209000 |
|  |  | 12683901 |
|  | **Consumer Products — 0.0%** | **Consumer Products — 0.0%** |
| 895000 | Beauty Health Co. (The), 1.250%, 10/01/2026, 144A | 676620 |
|  | **Gaming — 0.1%** | **Gaming — 0.1%** |
| 2195000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 3235430 |
|  | **Healthcare — 0.9%** | **Healthcare — 0.9%** |
| 4105000 | Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A | 4133324 |
| 32010000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 24589916 |
|  |  | 28723240 |
|  | **Leisure — 0.2%** | **Leisure — 0.2%** |
| 9760000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 6685014 |
|  | **Media Entertainment — 0.4%** | **Media Entertainment — 0.4%** |
| 5925000 | Bilibili, Inc., 0.500%, 12/01/2026 | 4354875 |
| 5645000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(j) | 3943033 |
|  | **Media Entertainment — continued** | **Media Entertainment — continued** |
| 5100000 | Spotify USA, Inc., Zero Coupon,<br> 5.189%-5.873%, 3/15/2026(j) | 4105500 |
|  |  | 12403408 |
|  | **Pharmaceuticals — 1.5%** | **Pharmaceuticals — 1.5%** |
| 7490000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 7949137 |
| 27195000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 29222682 |
| 5015000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(i) | 4629472 |
| 9665000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 8460547 |
|  |  | 50261838 |
|  | **Technology — 0.8%** | **Technology — 0.8%** |
| 315000 | Bentley Systems, Inc., 0.375%, 7/01/2027 | 256410 |
| 5380000 | Nutanix, Inc., 0.250%, 10/01/2027 | 4500370 |
| 4545000 | RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(j) | 3567825 |
| 11790000 | Splunk, Inc., 1.125%, 6/15/2027 | 9948402 |
| 5165000 | Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(j) | 3866002 |
| 1215000 | Wolfspeed, Inc., 0.250%, 2/15/2028, 144A | 1050368 |
| 1520000 | Wolfspeed, Inc., 1.875%, 12/01/2029, 144A | 1368760 |
|  |  | 24558137 |
|  | Total Convertible Bonds<br>(Identified Cost $335,054,959) | 249555946 |
| **Municipals — 1.8%** | **Municipals — 1.8%** | **Municipals — 1.8%** |
|  | **Virginia — 1.8%** | **Virginia — 1.8%** |
| 64380000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $64,374,520) | 57996137 |
|  | Total Bonds and Notes <br>(Identified Cost $3,487,074,026) | 2890338274 |
| **Senior Loans — 0.4%** | **Senior Loans — 0.4%** | **Senior Loans — 0.4%** |
|  | **Independent Energy — 0.4%** | **Independent Energy — 0.4%** |
| 12660000 | Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 12.941%, 11/01/2025(f)(k) | 13343640 |
|  | Total Senior Loans <br>(Identified Cost $12,660,906) | 13343640 |
| **Collateralized Loan Obligations — 4.0%** | **Collateralized Loan Obligations — 4.0%** | **Collateralized Loan Obligations — 4.0%** |
| 6730000 | 522 Funding CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 7.343%, 10/20/2031, 144A(f) | 6270233 |
| 4475000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 5.843%, 7/20/2034, 144A(f) | 4267861 |
| 4955000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 7.093%, 7/20/2034, 144A(f) | 4476030 |
| 1245000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 7.179%, 7/15/2034, 144A(f) | 1150945 |
| 4390000 | AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 7.275%, 4/22/2034, 144A(f) | 4053186 |
| 3780000 | AIG CLO LLC, Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 7.293%, 7/20/2034, 144A(f) | 3490165 |

---

See accompanying notes to financial statements.

\| 62

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br>Amount** | **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| $| 2675000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 7.079%, 10/15/2034, 144A(f) | $| 2473503 |
|  | 3025000 | Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 7.458%, 7/25/2034, 144A(f) |  | 2785889 |
|  | 890000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 6.075%, 11/20/2030, 144A(f) |  | 856389 |
|  | 1505000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 7.079%, 1/17/2032, 144A(f) |  | 1382559 |
|  | 3530000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 7.193%, 7/20/2032, 144A(f) |  | 3221058 |
|  | 3095000 | CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 7.329%, 7/15/2034, 144A(f) |  | 2922785 |
|  | 4775000 | Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 7.663%, 7/20/2034, 144A(f) |  | 4186634 |
|  | 5230000 | Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 7.343%, 10/20/2034, 144A(f) |  | 4951319 |
|  | 2890000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 7.093%, 1/20/2034, 144A(f) |  | 2708667 |
|  | 980000 | LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 6.243%, 4/20/2031, 144A(f) |  | 892999 |
|  | 2965000 | LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 7.243%, 4/20/2031, 144A(f) |  | 2530888 |
|  | 10665000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 7.558%, 7/27/2031, 144A(f) |  | 9934949 |
|  | 990000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 7.325%, 1/23/2031, 144A(f) |  | 923372 |
|  | 6010000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 5.729%, 7/15/2034, 144A(f) |  | 5785172 |
|  | 8055000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 7.343%, 7/20/2032, 144A(f) |  | 7250128 |
|  | 7155000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 7.229%, 7/15/2034, 144A(f) |  | 6772530 |
|  | 3125000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 7.379%, 7/15/2036, 144A(f) |  | 2810656 |
|  | 8250000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 5.893%, 7/02/2035, 144A(f) |  | 7962050 |
|  | 6450000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 7.143%, 7/02/2035, 144A(f) |  | 6027067 |
|  | 9695000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 5.727%, 10/17/2031, 144A(f) |  | 9364178 |
|  | 970000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 6.375%, 5/21/2034, 144A(f) |  | 927721 |
|  | 7615000 | Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 7.525%, 5/21/2034, 144A(f) |  | 7092588 |
|  | 12510000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 10.129%, 10/15/2034, 144A(f) |  | 11265605 |
|  | 400000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 7.193%, 1/20/2031, 144A(f) |  | 342949 |
|  | 1540000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 7.993%, 10/20/2034, 144A(f) |  | 1376572 |
|  |  | Total Collateralized Loan Obligations <br>(Identified Cost $140,547,562) |  | 130456647 |
| **Shares** | **Shares** |  |  |  |
|  | **Common Stocks — 2.1%** | **Common Stocks — 2.1%** | **Common Stocks — 2.1%** | **Common Stocks — 2.1%** |
|  |  | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** |
|  | 4489 | Lockheed Martin Corp. |  | 2183854 |
|  |  | **Air Freight & Logistics — 0.1%** | **Air Freight & Logistics — 0.1%** | **Air Freight & Logistics — 0.1%** |
|  | 10375 | United Parcel Service, Inc., Class B |  | 1803590 |
|  |  | **Beverages — 0.1%** | **Beverages — 0.1%** | **Beverages — 0.1%** |
|  | 30389 | Coca-Cola Co. (The) |  | 1933044 |
|  |  | **Biotechnology — 0.1%** | **Biotechnology — 0.1%** | **Biotechnology — 0.1%** |
|  | 17653 | AbbVie, Inc. |  | 2852901 |
|  |  | **Capital Markets — 0.1%** | **Capital Markets — 0.1%** | **Capital Markets — 0.1%** |
|  | 1367 | BlackRock, Inc. |  | 968697 |
|  | 14458 | Morgan Stanley |  | 1229219 |
|  |  |  |  | 2197916 |
|  |  | **Communications Equipment — 0.0%** | **Communications Equipment — 0.0%** | **Communications Equipment — 0.0%** |
|  | 17796 | Cisco Systems, Inc. |  | 847801 |
|  |  | **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** |
|  | 6025 | Packaging Corp. of America |  | 770658 |
|  |  | **Electric Utilities — 0.1%** | **Electric Utilities — 0.1%** | **Electric Utilities — 0.1%** |
|  | 11765 | Duke Energy Corp. |  | 1211677 |
|  | 20873 | NextEra Energy, Inc. |  | 1744983 |
|  |  |  |  | 2956660 |
|  |  | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** |
|  | 9130 | Emerson Electric Co. |  | 877028 |
|  |  | **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** |
|  | 1651 | Costco Wholesale Corp. |  | 753682 |
|  | 11162 | Walmart, Inc. |  | 1582660 |
|  |  |  |  | 2336342 |
|  |  | **Health Care Equipment & Supplies — 0.0%** | **Health Care Equipment & Supplies — 0.0%** | **Health Care Equipment & Supplies — 0.0%** |
|  | 13649 | Abbott Laboratories |  | 1498524 |
|  |  | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** |
|  | 3068 | Elevance Health, Inc. |  | 1573792 |
|  | 2911 | UnitedHealth Group, Inc. |  | 1543354 |
|  |  |  |  | 3117146 |
|  |  | **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** |
|  | 19980 | Starbucks Corp. |  | 1982016 |
|  |  | **Household Products — 0.1%** | **Household Products — 0.1%** | **Household Products — 0.1%** |
|  | 16952 | Procter & Gamble Co. (The) |  | 2569245 |
|  |  | **IT Services — 0.0%** | **IT Services — 0.0%** | **IT Services — 0.0%** |
|  | 4234 | Accenture PLC, Class A |  | 1129801 |
|  |  | **Life Sciences Tools & Services — 0.0%** | **Life Sciences Tools & Services — 0.0%** | **Life Sciences Tools & Services — 0.0%** |
|  | 2129 | Thermo Fisher Scientific, Inc. |  | 1172419 |
|  |  | **Machinery — 0.1%** | **Machinery — 0.1%** | **Machinery — 0.1%** |
|  | 3472 | Cummins, Inc. |  | 841231 |
|  | 3928 | Deere & Co. |  | 1684169 |
|  |  |  |  | 2525400 |

---

See accompanying notes to financial statements.

63 \|

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value (†)** |
|  | **Media — 0.3%** | **Media — 0.3%** |
| 1317588 | Altice USA, Inc., Class A(e) | $6060905 |
| 51804 | Comcast Corp., Class A | 1811586 |
| 461939 | iHeartMedia, Inc., Class A(e) | 2831686 |
|  |  | 10704177 |
|  | **Metals & Mining — 0.0%** | **Metals & Mining — 0.0%** |
| 23547 | Newmont Corp. | 1111418 |
|  | **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** |
| 9229 | Battalion Oil Corp.(e) | 89614 |
| 4515 | Devon Energy Corp. | 277718 |
| 6673 | Pioneer Natural Resources Co. | 1524046 |
| 36947 | Williams Cos., Inc. (The) | 1215556 |
|  |  | 3106934 |
|  | **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** |
| 15260 | Bristol-Myers Squibb Co. | 1097957 |
| 14218 | Johnson & Johnson | 2511610 |
| 13996 | Merck & Co., Inc. | 1552856 |
|  |  | 5162423 |
|  | **Professional Services — 0.0%** | **Professional Services — 0.0%** |
| 5336 | Clarivate PLC(e) | 44502 |
|  | **REITs – Diversified — 0.1%** | **REITs – Diversified — 0.1%** |
| 6633 | American Tower Corp. | 1405268 |
| 170849 | NexPoint Diversified Real Estate Trust | 1915217 |
|  |  | 3320485 |
|  | **Road & Rail — 0.0%** | **Road & Rail — 0.0%** |
| 5939 | Union Pacific Corp. | 1229789 |
|  | **Semiconductors & Semiconductor Equipment — 0.2%** | **Semiconductors & Semiconductor Equipment — 0.2%** |
| 3520 | Broadcom, Inc. | 1968138 |
| 22093 | Microchip Technology, Inc. | 1552033 |
| 15863 | QUALCOMM, Inc. | 1743978 |
|  |  | 5264149 |
|  | **Software — 0.1%** | **Software — 0.1%** |
| 23768 | IQOR U.S., Inc.(e) | 166376 |
| 7870 | Microsoft Corp. | 1887383 |
|  |  | 2053759 |
|  | **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** |
| 4124 | Home Depot, Inc. (The) | 1302607 |
|  | **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** |
| 12556 | Apple, Inc. | 1631401 |
|  | Total Common Stocks<br>(Identified Cost $99,846,086) | 67685989 |
| **Preferred Stocks — 2.1%** | **Preferred Stocks — 2.1%** | **Preferred Stocks — 2.1%** |
| **Convertible Preferred Stocks — 1.7%** | **Convertible Preferred Stocks — 1.7%** | **Convertible Preferred Stocks — 1.7%** |
|  | **Banking — 0.7%** | **Banking — 0.7%** |
| 11789 | Bank of America Corp., Series L, 7.250% | 13675240 |
| 7500 | Wells Fargo & Co., Class A, Series L, 7.500% | 8887500 |
|  |  | 22562740 |
|  | **Midstream — 0.3%** | **Midstream — 0.3%** |
| 238087 | El Paso Energy Capital Trust I, 4.750% | 10723224 |
|  | **Technology — 0.1%** | **Technology — 0.1%** |
| 121037 | Clarivate PLC, Series A, 5.250% | 4584882 |
|  | **Wireless — 0.6%** | **Wireless — 0.6%** |
| 15317 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 17522954 |
|  | Total Convertible Preferred Stocks <br>(Identified Cost $65,485,893) | 55393800 |
| **Non-Convertible Preferred Stocks — 0.4%** | **Non-Convertible Preferred Stocks — 0.4%** | **Non-Convertible Preferred Stocks — 0.4%** |
|  | **Home Construction — 0.1%** | **Home Construction — 0.1%** |
| 208246 | Hovnanian Enterprises, Inc., 7.625% | 3956674 |
|  | **REITs – Diversified — 0.0%** | **REITs – Diversified — 0.0%** |
| 10425 | iStar, Inc., Series G, 7.650% | 255725 |
|  | **REITs – Office Property — 0.1%** | **REITs – Office Property — 0.1%** |
| 1596 | Highwoods Properties, Inc., Series A, 8.625%(g) | 1651680 |
|  | **REITs – Warehouse/Industrials — 0.2%** |  |
| 116192 | Prologis, Inc., Series Q, 8.540% | 6407989 |
|  | Total Non-Convertible Preferred Stocks<br>(Identified Cost $8,520,630) | 12272068 |
|  | Total Preferred Stocks<br>(Identified Cost $74,006,523) | 67665868 |
| **Principal<br>Amount** |  |  |
| **Short-Term Investments — 0.1%** | **Short-Term Investments — 0.1%** | **Short-Term Investments — 0.1%** |
| $2163711 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $2,164,144 on 1/03/2023 collateralized by $1,095,900 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $2,207,022 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,163,711) | 2163711 |
|  | Total Investments — 98.3%<br>(Identified Cost $3,816,298,814) | 3171654129 |
|  | Other assets less liabilities — 1.7% | 54254121 |
|  | Net Assets — 100.0% | $3225908250 |

---

---

| | |
|:---|:---|
| (†) | See Note 2 of Notes to Financial Statements. |
| (a) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. |
| (b) | Perpetual bond with no specified maturity date. |
| (c) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (d) | Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows: |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value** | **% of Net<br>Assets** |
| CFLD Cayman Investment Ltd. | 9/30/2021 | $939700 | $269327 | Less than 0.1% |
| CFLD Cayman Investment Ltd. | 11/11/2021 | 264000 | 88000 | Less than 0.1% |
| CFLD Cayman Investment Ltd. | 9/28/2021 | 1034050 | 330533 | Less than 0.1% |
| CFLD Cayman Investment Ltd. | 9/30/2021 | 932463 | 288893 | Less than 0.1% |
| CFLD Cayman Investment Ltd. | 9/29/2021 | 1168678 | 351338 | Less than 0.1% |
| CFLD Cayman Investment Ltd. | 9/29/2022 | 347870 | 447134 | Less than 0.1% |

---

See accompanying notes to financial statements.

\| 64

------

Portfolio of Investments – as of December 31, 2022

Loomis Sayles Strategic Income Fund – (continued)

---

| | |
|:---|:---|
| (e) | Non-income producing security. |
| (f) | Variable rate security. Rate as of December 31, 2022 is disclosed. |
| (g) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| (h) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| (i) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
| (j) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund's investment in this security is comprised of various lots with differing annualized yields. |
| (k) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 1.00%, to which the spread is added. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $1,394,937,432 or 43.2% of net assets. |
| ABS | Asset-Backed Securities |
| LIBOR | London Interbank Offered Rate |
| MBIA | Municipal Bond Investors Assurance Corp. |
| MTN | Medium Term Note |
| REITs | Real Estate Investment Trusts |
| SOFR | Secured Overnight Financing Rate |

---

At December 31, 2022, the Fund had the following open centrally cleared credit default swap agreements:

<u>Sell Protection</u>

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Reference Obligation | (Pay)/<br>Receive<br>Fixed Rate | Expiration<br>Date | Implied<br>Credit<br>Spread^ | Notional<br>Value(‡) | Unamortized<br>Up Front<br>Premium<br>Paid/(Received) | Market<br>Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  CDX.NA HY\* Series 37 500, 5-Year | 5.00% | 12/20/2026 | 4.12% | 35244000 | $(323825) | $1084904 | $1408729 |

---

(‡) Notional value stated in U.S. dollars unless otherwise noted.

---

| | |
|:---|:---|
| ^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.  |

---

\* CDX.NA.HY is an index composed of North American high yield credit default swaps.

At December 31, 2022, open long futures contracts were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Financial Futures | Expiration<br>Date | Contracts | Notional<br>Amount | Value | Unrealized<br>Appreciation<br>(Depreciation) |
|  Ultra 10 Year U.S. Treasury Note | 3/22/2023 | 442 | $52627767 | $52280313 | $(347454) |
|  Ultra Long U.S. Treasury Bond | 3/22/2023 | 1353 | 183347395 | 181724812 | (1622583) |
|  Total | Total | Total | Total | Total | $(1970037) |

---

Industry Summary at December 31, 2022

---

| | |
|:---|:---|
|  Treasuries | 14.5% |
|  Cable Satellite | 8.2 |
|  Independent Energy | 5.4 |
|  Technology | 5.4 |
|  Finance Companies | 5.2 |
|  ABS Home Equity | 4.2 |
|  Banking | 4.0 |
|  Wireless | 3.6 |
|  Pharmaceuticals | 3.4 |
|  Consumer Cyclical Services | 3.0 |
|  Metals & Mining | 2.7 |
|  Airlines | 2.5 |
|  Media Entertainment | 2.2 |
|  Financial Other | 2.0 |
|  Other Investments, less than 2% each | 27.9 |
|  Collateralized Loan Obligations | 4.0 |
|  Short-Term Investments | 0.1 |
|  Total Investments | 98.3 |
|  Other assets less liabilities (including swap agreements and futures contracts) | 1.7 |
|  Net Assets | 100.0% |

---

See accompanying notes to financial statements.

65 \|

------

Statements of Assets and Liabilities

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **High<br>Income<br>Fund** | **Investment<br>Grade Bond<br>Fund** | **Strategic<br>Alpha<br>Fund** | **Strategic<br>Income<br>Fund** |
|  **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments at cost | $141219172 | $7421941526 | $975759462 | $3816298814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net unrealized depreciation | (24107254) | (623544282) | (156656988) | (644644685) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments at value | 117111918 | 6798397244 | 819102474 | 3171654129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 551216 | 14677837 |  | 1463401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from brokers (Note 2) | 120000 | 6138177 | 16240702 | 34385000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency at value (identified cost $91, $0, $4,118,251 and $0, respectively) | 91 |  | 4140479 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 172875 | 51782992 | 2580112 | 5620676 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for securities sold | 1038 | 119565805 | 51000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 1905395 | 47481368 | 9408906 | 35865947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency contracts (Note 2) |  |  | 67885 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax reclaims receivable |  | 70006 | 608 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on futures contracts (Note 2) |  |  | 16180 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unamortized upfront premiums paid on bilateral swap agreements (Note 2) |  |  | 44219 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses (Note 8) | 567 | 1042 | 654 | 911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSETS** | 119863100 | 7038114471 | 851653219 | 3248990064 |
|  **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| &nbsp;&nbsp;&nbsp;&nbsp; Options written, at value (premiums received $0, $0, $67,530 and $0, respectively) (Note 2) |  |  | 66109 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for securities purchased | 2056275 | 14240800 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on bilateral swap agreements (Note 2) |  |  | 70337 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares redeemed | 20089 | 16093753 | 1672651 | 18565405 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency contracts (Note 2) |  |  | 453493 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on centrally cleared swap agreements (Note 2) | 780 |  | 357764 | 12703 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on futures contracts (Note 2) |  | 1347783 |  | 704064 |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fees payable (Note 6) | 18847 | 1931060 | 454956 | 1441762 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred Trustees' fees (Note 6) | 204908 | 1148988 | 230052 | 1875958 |
| &nbsp;&nbsp;&nbsp;&nbsp; Administrative fees payable (Note 6) | 4677 | 272058 | 35321 | 134056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to distributor (Note 6d) | 1331 | 52720 | 4284 | 32656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax services fees payable | 55788 | 67019 | 92778 | 67551 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accounts payable and accrued expenses | 19288 | 190591 | 603486 | 247659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL LIABILITIES** | 2381983 | 35344772 | 4041231 | 23081814 |
|  **NET ASSETS** | $117481117 | $7002769699 | $847611988 | $3225908250 |
|  **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $154922209 | $7686225425 | $1032159044 | $4210425563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accumulated loss | (37441092) | (683455726) | (184547056) | (984517313) |
|  **NET ASSETS** | $117481117 | $7002769699 | $847611988 | $3225908250 |
|  **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** | **COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class A shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $19108483 | $641310977 | $29797277 | $1067151129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 5466275 | 66562561 | 3258354 | 91620571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value and redemption price per share | $3.50 | $9.63 | $9.14 | $11.65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Offering price per share (100/95.75 of net asset value) (Note 1) | $3.66 | $10.06 | $9.55 | $12.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1181579 | $56519530 | $3308554 | $52977040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 336399 | 5942737 | 362461 | 4491359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value and offering price per share | $3.51 | $9.51 | $9.13 | $11.80 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class N shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $132090 | $1348620581 | $164264371 | $220229442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 37771 | 139969234 | 18009203 | 18932069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $3.50 | $9.64 | $9.12 | $11.63 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Class Y shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $97058965 | $4833608407 | $650241786 | $1816762794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest | 27830206 | 501353067 | 71325159 | 156208037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $3.49 | $9.64 | $9.12 | $11.63 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Admin Class shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Admin Class shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Admin Class shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Admin Class shares:** | &nbsp;&nbsp;&nbsp;&nbsp; **Admin Class shares:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $— | $122710204 | $— | $68787845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of beneficial interest |  | 12776400 |  | 5929153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value, offering and redemption price per share | $— | $9.60 | $— | $11.60 |

---

See accompanying notes to financial statements.

\| 66

------

Statements of Operations

For the Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **High<br>Income<br>Fund** | **Investment<br>Grade Bond<br>Fund** | **Strategic<br>Alpha Fund** | **Strategic<br>Income<br>Fund** |
|  **INVESTMENT INCOME** | **INVESTMENT INCOME** | **INVESTMENT INCOME** | **INVESTMENT INCOME** | **INVESTMENT INCOME** |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | $7701971 | $213772215 | $49381949 | $167741549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends | 186977 | 3865337 | 841721 | 9578360 |
|  | 7888948 | 217637552 | 50223670 | 177319909 |
| &nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp; Expenses |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fees (Note 6) | 770775 | 24955988 | 6601307 | 23373236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Service and distribution fees (Note 6) | 58427 | 2956896 | 125707 | 4339577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administrative fees (Note 6) | 57996 | 2821720 | 496374 | 1825243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and expenses (Note 6) | 15800 | 203048 | 45010 | 132586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees deferred compensation (Note 6) | (28222) | (126967) | (22863) | (263362) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees and expenses (Notes 6 and 7) | 146470 | 3931684 | 505161 | 3378645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit and tax services fees | 55793 | 67392 | 92739 | 67383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian fees and expenses | 14727 | 172367 | 67197 | 138755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees (Note 8) | 4331 | 211985 | 37896 | 130468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 90583 | 421527 | 106041 | 124097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting expenses | 30513 | 325275 | 51577 | 291660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous expenses | 35749 | 193607 | 68227 | 155398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 1252942 | 36134522 | 8174373 | 33693686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less waiver and/or expense reimbursement (Note 6) | (231100) | (2989460) |  | (1331797) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 1021842 | 33145062 | 8174373 | 32361889 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | 6867106 | 184492490 | 42049297 | 144958020 |
|  **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (4963266) | (46101801) | (39119644) | (15047002) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | (1646145) | 19483000 | (13037463) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options written |  |  | 16271 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap agreements | 44796 | 1494309 | 3520315 | (6537247) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts (Note 2d) |  |  | 3133387 | (369783) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions (Note 2c) |  | (20986) | (827851) | (311067) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: | &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (22011852) | (878821596) | (136301544) | (718711996) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | (1260391) | 2713586 | (250959) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options written |  |  | 70508 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap agreements | 46299 |  | (84007) | (1275944) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency contracts (Note 2d) |  |  | (1653230) | 248802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations (Note 2c) |  |  | 271877 | 349419 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions | (26884023) | (926356610) | (148777332) | (754943240) |
|  **NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS** | $(20016917) | $(741864120) | $(106728035) | $(609985220) |

---

See accompanying notes to financial statements.

67 \|

------

Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **High Income Fund** | **High Income Fund** | **Investment Grade Bond Fund** | **Investment Grade Bond Fund** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $6867106 | $4936940 | $184492490 | $153264651 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions | (4918470) | 3475557 | (46274623) | 109049202 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments, futures contracts and swap agreements | (21965553) | (4618963) | (880081987) | (246431700) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets resulting from operations | (20016917) | 3793534 | (741864120) | 15882153 |
|  **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A | (998449) | (946674) | (19585504) | (30802007) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class C | (62092) | (73463) | (1336410) | (2795363) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class N | (6400) | (275475) | (43794588) | (58322546) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class Y | (6340611) | (4075764) | (128714138) | (158314703) |
| &nbsp;&nbsp;&nbsp;&nbsp; Admin Class |  |  | (3388543) | (4776384) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (7407552) | (5371376) | (196819183) | (255011003) |
|  **NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)** | 17577667 | 16187734 | 1535258308 | 620561500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets | (9846802) | 14609892 | 596575005 | 381432650 |
|  **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of the year | 127327919 | 112718027 | 6406194694 | 6024762044 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of the year | $117481117 | $127327919 | $7002769699 | $6406194694 |

---

See accompanying notes to financial statements.

\| 68

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Strategic Alpha Fund** | **Strategic Alpha Fund** | **Strategic Income Fund** | **Strategic Income Fund** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** | **FROM OPERATIONS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $42049297 | $38752332 | $144958020 | $107292454 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions | (13794522) | 23922333 | (35302562) | 36820190 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations | (134982810) | (43767308) | (719640678) | 69006643 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets resulting from operations | (106728035) | 18907357 | (609985220) | 213119287 |
|  **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DISTRIBUTIONS TO SHAREHOLDERS:** |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A | (1245882) | (799143) | (70707641) | (41929319) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class C | (97863) | (53976) | (3314576) | (3065889) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class N | (9392363) | (12165057) | (14593929) | (7514115) |
| &nbsp;&nbsp;&nbsp;&nbsp; Class Y | (28940367) | (18704272) | (135878926) | (94327240) |
| &nbsp;&nbsp;&nbsp;&nbsp; Admin Class |  |  | (4238815) | (2347779) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (39676475) | (31722448) | (228733887) | (149184342) |
|  **NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)** | (466833178) | 158648418 | (1002949085) | (985523294) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets | (613237688) | 145833327 | (1841668192) | (921588349) |
|  **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of the year | 1460849676 | 1315016349 | 5067576442 | 5989164791 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of the year | $847611988 | $1460849676 | $3225908250 | $5067576442 |

---

See accompanying notes to financial statements.

69 \|

------

Financial Highlights

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **High Income Fund—Class A** | **High Income Fund—Class A** | **High Income Fund—Class A** | **High Income Fund—Class A** | **High Income Fund—Class A** | **High Income Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $4.29 | $4.35 | $4.25 | $3.99 | $4.25 | $4.37 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.19 | 0.17 | 0.20 | 0.20 | 0.05 | 0.20 |
|  Net realized and unrealized gain (loss) | (0.77) | (0.05) | 0.12 (b) | 0.27 | (0.24) | (0.14) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.58) | 0.12 | 0.32 | 0.47 | (0.19) | 0.06 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.21) | (0.18) | (0.22) | (0.21) | (0.06) | (0.18) |
|  Net realized capital gains |  |  |  |  | (0.01) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.21) | (0.18) | (0.22) | (0.21) | (0.07) | (0.18) |
|  Net asset value, end of the period | $3.50 | $4.29 | $4.35 | $4.25 | $3.99 | $4.25 |
|  Total return(c)(d) | (13.66)% | 2.87% | 8.16% | 11.94% | (4.54)%(e) | 1.41% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $19108 | $20470 | $41547 | $23199 | $23125 | $26175 |
|  Net expenses(f) | 1.00% | 1.00% | 1.00% | 1.03 %(g) | 1.05 %(h) | 1.05% |
|  Gross expenses | 1.18% | 1.19% | 1.22% | 1.18% | 1.27 %(h) | 1.16% |
|  Net investment income | 5.13% | 3.83% | 4.91% | 4.84% | 5.13 %(h) | 4.73% |
|  Portfolio turnover rate | 53% | 67% | 99 %(i) | 48% | 17% | 55% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

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

(g) Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

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

(i) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

\| 70

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **High Income Fund—Class C** | **High Income Fund—Class C** | **High Income Fund—Class C** | **High Income Fund—Class C** | **High Income Fund—Class C** | **High Income Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $4.31 | $4.37 | $4.27 | $4.00 | $4.27 | $4.38 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.16 | 0.14 | 0.17 | 0.17 | 0.05 | 0.17 |
|  Net realized and unrealized gain (loss) | (0.78) | (0.05) | 0.12 (b) | 0.28 | (0.26) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.62) | 0.09 | 0.29 | 0.45 | (0.21) | 0.04 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.18) | (0.15) | (0.19) | (0.18) | (0.05) | (0.15) |
|  Net realized capital gains |  |  |  |  | (0.01) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.18) | (0.15) | (0.19) | (0.18) | (0.06) | (0.15) |
|  Net asset value, end of the period | $3.51 | $4.31 | $4.37 | $4.27 | $4.00 | $4.27 |
|  Total return(c)(d) | (14.50)% | 2.07% | 7.30% | 11.32% | (4.95)%(e) | 0.86% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $1182 | $1795 | $2933 | $3836 | $5351 | $6248 |
|  Net expenses(f) | 1.75% | 1.75% | 1.75% | 1.78 %(g) | 1.80 %(h) | 1.80% |
|  Gross expenses | 1.93% | 1.94% | 1.97% | 1.93% | 2.02 %(h) | 1.91% |
|  Net investment income | 4.34% | 3.14% | 4.24% | 4.11% | 4.38 %(h) | 3.99% |
|  Portfolio turnover rate | 53% | 67% | 99 %(i) | 48% | 17% | 55% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

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

(g) Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

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

(i) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

71 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **High Income Fund—Class N** | **High Income Fund—Class N** | **High Income Fund—Class N** | **High Income Fund—Class N** | **High Income Fund—Class N** | **High Income Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $4.29 | $4.36 | $4.25 | $3.99 | $4.25 | $4.36 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.20 | 0.18 | 0.21 | 0.22 | 0.06 | 0.20 |
|  Net realized and unrealized gain (loss) | (0.77) | (0.05) | 0.14 (b) | 0.26 | (0.25) | (0.12) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.57) | 0.13 | 0.35 | 0.48 | (0.19) | 0.08 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.22) | (0.20) | (0.24) | (0.22) | (0.06) | (0.19) |
|  Net realized capital gains |  |  |  |  | (0.01) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.22) | (0.20) | (0.24) | (0.22) | (0.07) | (0.19) |
|  Net asset value, end of the period | $3.50 | $4.29 | $4.36 | $4.25 | $3.99 | $4.25 |
|  Total return(c) | (13.40)% | 2.95% | 8.73% | 12.28% | (4.47)%(d) | 1.96% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $132 | $105 | $14783 | $11977 | $10417 | $10338 |
|  Net expenses(e) | 0.70% | 0.70% | 0.70% | 0.72 %(f) | 0.75 %(g) | 0.75% |
|  Gross expenses | 1.80% | 0.86% | 0.88% | 0.82% | 0.89 %(g) | 0.79% |
|  Net investment income | 5.46% | 4.10% | 5.28% | 5.13% | 5.45 %(g) | 4.65% |
|  Portfolio turnover rate | 53% | 67% | 99 %(h) | 48% | 17% | 55% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f) Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

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

(h) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

\| 72

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **High Income Fund—Class Y** | **High Income Fund—Class Y** | **High Income Fund—Class Y** | **High Income Fund—Class Y** | **High Income Fund—Class Y** | **High Income Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $4.28 | $4.34 | $4.25 | $3.98 | $4.24 | $4.36 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.20 | 0.18 | 0.22 | 0.21 | 0.06 | 0.21 |
|  Net realized and unrealized gain (loss) | (0.77) | (0.05) | 0.10 (b) | 0.28 | (0.25) | (0.14) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.57) | 0.13 | 0.32 | 0.49 | (0.19) | 0.07 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.22) | (0.19) | (0.23) | (0.22) | (0.06) | (0.19) |
|  Net realized capital gains |  |  |  |  | (0.01) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.22) | (0.19) | (0.23) | (0.22) | (0.07) | (0.19) |
|  Net asset value, end of the period | $3.49 | $4.28 | $4.34 | $4.25 | $3.98 | $4.24 |
|  Total return(c) | (13.47)% | 3.15% | 8.19% | 12.52% | (4.49)%(d) | 1.68% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $97059 | $104957 | $53456 | $108315 | $97585 | $127699 |
|  Net expenses(e) | 0.75% | 0.75% | 0.75% | 0.77 %(f) | 0.80 %(g) | 0.80% |
|  Gross expenses | 0.93% | 0.95% | 0.98% | 0.93% | 1.02 %(g) | 0.91% |
|  Net investment income | 5.39% | 4.16% | 5.32% | 5.07% | 5.39 %(g) | 4.98% |
|  Portfolio turnover rate | 53% | 67% | 99 %(h) | 48% | 17% | 55% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f) Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%.

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

(h) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

73 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Investment Grade Bond Fund—Class A** | **Investment Grade Bond Fund—Class A** | **Investment Grade Bond Fund—Class A** | **Investment Grade Bond Fund—Class A** | **Investment Grade Bond Fund—Class A** | **Investment Grade Bond Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $11.22 | $11.65 | $11.33 | $10.77 | $10.98 | $11.30 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.28 | 0.26 | 0.32 | 0.35 | 0.08 | 0.30 |
|  Net realized and unrealized gain (loss) | (1.58) | (0.26) | 0.94 | 0.58 | (0.16) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.30) | 0.00 (b) | 1.26 | 0.93 | (0.08) | 0.02 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.28) | (0.26) | (0.32) | (0.36) | (0.08) | (0.21) |
|  Net realized capital gains | (0.01) | (0.17) | (0.62) | (0.01) | (0.05) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.29) | (0.43) | (0.94) | (0.37) | (0.13) | (0.34) |
|  Net asset value, end of the period | $9.63 | $11.22 | $11.65 | $11.33 | $10.77 | $10.98 |
|  Total return(c)(d) | (11.62)% | 0.07% | 11.41% | 8.78% | (0.66)%(e) | 0.19% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $641311 | $793271 | $872976 | $772485 | $721110 | $777391 |
|  Net expenses(f) | 0.75 %(g) | 0.75% | 0.76 %(h) | 0.77 %(i) | 0.78 %(j) | 0.80 %(k) |
|  Gross expenses | 0.80% | 0.79% | 0.80% | 0.81% | 0.82 %(j) | 0.82% |
|  Net investment income | 2.71% | 2.24% | 2.73% | 3.10% | 3.09 %(j) | 2.73% |
|  Portfolio turnover rate | 31% | 27% | 70 %(l) | 44 %(m) | 39 %(m) | 3% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

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

(g) Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. See Note 6 of Notes to Financial Statements.

(h) Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%.

(i) Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

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

(k) Effective July 1, 2018, the expense limit decreased to 0.78%.

(l) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

(m) The variation in the Fund's turnover rate from the year ended September 30, 2018 to the period ended
December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

\| 74

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Investment Grade Bond Fund—Class C** | **Investment Grade Bond Fund—Class C** | **Investment Grade Bond Fund—Class C** | **Investment Grade Bond Fund—Class C** | **Investment Grade Bond Fund—Class C** | **Investment Grade Bond Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $11.07 | $11.51 | $11.20 | $10.65 | $10.86 | $11.19 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.20 | 0.17 | 0.23 | 0.26 | 0.06 | 0.22 |
|  Net realized and unrealized gain (loss) | (1.55) | (0.26) | 0.93 | 0.58 | (0.16) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.35) | (0.09) | 1.16 | 0.84 | (0.10) | (0.06) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.20) | (0.18) | (0.23) | (0.28) | (0.06) | (0.14) |
|  Net realized capital gains | (0.01) | (0.17) | (0.62) | (0.01) | (0.05) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.21) | (0.35) | (0.85) | (0.29) | (0.11) | (0.27) |
|  Net asset value, end of the period | $9.51 | $11.07 | $11.51 | $11.20 | $10.65 | $10.86 |
|  Total return(b)(c) | (12.26)% | (0.70)% | 10.61% | 7.94% | (0.86)%(d) | (0.53)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $56520 | $80099 | $132606 | $204395 | $366068 | $412788 |
|  Net expenses(e) | 1.50 %(f) | 1.50% | 1.51 %(g) | 1.52 %(h) | 1.53 %(i) | 1.55 %(j) |
|  Gross expenses | 1.55% | 1.54% | 1.55% | 1.56% | 1.57 %(i) | 1.57% |
|  Net investment income | 1.94% | 1.50% | 2.01% | 2.35% | 2.34 %(i) | 1.96% |
|  Portfolio turnover rate | 31% | 27% | 70 %(k) | 44 %(l) | 39 %(l) | 3% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f) Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. See Note 6 of Notes to Financial Statements.

(g) Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%.

(h) Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

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

(j) Effective July 1, 2018, the expense limit decreased to 1.53%.

(k) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

(l) The variation in the Fund's turnover rate from the year ended September 30, 2018 to the period ended
December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

75 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Investment Grade Bond Fund—Class N** | **Investment Grade Bond Fund—Class N** | **Investment Grade Bond Fund—Class N** | **Investment Grade Bond Fund—Class N** | **Investment Grade Bond Fund—Class N** | **Investment Grade Bond Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $11.22 | $11.65 | $11.33 | $10.78 | $10.98 | $11.30 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.31 | 0.29 | 0.35 | 0.38 | 0.09 | 0.34 |
|  Net realized and unrealized gain (loss) | (1.57) | (0.25) | 0.94 | 0.58 | (0.15) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.26) | 0.04 | 1.29 | 0.96 | (0.06) | 0.06 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.31) | (0.30) | (0.35) | (0.40) | (0.09) | (0.25) |
|  Net realized capital gains | (0.01) | (0.17) | (0.62) | (0.01) | (0.05) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.32) | (0.47) | (0.97) | (0.41) | (0.14) | (0.38) |
|  Net asset value, end of the period | $9.64 | $11.22 | $11.65 | $11.33 | $10.78 | $10.98 |
|  Total return | (11.26)%(b) | 0.37 %(b) | 11.74 %(b) | 9.11% | (0.58)%(c) | 0.50% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $1348621 | $1473020 | $1188772 | $1367172 | $1216690 | $1251189 |
|  Net expenses | 0.45 %(d)(e) | 0.45 %(d) | 0.46 %(d)(f) | 0.47 %(g) | 0.48 %(h) | 0.47 %(i) |
|  Gross expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.48 %(h) | 0.47% |
|  Net investment income | 3.02% | 2.53% | 3.04% | 3.40% | 3.40 %(h) | 3.05% |
|  Portfolio turnover rate | 31% | 27% | 70 %(j) | 44 %(k) | 39 %(k) | 3% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

(e) Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%. See Note 6 of Notes to Financial Statements.

(f) Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%.

(g) Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

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

(i) Effective July 1, 2018, the expense limit decreased to 0.48%.

(j) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

(k) The variation in the Fund's turnover rate from the year ended September 30, 2018 to the period ended
December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

\| 76

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Investment Grade Bond Fund—Class Y** | **Investment Grade Bond Fund—Class Y** | **Investment Grade Bond Fund—Class Y** | **Investment Grade Bond Fund—Class Y** | **Investment Grade Bond Fund—Class Y** | **Investment Grade Bond Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $11.22 | $11.66 | $11.34 | $10.78 | $10.99 | $11.31 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.30 | 0.29 | 0.35 | 0.37 | 0.09 | 0.33 |
|  Net realized and unrealized gain (loss) | (1.56) | (0.27) | 0.94 | 0.59 | (0.16) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.26) | 0.02 | 1.29 | 0.96 | (0.07) | 0.05 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.31) | (0.29) | (0.35) | (0.39) | (0.09) | (0.24) |
|  Net realized capital gains | (0.01) | (0.17) | (0.62) | (0.01) | (0.05) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.32) | (0.46) | (0.97) | (0.40) | (0.14) | (0.37) |
|  Net asset value, end of the period | $9.64 | $11.22 | $11.66 | $11.34 | $10.78 | $10.99 |
|  Total return(b) | (11.31)% | 0.24% | 11.68% | 9.04% | (0.59)%(c) | 0.43% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $4833608 | $3920635 | $3704948 | $3118505 | $2912537 | $3001906 |
|  Net expenses(d) | 0.49 %(e) | 0.50% | 0.51 %(f) | 0.52 %(g) | 0.53 %(h) | 0.55 %(i) |
|  Gross expenses | 0.55% | 0.54% | 0.55% | 0.56% | 0.57 %(h) | 0.57% |
|  Net investment income | 3.01% | 2.49% | 2.98% | 3.35% | 3.35 %(h) | 2.98% |
|  Portfolio turnover rate | 31% | 27% | 70 %(j) | 44 %(k) | 39 %(k) | 3% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

(e) Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%. See Note 6 of Notes to Financial Statements.

(f) Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%.

(g) Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

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

(i) Effective July 1, 2018, the expense limit decreased to 0.53%.

(j) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

(k) The variation in the Fund's turnover rate from the year ended September 30, 2018 to the period ended
December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

77 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Investment Grade Bond Fund—Admin Class** | **Investment Grade Bond Fund—Admin Class** | **Investment Grade Bond Fund—Admin Class** | **Investment Grade Bond Fund—Admin Class** | **Investment Grade Bond Fund—Admin Class** | **Investment Grade Bond Fund—Admin Class** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Period Ended<br>December 31,<br>2018\*** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $11.18 | $11.62 | $11.30 | $10.75 | $10.95 | $11.28 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
|  Net investment income(a) | 0.25 | 0.23 | 0.29 | 0.32 | 0.08 | 0.28 |
|  Net realized and unrealized gain (loss) | (1.56) | (0.26) | 0.94 | 0.58 | (0.15) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.31) | (0.03) | 1.23 | 0.90 | (0.07) | 0.00 (b) |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.26) | (0.24) | (0.29) | (0.34) | (0.08) | (0.20) |
|  Net realized capital gains | (0.01) | (0.17) | (0.62) | (0.01) | (0.05) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.27) | (0.41) | (0.91) | (0.35) | (0.13) | (0.33) |
|  Net asset value, end of the period | $9.60 | $11.18 | $11.62 | $11.30 | $10.75 | $10.95 |
|  Total return(c) | (11.80)% | (0.26)% | 11.17% | 8.43% | (0.63)%(d) | (0.07)% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $122710 | $139169 | $125460 | $111439 | $111864 | $115301 |
|  Net expenses(e) | 1.00 %(f) | 1.00% | 1.01 %(g) | 1.02 %(h) | 1.03 %(i) | 1.02 %(j)(k) |
|  Gross expenses | 1.05% | 1.04% | 1.05% | 1.06% | 1.07 %(i) | 1.05 %(k) |
|  Net investment income | 2.47% | 1.98% | 2.48% | 2.85% | 2.85 %(i) | 2.56% |
|  Portfolio turnover rate | 31% | 27% | 70 %(l) | 44 %(m) | 39 %(m) | 3% |

---

\* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(f) Effective July 1, 2022, the expense limit decreased from 1.00% to 0.99%. See Note 6 of Notes to Financial Statements.

(g) Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%.

(h) Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

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

(j) Effective July 1, 2018, the expense limit decreased to 1.03%.

(k) Includes refund of prior year service fee of 0.02%.

(l) The variation in the Fund's turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the
portfolio as a result of increased market volatility.

(m) The variation in the Fund's turnover rate from the year ended September 30, 2018 to the period ended
December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

\| 78

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Strategic Alpha Fund—Class A** | **Strategic Alpha Fund—Class A** | **Strategic Alpha Fund—Class A** | **Strategic Alpha Fund—Class A** | **Strategic Alpha Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $10.34 | $10.43 | $9.69 | $9.62 | $9.92 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income(a) | 0.34 | 0.26 | 0.28 | 0.30 | 0.33 |
|  Net realized and unrealized gain (loss) | (1.20) | (0.15) | 0.67 | 0.04 | (0.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.86) | 0.11 | 0.95 | 0.34 | 0.03 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.34) | (0.20) | (0.21) | (0.27) | (0.33) |
|  Net asset value, end of the period | $9.14 | $10.34 | $10.43 | $9.69 | $9.62 |
|  Total return(b) | (8.29)% | 1.07% | 9.97% | 3.58% | 0.39% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $29797 | $41765 | $36067 | $48815 | $36528 |
|  Net expenses | 1.00% | 0.97% | 0.99% | 0.99% | 1.00 %(c) |
|  Gross expenses | 1.00% | 0.97% | 0.99% | 0.99% | 1.00 %(c) |
|  Net investment income | 3.59% | 2.45% | 2.81% | 3.10% | 3.29% |
|  Portfolio turnover rate | 46 %(d) | 218 %(d) | 498% | 414% | 379% |

---

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

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

(c) Includes fee/expense recovery of less than 0.01%.

(d) The variation in the Fund's turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and
shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

79 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Strategic Alpha Fund—Class C** | **Strategic Alpha Fund—Class C** | **Strategic Alpha Fund—Class C** | **Strategic Alpha Fund—Class C** | **Strategic Alpha Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $10.32 | $10.40 | $9.66 | $9.58 | $9.88 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.27 | 0.18 | 0.21 | 0.23 | 0.26 |
|  Net realized and unrealized gain (loss) | (1.19) | (0.15) | 0.66 | 0.04 | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.92) | 0.03 | 0.87 | 0.27 | (0.05) |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.27) | (0.11) | (0.13) | (0.19) | (0.25) |
|  Net asset value, end of the period | $9.13 | $10.32 | $10.40 | $9.66 | $9.58 |
|  Total return(b) | (8.90)% | 0.30% | 9.12% | 2.87 %(c) | (0.42)% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $3309 | $4266 | $8962 | $16337 | $26883 |
|  Net expenses | 1.75% | 1.73% | 1.74% | 1.73 %(d) | 1.75 %(e) |
|  Gross expenses | 1.75% | 1.73% | 1.74% | 1.74% | 1.75 %(e) |
|  Net investment income | 2.84% | 1.68% | 2.14% | 2.33% | 2.61% |
|  Portfolio turnover rate | 46 %(f) | 218 %(f) | 498% | 414% | 379% |

---

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

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

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

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

(e) Includes fee/expense recovery of less than 0.01%.

(f) The variation in the Fund's turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and
shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

\| 80

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Strategic Alpha Fund—Class N** | **Strategic Alpha Fund—Class N** | **Strategic Alpha Fund—Class N** | **Strategic Alpha Fund—Class N** | **Strategic Alpha Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $10.32 | $10.41 | $9.67 | $9.60 | $9.90 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.37 | 0.29 | 0.31 | 0.33 | 0.34 |
|  Net realized and unrealized gain (loss) | (1.19) | (0.15) | 0.67 | 0.04 | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.82) | 0.14 | 0.98 | 0.37 | 0.06 |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.38) | (0.23) | (0.24) | (0.30) | (0.36) |
|  Net asset value, end of the period | $9.12 | $10.32 | $10.41 | $9.67 | $9.60 |
|  Total return | (8.00)% | 1.38% | 10.36% | 3.92% | 0.68% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $164264 | $484005 | $527494 | $297300 | $255226 |
|  Net expenses | 0.69% | 0.67% | 0.68% | 0.67% | 0.70 %(b) |
|  Gross expenses | 0.69% | 0.67% | 0.68% | 0.67% | 0.70 %(b) |
|  Net investment income | 3.81% | 2.74% | 3.13% | 3.39% | 3.44% |
|  Portfolio turnover rate | 46 %(c) | 218 %(c) | 498% | 414% | 379% |

---

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

(b) Includes fee/expense recovery of 0.01%.

(c) The variation in the Fund's turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and
shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

81 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Strategic Alpha Fund—Class Y** | **Strategic Alpha Fund—Class Y** | **Strategic Alpha Fund—Class Y** | **Strategic Alpha Fund—Class Y** | **Strategic Alpha Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2020** | **Year Ended<br>December 31,<br>2019** | **Year Ended<br>December 31,<br>2018** |
|  Net asset value, beginning of the period | $10.31 | $10.41 | $9.67 | $9.59 | $9.90 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |
|  Net investment income(a) | 0.37 | 0.28 | 0.30 | 0.32 | 0.35 |
|  Net realized and unrealized gain (loss) | (1.19) | (0.15) | 0.68 | 0.06 | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (0.82) | 0.13 | 0.98 | 0.38 | 0.04 |
|  **LESS DISTRIBUTIONS FROM:** |  |  |  |  |  |
|  Net investment income | (0.37) | (0.23) | (0.24) | (0.30) | (0.35) |
|  Net asset value, end of the period | $9.12 | $10.31 | $10.41 | $9.67 | $9.59 |
|  Total return | (7.97)% | 1.32% | 10.19% | 3.96% | 0.53% |
|  **RATIOS TO AVERAGE NET ASSETS:** |  |  |  |  |  |
|  Net assets, end of the period (000's) | $650242 | $930815 | $742493 | $938271 | $1186322 |
|  Net expenses | 0.75% | 0.72% | 0.74% | 0.74% | 0.75 %(b) |
|  Gross expenses | 0.75% | 0.72% | 0.74% | 0.74% | 0.75 %(b) |
|  Net investment income | 3.83% | 2.70% | 3.05% | 3.33% | 3.51% |
|  Portfolio turnover rate | 46 %(c) | 218 %(c) | 498% | 414% | 379% |

---

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

(b) Includes fee/expense recovery of less than 0.01%.

(c) The variation in the Fund's turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and
shareholder flows which has continued through 2022.

See accompanying notes to financial statements.

\| 82

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Strategic Income Fund—Class A** | **Strategic Income Fund—Class A** | **Strategic Income Fund—Class A** | **Strategic Income Fund—Class A** | **Strategic Income Fund—Class A** | **Strategic Income Fund—Class A** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** | **Year Ended<br>September 30,<br>2020** | **Year Ended<br>September 30,<br>2019** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $14.19 | $14.03 | $13.58 | $14.25 | $14.39 | $14.84 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income(a) | 0.44 | 0.26 | 0.10 | 0.47 | 0.57 | 0.52 |
|  Net realized and unrealized gain (loss) | (2.24) | 0.27 | 0.63 | (0.66) | (0.16) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.80) | 0.53 | 0.73 | (0.19) | 0.41 | 0.19 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.74) | (0.37) | (0.16) | (0.45) | (0.48) | (0.57) |
|  Net realized capital gains |  |  | (0.12) | (0.03) | (0.07) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.74) | (0.37) | (0.28) | (0.48) | (0.55) | (0.64) |
|  Net asset value, end of the period | $11.65 | $14.19 | $14.03 | $13.58 | $14.25 | $14.39 |
|  Total return(b) | (12.80)%(c) | 3.85 %(c) | 5.37 %(d) | (1.39)% | 3.02% | 1.34% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $1067151 | $1512939 | $1682562 | $1683547 | $1835813 | $1986300 |
|  Net expenses | 0.95 %(e)(f) | 0.96 %(e)(g) | 0.97 %(h) | 0.97 %(i) | 0.96% | 0.96% |
|  Gross expenses | 0.98% | 0.97% | 0.97 %(h) | 0.97% | 0.96% | 0.96% |
|  Net investment income | 3.45% | 1.85% | 2.78 %(h) | 3.42% | 4.03% | 3.57% |
|  Portfolio turnover rate | 23% | 99 %(j) | 30 %(k) | 30% | 13% | 6% |

---

\* For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

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

(f) Effective July 1, 2022, the expense limit decreased from 0.95% to 0.94%. See Note 6 of Notes to Financial Statements.

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

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

(i) Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(j) The variation in the Fund's turnover rate from the year ended September 30, 2020 to the year ended
December 31, 2021 was primarily due to a repositioning of the portfolio.

(k) The variation in the Fund's turnover rate, if annualized, from the year ended September 30, 2020 to the period
ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

83 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Strategic Income Fund—Class C** | **Strategic Income Fund—Class C** | **Strategic Income Fund—Class C** | **Strategic Income Fund—Class C** | **Strategic Income Fund—Class C** | **Strategic Income Fund—Class C** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** | **Year Ended<br>September 30,<br>2020** | **Year Ended<br>September 30,<br>2019** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $14.36 | $14.18 | $13.72 | $14.39 | $14.52 | $14.97 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income(a) | 0.34 | 0.16 | 0.07 | 0.38 | 0.47 | 0.41 |
|  Net realized and unrealized gain (loss) | (2.26) | 0.28 | 0.64 | (0.68) | (0.16) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.92) | 0.44 | 0.71 | (0.30) | 0.31 | 0.08 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.64) | (0.26) | (0.13) | (0.34) | (0.37) | (0.46) |
|  Net realized capital gains |  |  | (0.12) | (0.03) | (0.07) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.64) | (0.26) | (0.25) | (0.37) | (0.44) | (0.53) |
|  Net asset value, end of the period | $11.80 | $14.36 | $14.18 | $13.72 | $14.39 | $14.52 |
|  Total return(b) | (13.48)%(c) | 3.13 %(c) | 5.17 %(d) | (2.18)% | 2.27% | 0.60% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $52977 | $120091 | $259780 | $277896 | $676602 | $1153853 |
|  Net expenses | 1.70 %(e)(f) | 1.71 %(e)(g) | 1.72 %(h) | 1.72 %(i) | 1.71% | 1.71% |
|  Gross expenses | 1.73% | 1.72% | 1.72 %(h) | 1.72% | 1.71% | 1.71% |
|  Net investment income | 2.62% | 1.12% | 2.04 %(h) | 2.75% | 3.30% | 2.79% |
|  Portfolio turnover rate | 23% | 99 %(j) | 30 %(k) | 30% | 13% | 6% |

---

\* For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

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

(f) Effective July 1, 2022, the expense limit decreased from 1.70% to 1.69%. See Note 6 of Notes to Financial Statements.

(g) Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%.

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

(i) Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(j) The variation in the Fund's turnover rate from the year ended September 30, 2020 to the year ended
December 31, 2021 was primarily due to a repositioning of the portfolio.

(k) The variation in the Fund's turnover rate, if annualized, from the year ended September 30, 2020 to the period
ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

\| 84

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Strategic Income Fund—Class N** | **Strategic Income Fund—Class N** | **Strategic Income Fund—Class N** | **Strategic Income Fund—Class N** | **Strategic Income Fund—Class N** | **Strategic Income Fund—Class N** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** | **Year Ended<br>September 30,<br>2020** | **Year Ended<br>September 30,<br>2019** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $14.17 | $14.01 | $13.57 | $14.24 | $14.38 | $14.83 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income(a) | 0.47 | 0.31 | 0.11 | 0.52 | 0.61 | 0.56 |
|  Net realized and unrealized gain (loss) | (2.23) | 0.27 | 0.62 | (0.66) | (0.16) | (0.32) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.76) | 0.58 | 0.73 | (0.14) | 0.45 | 0.24 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.78) | (0.42) | (0.17) | (0.50) | (0.52) | (0.62) |
|  Net realized capital gains |  |  | (0.12) | (0.03) | (0.07) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.78) | (0.42) | (0.29) | (0.53) | (0.59) | (0.69) |
|  Net asset value, end of the period | $11.63 | $14.17 | $14.01 | $13.57 | $14.24 | $14.38 |
|  Total return | (12.55)% | 4.19% | 5.39 %(b) | (1.06)% | 3.37% | 1.67% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $220229 | $280661 | $247697 | $212804 | $202989 | $176456 |
|  Net expenses | 0.64 %(c) | 0.65 %(d) | 0.65 %(e) | 0.64 %(f) | 0.63% | 0.63% |
|  Gross expenses | 0.64% | 0.65% | 0.65 %(e) | 0.64% | 0.63% | 0.63% |
|  Net investment income | 3.77% | 2.17% | 3.13 %(e) | 3.77% | 4.36% | 3.91% |
|  Portfolio turnover rate | 23% | 99 %(g) | 30 %(h) | 30% | 13% | 6% |

---

\* For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

(c) Effective July 1, 2022, the expense limit decreased from 0.65% to 0.64%. See Note 6 of Notes to Financial Statements.

(d) Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%.

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

(f) Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(g) The variation in the Fund's turnover rate from the year ended September 30, 2020 to the year ended
December 31, 2021 was primarily due to a repositioning of the portfolio.

(h) The variation in the Fund's turnover rate, if annualized, from the year ended September 30, 2020 to the period
ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

85 \|

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Strategic Income Fund—Class Y** | **Strategic Income Fund—Class Y** | **Strategic Income Fund—Class Y** | **Strategic Income Fund—Class Y** | **Strategic Income Fund—Class Y** | **Strategic Income Fund—Class Y** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** | **Year Ended<br>September 30,<br>2020** | **Year Ended<br>September 30,<br>2019** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $14.17 | $14.01 | $13.56 | $14.23 | $14.38 | $14.83 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income(a) | 0.47 | 0.30 | 0.11 | 0.51 | 0.60 | 0.55 |
|  Net realized and unrealized gain (loss) | (2.24) | 0.27 | 0.62 | (0.66) | (0.17) | (0.32) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.77) | 0.57 | 0.73 | (0.15) | 0.43 | 0.23 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.77) | (0.41) | (0.16) | (0.49) | (0.51) | (0.61) |
|  Net realized capital gains |  |  | (0.12) | (0.03) | (0.07) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.77) | (0.41) | (0.28) | (0.52) | (0.58) | (0.68) |
|  Net asset value, end of the period | $11.63 | $14.17 | $14.01 | $13.56 | $14.23 | $14.38 |
|  Total return | (12.60)%(b) | 4.12 %(b) | 5.44 %(c) | (1.14)% | 3.22% | 1.66% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $1816763 | $3058635 | $3693954 | $3774113 | $4316010 | $5118016 |
|  Net expenses | 0.70 %(d)(e) | 0.71 %(d)(f) | 0.72 %(g) | 0.72 %(h) | 0.71% | 0.71% |
|  Gross expenses | 0.73% | 0.72% | 0.72 %(g) | 0.72% | 0.71% | 0.71% |
|  Net investment income | 3.68% | 2.10% | 3.03 %(g) | 3.68% | 4.28% | 3.82% |
|  Portfolio turnover rate | 23% | 99 %(i) | 30 %(j) | 30% | 13% | 6% |

---

\* For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

(e) Effective July 1, 2022, the expense limit decreased from 0.70% to 0.69%. See Note 6 of Notes to Financial Statements.

(f) Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.

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

(h) Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(i) The variation in the Fund's turnover rate from the year ended September 30, 2020 to the year ended
December 31, 2021 was primarily due to a repositioning of the portfolio.

(j) The variation in the Fund's turnover rate, if annualized, from the year ended September 30, 2020 to the period
ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

\| 86

------

Financial Highlights (continued)

For a share outstanding throughout each period.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Strategic Income Fund—Admin Class** | **Strategic Income Fund—Admin Class** | **Strategic Income Fund—Admin Class** | **Strategic Income Fund—Admin Class** | **Strategic Income Fund—Admin Class** | **Strategic Income Fund—Admin Class** |
|  | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Period Ended<br>December 31,<br>2020\*** | **Year Ended<br>September 30,<br>2020** | **Year Ended<br>September 30,<br>2019** | **Year Ended<br>September 30,<br>2018** |
|  Net asset value, beginning of the period | $14.14 | $13.97 | $13.53 | $14.20 | $14.34 | $14.79 |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |
|  Net investment income(a) | 0.40 | 0.23 | 0.09 | 0.44 | 0.53 | 0.48 |
|  Net realized and unrealized gain (loss) | (2.23) | 0.28 | 0.62 | (0.66) | (0.16) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total from Investment Operations | (1.83) | 0.51 | 0.71 | (0.22) | 0.37 | 0.15 |
|  **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** | **LESS DISTRIBUTIONS FROM:** |
|  Net investment income | (0.71) | (0.34) | (0.15) | (0.42) | (0.44) | (0.53) |
|  Net realized capital gains |  |  | (0.12) | (0.03) | (0.07) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Distributions | (0.71) | (0.34) | (0.27) | (0.45) | (0.51) | (0.60) |
|  Net asset value, end of the period | $11.60 | $14.14 | $13.97 | $13.53 | $14.20 | $14.34 |
|  Total return | (13.07)%(b) | 3.68 %(b) | 5.24 %(c) | (1.64)% | 2.78% | 1.09% |
|  **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
|  Net assets, end of the period (000's) | $68788 | $95250 | $105172 | $103197 | $121903 | $133220 |
|  Net expenses | 1.20 %(d)(e) | 1.21 %(d)(f) | 1.22 %(g) | 1.22 %(h) | 1.20 %(i) | 1.20 %(i) |
|  Gross expenses | 1.23% | 1.22% | 1.22 %(g) | 1.22% | 1.20 %(i) | 1.20 %(i) |
|  Net investment income | 3.20% | 1.60% | 2.53 %(g) | 3.19% | 3.80% | 3.33% |
|  Portfolio turnover rate | 23% | 99 %(j) | 30 %(k) | 30% | 13% | 6% |

---

\* For the three month period ended December 31, 2020 due to change in fiscal year.

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

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

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

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

(e) Effective July 1, 2022, the expense limit decreased from 1.20% to 1.19%. See Note 6 of Notes to Financial Statements.

(f) Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%.

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

(h) Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

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

(j) The variation in the Fund's turnover rate from the year ended September 30, 2020 to the year ended
December 31, 2021 was primarily due to a repositioning of the portfolio.

(k) The variation in the Fund's turnover rate, if annualized, from the year ended September 30, 2020 to the period
ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

87 \|

------

Notes to Financial Statements

December 31, 2022

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

<u>Loomis Sayles Funds II:</u> 

Loomis Sayles High Income Fund (the "High Income Fund")

Loomis Sayles Investment Grade Bond Fund (the "Investment Grade Bond Fund")

Loomis Sayles Strategic Income Fund (the "Strategic Income Fund")

<u>Natixis Funds Trust II:</u> 

Loomis Sayles Strategic Alpha Fund (the "Strategic Alpha Fund")

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge ("CDSC") of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds' prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

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

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

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

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Domestic, exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price.

\| 88

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Notes to Financial Statements (continued)

December 31, 2022

Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

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

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. Over-the-counter ("OTC") currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.

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

**b. Investment Transactions and Related Investment Income.** Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds' investments in real estate investment trusts ("REITs") are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a *pro rata* basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

89 \|

------

Notes to Financial Statements (continued)

December 31, 2022

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

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

For the year ended December 31, 2022, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

---

| | |
|:---|:---|
|  Strategic Alpha Fund | $8067674.0 |
|  Strategic Income Fund | 2032258.0 |

---

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

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

**e. Futures Contracts.** A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

**f. Option Contracts.** A Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized

\| 90

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Notes to Financial Statements (continued)

December 31, 2022

losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**g. Swap Agreements.** A Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the "protection buyer" and "protection seller") to exchange the credit risk of an issuer ("reference obligation") for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments ("fees") over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared ("centrally cleared swaps"). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the "CCP") and the Funds face the CCP through a broker. Upon

91 \|

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Notes to Financial Statements (continued)

December 31, 2022

entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as "variation margin," are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds' counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**h. Swaptions.** A Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a "receiver swaption") or to pay a fixed rate (known as a "payer swaption"), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption. Swaptions outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**i. Due from Brokers.** Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund and Strategic Income Fund represents cash pledged as initial margin for centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Investment Grade Bond Fund represents cash pledged as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for options and forward foreign currency contracts and as initial margin for futures contracts and centrally cleared swap agreements. In certain circumstances the Funds' use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

**j. Federal and Foreign Income Taxes.** The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund's tax positions for the open tax years as of December 31, 2022 and has concluded that no provisions for income tax are required. The Funds' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management's conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund's understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are

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Notes to Financial Statements (continued)

December 31, 2022

reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

**k. Dividends and Distributions to Shareholders.** Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, defaulted and/or non-income producing securities, distribution re-designations, deferred Trustees' fees, return of capital distributions received, capital gain distributions received, swap adjustments and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees' fees, premium amortization, defaulted and/or non-income producing securities, swap adjustments, wash sales, futures contract mark-to-market, return of capital distributions received, capital gain distributions received, trust preferred securities, perpetual bond adjustments, corporate actions and foreign currency gains and losses. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds' fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2022 and 2021 was as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | 2022 Distributions | 2022 Distributions | 2022 Distributions | 2021 Distributions | 2021 Distributions | 2021 Distributions |
| Fund | Ordinary<br>Income | Long-Term<br>Capital<br>Gains | Total | Ordinary<br>Income | Long-Term<br>Capital<br>Gains | Total |
|  High Income Fund | $7407552 | $— | $7407552 | $5371376 | $— | $5371376 |
|  Investment Grade Bond Fund | 188970523 | 7848660 | 196819183 | 173267029 | 81743974 | 255011003 |
|  Strategic Alpha Fund | 39676475 |  | 39676475 | 31722448 |  | 31722448 |
|  Strategic Income Fund | 228733887 |  | 228733887 | 149184342 |  | 149184342 |

---

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

As of December 31, 2022, the components of distributable earnings on a tax basis were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | High Income<br>Fund | Investment<br>Grade Bond<br>Fund | Strategic<br>Alpha Fund | Strategic<br>Income Fund |
|  Undistributed ordinary income | $1970 | $706317 | $— | $205439 |
|  Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: | Capital loss carryforward: |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-term: | &nbsp;&nbsp;&nbsp;&nbsp; Short-term: | &nbsp;&nbsp;&nbsp;&nbsp; Short-term: | &nbsp;&nbsp;&nbsp;&nbsp; Short-term: | &nbsp;&nbsp;&nbsp;&nbsp; Short-term: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; No expiration date | (2656925) | (14154589) | (5764902) | (40712873) |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term: | &nbsp;&nbsp;&nbsp;&nbsp; Long-term: | &nbsp;&nbsp;&nbsp;&nbsp; Long-term: | &nbsp;&nbsp;&nbsp;&nbsp; Long-term: | &nbsp;&nbsp;&nbsp;&nbsp; Long-term: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; No expiration date | (9780510) | (36976259) | (15860436) | (256973935) |
|  Total capital loss carryforward | (12437435) | (51130848) | (21625338) | (297686808) |
|  Late-year ordinary and post-October capital loss deferrals\* |  |  | (354313) |  |
|  Unrealized depreciation | (24449684) | (630876876) | (159149876) | (657184473) |
|  Total accumulated losses | $(36885149) | $(681301407) | $(181129527) | $(954665842) |

---

\* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses. 

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Notes to Financial Statements (continued)

December 31, 2022

As of December 31, 2022, unrealized appreciation (depreciation) as a component of distributable earnings was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | High Income<br>Fund | Investment<br>Grade Bond<br>Fund | Strategic<br>Alpha Fund | Strategic<br> Income Fund |
|  Unrealized appreciation (depreciation) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments | $(24449684) | $(630876876) | $(146079195) | $(657184473) |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations |  |  | (13070681) |  |
|  Total unrealized depreciation | $(24449684) | $(630876876) | $(159149876) | $(657184473) |

---

As of December 31, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | High<br>Income Fund | Investment<br>Grade Bond<br>Fund | Strategic<br>Alpha Fund | Strategic<br>Income Fund |
|  Federal tax cost | $141607901 | $7429274120 | $978844561 | $3830247331 |
|  Gross tax appreciation | $327099 | $31712037 | $5577947 | $28340810 |
|  Gross tax depreciation | (24776783) | (662588913) | (164733687) | (685525283) |
|  Net tax depreciation | $(24449684) | $(630876876) | $(159155740) | $(657184473) |

---

The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.

**l. Senior Loans.** A Fund's investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower's capital structure, may be secured by the borrower's assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**m. Loan Participations.** A Fund's investment in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**n. Collateralized Loan Obligations.** A Fund may invest in collateralized loan obligations ("CLOs"). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**o. Equity Linked Notes.** Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund's Portfolio of Investments.

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December 31, 2022

**p. Repurchase Agreements.** Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund's ability to dispose of the underlying securities. As of December 31, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

**q. When-Issued and Delayed Delivery Transactions.** A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced ("TBAs") in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is "to be announced" 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds' NAV as if the Funds' had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of December 31, 2022.

**r. Stripped Securities.** A Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or "IO" class), while the other class will receive all of the principal (the principal-only or "PO" class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**s. Securities Lending.** High Income Fund, Investment Grade Bond Fund and Strategic Income Fund have entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended December 31, 2022, the Funds did not loan securities under this agreement.

**t. Unfunded Loan Commitments.** A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund's NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may

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Notes to Financial Statements (continued)

December 31, 2022

arise due to changes in the value of the unfunded loan commitments. Unfunded loan commitments outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.

**u. Indemnifications.** Under the Trusts' organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

**v. New Accounting Pronouncement.** In June 2022, the Financial Accounting Standards Board issued Accounting Standards Update 2022-03, "Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions" ("ASU 2022-03"). ASU 2022-03 clarifies the guidance in ASC 820 related to the measurement of fair value of an equity security subject to contractual sale restrictions, eliminating the ability to apply a discount to the fair value of such securities, and introducing related disclosure requirements. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. Management is currently evaluating the impact of applying this update.

In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) ("ASU 2021-01"). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate ("LIBOR"), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. In December 2022, the Financial Accounting Standards Board issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. Management expects to apply the optional expedients when appropriate.

**3. Fair Value Measurements.** In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly
through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are
unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best information
available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

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December 31, 2022

The following is a summary of the inputs used to value the Funds' investments as of December 31, 2022, at value:

**High Income Fund** 

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Home Construction | $&nbsp;&nbsp;&nbsp;&nbsp;— | $211277 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $211277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities |  | 1466026 | 142115 | 1608141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Non-Convertible Bonds(a) |  | 99991987 |  | 99991987 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Non-Convertible Bonds |  | 101669290 | 142115 | 101811405 |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds(a) |  | 5934969 |  | 5934969 |
|  Total Bonds and Notes |  | 107604259 | 142115 | 107746374 |
|  Collateralized Loan Obligations |  | 1879270 |  | 1879270 |
|  Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology | 252432 |  |  | 252432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wireless |  | 578874 |  | 578874 |
|  Total Preferred Stocks | 252432 | 578874 |  | 831306 |
|  Common Stocks(a) | 98677 |  |  | 98677 |
|  Other Investments(a) |  |  | 6825 | 6825 |
|  Warrants |  |  | 95 | 95 |
|  Exchange-Traded Funds | 1393890 |  |  | 1393890 |
|  Short-Term Investments |  | 5155481 |  | 5155481 |
|  Total Investments | 1744999 | 115217884 | 149035 | 117111918 |
|  Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |  | 46299 |  | 46299 |
|  Total | $1744999 | $115264183 | $149035 | $117158217 |

---

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

**Investment Grade Bond Fund** 

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes(a) | $— | $5121852673 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $5121852673 |
|  Collateralized Loan Obligations |  | 265237685 |  | 265237685 |
|  Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banking | 42333885 |  |  | 42333885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wireless |  | 15083904 |  | 15083904 |
|  Total Preferred Stocks | 42333885 | 15083904 |  | 57417789 |
|  Short-Term Investments |  | 1353889097 |  | 1353889097 |
|  Total | $42333885 | $6756063359 | $— | $6798397244 |
| <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Futures Contracts (unrealized depreciation) | $(8522654) | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $(8522654) |

---

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

97 \|

------

Notes to Financial Statements (continued)

December 31, 2022

**Strategic Alpha Fund** 

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities | $— | $45551787 | $1992567 | $47544354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Non-Convertible Bonds(a) |  | 615933950 |  | 615933950 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Non-Convertible Bonds |  | 661485737 | 1992567 | 663478304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds(a) |  | 36981259 |  | 36981259 |
|  Total Bonds and Notes |  | 698466996 | 1992567 | 700459563 |
|  Senior Loans(a) |  | 4010808 |  | 4010808 |
|  Collateralized Loan Obligations |  | 65063630 |  | 65063630 |
|  Common Stocks(a) | 12759935 |  |  | 12759935 |
|  Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wireless |  | 4005214 |  | 4005214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Preferred Stocks(a) | 979924 |  |  | 979924 |
|  Total Preferred Stocks | 979924 | 4005214 |  | 4985138 |
|  Other Investments(a) |  |  | 61425 | 61425 |
|  Short-Term Investments |  | 31761975 |  | 31761975 |
|  Total Investments | 13739859 | 803308623 | 2053992 | 819102474 |
|  Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation) |  | 1247938 |  | 1247938 |
|  Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |  | 211175 |  | 211175 |
|  Forward Foreign Currency Contracts (unrealized appreciation) |  | 67885 |  | 67885 |
|  Futures Contracts (unrealized appreciation) | 368435 |  |  | 368435 |
|  Total | $14108294 | $804835621 | $2053992 | $820997907 |
| <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** | <br> **Liability Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Written Options(a) | $(66109) | $— | $— | $(66109) |
|  Bilateral Credit Default Swap Agreements (unrealized depreciation) |  | (70337) |  | (70337) |
|  Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) |  | (2345329) |  | (2345329) |
|  Forward Foreign Currency Contracts (unrealized depreciation) |  | (453493) |  | (453493) |
|  Futures Contracts (unrealized depreciation) | (27583) |  |  | (27583) |
|  Total | $(93692) | $(2869159) | $— | $(2962851) |

---

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

\| 98

------

Notes to Financial Statements (continued)

December 31, 2022

**Strategic Income Fund** 

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Property & Casualty Insurance | $— | $8352967 | $1251000 | $9603967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Non-Convertible Bonds(a) |  | 2573182224 |  | 2573182224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Non-Convertible Bonds |  | 2581535191 | 1251000 | 2582786191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds(a) |  | 249555946 |  | 249555946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipals(a) |  | 57996137 |  | 57996137 |
|  Total Bonds and Notes |  | 2889087274 | 1251000 | 2890338274 |
|  Senior Loans(a) |  | 13343640 |  | 13343640 |
|  Collateralized Loan Obligations |  | 130456647 |  | 130456647 |
|  Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Software | 1887383 | 166376 |  | 2053759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Common Stocks(a) | 65632230 |  |  | 65632230 |
|  Total Common Stocks | 67519613 | 166376 |  | 67685989 |
|  Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wireless |  | 17522954 |  | 17522954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Convertible Preferred Stocks(a) | 37870846 |  |  | 37870846 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Convertible Preferred Stocks | 37870846 | 17522954 |  | 55393800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; REITs—Office Property |  |  | 1651680 | 1651680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; REITs—Warehouse/Industrials |  | 6407989 |  | 6407989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Non-Convertible Preferred Stocks(a) | 4212399 |  |  | 4212399 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Non-Convertible Preferred Stocks | 4212399 | 6407989 | 1651680 | 12272068 |
|  Total Preferred Stocks | 42083245 | 23930943 | 1651680 | 67665868 |
|  Short-Term Investments |  | 2163711 |  | 2163711 |
|  Total Investments | 109602858 | 3059148591 | 2902680 | 3171654129 |
|  Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |  | 1408729 |  | 1408729 |
|  Total | $109602858 | $3060557320 | $2902680 | $3173062858 |
|  **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Futures Contracts (unrealized depreciation) | $(1970037) | $— | $— | $(1970037) |
| (a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments. | (a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments. | (a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments. | (a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments. | (a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments. |

---

99 \|

------

Notes to Financial Statements (continued)

December 31, 2022

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or December 31, 2022:

**High Income Fund** 

**Asset Valuation Inputs** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Investments in Securities | Balance as of<br>December 31,<br>2021 | Accrued<br>Discounts<br>(Premiums) | Realized<br>Gain<br>(Loss) | Change in<br>Unrealized<br>Appreciation<br>(Depreciation) | Purchases | Sales | Transfers<br>into<br>Level 3 | Transfers<br>out of<br>Level 3 | Balance<br>as of<br>December 31,<br>2022 | Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held at<br>December 31,<br>2022 |
|  Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Home Construction | $— | $12427 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $(12427) | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $— | $— | $(12427) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities | 138957 |  |  | 3158 |  |  |  |  | 142115 | 3158 |
|  Collateralized Loan Obligations | 250000 |  |  |  |  |  |  | (250000) |  |  |
|  Other Investments |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aircraft ABS | 87030 |  |  | (80205) |  |  |  |  | 6825 | (80205) |
|  Warrants | 1264 |  |  | (1169) |  |  |  |  | 95 | (1169) |
|  Total | $477251 | $12427 | $— | $(90643) | $— | $— | $— | $(250000) | $149035 | $(90643) |

---

A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.

**Strategic Alpha Fund** 

**Asset Valuation Inputs** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Investments in Securities | Balance as of<br>December 31,<br>2021 | Accrued<br>Discounts<br>(Premiums) | Realized<br>Gain<br>(Loss) | Change in<br>Unrealized<br>Appreciation<br>(Depreciation) | Purchases | Sales | Transfers<br>into<br>Level 3 | Transfers<br>out of<br>Level 3 | Balance as of<br>December 31,<br>2022 | Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held at<br>December 31,<br>2022 |
|  Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities | $1932446 | $— | $— | $60121 | $— | $— | $— | $— | $1992567 | $60121 |
|  Collateralized Loan Obligations | 445000 |  |  |  |  |  |  | (445000) |  |  |
|  Other Investments |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aircraft ABS | 783270 |  |  | (721845) |  |  |  |  | 61425 | (721845) |
|  Total | $3160716 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $(661724) | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $(445000) | $2053992 | $(661724) |

---

A debt security valued at $445,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.

\| 100

------

Notes to Financial Statements (continued)

December 31, 2022

**Strategic Income Fund** 

**Asset Valuation Inputs** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Investments in Securities | Balance as of<br>December 31,<br>2021 | Accrued<br>Discounts<br>(Premiums) | Realized<br>Gain<br>(Loss) | Change in<br>Unrealized<br>Appreciation<br>(Depreciation) | Purchases | Sales | Transfers<br>into Level 3 | Transfers<br>out of<br>Level 3 | Balance as of<br>December 31,<br>2022 | Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held at<br>December 31,<br>2022 |
|  Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Independent Energy | $1832190 | $— | $— | $— | $— | $— | $— | $(1832190) | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Property & Casualty Insurance | 1501200 | 74865 |  | (325065) |  |  |  |  | 1251000 | (325065) |
|  Preferred Stocks |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Preferred Stocks |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; REITs—Office Property |  |  |  | (343320) |  |  | 1995000 |  | 1651680 | (343320) |
|  Total | $3333390 | $74865 | $&nbsp;&nbsp;&nbsp;&nbsp;— | $(668385) | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $1995000 | $(1832190) | $2902680 | $(668385) |

---

Debt securities valued at $1,832,190 were transferred from Level 3 to Level 2 during the period ended December 31, 2022. At December 31, 2021, these securities were valued at fair value as determined in good faith by the Fund's adviser as an independent pricing service was unable to price the securities. At December 31, 2022, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.

A preferred stock valued at $1,995,000 was transferred from Level 2 to Level 3 during the period ended December 31, 2022. At December 31, 2021, this security was valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At December 31, 2022, this security was valued at fair value as determined in good faith by the Fund's adviser as an independent pricing service was unable to price the security.

**4. Derivatives.** Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

The Funds are subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the year ended December 31, 2022, The Funds engaged in credit default swap agreements (as a protection seller) to gain investment exposure. Strategic Alpha Fund also engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds' holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended December 31, 2022, the Funds engaged in forward foreign currency contracts for hedging purposes and Strategic Alpha Fund also engaged in forward foreign currency contracts to gain exposure to foreign currencies.

Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in interest rates will affect the value of the Funds' investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts and interest rate swap agreements to gain investment exposure. During the year ended December 31, 2022, Strategic

101 \|

------

Notes to Financial Statements (continued)

December 31, 2022

Alpha Fund engaged in futures contracts and interest rate swap agreements for hedging purposes and to manage duration and interest rate swap agreements to gain investment exposure and for yield curve management. During the year ended December 31, 2022, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the year ended December 31, 2022, the Fund engaged in option contracts for hedging purposes.

The following is a summary of derivative instruments for High Income Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:

---

| | |
|:---|:---|
| Assets | Swap<br>agreements<br>at value<sup>1</sup> |
|  Exchange-traded/cleared asset derivatives |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts | $35656 |

---

<sup>1</sup> Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day's variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. 

Transactions in derivative instruments for High Income Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:

---

| | |
|:---|:---|
| Net Realized Gain (Loss) on: | Swap<br>agreements |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts | $44796 |

---

---

| | |
|:---|:---|
| Net Change in Unrealized Appreciation (Depreciation) on: | Swap<br>agreements |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts | $46299 |

---

The following is a summary of derivative instruments for Investment Grade Bond Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:

---

| | |
|:---|:---|
| Liabilities | Unrealized<br> depreciation<br> on futures<br> contracts<sup>1</sup> |
|  Exchange-traded liability derivatives |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $(8522654) |

---

<sup>1</sup> Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day's variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Investment Grade Bond Fund during the year ended December 31, 2022, as reflected within the Statements of Operations, were as follows:

---

| | | |
|:---|:---|:---|
| Net Realized Gain (Loss) on: | Futures<br>contracts | Swap<br>agreements |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $(1646145) | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  | 1494309 |
|  Total | $(1646145) | $1494309 |

---

---

| | |
|:---|:---|
| Net Change in Unrealized<br> Appreciation (Depreciation) on: | Futures<br>contracts |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $(1260391) |

---

\| 102

------

Notes to Financial Statements (continued)

December 31, 2022

The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| Assets | Unrealized<br>appreciation<br>on forward<br>foreign<br>currency<br>contracts | Unrealized<br>appreciation<br>on futures<br>contracts<sup>1</sup> | Swaps<br>agreements<br>at value<sup>2</sup> | Total |
|  Over-the-counter asset derivatives |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts | $67885 | $— | $— | $67885 |
|  Exchange-traded/cleared asset derivatives |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $— | $368435 | $1249413 | $1617848 |
|  Total asset derivatives | $67885 | $368435 | $1249413 | $1685733 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Liabilities | Options<br>written at<br>value | Unrealized<br>depreciation<br>on forward<br>foreign<br>currency<br>contracts | Unrealized<br>depreciation<br>on futures<br>contracts<sup>1</sup> | Swap<br>agreements<br>at value<sup>2</sup> | Total |
|  Over-the-counter liability derivatives |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts | $— | $(453493) | $— | $— | $(453493) |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  |  | (26118) | (26118) |
|  Total over-the counter liability derivatives | $— | $(453493) | $— | $(26118) | $(479611) |
|  Exchange-traded/cleared liability derivatives | Exchange-traded/cleared liability derivatives | Exchange-traded/cleared liability derivatives | Exchange-traded/cleared liability derivatives | Exchange-traded/cleared liability derivatives |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $— | $— | $(27583) | $— | $(27583) |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  |  | (706254) | (706254) |
| &nbsp;&nbsp;&nbsp;&nbsp; Equity contracts | (66109) |  |  |  | (66109) |
|  Total exchange-traded/cleared liability derivatives | $(66109) | $— | $(27583) | $(706254) | $(799946) |
|  Total liability derivatives | $(66109) | $(453493) | $(27583) | $(732372) | $(1279557) |

---

<sup>1</sup> Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day's variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

<sup>2</sup> Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day's variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. 

Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| Net Realized Gain (Loss) on: | Futures<br>contracts | Options<br>written | Swap<br>agreements | Forward<br>foreign<br>currency<br>contracts |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $19483000 | $— | $(651831) | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts |  |  |  | 3133387 |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  | 4172146 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | 16271 |  |  |
|  Total | $19483000 | $16271 | $3520315 | $3133387 |

---

103 \|

------

Notes to Financial Statements (continued)

December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| Net Change in Unrealized <br>Appreciation (Depreciation) on: | Futures<br>contracts | Options<br>written | Swap<br>agreements | Forward<br>foreign<br>currency<br>contracts |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $2713586 | $— | $1961922 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts |  |  |  | (1653230) |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  |  | (2045929) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Equity contracts |  | 70508 |  |  |
|  Total | $2713586 | $70508 | $(84007) | $(1653230) |

---

The following is a summary of derivative instruments for Strategic Income Fund as of December 31, 2022, as reflected within the Statements of Assets and Liabilities:

---

| | |
|:---|:---|
| Assets | Swap<br>agreements<br>at value<sup>1</sup> |
|  Exchange-traded/cleared asset derivatives | Exchange-traded/cleared asset derivatives |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts | $1084904 |

---

---

| | |
|:---|:---|
| Liabilities | Unrealized<br> depreciation<br> on futures<br> contracts<sup>2</sup> |
|  Exchange-traded/cleared liability derivatives | Exchange-traded/cleared liability derivatives |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $(1970037) |

---

<sup>1</sup> Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day's variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. 

<sup>2</sup> Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day's variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Income Fund during the year ended December 31, 2022, as reflected within the Statements of Operations were as follows:

---

| | | | |
|:---|:---|:---|:---|
| Net Realized Gain (Loss) on: | Futures<br>contracts | Swap<br>agreements | Forward<br>foreign<br>currency<br>contracts |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $(13037463) | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts |  |  | (369783) |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  | (6537247) |  |
|  Total | $(13037463) | $(6537247) | $(369783) |

---

---

| | | | |
|:---|:---|:---|:---|
| Net Change in Unrealized <br>Appreciation (Depreciation) on: | Futures<br>contracts | Swap<br>agreements | Forward<br>foreign<br>currency<br>contracts |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest rate contracts | $(250959) | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange contracts |  |  | 248802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Credit contracts |  | (1275944) |  |
|  Total | $(250959) | $(1275944) | $248802 |

---

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds' investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

\| 104

------

Notes to Financial Statements (continued)

December 31, 2022

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2022:

---

| | |
|:---|:---|
| High Income Fund | Credit<br> Default<br> Swaps |
|  Average Notional Amount Outstanding | 0.36% |
|  Highest Notional Amount Outstanding | 1.05% |
|  Lowest Notional Amount Outstanding | 0.00% |
|  Notional Amount Outstanding as of December 31, 2022 | 0.99% |

---

---

| | | |
|:---|:---|:---|
| Investment Grade Bond Fund | Futures | Credit<br> Default<br> Swaps |
|  Average Notional Amount Outstanding | 5.55% | 0.07% |
|  Highest Notional Amount Outstanding | 12.10% | 0.98% |
|  Lowest Notional Amount Outstanding | 0.00% | 0.00% |
|  Notional Amount Outstanding as of December 31, 2022 | 11.98% | 0.00% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Strategic Alpha Fund | Forwards | Futures | Credit<br> Default<br> Swaps | Interest<br> Rate<br> Swaps |
|  Average Notional Amount Outstanding | 2.34% | 47.62% | 6.44% | 1.83% |
|  Highest Notional Amount Outstanding | 2.79% | 115.88% | 12.60% | 2.29% |
|  Lowest Notional Amount Outstanding | 1.71% | 6.37% | 2.83% | 1.64% |
|  Notional Amount Outstanding as of December 31, 2022 | 2.79% | 6.80% | 12.60% | 2.29% |

---

---

| | | | |
|:---|:---|:---|:---|
| Strategic Income Fund | Forwards | Futures | Credit<br> Default<br> Swaps |
|  Average Notional Amount Outstanding | 0.13% | 2.63% | 3.46% |
|  Highest Notional Amount Outstanding | 0.63% | 7.25% | 6.35% |
|  Lowest Notional Amount Outstanding | 0.00% | 0.37% | 0.00% |
|  Notional Amount Outstanding as of December 31, 2022 | 0.00% | 7.25% | 1.09% |

---

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

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2022:

---

| | |
|:---|:---|
| Strategic Alpha Fund | Call<br>Options<br> Written\* |
|  Average Market Value of Underlying Instruments | 0.53% |
|  Highest Market Value of Underlying Instruments | 1.05% |
|  Lowest Market Value of Underlying Instruments | 0.00% |
|  Market Value of Underlying Instruments as of December 31, 2022 | 0.53% |

---

\* Market value of underlying instruments is determined by multiplying option shares by the price of the option's underlying security.

Amounts outstanding at the end of the prior period, if applicable, are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to

International Swaps and Derivatives Association, Inc. ("ISDA") agreements negotiated between the Funds and their counterparties.

105 \|

------

Notes to Financial Statements (continued)

December 31, 2022

ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds' ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of December 31, 2022, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  **Strategic Alpha Fund** | **Strategic Alpha Fund** | **Strategic Alpha Fund** | **Strategic Alpha Fund** | **Strategic Alpha Fund** | **Strategic Alpha Fund** |
| Counterparty | Gross<br>Amounts of<br>Assets | Offset<br>Amount | Net<br>Asset<br>Balance | Collateral<br>(Received)/<br>Pledged | Net<br>Amount |
|  Morgan Stanley Capital Services, Inc. | $67885 | $(67885) | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;— |
| Counterparty | Gross<br>Amounts of<br>Liabilities | Offset<br>Amount | Net<br>Liability<br>Balance | Collateral<br>(Received)/<br>Pledged | Net<br>Amount |
|  Bank of America N.A. | $(126441) | $— | $(126441) | $— | $(126441) |
|  Barclays Bank PLC | (179230) |  | (179230) |  | (179230) |
|  Morgan Stanley Capital Services, Inc. | (173940) | 67885 | (106055) | 106055 |  |
|  | $(479611) | $67885 | $(411726) | $106055 | $(305671) |

---

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund's risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund's aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund's Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2022:

---

| | | |
|:---|:---|:---|
| Fund | Maximum Amount<br> of Loss—Gross | Maximum Amount<br> of Loss—Net |
|  High Income Fund | $120000 | $120000 |
|  Investment Grade Bond Fund | 34298883 | 34298883 |
|  Strategic Alpha Fund | 20246017 | 20072077 |
|  Strategic Income Fund | 55239563 | 55239563 |

---

\| 106

------

Notes to Financial Statements (continued)

December 31, 2022

**5. Purchases and Sales of Securities.** For the year ended December 31, 2022, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | U.S. Government/Agency<br>Securities | U.S. Government/Agency<br>Securities | Other Securities | Other Securities |
| Fund | Purchases | Sales | Purchases | Sales |
|  High Income Fund | $1373059 | $1912862 | $76606753 | $60918441 |
|  Investment Grade Bond Fund | 648123712 | 624220024 | 1125576160 | 1102681173 |
|  Strategic Alpha Fund | 128725623 | 88255280 | 336655860 | 741027331 |
|  Strategic Income Fund | 191030849 | 343458049 | 719567819 | 1563653449 |

---

**6. Management Fees and Other Transactions with Affiliates.** 

**a. Management Fees.** Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund's average daily net assets:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets | Percentage of Average Daily Net Assets |
| Fund | First<br> $200 million | Next<br> $1.05 billion | Next<br> $750 million | Next<br>$13 billion | Next<br>$10 billion | Over<br>$25 billion |
|  High Income Fund | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
|  Investment Grade Bond Fund | 0.40% | 0.40% | 0.40% | 0.40% | 0.38% | 0.38% |
|  Strategic Alpha Fund | 0.60% | 0.60% | 0.55% | 0.55% | 0.55% | 0.55% |
|  Strategic Income Fund | 0.65% | 0.60% | 0.60% | 0.55% | 0.54% | 0.53% |

---

Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds' operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, except for Investment Grade Bond Fund and Strategic Income Fund which are in effect until April 30, 2024, may be terminated before then only with the consent of the Funds' Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets |
| Fund | Class A | Class C | Class N | Class Y | Admin Class |
|  High Income Fund | 1.00% | 1.75% | 0.70% | 0.75% |  |
|  Investment Grade Bond Fund | 0.74% | 1.49% | 0.44% | 0.49% | 0.99% |
|  Strategic Alpha Fund | 1.00% | 1.75% | 0.70% | 0.75% |  |
|  Strategic Income Fund | 0.94% | 1.69% | 0.64% | 0.69% | 1.19% |

---

Prior to July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Investment Grade Bond Fund and Strategic Income Fund were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets | Expense Limit as a Percentage of<br>Average Daily Net Assets |
| Fund | Class A | Class C | Class N | Class Y | Admin Class |
|  Investment Grade Bond Fund | 0.75% | 1.50% | 0.45% | 0.50% | 1.00% |
|  Strategic Income Fund | 0.95% | 1.70% | 0.65% | 0.70% | 1.20% |

---

107 \|

------

Notes to Financial Statements (continued)

December 31, 2022

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class' expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class' current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For year ended December 31, 2022, the management fees and waivers of management fees for each Fund were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Gross<br>Management Fees | Contractual<br>Waivers of<br>Management Fees<sup>1</sup> | Net<br>Management Fees | Percentage<br>of Average<br>Daily Net Assets | Percentage<br>of Average<br>Daily Net Assets |
| Fund | Gross<br>Management Fees | Contractual<br>Waivers of<br>Management Fees<sup>1</sup> | Net<br>Management Fees | Gross | Net |
|  High Income Fund | $770775 | $230050 | $540725 | 0.60% | 0.42% |
|  Investment Grade Bond Fund | 24955988 | 2989460 | 21966528 | 0.40% | 0.35% |
|  Strategic Alpha Fund | 6601307 |  | 6601307 | 0.60% | 0.60% |
|  Strategic Income Fund | 23373236 | 1331797 | 22041439 | 0.58% | 0.54% |

---

<sup>1</sup> Management fee waivers are subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the year ended December 31, 2022 under the terms of the expense limitation agreements.

**b. Service and Distribution Fees.** Natixis Distribution, LLC ("Natixis Distribution), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund's Class A shares (the "Class A Plans"), a Distribution and Service Plan relating to each Fund's Class C shares (the "Class C Plans"), and Investment Grade Bond Fund and Strategic Income Fund have adopted a Distribution Plan relating to their Admin Class shares (the "Admin Class Plans").

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund's Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund's Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund's Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

Under the Admin Class Plans, Investment Grade Bond Fund and Strategic Income Fund pay Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds' Admin Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Investment Grade Bond Fund and Strategic Income Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For year ended December 31, 2022, the service and distribution fees for each Fund were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Service Fees | Service Fees | Service Fees | Distribution Fees | Distribution Fees |
| Fund | Class A | Class C | Admin Class | Class C | Admin Class |
|  High Income Fund | $45118 | $3327 | $— | $9982 | $— |
|  Investment Grade Bond Fund | 1696547 | 155774 | 318627 | 467321 | 318627 |
|  Strategic Alpha Fund | 91022 | 8671 |  | 26014 |  |
|  Strategic Income Fund | 3152800 | 198709 | 195971 | 596126 | 195971 |

---

\| 108

------

Notes to Financial Statements (continued)

December 31, 2022

**c. Administrative Fees.** Natixis Advisors, LLC ("Natixis Advisors") provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its *pro rata* portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2022, the administrative fees for each Fund were as follows:

---

| | |
|:---|:---|
| Fund | Administrative<br>Fees |
|  High Income Fund | $57996 |
|  Investment Grade Bond Fund | 2821720 |
|  Strategic Alpha Fund | 496374 |
|  Strategic Income Fund | 1825243 |

---

**d. Sub-Transfer Agent Fees.** Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds' transfer agent and other service providers if the shareholders' accounts were maintained directly at the Funds' transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds' Board of Trustees, which is based on fees for similar services paid to the Funds' transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended December 31, 2022, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

---

| | |
|:---|:---|
| Fund | Sub-Transfer<br>Agent Fees |
|  High Income Fund | $118661 |
|  Investment Grade Bond Fund | 3707698 |
|  Strategic Alpha Fund | 439983 |
|  Strategic Income Fund | 3148864 |

---

As of December 31, 2022, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

---

| | |
|:---|:---|
| Fund | Reimbursements<br>of Sub-Transfer<br>Agent Fees |
|  High Income Fund | $1331 |
|  Investment Grade Bond Fund | 52720 |
|  Strategic Alpha Fund | 4284 |
|  Strategic Income Fund | 32656 |

---

Sub-transfer agent fees attributable to Class A, Class C, Class Y, and Admin Class are allocated on a *pro rata* basis to each class based on the relative net assets of each class to the total net assets of those classes.

**e. Commissions.** Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2022 were as follows:

---

| | |
|:---|:---|
| Fund | Commissions |
|  High Income Fund | $886 |
|  Investment Grade Bond Fund | 54983 |
|  Strategic Alpha Fund | 1748 |
|  Strategic Income Fund | 11900 |

---

109 \|

------

Notes to Financial Statements (continued)

December 31, 2022

**f. Trustees Fees and Expenses.** The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2023, each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically.

A deferred compensation plan (the "Plan") is available to the Trustees on a voluntary basis. The value of a participating Trustee's deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants' deferral accounts are allocated *pro rata* among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees' fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees' fees in the Statements of Assets and Liabilities.

For the year ended December 31, 2022, net depreciation in the value of participants' deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:

---

| | |
|:---|:---|
| Fund | Amount |
|  High Income Fund | $(28222) |
|  Investment Grade Bond Fund | (126967) |
|  Strategic Alpha Fund | (22863) |
|  Strategic Income Fund | (263362) |

---

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

**g. Reimbursement of Transfer Agent Fees and Expenses.** Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund's Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the year ended December 31, 2022, Natixis Advisors reimbursed High Income Fund $1,050 for transfer agency expenses related to Class N shares.

**h. Affiliated Ownership.** As of December 31, 2022, Loomis Sayles Employees' Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.10% and 0.39%, respectively, of the Funds' net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

**7. Class-Specific Transfer Agent Fees and Expenses.** Transfer agent fees and expenses attributable to Class A, Class C, Class Y and Admin Class are allocated on a *pro rata* basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the year ended December 31, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses | Transfer Agent Fees and Expenses |
| Fund | Class A | Class C | Class N | Class Y | Admin Class |
|  High Income Fund | $20385 | $1503 | $1050 | $123532 | $— |
|  Investment Grade Bond Fund | 546047 | 50040 | 4746 | 3228234 | 102617 |
|  Strategic Alpha Fund | 22064 | 2099 | 1760 | 479238 |  |
|  Strategic Income Fund | 1118241 | 70301 | 2173 | 2118426 | 69504 |

---

\| 110

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Notes to Financial Statements (continued)

December 31, 2022

**8. Line of Credit.** Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund's investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the year ended December 31, 2022, none of the Funds had borrowings under this agreement.

**9. Risk.** The Fund's investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds' investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Russia's military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These and any related events could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.

**10. Concentration of Ownership.** From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2022, based on management's evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund's total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

---

| | | |
|:---|:---|:---|
| Fund | Number of 5%<br>Account Holders | Percentage of<br>Ownership |
|  High Income Fund | 3 | 26.93% |
|  Investment Grade Bond Fund | 1 | 7.59% |
|  Strategic Alpha Fund | 3 | 29.77% |

---

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

111 \|

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Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares.** Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **High Income Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** |  |  |  |  |
|  Issued from the sale of shares | 1722338 | $6259813 | 668669 | $2915754 |
|  Issued in connection with the reinvestment of distributions | 236475 | 869986 | 189309 | 821078 |
|  Redeemed | (1262111) | (4688427) | (5634696) | (24662646) |
|  Net change | 696702 | $2441372 | (4776718) | $(20925814) |
| **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  Issued from the sale of shares | 81001 | $295199 | 49909 | $218435 |
|  Issued in connection with the reinvestment of distributions | 11401 | 42287 | 13512 | 58913 |
|  Redeemed | (172520) | (656278) | (317893) | (1393021) |
|  Net change | (80118) | $(318792) | (254472) | $(1115673) |
| **Class N** | **Class N** | **Class N** | **Class N** | **Class N** |
|  Issued from the sale of shares | 11783 | $43666 | 720158 | $3122287 |
|  Issued in connection with the reinvestment of distributions | 1742 | 6400 | 63330 | 275475 |
|  Redeemed | (317) | (1187) | (4153012) | (18269833) |
|  Net change | 13208 | $48879 | (3369524) | $(14872071) |
| **Class Y** | **Class Y** | **Class Y** | **Class Y** | **Class Y** |
|  Issued from the sale of shares | 15154075 | $60435670 | 16856831 | $73348124 |
|  Issued in connection with the reinvestment of distributions | 982330 | 3614206 | 753278 | 3261003 |
|  Redeemed | (12813646) | (48643668) | (5407849) | (23507835) |
|  Net change | 3322759 | $15406208 | 12202260 | $53101292 |
|  Increase from capital share transactions | 3952551 | $17577667 | 3801546 | $16187734 |

---

\| 112

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Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares (continued).** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Investment Grade Bond Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 15784832 | $157415568 | 14327364 | $164124803 |
|  Issued in connection with the reinvestment of distributions | 1516060 | 15218475 | 2099128 | 23851196 |
|  Redeemed | (21470097) | (218163158) | (20621008) | (237008883) |
|  Net change | (4169205) | $(45529115) | (4194516) | $(49032884) |
| **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  Issued from the sale of shares | 2006302 | $19429909 | 934807 | $10599046 |
|  Issued in connection with the reinvestment of distributions | 124380 | 1234946 | 231399 | 2593460 |
|  Redeemed | (3420390) | (34069845) | (5455894) | (61864251) |
|  Net change | (1289708) | $(13404990) | (4289688) | $(48671745) |
| **Class N** | **Class N** | **Class N** | **Class N** | **Class N** |
|  Issued from the sale of shares | 48529515 | $490256225 | 56999140 | $656052872 |
|  Issued in connection with the reinvestment of distributions | 4084214 | 40970231 | 4813498 | 54680208 |
|  Redeemed | (43974606) | (443131271) | (32503589) | (373527233) |
|  Net change | 8639123 | $88095185 | 29309049 | $337205847 |
| **Class Y** | **Class Y** | **Class Y** | **Class Y** | **Class Y** |
|  Issued from the sale of shares | 312218522 | $3118482571 | 113796295 | $1308956202 |
|  Issued in connection with the reinvestment of distributions | 10979300 | 109867774 | 11974399 | 136171497 |
|  Redeemed | (171175077) | (1725580019) | (94197009) | (1082829468) |
|  Net change | 152022745 | $1502770326 | 31573685 | $362298231 |
| **Admin Class** | **Admin Class** | **Admin Class** | **Admin Class** | **Admin Class** |
|  Issued from the sale of shares | 1308463 | $13205817 | 2719299 | $31159908 |
|  Issued in connection with the reinvestment of distributions | 336224 | 3362150 | 417648 | 4725224 |
|  Redeemed | (1315130) | (13241065) | (1489322) | (17123081) |
|  Net change | 329557 | $3326902 | 1647625 | $18762051 |
|  Increase from capital share transactions | 155532512 | $1535258308 | 54046155 | $620561500 |

---

113 \|

------

Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares (continued).** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Strategic Alpha Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 790735 | $7604611 | 1219725 | $12747834 |
|  Issued in connection with the reinvestment of distributions | 113177 | 1055866 | 64366 | 670163 |
|  Redeemed | (1683281) | (15940481) | (702862) | (7342564) |
|  Net change | (779369) | $(7280004) | 581229 | $6075433 |
| **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  Issued from the sale of shares | 118937 | $1122473 | 68781 | $716482 |
|  Issued in connection with the reinvestment of distributions | 8630 | 80131 | 4055 | 42082 |
|  Redeemed | (178261) | (1704999) | (521054) | (5431680) |
|  Net change | (50694) | $(502395) | (448218) | $(4673116) |
| **Class N** | **Class N** | **Class N** | **Class N** | **Class N** |
|  Issued from the sale of shares | 7829851 | $75848874 | 17281163 | $180386933 |
|  Issued in connection with the reinvestment of distributions | 307854 | 2864537 | 674696 | 7017221 |
|  Redeemed | (37027196) | (360872876) | (21726263) | (226897564) |
|  Net change | (28889491) | $(282159465) | (3770404) | $(39493410) |
| **Class Y** | **Class Y** | **Class Y** | **Class Y** | **Class Y** |
|  Issued from the sale of shares | 34791067 | $332916955 | 34048531 | $355012431 |
|  Issued in connection with the reinvestment of distributions | 2762887 | 25702413 | 1558986 | 16187341 |
|  Redeemed | (56471363) | (535510682) | (16721643) | (174460261) |
|  Net change | (18917409) | $(176891314) | 18885874 | $196739511 |
|  Increase (decrease) from capital share transactions | (48636963) | $(466833178) | 15248481 | $158648418 |

---

\| 114

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Notes to Financial Statements (continued)

December 31, 2022

**11. Capital Shares (continued).** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2022** | **Year Ended<br>December 31, 2021** | **Year Ended<br>December 31, 2021** |
| **Strategic Income Fund** | **Shares** | **Amount** | **Shares** | **Amount** |
| **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  Issued from the sale of shares | 8678765 | $109989319 | 12975066 | $183459424 |
|  Issued in connection with the reinvestment of distributions | 4093782 | 49939363 | 2067302 | 29226145 |
|  Redeemed | (27767324) | (347469778) | (28392426) | (400924495) |
|  Net change | (14994777) | $(187541096) | (13350058) | $(188238926) |
| **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  Issued from the sale of shares | 619032 | $7749499 | 526514 | $7514746 |
|  Issued in connection with the reinvestment of distributions | 230317 | 2856357 | 192188 | 2740298 |
|  Redeemed | (4723388) | (60569472) | (10676591) | (152414889) |
|  Net change | (3874039) | $(49963616) | (9957889) | $(142159845) |
| **Class N** | **Class N** | **Class N** | **Class N** | **Class N** |
|  Issued from the sale of shares | 1623182 | $20719348 | 6141155 | $86946222 |
|  Issued in connection with the reinvestment of distributions | 1134602 | 13826399 | 478281 | 6753879 |
|  Redeemed | (3626974) | (45975564) | (4499118) | (63370301) |
|  Net change | (869190) | $(11429817) | 2120318 | $30329800 |
| **Class Y** | **Class Y** | **Class Y** | **Class Y** | **Class Y** |
|  Issued from the sale of shares | 33766614 | $425134342 | 49545428 | $695309439 |
|  Issued in connection with the reinvestment of distributions | 8220421 | 100514524 | 4816448 | 67989900 |
|  Redeemed | (101610881) | (1269402412) | (102253381) | (1437692859) |
|  Net change | (59623846) | $(743753546) | (47891505) | $(674393520) |
| **Admin Class** | **Admin Class** | **Admin Class** | **Admin Class** | **Admin Class** |
|  Issued from the sale of shares | 213005 | $2734769 | 517760 | $7300630 |
|  Issued in connection with the reinvestment of distributions | 343699 | 4173218 | 163815 | 2306303 |
|  Redeemed | (1365053) | (17168997) | (1470421) | (20667736) |
|  Net change | (808349) | $(10261010) | (788846) | $(11060803) |
|  Decrease from capital share transactions | (80170201) | $(1002949085) | (69867980) | $(985523294) |

---

115 \|

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds II and Natixis Funds Trust II and Shareholders of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Income Fund and Loomis Sayles Strategic Alpha Fund

***Opinions on the Financial Statements***

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund (three of the funds constituting Loomis Sayles Funds II) and Loomis Sayles Strategic Alpha Fund (one of the funds constituting Natixis Funds Trust II) (hereafter collectively referred to as the "Funds") as of December 31, 2022, the related statements of operations for the year ended December 31, 2022, the statements of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2022, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinions***

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2023

We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.

\| 116

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2022 U.S. Tax Distribution Information to Shareholders (Unaudited)

**Corporate Dividends Received Deduction.** For the fiscal year ended December 31, 2022, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

---

| | |
|:---|:---|
| Fund | Qualifying<br> Percentage |
|  High Income Fund | 0.89% |
|  Investment Grade Bond Fund | 2.04% |
|  Strategic Alpha Fund | 1.76% |
|  Strategic Income Fund | 7.08% |

---

**Capital Gains Distributions.** Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2022.

---

| | |
|:---|:---|
| Fund | Amount |
|  Investment Grade Bond Fund | $7848660 |

---

**Qualified Dividend Income.** For the fiscal year ended December 31, 2022, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual's tax bracket. If the Funds pay a distribution during calendar year 2022, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

---

| | |
|:---|:---|
| Fund | Qualifying<br> Percentage |
|  High Income Fund | 1.21% |
|  Investment Grade Bond Fund | 1.87% |
|  Strategic Alpha Fund | 2.25% |
|  Strategic Income Fund | 4.14% |

---

117 \|

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Trustee and Officer Information

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust II, Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts"). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds' Statements of Additional Information includes additional information about the Trustees of the Trusts and are available by calling Natixis Funds/Loomis Sayles Funds at 800-225-5478/800-633-3330.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with**<br> **the Trusts, Length**<br> **of Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal**<br> **Occupation(s)**<br> **During Past 5 Years** | **Number of Portfolios**<br> **in Fund Complex**<br> **Overseen<sup>2</sup> and Other**<br> **Directorships Held**<br> **During Past 5 Years** | **Experience,**<br> **Qualifications,**<br> **Attributes, Skills for**<br> **Board Membership** |
| **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** | **<u>INDEPENDENT TRUSTEES</u>** |
| **Edmond J. English** <br> (1953) | Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member | Executive Chairman of Bob's Discount Furniture (retail) | 54<br> Director, Burlington Stores, Inc. (retail) and Director, Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
| **Richard A. Goglia**<br> (1951) | Trustee since 2015<br> Audit Committee Member and Governance Committee Member | Retired | 54<br> Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
| **Wendell J. Knox**<br> (1948) | Trustee since 2009<br> Chairperson of the Contract Review Committee | Retired | 54<br> Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank) | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) |

---

\| 118

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Trustee and Officer Information

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with**<br> **the Trusts, Length**<br> **of Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal**<br> **Occupation(s)**<br> **During Past 5 Years** | **Number of Portfolios**<br> **in Fund Complex**<br> **Overseen<sup>2</sup> and Other**<br> **Directorships Held**<br> **During Past 5 Years** | **Experience,**<br> **Qualifications,**<br> **Attributes, Skills for**<br> **Board Membership** |
| **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** |
| **Martin T. Meehan**<br> (1956) | Trustee since 2012<br> Contract Review Committee Member and Governance Committee Member | President, University of Massachusetts | 54<br> None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
| **Maureen B. Mitchell**<br> (1951) | Trustee since 2017<br> Contract Review Committee Member and Governance Committee Member | Retired | 54<br> Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) |
| **James P. Palermo**<br> (1955) | Trustee since 2016<br> Audit Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 54<br> Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) |
| **Erik R. Sirri**<br> (1958) | Chairperson of the Board of Trustees since 2021 Trustee since 2009 *Ex Officio* member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 54<br> None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |

---

119 \|

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Trustee and Officer Information

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with**<br> **the Trusts, Length**<br> **of Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal**<br> **Occupation(s)**<br> **During Past 5 Years** | **Number of Portfolios**<br> **in Fund Complex**<br> **Overseen<sup>2</sup> and Other**<br> **Directorships Held**<br> **During Past 5 Years** | **Experience,**<br> **Qualifications,**<br> **Attributes, Skills for**<br> **Board Membership** |
| **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** | **<u>INDEPENDENT TRUSTEES – continued</u>** |
| **Peter J. Smail**<br> (1952) | Trustee since 2009<br> Audit Committee Member | Retired | 54<br> None | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
| **Kirk A. Sykes**<br> (1958) | Trustee since 2019<br> Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 54<br> Advisor Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
| **Cynthia L. Walker**<br> (1956) | Trustee since 2005<br> Chairperson of the Audit Committee | Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 54<br> None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
| **<u>INTERESTED TRUSTEES</u>** | **<u>INTERESTED TRUSTEES</u>** | **<u>INTERESTED TRUSTEES</u>** | **<u>INTERESTED TRUSTEES</u>** | **<u>INTERESTED TRUSTEES</u>** |
| **Kevin P. Charleston<sup>3</sup>**<br> (1965)<br> One Financial Center<br> Boston, MA 02111 | Trustee since 2015<br> President and Chief Executive Officer of Loomis Sayles Funds I since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 54<br> None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |

---

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Trustee and Officer Information

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held with**<br> **the Trusts, Length**<br> **of Time Served and**<br> **Term of Office<sup>1</sup>** | **Principal**<br> **Occupation(s)**<br> **During Past 5 Years** | **Number of Portfolios**<br> **in Fund Complex**<br> **Overseen<sup>2</sup> and Other**<br> **Directorships Held**<br> **During Past 5 Years** | **Experience,**<br> **Qualifications,**<br> **Attributes, Skills for**<br> **Board Membership** |
| **<u>INTERESTED TRUSTEES – continued</u>** | **<u>INTERESTED TRUSTEES – continued</u>** | **<u>INTERESTED TRUSTEES – continued</u>** | **<u>INTERESTED TRUSTEES – continued</u>** | **<u>INTERESTED TRUSTEES – continued</u>** |
| **David L. Giunta<sup>4</sup>** <br> (1965)<br>| Trustee since 2011<br> President and Chief Executive Officer of Natixis Funds Trust II, and President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 54<br> None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |

---

<sup>1</sup> Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

<sup>2</sup> The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the "Fund Complex"). 

<sup>3</sup> Mr. Charleston is deemed an "interested person" of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

<sup>4</sup> Mr. Giunta is deemed an "interested person" of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC.

121 \|

------

Trustee and Officer Information

---

| | | | |
|:---|:---|:---|:---|
| **Name and Year of Birth** | **Position(s) Held**<br> **with the Trusts** | **Term of Office<sup>1</sup> and Length**<br> **of Time Served** | **Principal Occupation(s)**<br> **During Past 5 Years<sup>2</sup>** |
| **<u>OFFICERS OF THE TRUSTS</u>** | **<u>OFFICERS OF THE TRUSTS</u>** | **<u>OFFICERS OF THE TRUSTS</u>** | **<u>OFFICERS OF THE TRUSTS</u>** |
| **Matthew Block**<br> (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company |
| **Susan McWhan Tobin**<br> (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019– May 2022) and Senior Vice President and Head of Compliance, US for Natixis Investment Managers (July 2011 – March 2019) |
| **Natalie R. Wagner**<br> (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |

---

<sup>1</sup> Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

<sup>2</sup> Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer's current position with such entity. 

\| 122

------

(b) Not Applicable.

**Item 2. Code of Ethics.** 

The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant's code of ethics during the period.

**Item 3. Audit Committee Financial Expert.** 

The Board of Trustees of the Registrant has established an audit committee. Mr. Richard A. Goglia, Mr. James Palermo, Mr. Peter J. Smail, Mr. Kirk A. Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as "audit committee financial experts" by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

**Item 4. Principal Accountant Fees and Services.** 

*Fees billed by the Principal Accountant for services rendered to the Registrant*.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant's annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant's financial statements but not reported under "Audit Fees"); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Audit fees** | **Audit fees** | **Audit-related fees<sup>1</sup>** | **Audit-related fees<sup>1</sup>** | **Tax fees<sup>2</sup>** | **Tax fees<sup>2</sup>** | **All other fees** | **All other fees** |
|  | 1/1/21-12/31/21 | 1/1/22-12/31/22 | 1/1/21-12/31/21 | 1/1/22-12/31/22 | 1/1/21-12/31/21 | 1/1/22-12/31/22 | 1/1/21-12/31/21 | 1/1/22-12/31/22 |
|  Loomis Sayles High Income Fund, Loomis Sayles International Growth Fund, Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund | $187706 | $198969 | $2051 | $2257 | $32437 | $34383 | $— | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. <u>Audit-related fees consist of</u>:

<u>2021 &2022</u> – performance of agreed-upon procedures related to the Registrant's deferred compensation plan.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. <u>Tax fees consist of</u>:

<u>2021 & 2022</u> – review of Registrant's tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2021 and 2022 were $34,488 and $36,640, respectively.

------

*Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates*.

The following table sets forth the fees billed by the Registrant's principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. ("Loomis Sayles") and entities controlling, controlled by or under common control with Loomis Sayles ("Control Affiliates") that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Audit-related fees** | **Audit-related fees** | **Tax fees** | **Tax fees** | **All other fees** | **All other fees** |
|  | 1/1/21-<br>12/31/21 | 1/1/22-<br>12/31/22 | 1/1/21-<br>12/31/21 | 1/1/22-<br>12/31/22 | 1/1/21-<br>12/31/21 | 1/1/22-<br>12/31/22 |
|  Control Affiliates | $— | $— | $— | $— | $— | $50000 |

---

The following table sets forth the aggregate fees billed by the Registrant's principal accountant for non-audit services rendered to Loomis Sayles and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

---

| | | |
|:---|:---|:---|
|  | **Aggregate Non-Audit Fees** | **Aggregate Non-Audit Fees** |
|  | 1/1/21-12/31/21 | 1/1/22-<br>12/31/22 |
|  Control Affiliates | $972 | $50000 |

---

None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.

*Audit Committee Pre Approval Policies.* 

Annually, the Registrant's Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant's independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit-related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

**Item 5. Audit Committee of Listed Registrants.** 

Not applicable.

**Item 6. Schedule of Investments.** 

Included as part of the Report to Shareholders filed as Item 1 herewith.

------

**Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.** 

Not applicable.

**Item 8. Portfolio Managers of Closed-End Management Investment Companies** 

Not applicable.

**Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.** 

Not applicable.

**Item 10. Submission of Matters to a Vote of Securities Holders.** 

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees.

**Item 11. Controls and Procedures.** 

The Registrant's principal executive officer and principal financial officer have concluded that the Registrant's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant's internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

**Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.** 

Not applicable.

**Item 13. Exhibits.** 

---

| | | |
|:---|:---|:---|
| (a) | (1) | [Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).](d465447dex99codeeth.htm) |
| (a) | (2) | [Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 \[17 CFR 270.30a-2(a)\], filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.](d465447dex99cert.htm) |
| (b) |  | [Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002, filed herewith as Exhibit (b).](d465447dex99906cert.htm) |

---

------

**SIGNATURES** 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

---

| | |
|:---|:---|
| Loomis Sayles Funds II | Loomis Sayles Funds II |
| By: | /s/ David L. Giunta |
| Name: | David L. Giunta |
| Title: | President and Chief Executive Officer |
| Date: | February 22, 2023 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | /s/ David L. Giunta |
| Name: | David L. Giunta |
| Title: | President and Chief Executive Officer |
| Date: | February 22, 2023 |
| By: | /s/ Matthew Block |
| Name: | Matthew Block |
| Title: | Treasurer and Principal Financial and |
|  | Accounting Officer |
| Date: | February 22, 2023 |

---

## Ex-99.Code

**Exhibit (a) (1)** 

**NATIXIS FUNDS TRUST I** 

**NATIXIS FUNDS TRUST II** 

**NATIXIS FUNDS TRUST IV** 

**LOOMIS SAYLES FUNDS I** 

**LOOMIS SAYLES FUNDS II** 

**GATEWAY TRUST** 

**NATIXIS ETF TRUST** 

**NATIXIS ETF TRUST II** 

**CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS** 

**I.** **Covered Persons/Purpose of the Code** 

This Code of Ethics (this "Code") pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the registered investment companies (each a "Fund" and, collectively, the "Funds") listed on Exhibit A and applies to each Fund's Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the "Covered Persons," all covered persons are set forth in Exhibit B) for the purpose of promoting:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between
personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files
with, or submits to, the Securities and Exchange Commission (the "SEC") and in other public communications made by the registrant

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Compliance with applicable governmental laws, rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the
Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Accountability for adherence to the Code.

Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest.

------

**II.** **Covered Persons Should Handle Ethically Actual and Apparent Conflicts of Interest** 

**Overview.** A "conflict of interest" occurs when a Covered Person's private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Person's, or a member of the Covered Person's family or household, receives improper personal benefits as a result of the Covered Person's position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Persons and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (including the regulations thereunder, the "1940 Act") and the Investment Advisers Act of 1940 (including the regulations thereunder, the "Investment Advisers Act"). For example, Covered Persons may not engage in certain transactions with the Fund because of their status as "affiliated persons" of the Fund. The Funds and their investment advisers; subadvisers; distributors and administrators (each a "Service Provider" and, collectively, the "Service Providers") compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and their Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a Service Provider, or for each), be involved in establishing policies and implementing decisions that will have different effects on the Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Boards of Trustees ("Boards") that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of a Fund.

------

Each Covered Person must not:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• use his/her personal influence or personal relationships improperly to influence investment decisions or
financial reporting by a Fund whereby the Covered Person would benefit personally to the detriment of the Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person
rather than the benefit the Fund; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• retaliate against any other Covered Person or any employee of the Funds or their Service Providers for reports of
potential violations that are made in good faith.

There are some conflict of interest situations that should always be approved by the Chief Legal Officer ("CLO") of the Fund (or, with respect to activities of the CLO if he/she is a Covered Person, by the President). These conflict of interest situations are listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• service on the board of directors or governing board of a publicly traded entity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• acceptance of any investment opportunity, gift, gratuity or other thing of more than nominal value from any
person or entity that does business, or desires to do business, with the Fund. This restriction shall not apply to (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100 or
(ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• any ownership interest in, or any consulting relationship with, any entities doing business with a Fund, other
than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person's ownership does not exceed more than 2% of the
outstanding securities of the relevant class; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for
effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Person's employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit
(i) the ownership of publicly traded securities so long as the Covered Person's ownership does not exceed more than 2% of the particular class of security outstanding or (ii) the receipt by the Service Provider of research or other
benefits in exchange for "soft dollars".

------

**III.** **Disclosure and Compliance** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Each Covered Person should familiarize himself with the disclosure requirements generally applicable to a Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Each Covered Person should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to
others, whether within or outside the Fund, including to the Fund's Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Each Covered Person should, to the extent appropriate within his/her area of responsibility, consult with other
officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made
by the Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• It is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed
by applicable laws, rules and regulations.

**IV.** **Reporting and Accountability** 

Each Covered Person must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the
Funds that he/she has received, read, and understands the Code;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• annually thereafter affirm to the Funds that he/she has complied with the requirements of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• notify the CLO of the Funds promptly if he/she knows of any violation of this Code (with respect to violations by
the CLO if he/she is a Covered Person, the Covered Person shall report to the President). Failure to do so is itself a violation of this Code.

The CLO of a Fund is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers other than those this Code states can be granted by the CLO, sought by the CLO or Covered Person will be considered by the relevant Fund's Audit Committee (the "Committee").

The Funds will follow these procedures in investigating and enforcing this Code:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• the CLO will take all appropriate action to investigate any potential violations reported, which may include the
use of internal or external counsel, accountants or other personnel;

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take
any further action;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• any matter that the CLO believes is a violation will be reported to the Committee;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board,
which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss
the Covered Person;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• the Committee will be authorized to grant waivers, as it deems appropriate; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

**V.** **Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds' Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their Service Providers' codes of ethics under Rule 17j-1 under the 1940 Act and the Service Providers' more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.

**VI.** **Amendments** 

Any amendments to this Code with respect to a Fund, other than administrative amendments to Exhibits A and B, must be approved or ratified by a majority vote of the Fund's Board, including a majority of independent trustees.

**VII.** **Confidentiality** 

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board.

------

**VIII. Internal Use** 

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.

------

**Exhibit A** 

<u>Registered Investment Companies</u> 

Natixis Funds Trust I

Natixis Funds Trust II

Natixis Funds Trust IV

Natixis ETF Trust

Natixis ETF Trust II

Loomis Sayles Funds I

Loomis Sayles Funds II

Gateway Trust

------

**Exhibit B** 

<u>Persons Covered by this Code of Ethics</u> 

---

| | | | |
|:---|:---|:---|:---|
| **Trust** | **Principal Executive Officer** | **Principal Financial Officer** | **Principal Accounting Officer** |
| Natixis Funds Trust I | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Natixis Funds Trust II | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Natixis Funds Trust IV | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Natixis ETF Trust | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Natixis ETF Trust II | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Loomis Sayles Funds I | Kevin Charleston, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Loomis Sayles Funds II | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |
| Gateway Trust | David L. Giunta, Trustee, President and Chief Executive Officer | Matthew Block, Treasurer | Matthew Block, Treasurer |

---

## Ex-99.Cert

**Exhibit (a)(2)(1)** 

**Loomis Sayles Funds II** 

**Exhibit to SEC Form N-CSR** 

**Section 302 Certification** 

I, David L. Giunta, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Loomis Sayles Funds II;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the
audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant's internal control over financial reporting.

------

Date: February 22, 2023

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| |
|:---|
| /s/ David L. Giunta |
| David L. Giunta |
| Chief Executive Officer and |
| President |

---

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**Exhibit (a)(2)(2)** 

**Loomis Sayles Funds II** 

**Exhibit to SEC Form N-CSR** 

**Section 302 Certification** 

I, Matthew Block, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Loomis Sayles Funds II;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the
audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant's internal control over financial reporting.

Date: February 22, 2023

---

| |
|:---|
| /s/ Matthew Block |
| Matthew Block |
| Treasurer and Principal Financial and Accounting Officer |

---

## Exhibit 99.906

Exhibit (b)

**Loomis Sayles Funds II** 

**Section 906 Certification** 

In connection with the report on Form N-CSR for the period ended December 31, 2022 for the Registrant (the "Report"), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | |
|:---|:---|
| By: | By: |
| Chief Executive Officer and | Treasurer and Principal Financial and |
| President | Accounting Officer |
| Loomis Sayles Funds II | Loomis Sayles Funds II |
| /s/ David L. Giunta | /s/ Matthew Block |
| David L. Giunta | Matthew Block |
| Date: February 22, 2023 | Date: February 22, 2023 |

---

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Loomis Sayles Funds II, and will be retained by the Loomis Sayles Funds II and furnished to the Securities and Exchange Commission or its staff upon request.